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, Ohio					44144
(Address of principal executive offices)					(Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH  43219
(Name and address of agent for service)
Registrant’s telephone number, including area code:				800-539-3863
Date of fiscal year end:	June 30
Date of reporting period:		December 31, 2018

Item 1. Reports to Stockholders.

December 31, 2018

Semi Annual Report

Victory US 500 Enhanced Volatility Wtd Index Fund

Victory Market Neutral Income Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Victory Funds' shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Victory Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.VictoryFunds.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change, and you need not take any action.

You may elect to receive shareholder reports and other communications from the Victory Funds or your financial intermediary electronically sooner than January 1, 2021 by notifying your financial intermediary directly or, if you are a direct investor, by calling 800-539-3863 or by sending an e-mail request to TA.Processing@FISGlobal.com.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your reports. If you invest directly with the Victory Funds, you can call 800-539-3863 or send an e-mail request to TA.Processing@FISGlobal.com. Your election to receive reports in paper will apply to all Victory Funds you hold directly or through your financial intermediary.

www.vcm.com

News, Information And Education 24 Hours A Day, 7 Days A Week

The Victory CEMP site gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:

•  Detailed performance records

•  Daily share prices

•  The latest fund news

•  Investment resources to help you become a better investor

•  A section dedicated to investment professionals

Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.

Victory
Portfolios II

Table of Contents

Financial Statements
Victory US 500 Enhanced Volatility Wtd Index Fund
Investment Objectives & Portfolio Holdings	2
Schedule of Investments	3-14
Statements of Assets and Liabilities	32
Statements of Operations	33
Statements of Changes in Net Assets	34-35
Financial Highlights	36-38
Victory Market Neutral Income Fund
Investment Objectives & Portfolio Holdings	2
Schedule of Investments	15-31
Statements of Assets and Liabilities	32
Statements of Operations	33
Statements of Changes in Net Assets	34-35
Financial Highlights	39-41
Notes to Financial Statements	42
Supplemental Information	55
Trustee and Officer Information	55
Proxy Voting and Form N-Q Information	59
Expense Examples	59
Advisory Contract Approval	61
Privacy Policy (inside back cover)

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

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

For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at www.vcm.com or call 800-539-3863. 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 Funds, markets or securities mentioned herein should not be considered to be indicative of future results.

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

Call Victory CEMP at:

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

Visit our website at:

www.vcm.com

1

Victory Portfolios II December 31, 2018

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Investment Objectives & Portfolio Holdings:

(As a Percentage of Total Investments)

Victory US 500 Enhanced Volatility Wtd Index Fund Track performance of the Nasdaq Victory U.S. Large Cap 500 Long/Cash Volatility Weighted Index before expenses.	Victory Market Neutral Income Fund Seeks to achieve high current income.

2

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Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.2%)
Communication Services (3.1%):
AT&T, Inc.		8,159	$	232,858
Cable One, Inc.		297		243,570
Cargurus, Inc. (a)		2,280		76,904
CBS Corp., Class B		3,803		166,267
CenturyLink, Inc.		7,881		119,397
Charter Communications, Inc., Class A (a)		545		155,309
Comcast Corp., Class A		5,760		196,128
DISH Network Corp. (a)		3,864		96,484
Facebook, Inc., Class A (a)		804		105,396
InterActive Corp. (a)		712		130,325
Netflix, Inc. (a)		388		103,852
Omnicom Group, Inc.		3,825		280,143
The Walt Disney Co.		3,016		330,705
T-Mobile US, Inc. (a)		3,463		220,281
Verizon Communications, Inc.		5,517		310,165
Viacom, Inc., Class B		7,071		181,725
World Wrestling Entertainment, Inc.		1,688		126,127
Zayo Group Holdings, Inc. (a)		7,340		167,646
				3,243,282
Consumer Discretionary (12.8%):
Advance Auto Parts, Inc.		1,221		192,259
Amazon.com, Inc. (a)		110		165,217
American Eagle Outfitters, Inc.		5,751		111,167
Aramark		6,061		175,587
AutoZone, Inc. (a)		308		258,209
Best Buy Co., Inc.		2,412		127,740
Bright Horizons Family Solutions, Inc. (a)		2,611		290,996
Burlington Stores, Inc. (a)		1,306		212,447
CarMax, Inc. (a) (b)		2,509		157,390
Carter's, Inc.		2,219		181,115
Chipotle Mexican Grill, Inc. (a)		255		110,106
D.R. Horton, Inc.		4,055		140,546
Darden Restaurants, Inc.		1,659		165,668
Dollar General Corp.		2,163		233,777
Dollar Tree, Inc. (a)		1,714		154,808
Domino's Pizza, Inc.		791		196,160
Dunkin' Brands Group, Inc.		4,798		307,648
Etsy, Inc. (a)		2,281		108,507
Five Below, Inc. (a)		1,152		117,873
Ford Motor Co.		26,973		206,344
Garmin Ltd.		4,743		300,328
Gentex Corp.		9,866		199,392
Genuine Parts Co.		3,248		311,872
Grand Canyon Education, Inc. (a)		2,333		224,295
GrubHub, Inc. (a) (b)		809		62,139
Harley-Davidson, Inc.		5,104		174,148
Hilton Worldwide Holdings, Inc.		3,775		271,045

See notes to financial statements.

3

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December 31, 2018

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Security Description	Shares		Value
Hyatt Hotels Corp., Class A		3,810	$	257,556
Kohl's Corp.		2,004		132,945
L Brands, Inc.		4,908		125,988
Las Vegas Sands Corp.		3,423		178,167
Lear Corp.		1,454		178,638
Leggett & Platt, Inc.		5,833		209,055
Lennar Corp., Class A		3,532		138,278
LKQ Corp. (a) (b)		4,798		113,857
Lowe's Co., Inc.		1,857		171,513
Macy's, Inc.		3,525		104,975
Marriott International, Inc., Class A		2,057		223,308
McDonald's Corp.		1,698		301,514
MGM Resorts International		5,650		137,069
Mohawk Industries, Inc. (a)		879		102,808
Newell Brands, Inc. (b)		6,914		128,531
Nordstrom, Inc. (b)		2,365		110,233
Norwegian Cruise Line Holdings Ltd. (a)		4,187		177,487
NVR, Inc. (a)		68		165,715
Ollie's Bargain Outlet Holdings, Inc. (a)		2,299		152,906
O'Reilly Automotive, Inc. (a)		581		200,056
Penske Automotive Group, Inc.		4,292		173,053
Polaris Industries, Inc.		1,666		127,749
Pool Corp. (b)		1,895		281,692
PulteGroup, Inc.		7,064		183,593
PVH Corp.		1,525		141,749
Qurate Retail, Inc. (a)		8,974		175,173
Ross Stores, Inc.		2,429		202,093
Royal Caribbean Cruises Ltd. (b)		1,751		171,230
Service Corp. International		7,269		292,649
Servicemaster Global Holdings, Inc. (a)		6,755		248,179
Stamps.com, Inc. (a)		603		93,851
Starbucks Corp.		4,673		300,941
Target Corp.		2,730		180,426
Texas Roadhouse, Inc.		3,693		220,472
The Gap, Inc.		4,588		118,187
The Home Depot, Inc.		1,639		281,612
The TJX Co., Inc.		5,926		265,128
Thor Industries, Inc.		1,516		78,832
Tiffany & Co.		1,183		95,243
Toll Brothers, Inc.		4,436		146,077
Tractor Supply Co.		2,304		192,246
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		736		180,202
Urban Outfitters, Inc. (a)		3,722		123,570
Weight Watchers International, Inc. (a)		1,696		65,381
Williams-Sonoma, Inc.		2,130		107,459
Yum! Brands, Inc.		3,585		329,534
				13,243,703

See notes to financial statements.

4

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (7.4%):
Altria Group, Inc.		4,200	$	207,438
Archer-Daniels-Midland Co.		7,315		299,696
Brown-Forman Corp., Class B		4,450		211,731
Church & Dwight Co., Inc.		4,739		311,637
Colgate-Palmolive Co.		5,176		308,076
Conagra Brands, Inc.		7,285		155,608
Constellation Brands, Inc., Class A		1,291		207,619
Costco Wholesale Corp.		1,500		305,564
General Mills, Inc.		4,974		193,688
Hormel Foods Corp. (b)		7,453		318,094
Ingredion, Inc.		2,243		205,010
Kellogg Co.		3,632		207,060
Kimberly-Clark Corp.		2,215		252,377
Lamb Weston Holdings, Inc.		4,245		312,262
McCormick & Co., Inc.		2,223		309,531
Molson Coors Brewing Co., Class B		2,713		152,362
Mondelez International, Inc., Class A		6,943		277,928
Monster Beverage Corp. (a)		2,878		141,655
National Beverage Corp. (b)		1,507		108,157
Nu Skin Enterprises, Inc., Class A		2,537		155,594
Philip Morris International, Inc.		2,423		161,759
Pilgrim's Pride Corp. (a)		9,691		150,307
Post Holdings, Inc. (a)		2,363		210,614
Sysco Corp.		3,830		239,988
The Clorox Co.		1,631		251,402
The Estee Lauder Cos., Inc., Class A		1,703		221,561
The Hershey Co.		2,723		291,851
The J.M. Smucker Co.		2,138		199,882
The Kraft Heinz Co.		3,924		168,889
The Kroger Co.		5,378		147,895
The Procter & Gamble Co.		4,451		409,136
Tyson Foods, Inc., Class A		3,795		202,653
US Foods Holding Corp. (a)		5,612		177,564
Walgreens Boots Alliance, Inc.		3,024		206,630
				7,681,218
Energy (2.9%):
Apache Corp. (b)		3,682		96,653
Centennial Resource Development, Inc. (a) (b)		7,075		77,967
Chevron Corp.		2,303		250,543
Cimarex Energy Co.		1,982		122,190
ConocoPhillips		2,908		181,314
Continental Resources, Inc. (a)		2,610		104,896
Core Laboratories N.V.		1,608		95,933
Diamondback Energy, Inc.		1,192		110,498
EOG Resources, Inc.		1,911		166,658
Exxon Mobil Corp.		3,642		248,348
HollyFrontier Corp.		2,285		116,809
Marathon Petroleum Corp.		2,300		135,723
Newfield Exploration Co. (a)		5,395		79,091

See notes to financial statements.

5

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Occidental Petroleum Corp.		3,168	$	194,452
ONEOK, Inc.		4,745		255,993
PBF Energy, Inc.		3,427		111,960
Peabody Energy Corp.		4,933		150,358
Phillips 66		2,349		202,366
The Williams Cos., Inc.		8,641		190,534
Valero Energy Corp.		1,971		147,766
				3,040,052
Financials (20.6%):
Affiliated Managers Group, Inc.		1,611		156,976
Aflac, Inc.		8,477		386,213
Ally Financial, Inc.		9,917		224,719
American Financial Group, Inc.		3,299		298,658
Ameriprise Financial, Inc.		1,625		169,601
Arthur J. Gallagher & Co.		5,094		375,428
Associated Banc-Corp.		9,048		179,060
Athene Holding Ltd., Class A (a)		4,928		196,282
Bank of America Corp.		7,895		194,533
Bank Ozk		5,449		124,401
BB&T Corp.		5,136		222,492
BlackRock, Inc., Class A		511		200,731
BOK Financial Corp.		2,774		203,417
Brown & Brown, Inc.		12,543		345,685
CBOE Holdings, Inc.		2,446		239,292
Citizens Financial Group, Inc.		5,838		173,564
CME Group, Inc.		1,692		318,298
CNA Financial Corp.		6,627		292,582
Comerica, Inc.		2,636		181,067
Commerce Bank, Inc. (b)		4,517		254,623
Credit Acceptance Corp. (a)		447		170,647
Cullen/Frost Bankers, Inc. (b)		2,404		211,408
Discover Financial Services		3,378		199,234
E*TRADE Financial Corp.		3,790		166,305
East West Bancorp, Inc.		3,921		170,681
Eaton Vance Corp.		5,716		201,089
Erie Indemnity Co., Class A		2,658		354,338
FactSet Research Systems, Inc. (b)		1,265		253,164
Fifth Third BanCorp		7,157		168,404
First American Financial Corp.		5,341		238,422
First Citizens BancShares, Inc., Class A		525		197,951
First Republic Bank		3,053		265,306
FNF Group		7,227		227,217
Green Dot Corp. (a)		1,990		158,245
Hanover Insurance Group, Inc.		2,500		291,925
Huntington Bancshares, Inc.		16,765		199,839
IBERIABANK Corp.		3,145		202,161
Intercontinental Exchange, Inc.		4,105		309,230
Invesco Ltd.		8,888		148,785
JPMorgan Chase & Co.		2,347		229,114
Kemper Corp.		2,342		155,462

See notes to financial statements.

6

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
KeyCorp		11,020	$	162,876
Lincoln National Corp.		3,538		181,535
Loews Corp.		7,027		319,869
LPL Financial Holdings, Inc.		3,174		193,868
M&T Bank Corp.		1,658		237,310
MarketAxess Holdings, Inc.		1,538		324,994
Marsh & McLennan Co., Inc.		4,546		362,544
MGIC Investment Corp. (a)		11,175		116,891
Moody's Corp.		1,718		240,589
Morgan Stanley		4,595		182,192
Morningstar, Inc.		2,255		247,689
MSCI, Inc.		1,680		247,682
Nasdaq, Inc.		3,461		282,314
New York Community Bancorp, Inc.		21,813		205,260
Northern Trust Corp.		2,408		201,285
Old Republic International Corp.		15,739		323,751
Onemain Holdings, Inc. (a)		5,976		145,157
PacWest Bancorp		5,658		188,298
People's United Financial, Inc.		18,512		267,127
Pinnacle Financial Partners, Inc. (b)		3,850		177,485
Primerica, Inc.		2,133		208,415
Principal Financial Group, Inc.		4,440		196,115
Prosperity Bancshares, Inc.		3,596		224,031
Prudential Financial, Inc.		2,476		201,918
Raymond James Financial, Inc.		2,448		182,156
Regions Financial Corp.		12,149		162,554
Reinsurance Group of America, Inc.		2,006		281,301
S&P Global, Inc.		1,667		283,290
Santander Consumer USA Holdings, Inc.		7,881		138,627
SEI Investments Co.		3,958		182,860
Signature Bank		1,948		200,274
SLM Corp. (a)		22,173		184,258
State Street Corp.		2,508		158,180
SunTrust Banks, Inc.		3,607		181,937
SVB Financial Group (a)		468		88,883
Synchrony Financial		6,368		149,393
Synovus Financial Corp.		4,958		158,606
T. Rowe Price Group, Inc.		2,174		200,704
TD Ameritrade Holding Corp.		3,592		175,864
Texas Capital Bancshares, Inc. (a)		2,568		131,199
The Allstate Corp.		3,621		299,203
The Bank of New York Mellon Corp.		4,730		222,641
The Charles Schwab Corp.		4,235		175,880
The PNC Financial Services Group, Inc.		1,869		218,505
The Progressive Corp.		4,988		300,926
The Travelers Co., Inc.		2,488		297,938
Torchmark Corp.		3,628		270,395
U.S. Bancorp		5,932		271,091
Umpqua Holdings Corp.		11,445		181,976
Unum Group		4,387		128,890

See notes to financial statements.

7

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
W.R. Berkley Corp.		4,995	$	369,180
Webster Financial Corp.		3,622		178,528
Wells Fargo & Co.		4,618		212,797
Western Alliance BanCorp (a)		4,561		180,114
Wintrust Financial Corp.		2,848		189,364
Zions BanCorp		4,710		191,885
				21,245,143
Health Care (9.0%):
AbbVie, Inc.		1,793		165,297
ABIOMED, Inc. (a)		374		121,565
Align Technology, Inc. (a)		403		84,400
Anthem, Inc.		1,036		272,085
athenahealth, Inc. (a)		1,015		133,909
BIO-RAD Laboratories, Inc., Class A (a)		725		168,360
Bio-Techne Corp.		1,264		182,926
Centene Corp. (a)		1,767		203,735
Cerner Corp. (a)		3,546		185,953
Chemed Corp.		969		274,498
Cigna Corp.		1,211		229,993
Danaher Corp.		3,039		313,382
Encompass Health Corp.		3,137		193,553
Exelixis, Inc. (a)		5,932		116,682
Globus Medical, Inc., Class A (a)		4,244		183,680
HCA Holdings, Inc.		1,917		238,571
HealthEquity, Inc. (a) (b)		1,725		102,896
Henry Schein, Inc. (a)		2,821		221,505
Hill-Rom Holdings, Inc.		2,957		261,842
Humana, Inc.		1,007		288,484
ICU Medical, Inc. (a)		672		154,311
IDEXX Laboratories, Inc. (a)		816		151,792
Illumina, Inc. (a)		507		152,065
Integra LifeSciences Holdings Corp. (a) (b)		3,999		180,355
IQVIA Holdings, Inc. (a)		1,988		230,946
Jazz Pharmaceuticals PLC (a)		1,437		178,131
Laboratory Corp. of America Holdings (a)		1,821		230,102
Masimo Corp. (a)		1,842		197,776
Medidata Solutions, Inc. (a) (b)		1,951		131,536
Mednax, Inc. (a)		4,402		145,266
Mettler-Toledo International, Inc. (a)		425		240,372
Mylan NV (a)		4,821		132,095
Neogen Corp. (a)		2,723		155,211
Penumbra, Inc. (a) (b)		978		119,512
Perrigo Co. PLC		2,622		101,603
Pfizer, Inc.		9,035		394,378
Quest Diagnostics, Inc.		2,470		205,677
Regeneron Pharmaceuticals, Inc. (a)		484		180,775
ResMed, Inc.		2,777		316,216
Thermo Fisher Scientific, Inc.		1,219		272,799
United Therapeutics Corp. (a) (b)		1,396		152,024
UnitedHealth Group, Inc.		1,121		279,264

See notes to financial statements.

8

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Universal Health Services, Inc., Class B		1,995	$	232,537
Veeva Systems, Inc. (a)		1,622		144,877
WellCare Health Plans, Inc. (a)		779		183,914
Zimmer Biomet Holdings, Inc.		2,062		213,871
Zoetis, Inc.		2,886		246,868
				9,267,589
Industrials (18.9%):
3M Co.		1,230		234,364
A.O. Smith Corp.		4,386		187,282
Acuity Brands, Inc.		1,064		122,307
AGCO Corp.		3,477		193,565
Air Lease Corp.		6,122		184,946
Alaska Air Group, Inc.		2,492		151,638
Allegion PLC		3,226		257,145
Allison Transmission Holdings, Inc.		3,992		175,289
AMERCO, Inc.		602		197,522
American Airlines Group, Inc.		4,157		133,481
AMETEK, Inc.		3,811		258,004
ASGN, Inc. (a)		2,296		125,132
C.H. Robinson Worldwide, Inc.		2,477		208,291
Carlisle Cos., Inc.		1,889		189,882
Cintas Corp.		1,402		235,522
Copart, Inc. (a)		4,191		200,246
Costar Group, Inc. (a)		597		201,392
CSX Corp.		3,242		201,425
Curtiss-Wright Corp.		1,724		176,055
Delta Air Lines, Inc.		4,093		204,242
Dover Corp.		2,834		201,072
Eaton Corp. PLC, ADR		3,296		226,303
EMCOR Group, Inc.		3,104		185,278
Emerson Electric Co.		3,277		195,801
Equifax, Inc.		1,896		176,574
Expeditors International of Washington, Inc.		3,232		220,067
Fastenal Co.		3,522		184,165
FedEx Corp.		1,012		163,266
Fortive Corp.		3,062		207,175
Fortune Brands Home & Security, Inc.		4,522		171,791
Gardner Denver Holdings, Inc. (a)		6,217		127,138
General Dynamics Corp.		1,513		237,859
Genesee & Wyoming, Inc., Class A (a)		3,033		224,503
Graco, Inc.		6,184		258,799
Harris Corp.		1,505		202,648
HEICO Corp.		2,422		187,657
Hexcel Corp.		4,541		260,380
Hubbell, Inc.		1,908		189,541
Huntington Ingalls Industries, Inc.		876		166,712
IDEX Corp.		1,786		225,499
Ingersoll-Rand PLC		2,417		220,503
Insperity, Inc.		1,412		131,824
J.B. Hunt Transport Services, Inc.		2,134		198,547

See notes to financial statements.

9

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Jacobs Engineering Group, Inc.		2,885	$	168,657
Johnson Controls International PLC		6,035		178,938
Kansas City Southern		2,182		208,272
KAR Auction Services, Inc.		5,370		256,256
Kirby Corp. (a)		2,516		169,478
Knight-Swift Transportation Holdings, Inc.		5,003		125,425
L3 Technologies, Inc.		1,339		232,531
Landstar System, Inc.		2,097		200,620
Lennox International, Inc.		1,109		242,716
Lincoln Electric Holdings, Inc.		2,742		216,207
ManpowerGroup, Inc.		1,932		125,194
Masco Corp.		6,339		185,352
MSC Industrial Direct Co., Inc., Class A		3,126		240,452
Nordson Corp.		1,790		213,637
Norfolk Southern Corp.		1,306		195,299
Northrop Grumman Corp.		796		194,940
Old Dominion Freight Line, Inc.		1,301		160,660
Oshkosh Corp.		2,821		172,956
PACCAR, Inc.		3,368		192,448
Parker-Hannifin Corp.		1,278		190,601
Quanta Services, Inc.		7,803		234,870
Raytheon Co.		1,396		214,077
Republic Services, Inc., Class A		5,059		364,704
Robert Half International, Inc.		3,086		176,519
Rollins, Inc.		7,860		283,746
Roper Technologies, Inc.		928		247,331
Schneider National, Inc.		7,271		135,750
Sensata Technologies Holding PLC, ADR (a)		4,626		207,430
Snap-on, Inc. (b)		1,277		185,535
Southwest Airlines Co.		3,584		166,584
Spirit Aerosystems Holdings, Inc., Class A		2,717		195,869
Stanley Black & Decker, Inc.		1,582		189,429
Stericycle, Inc. (a)		3,357		123,168
Teledyne Technologies, Inc. (a)		1,087		225,085
The Boeing Co.		611		197,048
The Middleby Corp. (a) (b)		1,257		129,132
Toro Co.		4,327		241,792
TransDigm Group, Inc. (a)		871		296,191
TransUnion		3,461		196,585
Trex Co., Inc. (a)		1,540		91,414
Trinity Industries, Inc.		10,279		211,645
Union Pacific Corp.		1,831		253,100
United Continental Holdings, Inc. (a)		2,337		195,677
United Parcel Service, Inc., Class B		2,181		212,713
United Rentals, Inc. (a)		1,085		111,245
United Technologies Corp.		2,487		264,815
Verisk Analytics, Inc., Class A (a)		2,767		301,714
W.W. Grainger, Inc.		545		153,886
WABCO Holdings, Inc. (a) (b)		2,062		221,335
Wabtec Corp. (b)		2,613		183,563

See notes to financial statements.

10

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Waste Management, Inc.		3,657	$	325,436
Watsco, Inc.		1,299		180,743
Woodward, Inc.		3,530		262,243
XPO Logistics, Inc. (a)		1,670		95,257
Xylem, Inc.		2,905		193,822
				19,540,924
Information Technology (11.1%):
Accenture PLC, Class A		1,466		206,721
Adobe Systems, Inc. (a)		795		179,861
Advanced Micro Devices, Inc. (a)		4,535		83,716
Akamai Technologies, Inc. (a)		2,719		166,077
Alliance Data Systems Corp.		937		140,625
Analog Devices, Inc.		2,500		214,574
ANSYS, Inc. (a)		1,505		215,125
Apple, Inc.		1,116		176,038
Applied Materials, Inc.		3,539		115,867
Arrow Electronics, Inc. (a)		3,274		225,742
Aspen Technology, Inc. (a)		2,156		177,180
Automatic Data Processing, Inc.		2,071		271,550
Black Knight, Inc. (a)		6,946		312,987
Blackbaud, Inc.		1,839		115,673
Booz Allen Hamilton Holdings Corp.		6,119		275,783
Broadcom, Inc.		766		194,778
Broadridge Financial Solutions, Inc.		1,731		166,609
CACI International, Inc., Class A (a)		1,233		177,589
CDK Global, Inc.		5,637		269,900
CDW Corp. of Delaware		3,059		247,932
Coherent, Inc. (a)		683		72,200
CommScope Holding Co., Inc. (a)		4,017		65,839
DXC Technology Co.		2,824		150,152
F5 Networks, Inc. (a)		1,444		233,971
Fair Isaac Corp. (a)		1,154		215,798
Fidelity National Information Services, Inc.		3,231		331,338
First Data Corp., Class A (a)		6,440		108,900
Fiserv, Inc. (a)		4,698		345,255
FleetCor Technologies, Inc. (a)		1,220		226,578
Genpact Ltd.		9,742		262,937
Global Payments, Inc.		2,124		219,048
Hewlett Packard Enterprises Co.		12,516		165,336
HP, Inc.		10,109		206,830
IPG Photonics Corp. (a) (b)		620		70,240
Jabil Circuit, Inc.		7,274		180,322
Jack Henry & Associates, Inc.		1,936		244,943
Leidos Holdings, Inc.		3,905		205,872
LogMeIn, Inc.		1,464		119,418
Marvell Technology Group Ltd., ADR		8,077		130,767
Mastercard, Inc., Class A		1,232		232,417
Micron Technology, Inc. (a)		2,292		72,725
MKS Instruments, Inc.		1,529		98,789
Monolithic Power Systems, Inc.		1,401		162,866

See notes to financial statements.

11

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Nvidia Corp.		588	$	78,498
ON Semiconductor Corp. (a)		8,029		132,559
Paychex, Inc.		4,618		300,863
Paycom Software, Inc. (a) (b)		821		100,531
PayPal Holdings, Inc. (a)		2,340		196,771
PTC, Inc. (a)		2,360		195,644
Sabre Corp.		7,783		168,424
Salesforce.com, Inc. (a)		1,528		209,290
Seagate Technology PLC		3,140		121,173
Skyworks Solutions, Inc.		2,286		153,208
Texas Instruments, Inc.		2,005		189,473
The Trade Desk, Inc., Class A (a) (b)		448		51,995
Total System Services, Inc.		3,010		244,683
Tyler Technologies, Inc. (a)		1,251		232,461
Universal Display Corp. (b)		897		83,932
VeriSign, Inc. (a)		1,859		275,671
Visa, Inc., Class A		2,057		271,401
WEX, Inc. (a)		1,354		189,641
Xilinx, Inc.		2,506		213,436
				11,466,522
Materials (5.6%):
Air Products & Chemicals, Inc.		1,979		316,740
AptarGroup, Inc.		3,085		290,206
Ball Corp.		7,695		353,817
Berry Global Group, Inc. (a)		5,761		273,820
Celanese Corp., Series A		2,115		190,287
Eastman Chemical Co.		2,794		204,269
Ecolab, Inc.		2,372		349,515
FMC Corp.		2,690		198,952
Freeport-McMoRan, Inc.		9,326		96,151
Huntsman Corp.		6,315		121,816
International Paper Co.		4,619		186,423
Lyondellbasell Industries NV, Class A		2,052		170,644
Martin Marietta Materials, Inc.		1,240		213,119
NewMarket Corp.		660		271,979
Nucor Corp.		3,383		175,273
Olin Corp.		6,748		135,702
Packaging Corp. of America		2,240		186,950
PPG Industries, Inc.		2,478		253,326
Reliance Steel & Aluminum Co.		2,443		173,868
RPM International, Inc.		3,611		212,255
Sonoco Products Co.		6,048		321,330
Steel Dynamics, Inc.		4,051		121,692
The Chemours Co.		4,161		117,423
The Sherwin-Williams Co.		591		232,535
U.S. Steel Corp.		3,923		71,556
Vulcan Materials Co.		2,120		209,456

See notes to financial statements.

12

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Westlake Chemical Corp.		2,025	$	133,994
WestRock Co.		4,787		180,757
				5,763,855
Real Estate (0.4%):
CBRE Group, Inc., Class A (a)		6,239		249,810
Jones Lang LaSalle, Inc.		1,557		197,116
				446,926
Utilities (7.4%):
Alliant Energy Corp.		8,522		360,055
American Electric Power Co., Inc.		5,027		375,718
Aqua America, Inc.		8,884		303,744
Atmos Energy Corp.		4,289		397,676
Consolidated Edison, Inc.		4,674		357,374
Dominion Resources, Inc.		4,706		336,291
DTE Energy Co.		3,485		384,396
Duke Energy Corp.		4,605		397,412
Eversource Energy		6,037		392,646
Exelon Corp.		9,148		412,575
IDACORP, Inc.		3,457		321,708
MDU Resources Group, Inc.		12,462		297,094
National Fuel Gas Co. (b)		6,411		328,115
NextEra Energy, Inc.		2,394		416,124
OGE Energy Corp.		9,880		387,197
Pinnacle West Capital Corp.		4,663		397,288
PPL Corp.		9,791		277,379
Public Service Enterprise Group, Inc.		6,861		357,115
UGI Corp.		7,673		409,355
WEC Energy Group, Inc.		5,543		383,908
Xcel Energy, Inc.		7,329		361,100
				7,654,270
Total Common Stocks (Cost $91,484,282)				102,593,484
Collateral for Securities Loaned^ (3.4%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (c)		666,821		666,820
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (c)		963,524		963,524
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (c)		29,754		29,754
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (c)		370,460		370,460
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (c)		592,699		592,699
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (c)		889,104		889,104
Total Collateral for Securities Loaned (Cost $3,512,361)				3,512,361
Total Investments (Cost $94,996,643) — 102.6%				106,105,845
Liabilities in excess of other assets — (2.6)%				(2,718,751	)
NET ASSETS — 100.00%			$	103,387,094

See notes to financial statements.

13

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December 31, 2018

  (Unaudited)

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security is on loan.

(c)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		9	3/15/19	$	1,132,674	$	1,127,340	$	(5,334	)
			Total unrealized appreciation					$	—
			Total unrealized depreciation						(5,334	)
			Total net unrealized appreciation(depreciation)					$	(5,334	)

See notes to financial statements.

14

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Common Stocks (76.7%)
Australia (1.9%):
Communication Services (0.1%):
Telstra Corp. Ltd.		34,561	$	69,344
Consumer Staples (0.2%):
Wesfarmers Ltd.		4,903		111,366
Financials (0.9%):
Australia & New Zealand Banking Group Ltd.		6,251		107,986
Commonwealth Bank of Australia		2,384		121,577
National Australia Bank Ltd.		7,410		125,716
Westpac Banking Corp.		6,105		107,852
				463,131
Materials (0.5%):
BHP Group PLC		3,223		68,095
RIO Tinto Ltd.		1,767		97,776
South32 Ltd.		24,169		57,481
				223,352
Utilities (0.2%):
AGL Energy Ltd. (b)		6,269		91,020
				958,213
Bermuda (0.4%):
Financials (0.4%):
Invesco Ltd.		3,494		58,489
James River Group Holdings Ltd.		3,514		128,402
				186,891
Brazil (1.9%):
Consumer Discretionary (0.1%):
Kroton Educacional S.A.		20,700		47,295
Financials (0.5%):
Banco do Brasil SA		9,700		116,136
BB Seguridade Participacoes SA		18,100		128,875
				245,011
Health Care (0.3%):
Fleury SA		13,600		69,220
Hypermarcas S.A.		14,100		109,812
				179,032
Industrials (0.2%):
CCR SA		35,900		103,554
Information Technology (0.1%):
Cielo SA		19,700		45,158

See notes to financial statements.

15

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Utilities (0.7%):
Cia de Saneamento Basico do Estado de Sao Paulo		14,100	$	114,433
EDP — Energias do Brasil SA		22,300		84,744
Engie Brasil Energia SA		17,303		147,190
				346,367
				966,417
Canada (2.3%):
Communication Services (0.8%):
BCE, Inc.		5,014		198,099
TELUS Corp. (b)		6,048		200,492
				398,591
Energy (0.5%):
Enbridge, Inc.		2,288		71,087
Pembina Pipeline Corp. (b)		3,261		96,779
TransCanada Corp.		2,486		88,786
				256,652
Financials (0.3%):
Power Financial Corp.		7,709		145,878
Utilities (0.7%):
Fortis, Inc.		5,813		193,809
Hydro One Ltd. (c)		11,918		176,806
				370,615
				1,171,736
Chile (0.6%):
Utilities (0.6%):
Aguas Andinas SA		359,289		197,826
Colbun SA		590,023		119,163
				316,989
China (3.0%):
Consumer Discretionary (0.2%):
Chongqing Changan Automobile Co. Ltd.		112,700		50,367
Guangzhou Automobile Group Co. Ltd. (b)		62,000		61,816
				112,183
Energy (0.4%):
China Petroleum & Chemical Corp., Class H		96,000		68,434
China Shenhua Energy Co. Ltd.		35,000		76,338
Yanzhou Coal Mining Co. Ltd.		44,000		35,538
				180,310
Financials (1.8%):
Agricultural Bank of China Ltd.		225,000		98,555
Bank of China Ltd.		341,000		147,015
Bank of Communications Co. Ltd., Class H		197,000		153,834
China Cinda Asset Management Co.		406,000		98,410
China CITIC Bank Corp. Ltd.		171,000		103,750

See notes to financial statements.

16

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
China Everbright Bank Co. Ltd.		299,000	$	129,577
China Huarong Asset Management Co. Ltd., Class H (c)		364,000		66,447
Chongqing Rural Commercial Bank Co. Ltd.		177,000		94,862
				892,450
Industrials (0.3%):
Jiangsu Expressway Co. Ltd.		72,000		100,505
Weichai Power Co. Ltd.		50,000		57,247
				157,752
Materials (0.1%):
Sinopec Shanghai Petrochemical Co. Ltd.		164,000		71,794
Real Estate (0.2%):
Cifi Holdings Group Co. Ltd.		100,000		53,010
Guangzhou R&f Properties Co. Ltd., Class H		34,000		51,453
				104,463
				1,518,952
Czech Republic (0.4%):
Financials (0.4%):
Komercni Banka AS		5,258		198,638
Denmark (0.1%):
Financials (0.1%):
Danske Bank A/S		3,063		60,820
Egypt (0.3%):
Consumer Staples (0.2%):
Eastern Tobacco		77,925		70,872
Industrials (0.1%):
Elsewedy Electric Co.		66,323		66,720
				137,592
Finland (0.6%):
Financials (0.4%):
Nordea Bank AB		9,052		76,243
Sampo Oyj, Class A		2,642		117,077
				193,320
Utilities (0.2%):
Fortum Oyj		3,902		85,400
				278,720
France (2.4%):
Communication Services (0.2%):
Orange SA		7,999		129,612
Consumer Discretionary (0.1%):
Renault SA		981		61,101
Energy (0.2%):
Total SA		1,812		95,561

See notes to financial statements.

17

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Financials (0.8%):
AXA SA		3,742	$	80,748
BNP Paribas SA		1,847		83,401
Credit Agricole SA		9,087		97,785
Natixis SA		12,860		60,646
Societe Generale SA		2,828		89,648
				412,228
Health Care (0.3%):
Sanofi		1,560		135,311
Industrials (0.2%):
Bouygues		2,540		91,196
Utilities (0.6%):
GDF Suez		7,278		104,556
Suez Environnement Co.		5,663		74,926
Veolia Environnement SA		5,331		109,160
				288,642
				1,213,651
Germany (0.8%):
Communication Services (0.3%):
Deutsche Telekom AG, Registered Shares		7,728		131,333
Consumer Discretionary (0.3%):
Bayerische Motoren Werke AG		1,071		86,852
Daimler AG, Registered Shares		1,406		74,107
				160,959
Materials (0.2%):
BASF SE		1,148		79,951
				372,243
Hong Kong (1.2%):
Consumer Staples (0.1%):
WH Group Ltd. (c)		67,500		51,847
Industrials (0.2%):
China Merchants Holdings International (b)		62,000		111,484
Real Estate (0.1%):
Agile Group Holdings Ltd.		36,000		42,472
Utilities (0.8%):
China Resources Power Holdings Co. Ltd.		56,000		107,719
CK Infrastructure Holdings Ltd.		21,000		158,932
Power Assets Holdings Ltd. (b)		18,000		125,061
				391,712
				597,515
India (0.2%):
Communication Services (0.2%):
Bharti Infratel Ltd.		29,886		110,862

See notes to financial statements.

18

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Indonesia (0.6%):
Communication Services (0.2%):
PT Telekomunikasi Indonesia Persero TBK		349,100	$	91,298
Energy (0.3%):
PT Adaro Energy TBK		459,200		38,862
PT Indo Tambangraya Megah TBK		28,100		39,643
Tambang Batubara Bukit Asam TBK PT		238,600		71,504
				150,009
Materials (0.1%):
PT Indocement Tunggal Prakarsa TBK		43,800		56,271
				297,578
Ireland (0.4%):
Communication Services (0.1%):
WPP PLC		3,951		42,992
Industrials (0.2%):
Eaton Corp. PLC, ADR		1,296		88,984
Information Technology (0.1%):
Seagate Technology PLC		1,236		47,697
				179,673
Italy (1.3%):
Energy (0.4%):
Eni SpA		5,665		89,479
Snam SpA		23,922		104,725
				194,204
Financials (0.3%):
Assicurazioni Generali SpA		6,544		109,361
Intesa Sanpaolo SpA		29,240		65,098
				174,459
Industrials (0.1%):
Atlantia SpA		2,384		49,330
Utilities (0.5%):
Enel SpA		20,669		119,807
Terna Rete Elettrica Nazionale SpA		18,824		106,890
				226,697
				644,690
Japan (1.2%):
Consumer Discretionary (0.8%):
Bridgestone Corp.		2,900		111,276
Fuji Heavy Industries Ltd.		3,800		81,192
Nissan Motor Co. Ltd.		13,900		111,206
Sekisui House Ltd.		6,500		95,466
				399,140

See notes to financial statements.

19

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Consumer Staples (0.2%):
Japan Tobacco, Inc.		3,700	$	87,928
Information Technology (0.2%):
Canon, Inc.		4,400		121,086
				608,154
Korea, Republic Of (0.5%):
Consumer Staples (0.2%):
KT&G Corp.		1,170		106,534
Energy (0.3%):
SK Innovation Co. Ltd.		434		69,670
S-Oil Corp.		699		60,976
				130,646
				237,180
Macau (0.1%):
Consumer Discretionary (0.1%):
Sands China Ltd.		14,400		62,802
Malaysia (1.5%):
Communication Services (0.4%):
Astro Malaysia Holdings BHD		116,200		36,615
DiGi.Com Berhad		91,100		99,052
Telekom Malaysia Berhad		80,500		51,941
				187,608
Consumer Staples (0.1%):
British American Tobacco Malaysia BHD		6,700		58,465
Financials (0.5%):
CIMB Group Holdings Berhad		73,000		100,859
Malayan Banking Berhad		62,800		144,349
				245,208
Industrials (0.4%):
MISC BHD		63,200		102,458
Sime Darby BHD		170,200		98,898
				201,356
Utilities (0.1%):
YTL Power International BHD		285,300		57,331
				749,968
Mexico (0.3%):
Consumer Staples (0.2%):
Kimberly-Clark de Mexico SAB de CV, Series A		62,447		99,068
Materials (0.1%):
Grupo Mexico SAB de CV, Series B		30,329		62,425
				161,493

See notes to financial statements.

20

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Netherlands (0.9%):
Communication Services (0.3%):
Koninklijke KPN NV		41,214	$	120,370
Financials (0.3%):
ABN AMRO Group NV (c)		3,351		78,844
ING Groep NV		7,941		85,407
				164,251
Industrials (0.2%):
Randstad Holding NV		1,605		73,579
Materials (0.1%):
Lyondellbasell Industries NV, Class A		807		67,110
				425,310
Norway (0.4%):
Communication Services (0.2%):
Telenor ASA		5,495		106,787
Consumer Staples (0.2%):
Marine Harvest ASA		4,415		93,121
				199,908
Philippines (0.2%):
Communication Services (0.2%):
Globe Telecom, Inc.		1,905		68,680
Poland (0.2%):
Financials (0.2%):
Bank Pekao SA		3,455		100,794
Portugal (0.1%):
Consumer Staples (0.1%):
Jeronimo Martins SGPS SA		5,177		61,342
Russian Federation (1.9%):
Communication Services (0.5%):
Mobile TeleSystems PJSC		34,060		116,709
Rostelecom PJSC		143,550		151,028
				267,737
Consumer Staples (0.3%):
Magnit PJSC, GDR		4,982		63,421
X5 Retail Group NV, Registered Shares, GDR		3,019		74,902
				138,323
Energy (0.3%):
Tatneft PAO		11,330		119,670
Materials (0.6%):
ALROSA AO		65,710		92,819
Evraz PLC		6,650		40,715

See notes to financial statements.

21

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
MMC Norilsk Nickel PJSC		501	$	94,168
Severstal PJSC		6,660		90,299
				318,001
Utilities (0.2%):
Federal Grid Co. Unified Energy System PJSC		47,860,000		102,048
				945,779
Singapore (0.2%):
Communication Services (0.2%):
Singapore Telecommunications Ltd.		46,900		100,966
South Africa (1.8%):
Communication Services (0.5%):
Telkom SA SOC Ltd.		30,876		136,309
Vodacom Group Ltd.		10,265		94,650
				230,959
Consumer Discretionary (0.3%):
The Foschini Group Ltd.		6,790		78,611
Truworths International Ltd.		14,060		86,198
				164,809
Financials (0.8%):
Absa Group Ltd.		8,521		95,880
Investec Ltd.		17,931		98,207
Nedbank Group Ltd.		5,412		103,482
Standard Bank Group Ltd.		7,359		91,664
				389,233
Materials (0.2%):
African Rainbow Minerals Ltd.		6,700		66,433
Assore Ltd.		2,730		55,325
				121,758
				906,759
Spain (1.2%):
Communication Services (0.2%):
Telefonica SA		15,738		132,455
Energy (0.2%):
Repsol SA		5,404		86,869
Utilities (0.8%):
Endesa SA		5,829		134,402
Iberdrola SA		16,397		131,648
Red Electrica Corp. SA		5,854		130,528
				396,578
				615,902

See notes to financial statements.

22

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Sweden (0.9%):
Communication Services (0.2%):
TeliaSonera AB		21,608	$	102,843
Consumer Discretionary (0.2%):
Hennes & Mauritz AB, B Shares (b)		4,968		70,689
Financials (0.4%):
Skandinaviska Enskilda Banken AB, Class A		9,284		90,298
Swedbank AB, A Shares		4,939		110,453
				200,751
Industrials (0.1%):
Atlas Copco AB, A Shares		2,797		66,768
				441,051
Switzerland (0.9%):
Communication Services (0.3%):
Swisscom AG		271		129,584
Consumer Discretionary (0.2%):
Garmin Ltd.		1,865		118,092
Financials (0.3%):
Zurich Insurance Group AG		424		126,441
Industrials (0.1%):
Adecco SA, Registered Shares		1,511		71,050
				445,167
Taiwan (3.6%):
Consumer Discretionary (0.4%):
Pou Chen Corp.		123,000		130,298
Ruentex Industries Ltd.		34,200		87,459
				217,757
Consumer Staples (0.4%):
President Chain Store Corp.		9,000		90,678
Uni-President Enterprises Corp.		47,000		106,630
				197,308
Financials (0.4%):
Mega Financial Holding Co. Ltd.		231,000		195,022
Information Technology (1.9%):
Asustek Computer, Inc.		17,000		111,419
AU Optronics Corp.		241,000		95,765
Compal Electronics, Inc.		300,000		170,148
Inventec Corp.		188,000		134,523
Pegatron Corp.		60,000		100,451
Quanta Computer, Inc.		81,000		138,638
Winbond Electronics Corp.		134,000		59,047
WPG Holdings Ltd.		109,000		130,793
				940,784

See notes to financial statements.

23

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Materials (0.5%):
Formosa Chemicals & Fibre		33,000	$	112,898
Nan Ya Plastics Corp.		59,000		145,106
				258,004
				1,808,875
Thailand (1.7%):
Communication Services (0.3%):
Intouch Holdings Public Co. Ltd.		113,700		166,759
Energy (0.4%):
Esso Thailand PCL		133,000		41,657
IRPC Public Co. Ltd.		489,400		86,456
Thai Oil PCL		32,200		65,447
				193,560
Materials (0.4%):
PTT Global Chemical Public Co. Ltd.		35,100		76,913
The Siam Cement Public Co. Ltd.		11,000		147,372
				224,285
Utilities (0.6%):
Ratchaburi Electricity Generating Holdings Public Co. Ltd.		180,400		281,339
				865,943
Turkey (0.6%):
Communication Services (0.2%):
Turkcell Iletisim Hizmetleri AS		45,875		105,396
Consumer Discretionary (0.1%):
Tofas Turk Otomobil Fabrikasi AS		23,930		76,530
Energy (0.2%):
Tupras Turkiye Petrol Rafinerileri AS		3,860		85,194
Materials (0.1%):
Eregli Demir ve Celik Fabrikalari TAS		36,983		50,376
				317,496
United Kingdom (2.9%):
Communication Services (0.3%):
BT Group PLC		29,418		89,435
Vodafone Group PLC		46,971		91,311
				180,746
Consumer Discretionary (0.3%):
Next PLC		1,158		58,953
Persimmon PLC		3,622		89,181
				148,134
Consumer Staples (0.3%):
British American Tobacco PLC		1,715		54,561
Imperial Tobacco Group PLC		2,673		81,118
				135,679

See notes to financial statements.

24

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Energy (0.3%):
BP PLC		12,889	$	81,468
Royal Dutch Shell PLC, Class A		3,093		91,022
				172,490
Financials (0.6%):
Aviva PLC		20,008		95,744
Legal & General Group PLC		37,116		109,341
Standard Life Aberdeen PLC		24,932		81,623
				286,708
Materials (0.5%):
Anglo American PLC		2,745		61,370
Antofagasta PLC		6,346		63,460
Mondi PLC		2,886		60,100
Rio Tinto PLC		1,559		74,653
				259,583
Utilities (0.6%):
Centrica PLC		51,625		89,038
National Grid PLC		10,157		99,354
SSE PLC		7,259		100,228
				288,620
				1,471,960
United States (37.2%):
Communication Services (1.6%):
AT&T, Inc.		3,208		91,556
CenturyLink, Inc.		3,099		46,950
Emerald Expositions Events, Inc.		6,055		74,719
Marcus Corp.		2,879		113,721
Omnicom Group, Inc.		1,504		110,153
Sinclair Broadcast Group, Inc., Class A		2,902		76,439
TEGNA, Inc.		7,783		84,601
Verizon Communications, Inc.		2,170		121,997
Viacom, Inc., Class B		2,780		71,446
				791,582
Consumer Discretionary (5.0%):
Acushnet Holdings Corp.		4,346		91,570
Bed Bath & Beyond, Inc. (b)		4,090		46,299
Big Lots, Inc.		2,117		61,224
Bloomin' Brands, Inc.		6,035		107,966
Bluegreen Vacations Corp.		3,940		50,944
Brinker International, Inc. (b)		2,218		97,548
Chico's FAS, Inc.		7,064		39,700
Ethan Allen Interiors, Inc.		5,632		99,067
Ford Motor Co.		10,607		81,143
Genuine Parts Co.		1,276		122,521
Group 1 Automotive, Inc.		1,043		54,987
Harley-Davidson, Inc.		2,007		68,479

See notes to financial statements.

25

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Haverty Furniture Cos., Inc.		4,570	$	85,825
Jack in the Box, Inc.		1,328		103,093
Kohl's Corp.		788		52,276
L Brands, Inc.		1,930		49,543
Las Vegas Sands Corp.		1,346		70,059
La-Z-Boy, Inc.		2,629		72,850
LCI Industries (b)		840		56,112
Leggett & Platt, Inc.		2,294		82,217
Macy's, Inc.		1,386		41,275
McDonald's Corp.		668		118,617
MDC Holdings, Inc.		3,194		89,783
Newell Brands, Inc. (b)		2,718		50,528
Nutrisystem, Inc.		1,806		79,247
Papa John's International, Inc. (b)		1,639		65,249
Penske Automotive Group, Inc.		1,688		68,060
PetMed Express, Inc. (b)		1,953		45,427
Ruth's Hospitality Group, Inc.		3,008		68,372
Sturm Ruger & Co.		1,639		87,227
Target Corp.		1,073		70,914
Tenneco, Inc.		2,251		61,655
The Buckle, Inc. (b)		2,898		56,047
The Cheesecake Factory, Inc. (b)		1,926		83,800
The Gap, Inc.		1,803		46,445
				2,526,069
Consumer Staples (3.5%):
Altria Group, Inc.		1,652		81,592
Archer-Daniels-Midland Co.		2,876		117,830
B&G Foods, Inc. (b)		2,332		67,418
Colgate-Palmolive Co.		2,034		121,064
General Mills, Inc.		1,956		76,167
Ingles Markets, Inc., Class A		2,269		61,762
Ingredion, Inc.		883		80,706
John B. Sanfilippo & Son, Inc. (b)		1,470		81,820
Kellogg Co.		1,427		81,353
Kimberly-Clark Corp.		871		99,242
Molson Coors Brewing Co., Class B		1,067		59,923
Philip Morris International, Inc.		953		63,622
The Clorox Co.		641		98,804
The Hershey Co.		1,071		114,790
The J.M. Smucker Co.		840		78,531
The Kraft Heinz Co.		1,543		66,411
The Procter & Gamble Co.		1,751		160,952
Universal Corp.		986		53,392
Vector Group Ltd.		10,359		100,793
Walgreens Boots Alliance, Inc.		1,189		81,244
				1,747,416
Energy (1.5%):
Arch Coal, Inc.		905		75,106
Chevron Corp.		906		98,564

See notes to financial statements.

26

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Evolution Petroleum Corp.		9,435	$	64,347
Exxon Mobil Corp.		1,431		97,580
Occidental Petroleum Corp.		1,246		76,479
ONEOK, Inc.		1,865		100,617
Phillips 66		923		79,516
RPC, Inc. (b)		5,100		50,337
The Williams Cos., Inc.		3,397		74,904
Valero Energy Corp.		775		58,102
				775,552
Financials (7.7%):
American Financial Group, Inc.		1,277		115,607
Ameriprise Financial, Inc.		640		66,797
BB&T Corp.		2,019		87,463
Capitol Federal Financial, Inc.		17,979		229,592
CNA Financial Corp.		2,605		115,011
Cohen & Steers, Inc. (b)		3,693		126,744
Erie Indemnity Co., Class A		1,046		139,442
Federated Investors, Inc., Class B		4,303		114,245
First American Financial Corp.		2,101		93,789
First Busey Corp.		5,344		131,142
FNF Group		2,843		89,384
Hope Bancorp, Inc.		7,774		92,200
Horace Mann Educators Corp.		3,292		123,285
Huntington Bancshares, Inc.		6,593		78,589
KeyCorp		4,334		64,057
Legg Mason, Inc.		3,795		96,810
New York Community Bancorp, Inc.		8,579		80,728
Northwest Bancshares, Inc.		11,391		192,964
Old Republic International Corp.		6,187		127,267
PacWest Bancorp		2,224		74,015
Park National Corp. (b)		1,441		122,413
People's United Financial, Inc.		7,280		105,050
Principal Financial Group, Inc.		1,746		77,121
ProAssurance Corp.		2,204		89,394
Provident Financial Services, Inc.		6,942		167,510
Prudential Financial, Inc.		973		79,348
Safety Insurance Group, Inc.		1,862		152,330
Sandy Spring BanCorp		4,322		135,451
Southside Bancshares, Inc.		4,597		145,955
Trustmark Corp. (b)		4,526		128,674
Umpqua Holdings Corp.		4,500		71,550
Unum Group		1,725		50,680
Waddell & Reed Financial, Inc., Class A (b)		4,727		85,464
Wells Fargo & Co.		1,816		83,681
Westamerica BanCorp		2,312		128,732
				3,862,484
Health Care (0.8%):
AbbVie, Inc.		705		64,994
Meridian Bioscience, Inc.		9,371		162,680

See notes to financial statements.

27

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Pfizer, Inc.		3,552	$	155,045
				382,719
Industrials (5.6%):
3M Co.		484		92,221
Acco Brands Corp.		9,775		66,275
Aircastle Ltd.		6,111		105,354
Allegiant Travel Co.		583		58,428
Altra Industrial Motion Corp.		3,217		80,908
Applied Industrial Technologies, Inc.		1,562		84,254
Brady Corp., Class A		3,686		160,194
Deluxe Corp.		2,637		101,366
Emerson Electric Co.		1,289		77,018
Fastenal Co.		1,385		72,422
Gorman-Rupp Co.		4,122		133,594
H&E Equipment Services, Inc.		1,988		40,595
Herman Miller, Inc.		2,453		74,203
HNI Corp.		2,352		83,331
Hubbell, Inc.		750		74,505
Johnson Controls International PLC		2,373		70,359
KBR, Inc.		5,199		78,921
Kimball International, Inc., Class B		8,917		126,532
Knoll, Inc.		5,467		90,096
Matson, Inc.		3,463		110,885
Matthews International Corp., Class A (b)		2,596		105,450
McGrath RentCorp		2,366		121,802
Mobile Mini, Inc.		2,191		69,564
MSC Industrial Direct Co., Inc., Class A		1,228		94,458
Mueller Water Products, Inc., Class A		9,357		85,149
National Presto Industries, Inc.		894		104,526
Pitney Bowes, Inc.		12,691		75,004
Steelcase, Inc., Class A		7,301		108,274
The Greenbrier Cos., Inc. (b)		1,708		67,534
United Parcel Service, Inc., Class B		857		83,583
Wabash National Corp.		5,613		73,418
Watsco, Inc.		510		70,961
				2,841,184
Information Technology (2.0%):
Broadcom, Inc.		301		76,538
Cass Information Systems, Inc.		2,229		117,959
CSG Systems International, Inc.		3,743		118,915
InterDigital, Inc.		2,121		140,898
ManTech International Corp., Class A		1,731		90,523
MTS Systems Corp.		2,343		94,025
NIC, Inc.		7,339		91,591
Paychex, Inc.		1,816		118,312
Progress Software Corp.		1,815		64,414
The Hackett Group, Inc. (b)		6,680		106,947
				1,020,122

See notes to financial statements.

28

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Materials (1.8%):
Air Products & Chemicals, Inc.		779	$	124,679
Greif, Inc., Class A		1,781		66,093
International Paper Co.		1,816		73,294
Myers Industries, Inc.		3,274		49,470
Nucor Corp.		1,331		68,959
Olin Corp.		2,652		53,332
Packaging Corp. of America		882		73,612
Rayonier Advanced Materials, Inc.		3,713		39,543
Schnitzer Steel Industries, Inc.		2,851		61,439
Sonoco Products Co.		2,377		126,290
WestRock Co.		1,881		71,026
Worthington Industries, Inc.		2,206		76,857
				884,594
Real Estate (0.4%):
Four Corners Property Trust, Inc.		7,316		191,679
Utilities (7.3%):
Alliant Energy Corp.		3,351		141,580
American Electric Power Co., Inc.		1,976		147,686
American States Water Co.		2,418		162,103
Chesapeake Utilities Corp.		1,781		144,795
Consolidated Edison, Inc.		1,839		140,610
Dominion Resources, Inc.		1,850		132,201
DTE Energy Co.		1,370		151,111
Duke Energy Corp.		1,810		156,203
Eversource Energy		2,374		154,405
Exelon Corp.		3,598		162,270
IDACORP, Inc.		1,359		126,468
MDU Resources Group, Inc.		4,898		116,768
MGE Energy, Inc.		2,734		163,931
Middlesex Water Co.		2,560		136,576
National Fuel Gas Co. (b)		2,521		129,025
NextEra Energy, Inc.		941		163,565
OGE Energy Corp.		3,884		152,214
Otter Tail Corp.		3,707		184,015
Pinnacle West Capital Corp.		1,833		156,172
PPL Corp.		3,850		109,070
Public Service Enterprise Group, Inc.		2,698		140,431
SJW Corp.		1,763		98,058
Unitil Corp.		3,605		182,557
WEC Energy Group, Inc.		2,179		150,918
Xcel Energy, Inc.		2,882		141,997
				3,644,729
				18,668,130
Total Common Stocks (Cost $41,426,355)				38,474,839

See notes to financial statements.

29

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December 31, 2018

  (Unaudited)

Security Description	Shares		Fair Value(a)
Rights (0.0%) (d)
Spain (0.0%): (d)
Energy (0.0%): (d)
Repsol SA Expires 01/10/19 @ $0.41 (e)		4,643	$	2,127
United States (0.0%): (d)
Materials (0.0%): (d)
Schulman, Inc. (e) (f) (g)		1,513		3,026
Total Rights (Cost $5,203)				5,153
Collateral for Securities Loaned^ (2.6%)
United States (2.6%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (h)		250,287		250,287
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (h)		361,652		361,652
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (h)		11,168		11,168
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (h)		139,050		139,050
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (h)		222,466		222,466
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (h)		333,719		333,719
Total Collateral for Securities Loaned (Cost $1,318,342)				1,318,342
Total Investments (Cost $42,749,900) — 79.3%				39,798,334
Other assets in excess of liabilities — 20.7%				10,400,275
NET ASSETS — 100.00%			$	50,198,609

^  Purchased with cash collateral from securities on loan.

(a)  All securities, except those traded on exchanges in the United States (including ADRs), Canada, Mexico were fair valued at December 31, 2018. See Note 2 for further information.

(b)  All or a portion of this security is on loan.

(c)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $373,944 and amounted to 0.7% of net assets.

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

(e)  Non-income producing security.

(f)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(g)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(h)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

GDR — Global Depository Receipt

PCL — Public Company Limited

PLC — Public Limited Company

See notes to financial statements.

30

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December 31, 2018

  (Unaudited)

Written Options

Exchange-traded options

Description	Put/ Call	Strike Price		Expiration Date	Contracts		Fair Value
S&P E-Mini Option	Put	USD	2,470.00	1/18/19		46	$	(94,760	)
Total (Premiums Received $117,143)							$	(94,760	)

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOE Volatility Index (VIX) Futures		60	1/16/19	$	1,257,933	$	1,450,500	$	192,567
NASDAQ 100 E-Mini Futures		92	3/15/19		12,295,386		11,653,180		(642,206	)
								$	(449,639	)

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		170	3/15/19	$	22,199,102	$	21,294,200	$	904,902
Mini MSCI EAFE Index Futures		113	3/15/19		9,845,685		9,695,400		150,285
Mini MSCI Emerging Markets Index Futures		199	3/15/19		9,686,498		9,619,660		66,838
Russell 2000 Mini Index Futures		149	3/15/19		10,448,972		10,050,050		398,922
								$	1,520,947
			Total unrealized appreciation					$	1,713,514
			Total unrealized depreciation						(642,206	)
			Total net unrealized appreciation(depreciation)					$	1,071,308

See notes to financial statements.

31

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2018

  (Unaudited)

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
ASSETS:
Investments, at value (Cost $94,996,643 and $42,749,900)	$	106,105,845	(a)	$	39,798,334	(b)
Foreign currency, at value (Cost $— and $26,809)		—			26,809
Cash and cash equivalents		—			2,933,342
Deposits with brokers for futures contracts		95,956			4,828,201
Interest and dividends receivable		129,619			95,248
Receivable for capital shares issued		6,680			4,371,412
Receivable for investments sold		1,068,605			—
Variation margin receivable on open futures contracts		8,640			—
Reclaims receivable		—			28,419
Receivable from Adviser		47,566			13,695
Prepaid expenses		11,975			2,963
Total Assets		107,474,886			52,098,423
LIABILITIES:
Payables:
Written options, at value (Premiums Received $— and $117,143)		—			94,760
Collateral received on loaned securities		3,512,361			1,318,342
Custodian		39,721			—
Investments purchased		—			229,988
Capital shares redeemed		389,048			—
Variation margin on open futures contracts		—			188,640
Accrued foreign capital gains tax		—			286
Accrued expenses and other payables:
Investment advisory fees		65,605			21,898
Administration fees		5,749			2,240
Custodian fees		2,223			18,742
Transfer agent fees		20,504			3,158
Chief Compliance Officer fees		129			51
Trustees' fees		27			76
12b-1 fees		19,250			2,777
Other accrued expenses		33,175			18,856
Total Liabilities		4,087,792			1,899,814
NET ASSETS:
Capital		93,007,687			52,270,392
Total distributable earnings/(loss)		10,379,407			(2,071,783	)
Net Assets	$	103,387,094		$	50,198,609
Net Assets
Class A Shares	$	38,427,497		$	27,805,122
Class C Shares		34,307,300			409,980
Class I Shares		30,652,297			21,983,507
Total	$	103,387,094		$	50,198,609
Shares (unlimited number of shares authorized with no par value):
Class A Shares		2,991,771			2,893,812
Class C Shares		2,738,622			43,012
Class I Shares		2,386,152			2,277,967
Total		8,116,545			5,214,791
Net asset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	12.84		$	9.61
Class C Shares (c)		12.53			9.53
Class I Shares		12.85			9.65
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	13.62		$	10.20

(a)  Includes $3,462,829 of securities on loan.

(b)  Includes $1,539,366 of securities on loan.

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

See notes to financial statements.

32

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Investment Income:
Dividends	$	1,105,255		$	830,369
Interest		1,579			57,100
Securities lending (net of fees)		7,570			7,059
Foreign tax withholding		(66	)		(69,183	)
Total Income		1,114,338			825,345
Expenses:
Investment advisory fees		442,175			132,226
Administration fees		38,432			13,414
12b-1 fees — Class A Shares		58,884			2,832
12b-1 fees — Class C Shares		204,930			1,851
Custodian fees		3,059			31,425
Transfer agent fees — Class A Shares		21,054			685
Transfer agent fees — Class C Shares		22,300			251
Transfer agent fees — Class I Shares		14,941			4,612
Trustees' fees		5,300			1,875
Chief Compliance Officer fees		531			184
Legal and audit fees		13,294			9,773
State registration and filing fees		28,296			22,543
Interest expense on interfund lending		31			—
Other expenses		27,365			13,498
Total Expenses		880,592			235,169
Expenses waived/reimbursed by Adviser		(147,637	)		(102,496	)
Net Expenses		732,955			132,673
Net Investment Income (Loss)		381,383			692,672
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions and foreign currency translations		4,534,038			1,004,093
Net realized gains (losses) from futures transactions		(102,448	)		2,340,625
Net realized gains (losses) from written options		—			878,232
Net change in unrealized appreciation/depreciation on investments and foreign currency translations		(17,536,503	)		(4,427,493	)
Net change in unrealized appreciation/depreciation on futures transactions		4,615			(111,515	)
Net change in unrealized appreciation/depreciation on written options		—			225,192
Net change in accrued foreign taxes on unrealized gains		—			3,910
Net realized/unrealized gains (losses) on investments		(13,100,298	)		(86,956	)
Change in net assets resulting from operations	$	(12,718,915	)	$	605,716

See notes to financial statements.

33

Victory Portfolios II Statements of Changes in Net Assets

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	381,383		$	520,905		$	692,672		$	1,367,130
Net realized gains (losses) from investment transactions		4,431,590			16,530,506			4,222,950			1,997,614
Net change in unrealized appreciation/depreciation on investments		(17,531,888	)		(1,974,167	)		(4,309,906	)		(579,923	)
Change in net assets resulting from operations		(12,718,915	)		15,077,244			605,716			2,784,821
Distributions to Shareholders: (a)
Class A Shares		(5,296,808	)		(3,474,874	)		(357,543	)		(729,949	)
Class C Shares		(4,582,682	)		(5,093,813	)		(4,542	)		(9,927	)
Class I Shares		(4,236,494	)		(3,082,938	)		(340,817	)		(837,655	)
Change in net assets resulting from distributions to shareholders		(14,115,984	)		(11,651,625	)		(702,902	)		(1,577,531	)
Change in net assets resulting from capital transactions		740,681			(1,036,505	)		6,654,305			(14,222,605	)
Change in net assets		(26,094,218	)		2,389,114			6,557,119			(13,015,315	)
Net Assets:
Beginning of period		129,481,312			127,092,198			43,641,490			56,656,805
End of period	$	103,387,094		$	129,481,312		$	50,198,609		$	43,641,490

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

(continues on next page)

See notes to financial statements.

34

Victory Portfolios II Statements of Changes in Net Assets

  (continued)

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	2,627,587		$	26,139,052		$	10,848,579		$	2,828,020
Distributions reinvested		5,231,073			3,421,278			356,077			727,653
Cost of shares redeemed		(11,140,428	)		(15,975,579	)		(7,219,853	)		(5,260,176	)
Total Class A Shares	$	(3,281,768	)	$	13,584,751		$	3,984,803		$	(1,704,503	)
Class C Shares
Proceeds from shares issued	$	3,452,633		$	13,301,468		$	127,951		$	151,102
Distributions reinvested		4,552,125			5,056,077			4,542			9,927
Cost of shares redeemed		(6,182,115	)		(35,709,156	)		(32,723	)		(377,788	)
Total Class C Shares	$	1,822,643		$	(17,351,611	)	$	99,770		$	(216,759	)
Class I Shares
Proceeds from shares issued	$	4,905,202		$	11,264,963		$	10,321,125		$	10,892,602
Distributions reinvested		4,030,409			2,880,716			335,293			831,102
Cost of shares redeemed		(6,735,805	)		(11,415,324	)		(8,086,686	)		(24,025,047	)
Total Class I Shares	$	2,199,806		$	2,730,355		$	2,569,732		$	(12,301,343	)
Change in net assets resulting from capital transactions	$	740,681		$	(1,036,505	)	$	6,654,305		$	(14,222,605	)
Share Transactions:
Class A Shares
Issued		167,606			1,598,096			1,121,274			295,657
Reinvested		405,953			208,990			37,007			76,073
Redeemed		(714,037	)		(963,489	)		(745,572	)		(549,478	)
Total Class A Shares		(140,478	)		843,597			412,709			(177,748	)
Class C Shares
Issued		215,651			814,121			13,344			15,890
Reinvested		363,588			315,413			475			1,047
Redeemed		(402,487	)		(2,219,795	)		(3,412	)		(39,902	)
Total Class C Shares		176,752			(1,090,261	)		10,407			(22,965	)
Class I Shares
Issued		305,073			680,103			1,060,028			1,131,635
Reinvested		312,177			175,785			34,708			86,613
Redeemed		(437,385	)		(690,384	)		(835,766	)		(2,499,198	)
Total Class I Shares		179,865			165,504			258,970			(1,280,950	)
Change in Shares		216,139			(81,160	)		682,086			(1,481,663	)

See notes to financial statements.

35

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory US 500 Enhanced Volatility Wtd Index Fund
	Class A Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	16.50		$	16.04		$	13.80		$	14.15		$	14.16		$	11.71
Investment Activities:
Net investment income (loss) (a)		0.06			0.11			0.11			0.13			0.05			0.03
Net realized and unrealized gains (losses) on investments		(1.79	)		1.91			2.48			0.16			0.74			2.58
Total from Investment Activities		(1.73	)		2.02			2.59			0.29			0.79			2.61
Distributions to Shareholders:
Net investment income		(0.04	)		(0.10	)		(0.11	)		(0.12	)		(0.04	)		(0.13	)
Net realized gains from investments		(1.89	)		(1.46	)		(0.24	)		(0.52	)		(0.76	)		(0.03	)
Total Distributions to Shareholders		(1.93	)		(1.56	)		(0.35	)		(0.64	)		(0.80	)		(0.16	)
Net Asset Value, End of Period	$	12.84		$	16.50		$	16.04		$	13.80		$	14.15		$	14.16
Total Return (excludes sales charge) (b)		(10.53	)%		12.79	%		18.89	%		2.17	%		5.89	%		22.39	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	38,427		$	51,671		$	36,721		$	62,700		$	75,399		$	77,212
Ratio of net expenses to average net assets (c)		0.99	%		0.99	%		0.99	%		0.99	%		1.50	%		1.60	%
Ratio of net investment income (loss) to average net assets (c)		0.77	%		0.67	%		0.75	%		0.92	%		0.35	%		0.25	%
Ratio of gross expenses to average net assets (c) (d)		1.20	%		1.19	%		1.35	%		1.28	%		1.67	%		1.68	%
Portfolio turnover (b) (e)		19	%		45	%		38	%		46	%		48	%		29	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(c)  Annualized for periods less than one year.

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

(e)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

36

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory US 500 Enhanced Volatility Wtd Index Fund
	Class C Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	16.16		$	15.78		$	13.59		$	13.95		$	14.05		$	11.67
Investment Activities:
Net investment income (loss) (a)		—	(b)		(0.02	)		—	(b)		0.02			(0.05	)		(0.07	)
Net realized and unrealized gains (losses) on investments		(1.74	)		1.86			2.44			0.17			0.71			2.57
Total from Investment Activities		(1.74	)		1.84			2.44			0.19			0.66			2.50
Distributions to Shareholders:
Net investment income		—			—	(b)		(0.01	)		(0.03	)		—			(0.09	)
Net realized gains from investments		(1.89	)		(1.46	)		(0.24	)		(0.52	)		(0.76	)		(0.03	)
Total Distributions to Shareholders		(1.89	)		(1.46	)		(0.25	)		(0.55	)		(0.76	)		(0.12	)
Net Asset Value, End of Period	$	12.53		$	16.16		$	15.78		$	13.59		$	13.95		$	14.05
Total Return (excludes contingent deferred sales charge) (c)		(10.77	)%		11.78	%		18.09	%		1.42	%		5.01	%		21.52	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	34,307		$	41,410		$	57,620		$	58,249		$	56,826		$	33,464
Ratio of net expenses to average net assets (d)		1.74	%		1.74	%		1.74	%		1.74	%		2.25	%		2.35	%
Ratio of net investment income (loss) to average net assets (d)		0.03	%		(0.11	)%		0.01	%		0.16	%		(0.37	)%		(0.50	)%
Ratio of gross expenses to average net assets (d) (e)		2.00	%		1.97	%		2.12	%		2.11	%		2.42	%		3.43	%
Portfolio turnover (c) (f)		19	%		45	%		38	%		46	%		48	%		29	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  Amount is less than $0.005 per share.

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

(d)  Annualized for periods less than one year.

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

(f)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

37

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory US 500 Enhanced Volatility Wtd Index Fund
	Class I Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	16.50		$	16.05		$	13.80		$	14.15		$	14.16		$	11.71
Investment Activities:
Net investment income (loss) (a)		0.09			0.15			0.15			0.16			0.08			0.07
Net realized and unrealized gains (losses) on investments		(1.79	)		1.90			2.48			0.16			0.74			2.57
Total from Investment Activities		(1.70	)		2.05			2.63			0.32			0.82			2.64
Distributions to Shareholders:
Net investment income		(0.06	)		(0.14	)		(0.14	)		(0.15	)		(0.07	)		(0.16	)
Net realized gains from investments		(1.89	)		(1.46	)		(0.24	)		(0.52	)		(0.76	)		(0.03	)
Total Distributions to Shareholders		(1.95	)		(1.60	)		(0.38	)		(0.67	)		(0.83	)		(0.19	)
Net Asset Value, End of Period	$	12.85		$	16.50		$	16.05		$	13.80		$	14.15		$	14.16
Total Return (b)		(10.34	)%		12.97	%		19.24	%		2.42	%		6.16	%		22.66	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	30,652		$	36,400		$	32,751		$	44,170		$	63,213		$	92,699
Ratio of net expenses to average net assets (c)		0.74	%		0.74	%		0.74	%		0.74	%		1.25	%		1.35	%
Ratio of net investment income (loss) to average net assets (c)		1.03	%		0.91	%		1.00	%		1.14	%		0.60	%		0.50	%
Ratio of gross expenses to average net assets (c) (d)		0.97	%		0.95	%		1.13	%		1.11	%		1.42	%		1.43	%
Portfolio turnover (b) (e)		19	%		45	%		38	%		46	%		48	%		29	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(c)  Annualized for periods less than one year.

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

(e)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

38

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	Victory Market Neutral Income Fund
	Class A Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.61		$	9.40		$	9.21		$	9.41		$	9.84		$	9.78
Investment Activities:
Net investment income (loss) (a)		0.15			0.24			0.24			0.26			0.22			0.11
Net realized and unrealized gains (losses) on investments		(0.01	)		0.26			0.20	(b)		(0.02	)		(0.38	)		—	(c)
Total from Investment Activities		0.14			0.50			0.44			0.24			(0.16	)		0.11
Distributions to Shareholders:
Net investment income		(0.12	)		(0.29	)		(0.25	)		(0.21	)		(0.21	)		(0.05	)
Net realized gains from investments		(0.02	)		—			—			(0.23	)		(0.06	)		—
Total Distributions to Shareholders		(0.14	)		(0.29	)		(0.25	)		(0.44	)		(0.27	)		(0.05	)
Net Asset Value, End of Period	$	9.61		$	9.61		$	9.40		$	9.21		$	9.41		$	9.84
Total Return (excludes sales charge) (d)		1.51	%		5.37	%		4.77	%		2.54	%		(1.62	)%		1.15	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	27,805		$	23,847		$	24,998		$	29,649		$	31,313		$	28,924
Ratio of net expenses to average net assets (e)		0.75	%		0.89	%		0.90	%		0.90	%		1.13	%		1.15	%
Ratio of net investment income (loss) to average net assets (e)		2.99	%		2.55	%		2.59	%		2.72	%		2.23	%		1.09	%
Ratio of gross expenses to average net assets (e) (f)		1.02	%		1.18	%		1.25	%		1.06	%		1.27	%		1.25	%
Portfolio turnover (d) (g) (f)		51	%		69	%		63	%		92	%		135	%		190	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  The amount of net realized and unrealized gains (losses) on investments per share for the year ended June 30, 2017 does not accord with the amounts in the Statement of Operations due to timing of purchases and sales of Fund Shares in relation to fluctuating market values.

(c)  Amount is less than $0.005 per share.

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

(e)  Annualized for periods less than one year.

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

(g)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

39

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory Market Neutral Income Fund
	Class C Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.54		$	9.33		$	9.15		$	9.36		$	9.74		$	9.74
Investment Activities:
Net investment income (loss) (a)		0.11			0.17			0.17			0.19			0.14			0.01
Net realized and unrealized gains (losses) on investments		(0.01	)		0.26			0.20	(b)		(0.02	)		(0.38	)		0.02
Total from Investment Activities		0.10			0.43			0.37			0.17			(0.24	)		0.03
Distributions to Shareholders:
Net investment income		(0.09	)		(0.22	)		(0.19	)		(0.15	)		(0.08	)		(0.03	)
Net realized gains from investments		(0.02	)		—			—			(0.23	)		(0.06	)		—
Total Distributions to Shareholders		(0.11	)		(0.22	)		(0.19	)		(0.38	)		(0.14	)		(0.03	)
Net Asset Value, End of Period	$	9.53		$	9.54		$	9.33		$	9.15		$	9.36		$	9.74
Total Return (excludes contingent deferred sales charge) (c)		1.06	%		4.64	%		4.02	%		1.75	%		(2.42	)%		0.34	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	410		$	311		$	519		$	518		$	385		$	267
Ratio of net expenses to average net assets (d)		1.50	%		1.64	%		1.65	%		1.65	%		2.02	%		2.00	%
Ratio of net investment income (loss) to average net assets (d)		2.21	%		1.79	%		1.88	%		2.00	%		1.88	%		1.90	%
Ratio of gross expenses to average net assets (d) (e)		2.56	%		2.51	%		3.00	%		2.48	%		1.29	%		(0.04	)%
Portfolio turnover (c) (f)		51	%		69	%		63	%		92	%		135	%		190	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  The amount of net realized and unrealized gains (losses) on investments per share for the year ended June 30, 2017 does not accord with the amounts in the Statement of Operations due to timing of purchases and sales of Fund Shares in relation to fluctuating market values.

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

(d)  Annualized for periods less than one year.

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

(f)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

40

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Victory Market Neutral Income Fund
	Class I Shares
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2014
	(Unaudited)
Net Asset Value, Beginning of Period	$	9.65		$	9.44		$	9.24		$	9.44		$	9.89		$	9.81
Investment Activities:
Net investment income (loss) (a)		0.16			0.26			0.27			0.30			0.23			0.10
Net realized and unrealized gains (losses) on investments		—	(b)		0.26			0.20			(0.04	)		(0.37	)		0.04
Total from Investment Activities		0.16			0.52			0.47			0.26			(0.14	)		0.14
Distributions to Shareholders:
Net investment income		(0.14	)		(0.31	)		(0.27	)		(0.23	)		(0.25	)		(0.06	)
Net realized gains from investments		(0.02	)		—			—			(0.23	)		(0.06	)		—
Total Distributions to Shareholders		(0.16	)		(0.31	)		(0.27	)		(0.46	)		(0.31	)		(0.06	)
Net Asset Value, End of Period	$	9.65		$	9.65		$	9.44		$	9.24		$	9.44		$	9.89
Total Return (c)		1.65	%		5.62	%		5.11	%		2.77	%		(1.41	)%		1.44	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	21,984		$	19,483		$	31,140		$	43,866		$	25,310		$	33,773
Ratio of net expenses to average net assets (d)		0.40	%		0.64	%		0.65	%		0.65	%		1.02	%		1.00	%
Ratio of net investment income (loss) to average net assets (d)		3.35	%		2.72	%		2.83	%		3.16	%		0.88	%		0.90	%
Ratio of gross expenses to average net assets (d) (e)		1.09	%		1.09	%		1.13	%		1.05	%		2.25	%		0.87	%
Portfolio turnover (c) (f)		51	%		69	%		63	%		92	%		135	%		190	%

(a)  Per share net investment income (loss) has been calculated using the average daily shares method.

(b)  Amount is less than $0.005 per share.

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

(d)  Annualized for periods less than one year.

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

(f)  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

See notes to financial statements.

41

Victory Portfolios II Notes to Financial Statements
December 31, 2018

  (Unaudited)

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 20 funds, 18 of which are exchange-traded funds ("ETFs"), 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.

The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund").

Funds (Legal Name)	Funds (Short Name)	Investment Share Classes Offered
Victory US 500 Enhanced Volatility Wtd Index Fund	US 500 Enhanced Volatility Wtd Index Fund	Classes A, C and I
Victory Market Neutral Income Fund	Market Neutral Income Fund	Classes A, C and I

Each class of shares of a Fund has substantially identical rights and privileges except with respect to sales charges, fees paid under distribution plans, expenses allocable exclusively to each class of shares, voting rights on matters solely affecting a single class of shares, and the exchange privilege of each class of shares.

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 Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.

2. Significant Accounting Policies:

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of 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.

Investment Valuation:

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.

42

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

Portfolio securities listed or traded on securities exchanges, including American Depositary Receipts ("ADRs") and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.

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

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

Options are generally valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Investments for which there are no such quotations, or for which quotations do not appear reliable, are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees ("Board"). These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value.

In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time the Funds' net asset values are calculated. The Victory Market Neutral Income Fund uses a systematic valuation model, provided daily by an independent third party to fair value their international equity securities. These valuations are considered as Level 2 in the fair value hierarchy.

A summary of the valuations as of December 31, 2018, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed in the Schedules of Portfolio Investments:

	LEVEL 1 — Quoted Prices						LEVEL 2 — Other Significant Observable Inputs				Total
	Investments in Securities			Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Victory US 500 Enhanced Volatility Wtd Index Fund
Common Stocks	$	102,593,484		$	—		$	—	$	—	$	102,593,484	$	—
Collateral for Securities Loaned		3,512,361			—			—		—		3,512,361		—
Futures Contracts		—			(5,334	)		—		—		—		(5,334	)
Total		106,105,845			(5,334	)		—		—		106,105,845		(5,334	)
Victory Market Neutral Income Fund
Common Stocks		20,573,554	(a)		—			17,901,285		—		38,474,839		—
Rights		2,127			—			3,026		—		5,153		—

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Collateral for Securities Loaned	$	1,318,342	$	—		$	—	$	—	$	1,318,342	$	—
Option		—		(94,760	)		—		—		—		(94,760	)
Futures Contracts		—		1,071,308			—		—		—		1,071,308
Total		21,894,023		976,548			17,904,311		—		39,798,334		976,548

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

(a)  Consists of all securities traded on U.S. securities exchanges (including ADRs) and all securities listed under Canada and Mexico.

For the six months ended December 31, 2018, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

Investment Companies:

Open-End Funds:

The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.

Derivative Instruments:

Foreign Exchange Currency Contracts:

The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Fund records realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 2018, the Funds had no open forward foreign exchange currency contracts.

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

Futures Contracts:

The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. A Fund may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Fund the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Fund to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. A Fund may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Fund had not entered into any futures transactions. In addition, the value of a Fund's futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting a Fund's ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is presented on the Statements of Assets and Liabilities under Deposit with broker for futures contracts and written options.

Options Transactions:

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

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

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

45

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

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, 2018, 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 of Recognized Assets		Gross Amounts Available for Offset			Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
US 500 Enhanced Volatility Wtd Index Fund
Futures
Goldman Sachs & Co.	$	8,640	$	—		$	8,640	$	—		$	8,640
Market Neutral Income Fund
Futures
Goldman Sachs & Co.		108,425		(108,425	)		—		—			—
Liabilities	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset			Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Pledged			Net Amount
Market Neutral Income Fund
Futures
Goldman Sachs & Co.	$	297,065	$	(108,425	)	$	188,640	$	(188,640	)	$	—

Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of December 31, 2018:

	Asset Location		Liability Location
Risk Exposure	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Futures Contracts
Equity Risk
US 500 Enhanced Volatility Wtd Index Fund	$	—	$	5,334
Market Neutral Income Fund		1,713,514		642,206

	Liability Location
	Written Options, at Value
Written Options
Equity Risk
Market Neutral Income Fund	$	94,760

*  Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities.

46

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the six months ended December 31, 2018:

	Net Realized Gains (Losses) on Derivatives Recognized as a Result from Operations			Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations
Risk Exposure	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation (Depreciation) from Futures Contracts
Futures Contracts
Equity Risk
US 500 Enhanced Volatility Wtd Index Fund	$	(102,448	)	$	4,615
Market Neutral Income Fund		2,340,625			(111,515	)
	Net Realized Gains (Losses) from Written Options			Net Change in Unrealized Appreciation (Depreciation) from Written Options
Written Options
Equity Risk
Market Neutral Income Fund	$	878,232		$	225,192

All open derivative positions at period end are reflected in each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at period end is generally representative of the notional amount of open positions to net assets throughout the period.

Investment Transactions and Related Income:

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

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

Securities Lending:

The Trust has entered into a Master Securities Lending Agreement ("MSLA") with Citibank, N.A. ("Citibank" or the "Agent"). Under the terms of the MSLA, the Funds may lend securities to certain broker-dealers and banks in exchange for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are adjusted the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities, letters of credit and certificates of deposit. The cash collateral is invested in short-term instruments or cash equivalents as noted in the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed in the Funds' Schedules of Portfolio Investments. The Funds continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. The Funds pay various fees in connection with the investment of cash collateral. The Funds pay the Agent fees based on the investment income received from securities lending activities.

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

Securities lending income is disclosed on the Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them.

Securities lending transactions are entered into by a Fund under the MSLA, which permits the Fund, under certain circumstances such as an event of default, to offset amounts payable by the Fund to the same counterparty against amounts receivable from the counterparty to create a net payment due to or from the Fund.

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of December 31, 2018. These transactions are accounted for as secured borrowings with an overnight and continuous contractual maturity for cash collateral, and greater than overnight and continuous contractual maturity for non-cash collateral.

	Gross Amount of Recognized Assets (Value of		Value of Cash		Value of Non-cash Collateral Received by Maturity
Fund	Securities on Loan)		Collateral Received		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
US 500 Enhanced Volatility Wtd Index Fund	$	3,462,829	$	3,512,361	$	—	$	—	$	—	$	49,532
Market Neutral Income Fund		1,539,366		1,318,342		—		—		281,051		60,027

Foreign Currency Translations:

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

Foreign Taxes:

The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.

Dividends to Shareholders:

Dividends from net investment income, if any, are declared and paid quarterly for each Fund. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

The amounts of dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss, distribution reclassification, and deemed distribution due to shareholder redemptions), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions

48

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

of capital. Net investment losses incurred by a Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

Federal Income Taxes:

It is the policy of each Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.

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

Allocations:

Expenses directly attributable to a Fund are charged to the Fund, while expenses which are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or affiliated trust based upon net assets or another appropriate basis.

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

Affiliated Securities Transactions:

Pursuant to Rule 17a-7 under the 1940 Act, the Funds may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Adviser and any applicable sub-adviser. Any such purchase or sale transaction must be effected without brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security's last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. For the year ended December 31, 2018, the Funds did not engage in any Rule 17a-7 transactions under the 1940 Act.

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the six months ended December 31, 2018 were as follows:

Fund	Purchases		Sales
US 500 Enhanced Volatility Wtd Index Fund	$	23,014,425	$	36,306,339
Market Neutral Income Fund		24,541,893		18,635,892

For the six months ended December 31, 2018, there were no purchases or sales of U.S. Government Securities.

4. Fees and Transactions with Affiliates and Related Parties:

Investment advisory services are provided to the Funds by Victory Capital Management Inc. ("VCM" or the "Adviser"), a New York corporation registered as an investment adviser with the Securities and Exchange Commission ("SEC"). The Adviser is a wholly-owned indirect subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation and a wholly-owned direct subsidiary of Victory Capital Operating, LLC.

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Under the terms of the Investment Advisory Agreements, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Adviser Fee Rate
US 500 Enhanced Volatility Wtd Index Fund		0.70	%
Market Neutral Income Fund		0.60	%

VCM also serves as the Funds' administrator and fund accountant. Under an Administration and Fund Accounting Agreement, VCM is paid for its services an annual fee at a rate of 0.08% of the first $15 billion in average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Trusts"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Trusts and 0.04% of the average daily net assets over $30 billion of the Trusts.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, N.A., acts as sub-administrator and sub-fund accountant to the Funds pursuant to a Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for all of their reasonable out-of-pocket expenses incurred in providing these services.

FIS Investor Services, LLC ("FIS") serves as the Funds' transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.

The Chief Compliance Officer ("CCO") is an employee of the Adviser, which pays the compensation of the CCO and his support staff. The Trust has entered into an Agreement to provide compliance services with the Adviser, pursuant to which the Adviser furnishes its compliance personnel, including the services of the CCO, and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. Funds in the Trust, Victory Variable Insurance Funds, Victory Institutional Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), in the aggregate, compensate the Adviser for these services.

The Victory Funds Complex pays an annual retainer to each Independent Trustee, plus an additional annual retainer to the Chairman of the Board. The aggregate amount of the fees and expenses of the Independent Trustees are allocated amongst all the funds in the Victory Funds Complex and are presented in the Statements of Operations.

Shearman & Sterling LLP provides legal services to the Trust.

Victory Capital Advisers, Inc. (the "Distributor"), an affiliate of the Adviser, serves as distributor for the continuous offering of 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% and 1.00% of the average daily net assets for Class A and Class C Shares of each of the respective Funds. The distribution and service fees paid to the Distributor may be used by the Distributor to pay for activities primarily intended to result in the sale of Class A or Class C Shares of the Funds.

In addition, the Distributor is entitled to receive commissions on sales of Class A Shares of the Funds. For the six months ended December 31, 2018, the Distributor received approximately $2,130 from commissions earned on sales of Class A Shares. A $15 redemption fee may be charged for redemptions made by wire. The redemption fee is paid directly to and retained by the Funds, and is designed to deter excessive short-term trading and to offset brokerage commissions, market impact and other costs that may be associated with short-term money movement in and out of the Funds.

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The Adviser has entered into expense limitation agreements with certain Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amount will be the liability of the Adviser. Interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of December 31, 2018, the expense limits (excluding voluntary waivers) are as follows:

	In effect July 1, 2018 until October 31, 2019
	Class A Shares			Class C Shares			Class I Shares
US 500 Enhanced Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%
Market Neutral Income Fund		0.75	%		1.50	%		0.40	%

The Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period up to three fiscal years after such waiver or reimbursement was made to the extent such payments or repayments would not cause the expenses of a class to exceed the original expense limitation in place at the time of the waiver or reimbursement or any expense limitation agreement in place at the time of repayment. Amounts repaid to the Adviser during the six months ended, if any, are reflected on the Statements of Operations as "Recoupment of prior expenses waived/reimbursed by Adviser".

As of December 31, 2018, the following amounts are available to be repaid to the Adviser.

Fund	Expires 6/30/19		Expires 6/30/20		Expires 6/30/21		Expires 6/30/22		Total
US 500 Enhanced Volatility Wtd Index Fund	$	619,681	$	534,407	$	283,259	$	147,637	$	1,584,984
Market Neutral Income Fund		201,142		256,668		197,955		102,496		758,261

The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time. There were no voluntary waivers or reimbursements for the six months ended December 31, 2018.

Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, Administrator, Fund Accountant, Sub-Administrator, Sub-Fund Accountant, and Legal.

5. Risks:

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

An investment in the Funds' shares represents an indirect investment in the securities owned by the Funds, some of which will be traded on a national securities exchange or in the over-the-counter markets. The value of the securities in which the Funds invest, like other market investments, may move up or down, sometimes rapidly and unpredictably. The value of the securities in which the Funds invest may affect the value of the Funds' shares. An investment in the Funds' shares at any point in time may be worth less than the original investment, even after taking into account the reinvestment of the Funds' distributions.

The Market Neutral Income Fund invests in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised and continue to exercise substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities

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may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.

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

6. Borrowing and Interfund Lending:

Line of Credit:

The Victory Funds Complex participates in a short-term, demand note "Line of Credit" agreement with Citibank. Under the agreement with Citibank, the Victory Funds Complex 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 Floating Rate Fund, another series of the Victory Funds Complex, with that Fund paying the 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. The current agreement was amended on July 27, 2018 with a new termination date of July 26, 2019. Citibank receives an annual commitment fee of 0.15% on $100 million for providing the Line of Credit. For the six months ended December 31, 2018, Citibank earned approximately $76,000 in commitment fees from the Victory Funds Complex. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest on amounts borrowed. Interest accrued by each Fund during the period is presented on the Statements of Operations under Interest expense on line of credit.

The Funds did not utilize or participate in the Line of Credit during the six months ended December 31, 2018.

Interfund Lending:

The Trust and Adviser rely on an exemptive order granted by the SEC in March 2017 (the "Order"), permitting the establishment and operation of an Interfund Lending Facility (the "Facility"). The Facility allows each Fund to directly borrow money to or from any other Victory Fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are allowed for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. Interest accrued by each Fund during the period is presented on the Statements of Operations under Interest expense on interfund lending.

The average borrowing for the days outstanding and average interest rate for each Fund during the six months ended December 31, 2018 were as follows:

Fund	Borrower or Lender	Amount Outstanding at December 31, 2018		Average Borrowing*		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
US 500 Enhanced Volatility Wtd Index Fund	Borrower	$	—	$	191,500		2		2.95	%	$	254,000

*  For the six months ended December 31, 2018, based on the number of days borrowings were outstanding.

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7. Federal Income Tax Information:

The tax character of distributions paid and the tax basis of current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2019.

The tax character of distributions paid during the most recent tax year ended June 30, 2018, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid):

	Year Ended June 30, 2018
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	2,489,677	$	9,161,948	$	11,651,625	$	11,651,625
Market Neutral Income Fund		1,577,531		—		1,577,531		1,577,531

As of the most recent tax year ended June 30, 2018, the components of accumulated earnings/(deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Accumulated Capital and Other Losses			Qualified Late-Year Losses*			Unrealized Appreciation (Depreciation)**		Total Accumulated Earnings (Deficit)
US 500 Enhanced Volatility Wtd Index Fund	$	843,699	$	8,193,780	$	9,037,479	$	—		$	—		$	28,176,828	$	37,214,307
Market Neutral Income Fund		—		—		—		(3,218,501	)		(14,933	)		1,258,836		(1,974,598	)

*  Qualified late-year losses are comprised of post-October capital losses incurred after October 31, 2017, and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31, 2017 and specified losses incurred after October 31, 2017. These losses are deemed to arise on the first day of the Fund's next taxable year.

**  The difference between the book-basis and tax-basis of unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

As of the most recent tax year ended June 30, 2018, the following Funds had net capital loss carryforwards ("CLCFs") as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration are applied as either short-term or long-term depending on the originating capital loss and must be utilized before those that are subject to expiration.

CLCFs subject to expiration:

	Short-Term Amount		Long-Term Amount		Total
Market Neutral Income Fund	$	—	$	3,218,501	$	3,218,501

At December 31, 2018, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Enhanced Volatility Wtd Index Fund	$	95,356,050	$	20,276,649	$	(9,532,188	)	$	10,744,461
Market Neutral Income Fund		42,895,892		2,625,267		(4,651,517	)		(2,026,250	)

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8. Fund Ownership:

Ownership of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2(a)(9) of the 1940 Act. As of December 31, 2018, the shareholders listed below held more than 25% of the shares outstanding of the Funds and may be deemed to control those Funds.

Shareholder	Fund	Percent
LPL Financial Corp.	US 500 Enhanced Volatility Wtd Index Fund		33.9	%
Charles Schwab & Co., Inc.	Market Neutral Income Fund		70.8	%

9. Recent Accounting Pronouncements:

In October 2016, the SEC released its Final Rules on Investment Company Reporting Modernization (the "Rules"). The Rules introduced a new regulatory reporting form for investment companies — Form N-PORT. The Funds' compliance date for Form N-PORT was June 1, 2018, and the Funds will make their initial filing with the SEC on Form N-PORT for the period ending March 31, 2019. Effective with the period ended June 30, 2018, the Funds were required to maintain, and make available to the SEC upon request, the information required to be included in Form N-PORT. Form N-PORT will replace Form N-Q filings effective with the requirement to file the Form N-PORT with the SEC for the period ending March 31, 2019. The Funds' adoption of this amendment has no effect on the Funds' net assets or results of operations.

In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements" ("ASU 2018-13"). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurements. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. As permitted, the Funds have early adopted ASU 2018-13 with the financial statements prepared as of December 31, 2018.

In August 2018, the SEC adopted amendments to certain financial statement disclosure requirements to conform them to GAAP for investment companies. These amendments made certain disclosure requirements effective under Regulation S-X. The Funds' adoption of these amendments, effective with the financial statements prepared as of December 31, 2018 had no effect on the Funds' net assets or results of operations. As a result of adopting these amendments, the distributions to shareholders in the June 30, 2018 Statements of Changes in Net Assets presented herein have been reclassified to conform to the current year presentation, which includes all distributions to each class of shareholders, other than tax basis return of capital distributions, in one line item per share class. Distributions to shareholders for the year ended June 30, 2018 from net investment income and net realized gains in the Fund were as follows:

	US 500 Enhanced Volatility WTD Index Fund			Market Neutral Income fund
Distributions to Shareholders:
From net investment income:
Class A Shares	$	(261,664	)	$	(729,949	)
Class C Shares		(5,831	)		(9,927	)
Class I Shares		(301,423	)		(837,655	)
From net realized gains:
Class A Shares		(3,213,210	)		—
Class C Shares		(5,087,982	)		—
Class I Shares		(2,781,515	)		—

10. Subsequent Events:

The Funds have evaluated the need for additional disclosures or adjustments resulting from subsequent events through the date these financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have a material impact on the Funds' financial statements.

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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 20 portfolios in the Trust, nine portfolios in Victory Variable Insurance Funds, one portfolio in Victory Institutional Funds and 42 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Funds Complex. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. 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, 67	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, 71	Vice Chair and Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012); Director, Old Mutual US Asset Management (2002-2014).
E. Lee Beard, 67*	Trustee	May 2015	Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).	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
Dennis M. Bushe, 75	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).
Sally M. Dungan, 64	Trustee	May 2015	Chief Investment Officer, Tufts University (since 2002).	None.
John L. Kelly, 65	Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016-September 2017); Advisor (January 2016-April 2016) and Managing Partner (August 2014-January 2016), Endgate Commodities LLC; Chief Operating Officer, Liquidnet Holdings, Inc. (2011-2014).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, 61*	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, 57	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, 74	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), 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, 46**	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), Co-Chief Executive Officer (2011-2013), the Adviser; Chairman and Chief Executive Officer, Victory Capital Holdings, Inc. (since 2013).	None.

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

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

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

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Officers:

The officers of the Trust, their ages, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each 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 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. 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, 57	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, 49	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, 45	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, 53	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, 34*	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Advisers, Inc. (since 2018).
Colin Kinney, 45	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, 58	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, 65	Assistant Secretary	May 2015	Partner, Shearman & Sterling LLP (since 2018); Partner, Morrison & Foerster LLP (2011-2017).

*  On December 5, 2017, Mr. Ponte resigned as Treasurer and accepted the position of Assistant Treasurer of the Trust.

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Proxy Voting and Form N-Q Information

Proxy Voting:

Information regarding the policies and procedures that each 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 Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.

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

Availability of Schedules of Portfolio Investments:

The Trust expects to file a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT beginning March 1, 2019. Prior to that date, the Trust has filed a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-PORT and Forms N-Q are available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2018 through December 31, 2018.

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

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

Please note the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value 7/1/18		Actual Ending Account Value 12/31/18		Hypothetical Ending Account Value 12/31/18		Actual Expenses Paid During Period 7/1/18- 12/31/18*		Hypothetical Expenses Paid During Period 7/1/18- 12/31/18*		Annualized Expense Ratio During Period 7/1/18- 12/31/18
US 500 Enhanced Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	894.70	$	1,020.21	$	4.73	$	5.04		0.99	%
Class C Shares		1,000.00		892.30		1,016.43		8.30		8.84		1.74	%
Class I Shares		1,000.00		896.60		1,021.48		3.54		3.77		0.74	%

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	Beginning Account Value 7/1/18		Actual Ending Account Value 12/31/18		Hypothetical Ending Account Value 12/31/18		Actual Expenses Paid During Period 7/1/18- 12/31/18*		Hypothetical Expenses Paid During Period 7/1/18- 12/31/18*		Annualized Expense Ratio During Period 7/1/18- 12/31/18
Market Neutral Income Fund
Class A Shares	$	1,000.00	$	1,015.10	$	1,021.42	$	3.81	$	3.82		0.75	%
Class C Shares		1,000.00		1,010.60		1,017.64		7.60		7.63		1.50	%
Class I Shares		1,000.00		1,016.50		1,023.19		2.03		2.04		0.40	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

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  (Unaudited)

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 5, 2018. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 23, 2018. 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 obtained throughout the year and was advised by legal counsel to the Funds and by independent legal counsel to the Independent Trustees. In addition, in 2017 the Independent Trustees, through their counsel, retained an independent consultant to assist with a review of the overall process for conducting the annual review of these advisory arrangements. 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;

•  The performance of the Funds as compared to comparable funds;

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

•  Whether the fee would be sufficient to enable the Adviser to attract and retain experienced personnel and continue to provide quality services to the Funds;

•  Fees paid by other clients of the Adviser whose accounts 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, taking into consideration any distribution or shareholder servicing fees;

* Management'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 received by the Adviser, and its affiliates, including revenues paid to the Adviser, or its affiliates, by the Funds for administration and fund accounting services, and distribution;

•  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, comprised of the advisory fee plus the administrative services fee paid to the Adviser, in the context of the Adviser's profitability of each Fund individually. In addition, the Board compared each Fund's gross management fee and total operating expense ratio on a net and gross basis, taking into consideration any distribution or shareholder servicing fees, with the median gross management fee and median expense ratio of a universe of comparable mutual funds 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, including FUSE's selection of a broad universe of funds using the standard Retail Morningstar Categories, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among other factors. The Board also reviewed any changes to FUSE's methodology as compared to the prior year, including as a result of input from the Adviser, if any. The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which are generally viewed as a method by which the investment adviser shares any economies of scale with a fund as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below.

61

Victory Portfolios II Supplemental Information — continued
December 31, 2018

  (Unaudited)

The Board found that the gross annual management fee paid by each Fund was within the range of management fees paid by each Fund's respective peer group. The Board also found that each Fund's Class A net annual expense ratio, taking into account any shareholder servicing or distribution fees, was reasonable as compared with each Fund's respective peer group. The Board considered the Adviser's contractual agreement with each Fund to waive its fees and reimburse expenses of certain classes for a specified period of time, as described in the Fund's prospectus.

The Board reviewed each Fund's performance over one- and three-year periods against the performance of the Fund's selected peer group and benchmark index. The Board recognized that the performance of the Funds and the peer group funds are net of expenses, while the performance of the benchmark index is gross returns. The Board 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.

US 500 Enhanced Volatility Wtd Index Fund

Noting that the Fund commenced operations in 2012, the Board compared the Fund's Class A performance for the one- and three-year periods ended June 30, 2018, to that of the median performance of the peer group for the same periods and the benchmark index for the one-year period (benchmark index data was not available for the three-year period). The Board noted that the Fund's investment objective is to track its benchmark index before fees and expenses. The Board recognized that the performance of the Fund is net of expenses, while the performance of the benchmark index is gross returns and as a result, the Fund generally will underperform its benchmarks due to fees and expenses. The Board also considered the Fund's tracking error as a factor in evaluating performance. The Board considered the fact that the Fund underperformed the benchmark index for each of the periods reviewed, outperformed the peer group for the three- and five-year periods, and matched the peer group for the one-year period.

Having considered, among other things: (1) the Fund's management fee compared to comparable mutual funds; (2) the Fund's total expense ratio compared to comparable mutual funds; (3) that the Adviser's willingness to limit the expenses of certain classes for a period of time would provide stability to the Fund's expenses for those share classes during that period; and (4) the Fund's performance during the periods reviewed, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

Market Neutral Income Fund

Noting that the Fund commenced operations in 2012, the Board compared the Fund's Class A performance for the one-, three- and five-year periods ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same periods and considered the fact that the Fund outperformed the benchmark index for all of the periods reviewed, outperformed the peer group for the one- and three-year periods, and underperformed the peer group for the five-year period.

Having considered, among other things: (1) the Fund's management fee compared to comparable mutual funds; (2) the Fund's total expense ratio compared to comparable mutual funds; (3) that the Adviser's willingness to limit the expenses of certain classes for a period of time would provide stability to the Fund's expenses for those share classes during that period; and (4) the Fund's performance during the periods reviewed, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

62

Victory Portfolios II Supplemental Information — continued
December 31, 2018

  (Unaudited)

Conclusion

Based on its review of the information requested and provided, and following extended discussions, 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 unanimously 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;

•  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; and

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

63

Privacy Policy

Protecting the Privacy of Information

The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.

We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.

To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic and procedural safeguards to guard your personal information.*

*  You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.

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

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

VP-COMPASS-SAR (12/18)

December 31, 2018

Semi Annual Report

VictoryShares US 500 Volatility Wtd ETF

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

VictoryShares International High Div Volatility Wtd ETF

VictoryShares Emerging Market High Div Volatility Wtd ETF

VictoryShares Dividend Accelerator ETF

VictoryShares US Multi-Factor Minimum Volatility ETF

VictoryShares US 500 Enhanced Volatility Wtd ETF

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

VictoryShares US Discovery Enhanced Volatility Wtd ETF

VictoryShares Developed Enhanced Volatility Wtd ETF

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Victory Funds' shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Victory Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.VictoryFunds.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change, and you need not take any action.

You may elect to receive shareholder reports and other communications from the Victory Funds or your financial intermediary electronically sooner than January 1, 2021 by notifying your financial intermediary directly or, if you are a direct investor, by calling 800-539-3863 or by sending an e-mail request to TA.Processing@FISGlobal.com.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your reports. If you invest directly with the Victory Funds, you can call 800-539-3863 or send an e-mail request to TA.Processing@FISGlobal.com. Your election to receive reports in paper will apply to all Victory Funds you hold directly or through your financial intermediary.

www.vcm.com

News, Information And Education 24 Hours A Day, 7 Days A Week

The Victory Funds site gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:

• Detailed performance records

• Daily share prices

• The latest fund news

• Investment resources to help you become a better investor

• A section dedicated to investment professionals

Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.

Victory Portfolios II

Table of Contents

Financial Statements
VictoryShares US 500 Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	5
Schedule of Investments	9-20
Statements of Assets and Liabilities	141
Statements of Operations	146
Statements of Changes in Net Assets	151
Financial Highlights	156
VictoryShares US Small Cap Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	5
Schedule of Investments	21-29
Statements of Assets and Liabilities	141
Statements of Operations	146
Statements of Changes in Net Assets	151
Financial Highlights	157
VictoryShares International Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	5
Schedule of Investments	30-49
Statements of Assets and Liabilities	141
Statements of Operations	146
Statements of Changes in Net Assets	151
Financial Highlights	158
VictoryShares Emerging Market Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	5
Schedule of Investments	50-68
Statements of Assets and Liabilities	142
Statements of Operations	147
Statements of Changes in Net Assets	152
Financial Highlights	159
VictoryShares US Large Cap High Div Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	6
Schedule of Investments	69-72
Statements of Assets and Liabilities	142
Statements of Operations	147
Statements of Changes in Net Assets	152
Financial Highlights	160
VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	6
Schedule of Investments	73-76
Statements of Assets and Liabilities	142
Statements of Operations	147
Statements of Changes in Net Assets	152
Financial Highlights	161

1

Table of Contents (continued)

VictoryShares International High Div Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	6
Schedule of Investments	77-83
Statements of Assets and Liabilities	143
Statements of Operations	148
Statements of Changes in Net Assets	153
Financial Highlights	162
VictoryShares Emerging Market High Div Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	6
Schedule of Investments	84-89
Statements of Assets and Liabilities	143
Statements of Operations	148
Statements of Changes in Net Assets	153
Financial Highlights	163
VictoryShares Dividend Accelerator ETF
Investment Objectives and Portfolio Holdings	7
Schedule of Investments	90-92
Statements of Assets and Liabilities	143
Statements of Operations	148
Statements of Changes in Net Assets	153
Financial Highlights	164
VictoryShares US Multi-Factor Minimum Volatility ETF
Investment Objectives and Portfolio Holdings	7
Schedule of Investments	93-95
Statements of Assets and Liabilities	144
Statements of Operations	149
Statements of Changes in Net Assets	154
Financial Highlights	165
VictoryShares US 500 Enhanced Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	7
Schedule of Investments	96-107
Statements of Assets and Liabilities	144
Statements of Operations	149
Statements of Changes in Net Assets	154
Financial Highlights	166
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	7
Schedule of Investments	108-111
Statements of Assets and Liabilities	144
Statements of Operations	149
Statements of Changes in Net Assets	154
Financial Highlights	167
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	8
Schedule of Investments	112-120
Statements of Assets and Liabilities	145
Statements of Operations	150
Statements of Changes in Net Assets	155
Financial Highlights	168

2

Table of Contents (continued)

VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Objectives and Portfolio Holdings	8
Schedule of Investments	121-140
Statements of Assets and Liabilities	145
Statements of Operations	150
Statements of Changes in Net Assets	155
Financial Highlights	169
Notes to Financial Statements	170
Supplemental Information	190
Trustee and Officer Information	190
Proxy Voting and Form N-Q Information	193
Expense Examples	193
Advisory Contract Approval	195
Privacy Policy (inside back cover)

The VictoryShares are distributed by Foreside Fund Services, 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 VictoryShares.

For additional information about any VictoryShares, including fees, expenses, and risks, view our prospectus online at www.vcm.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 Victory at:

866-376-7890

Visit our website at:

www.vcm.com

3

This page is intentionally left blank.

4

Victory Portfolios II December 31, 2018

  (Unaudited)

Investment Objectives & Portfolio Holdings:

(As a Percentage of Total Investments)

VictoryShares US 500 Volatility Wtd ETF
Track performance of the Nasdaq Victory US Large
Cap 500 Volatility Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Small Cap Volatility
Wtd ETF
Track performance of the Nasdaq Victory US Small
Cap 500 Volatility Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares International Volatility
Wtd ETF
Track performance of the Nasdaq Victory
International 500 Volatility Weighted Index
before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares Emerging Market Volatility
Wtd ETF
Track performance of the Nasdaq Victory
Emerging Market 500 Volatility Weighted Index
before expenses.

Portfolio Holdings

As a Percentage of Total Investments

5

Victory Portfolios II December 31, 2018

  (Unaudited)

VictoryShares US Large Cap High Div
Volatility Wtd ETF
Track performance of the Nasdaq Victory
US Large Cap High Dividend 100 Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Small Cap High Div
Volatility Wtd ETF
Track performance of the Nasdaq Victory
US Small Cap High Dividend 100 Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares International High Div
Volatility Wtd ETF
Track performance of the Nasdaq Victory
International High Dividend 100 Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares Emerging Market High Div
Volatility Wtd ETF
Track performance of the Nasdaq Victory
Emerging Market High Dividend 100 Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

6

Victory Portfolios II December 31, 2018

  (Unaudited)

VictoryShares Dividend Accelerator ETF
Track performance of the Nasdaq Victory
Dividend Accelerator Index
before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US Multi-Factor Minimum
Volatility ETF
Track performance of the Nasdaq Victory
US Multi-Factor Minimum Volatility Index
before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US 500 Enhanced
Volatility Wtd ETF
Track performance of the Nasdaq Victory
US Large Cap 500 Long/Cash Volatility Index
before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares US EQ Income Enhanced
Volatility Wtd ETF
Track performance of the Nasdaq Victory
US Large Cap 100 Long/Cash Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

7

Victory Portfolios II December 31, 2018

  (Unaudited)

VictoryShares US Discovery Enhanced
Volatility Wtd ETF
Track performance of the Nasdaq Victory
US Small Cap 500 Long/Cash Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

VictoryShares Developed Enhanced
Volatility Wtd ETF
Track performance of the Nasdaq Victory
International 500 Long/Cash Volatility
Weighted Index before expenses.

Portfolio Holdings

As a Percentage of Total Investments

8

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.8%)
Communication Services (3.1%):
AT&T, Inc.		46,618	$	1,330,478
Cable One, Inc.		1,692		1,387,609
Cargurus, Inc. (a) (b)		13,025		439,333
CBS Corp., Class B		21,730		950,036
CenturyLink, Inc.		45,029		682,189
Charter Communications, Inc., Class A (a)		3,115		887,682
Comcast Corp., Class A		32,905		1,120,415
DISH Network Corp. (a)		22,077		551,263
Facebook, Inc., Class A (a)		4,592		601,965
InterActive Corp. (a)		4,066		744,241
Netflix, Inc. (a)		2,216		593,135
Omnicom Group, Inc.		21,857		1,600,806
The Walt Disney Co.		17,237		1,890,036
T-Mobile US, Inc. (a)		19,783		1,258,397
Verizon Communications, Inc.		31,518		1,771,942
Viacom, Inc., Class B		40,403		1,038,357
World Wrestling Entertainment, Inc. (b)		9,641		720,376
Zayo Group Holdings, Inc. (a)		41,938		957,864
				18,526,124
Consumer Discretionary (12.8%):
Advance Auto Parts, Inc.		6,975		1,098,284
Amazon.com, Inc. (a)		624		937,229
American Eagle Outfitters, Inc.		32,856		635,106
Aramark		34,629		1,003,202
AutoZone, Inc. (a)		1,764		1,478,832
Best Buy Co., Inc.		13,783		729,948
Bright Horizons Family Solutions, Inc. (a)		14,919		1,662,723
Burlington Stores, Inc. (a)		7,460		1,213,518
CarMax, Inc. (a) (b)		14,339		899,485
Carter's, Inc.		12,681		1,035,023
Chipotle Mexican Grill, Inc. (a)		1,456		628,686
D.R. Horton, Inc.		23,167		802,968
Darden Restaurants, Inc.		9,481		946,773
Dollar General Corp.		12,353		1,335,113
Dollar Tree, Inc. (a)		9,795		884,684
Domino's Pizza, Inc.		4,517		1,120,171
Dunkin' Brands Group, Inc. (b)		27,417		1,757,978
Etsy, Inc. (a)		13,036		620,123
Five Below, Inc. (a)		6,583		673,573
Ford Motor Co.		154,111		1,178,949
Garmin Ltd.		27,105		1,716,289
Gentex Corp.		56,365		1,139,137
Genuine Parts Co.		18,563		1,782,419
Grand Canyon Education, Inc. (a) (b)		13,331		1,281,642
GrubHub, Inc. (a) (b)		4,620		354,862
Harley-Davidson, Inc. (b)		29,159		994,905
Hilton Worldwide Holdings, Inc.		21,570		1,548,726

See notes to financial statements.

9

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Hyatt Hotels Corp., Class A		21,770	$	1,471,652
Kohl's Corp.		11,450		759,593
L Brands, Inc.		28,042		719,838
Las Vegas Sands Corp.		19,552		1,017,682
Lear Corp.		8,306		1,020,475
Leggett & Platt, Inc. (b)		33,327		1,194,440
Lennar Corp., Class A		20,181		790,086
LKQ Corp. (a) (b)		27,417		650,605
Lowe's Co., Inc.		10,612		980,124
Macy's, Inc.		20,146		599,948
Marriott International, Inc., Class A		11,750		1,275,580
McDonald's Corp.		9,700		1,722,429
MGM Resorts International		32,280		783,113
Mohawk Industries, Inc. (a)		5,026		587,841
Newell Brands, Inc. (b)		39,503		734,361
Nordstrom, Inc.		13,513		629,841
Norwegian Cruise Line Holdings Ltd. (a)		23,923		1,014,096
NVR, Inc. (a)		387		943,115
Ollie's Bargain Outlet Holdings, Inc. (a)		13,136		873,675
O'Reilly Automotive, Inc. (a)		3,317		1,142,143
Penske Automotive Group, Inc.		24,524		988,808
Polaris Industries, Inc. (b)		9,520		729,994
Pool Corp.		10,832		1,610,177
PulteGroup, Inc.		40,360		1,048,956
PVH Corp.		8,718		810,338
Qurate Retail, Inc. (a)		51,269		1,000,771
Ross Stores, Inc.		13,880		1,154,816
Royal Caribbean Cruises Ltd.		10,011		978,976
Service Corp. International		41,536		1,672,240
Servicemaster Global Holdings, Inc. (a)		38,595		1,417,980
Stamps.com, Inc. (a) (b)		3,444		536,024
Starbucks Corp.		26,696		1,719,222
Target Corp.		15,598		1,030,872
Texas Roadhouse, Inc. (b)		21,101		1,259,730
The Gap, Inc.		26,209		675,144
The Home Depot, Inc.		9,365		1,609,093
The TJX Co., Inc.		33,860		1,514,896
Thor Industries, Inc.		8,656		450,112
Tiffany & Co.		6,758		544,087
Toll Brothers, Inc.		25,346		834,644
Tractor Supply Co.		13,163		1,098,321
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		4,208		1,030,287
Urban Outfitters, Inc. (a)		21,265		705,998
Weight Watchers International, Inc. (a)		9,686		373,395
Williams-Sonoma, Inc. (b)		12,171		614,027
Yum! Brands, Inc.		20,484		1,882,888
				75,662,781
Consumer Staples (7.5%):
Altria Group, Inc.		23,998		1,185,261
Archer-Daniels-Midland Co.		41,798		1,712,464

See notes to financial statements.

10

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Brown-Forman Corp., Class B		25,423	$	1,209,627
Church & Dwight Co., Inc.		27,078		1,780,649
Colgate-Palmolive Co.		29,572		1,760,125
Conagra Brands, Inc.		41,622		889,046
Constellation Brands, Inc., Class A		7,381		1,187,012
Costco Wholesale Corp.		8,570		1,745,796
General Mills, Inc.		28,424		1,106,831
Hormel Foods Corp. (b)		42,586		1,817,571
Ingredion, Inc.		12,816		1,171,382
Kellogg Co.		20,751		1,183,015
Kimberly-Clark Corp.		12,653		1,441,683
Lamb Weston Holdings, Inc.		24,257		1,784,345
McCormick & Co., Inc. (b)		12,703		1,768,766
Molson Coors Brewing Co., Class B		15,499		870,424
Mondelez International, Inc., Class A		39,670		1,587,990
Monster Beverage Corp. (a)		16,448		809,571
National Beverage Corp. (b)		8,333		598,059
Nu Skin Enterprises, Inc., Class A		14,493		888,856
Philip Morris International, Inc.		13,843		924,159
Pilgrim's Pride Corp. (a)		55,376		858,882
Post Holdings, Inc. (a)		13,503		1,203,522
Sysco Corp.		21,881		1,371,063
The Clorox Co. (b)		9,318		1,436,277
The Estee Lauder Cos., Inc., Class A		9,731		1,266,003
The Hershey Co.		15,558		1,667,506
The J.M. Smucker Co.		12,219		1,142,354
The Kraft Heinz Co.		22,422		965,043
The Kroger Co.		30,726		844,965
The Procter & Gamble Co.		25,426		2,337,158
Tyson Foods, Inc., Class A		21,678		1,157,605
US Foods Holding Corp. (a)		32,063		1,014,473
Walgreens Boots Alliance, Inc.		17,282		1,180,879
				43,868,362
Energy (3.0%):
Apache Corp.		21,037		552,221
Centennial Resource Development, Inc. (a) (b)		40,429		445,528
Chevron Corp.		13,156		1,431,241
Cimarex Energy Co.		11,320		697,878
ConocoPhillips		16,613		1,035,821
Continental Resources, Inc. (a) (b)		14,912		599,313
Core Laboratories N.V. (b)		9,182		547,798
Diamondback Energy, Inc.		6,812		631,472
EOG Resources, Inc.		10,922		952,508
Exxon Mobil Corp.		20,806		1,418,761
HollyFrontier Corp.		13,056		667,423
Marathon Petroleum Corp.		13,140		775,391
Newfield Exploration Co. (a)		30,826		451,909
Occidental Petroleum Corp.		18,102		1,111,101
ONEOK, Inc. (b)		27,111		1,462,638
PBF Energy, Inc.		19,578		639,613

See notes to financial statements.

11

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Peabody Energy Corp.		28,189	$	859,201
Phillips 66		13,420		1,156,133
The Williams Cos., Inc.		49,372		1,088,653
Valero Energy Corp.		11,257		843,937
				17,368,540
Financials (20.9%):
Affiliated Managers Group, Inc.		9,208		897,228
Aflac, Inc.		48,439		2,206,882
Ally Financial, Inc.		56,662		1,283,961
American Financial Group, Inc.		18,576		1,681,685
Ameriprise Financial, Inc.		9,289		969,493
Arthur J. Gallagher & Co.		29,103		2,144,892
Associated Banc-Corp.		51,696		1,023,064
Athene Holding Ltd., Class A (a)		28,159		1,121,573
Bank of America Corp.		45,105		1,111,387
Bank Ozk (b)		31,134		710,789
BB&T Corp.		29,342		1,271,095
BlackRock, Inc., Class A		2,922		1,147,820
BOK Financial Corp.		15,848		1,162,134
Brown & Brown, Inc.		71,670		1,975,225
CBOE Holdings, Inc.		13,972		1,366,881
Citizens Financial Group, Inc.		33,355		991,644
CME Group, Inc.		9,577		1,801,625
CNA Financial Corp.		37,863		1,671,651
Comerica, Inc.		15,064		1,034,746
Commerce Bank, Inc. (b)		25,804		1,454,571
Credit Acceptance Corp. (a)		2,559		976,924
Cullen/Frost Bankers, Inc. (b)		13,739		1,208,208
Discover Financial Services		19,300		1,138,314
E*TRADE Financial Corp.		21,655		950,221
East West Bancorp, Inc.		22,401		975,116
Eaton Vance Corp.		32,660		1,148,979
Erie Indemnity Co., Class A		15,187		2,024,579
FactSet Research Systems, Inc. (b)		7,229		1,446,740
Fifth Third BanCorp		40,891		962,165
First American Financial Corp.		30,513		1,362,100
First Citizens BancShares, Inc., Class A		2,995		1,129,265
First Republic Bank (b)		17,438		1,515,362
FNF Group		41,296		1,298,346
Green Dot Corp. (a)		11,374		904,460
Hanover Insurance Group, Inc.		14,286		1,668,176
Huntington Bancshares, Inc.		95,786		1,141,769
IBERIABANK Corp. (b)		17,969		1,155,047
Intercontinental Exchange, Inc.		23,452		1,766,639
Invesco Ltd.		50,783		850,107
JPMorgan Chase & Co.		13,406		1,308,694
Kemper Corp.		13,379		888,098
KeyCorp		62,963		930,593
Lincoln National Corp. (b)		20,214		1,037,180
Loews Corp.		40,151		1,827,674

See notes to financial statements.

12

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
LPL Financial Holdings, Inc.		18,135	$	1,107,686
M&T Bank Corp.		9,479		1,356,729
MarketAxess Holdings, Inc.		8,788		1,856,991
Marsh & McLennan Co., Inc.		25,969		2,071,028
MGIC Investment Corp. (a)		63,849		667,861
Moody's Corp.		9,818		1,374,913
Morgan Stanley		26,248		1,040,733
Morningstar, Inc.		12,884		1,415,179
MSCI, Inc.		9,600		1,415,328
Nasdaq, Inc.		19,772		1,612,802
New York Community Bancorp, Inc. (b)		124,634		1,172,805
Northern Trust Corp.		13,763		1,150,449
Old Republic International Corp.		89,924		1,849,737
Onemain Holdings, Inc. (a)		34,146		829,406
PacWest Bancorp		32,325		1,075,776
People's United Financial, Inc. (b)		105,774		1,526,319
Pinnacle Financial Partners, Inc. (b)		21,997		1,014,062
Primerica, Inc.		12,188		1,190,889
Principal Financial Group, Inc.		25,367		1,120,460
Prosperity Bancshares, Inc. (b)		20,547		1,280,078
Prudential Financial, Inc.		14,144		1,153,443
Raymond James Financial, Inc.		13,982		1,040,401
Regions Financial Corp.		69,413		928,746
Reinsurance Group of America, Inc.		11,461		1,607,176
S&P Global, Inc.		9,528		1,619,188
Santander Consumer USA Holdings, Inc.		45,031		792,095
SEI Investments Co.		22,613		1,044,721
Signature Bank		11,131		1,144,378
SLM Corp. (a)		126,686		1,052,761
State Street Corp.		14,331		903,856
SunTrust Banks, Inc.		20,604		1,039,266
SVB Financial Group (a)		2,675		508,036
Synchrony Financial		36,378		853,428
Synovus Financial Corp.		28,326		906,149
T. Rowe Price Group, Inc.		12,422		1,146,799
TD Ameritrade Holding Corp.		20,525		1,004,904
Texas Capital Bancshares, Inc. (a)		14,673		749,644
The Allstate Corp.		20,690		1,709,615
The Bank of New York Mellon Corp.		27,022		1,271,926
The Charles Schwab Corp.		24,200		1,005,026
The PNC Financial Services Group, Inc.		10,677		1,248,248
The Progressive Corp.		28,503		1,719,586
The Travelers Co., Inc.		14,211		1,701,767
Torchmark Corp.		20,731		1,545,081
U.S. Bancorp		33,893		1,548,909
Umpqua Holdings Corp.		65,392		1,039,733
Unum Group		25,066		736,439
W.R. Berkley Corp.		28,357		2,095,866
Webster Financial Corp.		20,699		1,020,254
Wells Fargo & Co.		26,385		1,215,821

See notes to financial statements.

13

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Western Alliance BanCorp (a)		26,060	$	1,029,109
Wintrust Financial Corp.		16,275		1,082,125
Zions BanCorp		26,911		1,096,354
				121,333,183
Health Care (9.0%):
AbbVie, Inc.		10,240		944,026
ABIOMED, Inc. (a)		2,138		694,936
Align Technology, Inc. (a)		2,307		483,155
Anthem, Inc.		5,916		1,553,719
athenahealth, Inc. (a)		5,802		765,458
BIO-RAD Laboratories, Inc., Class A (a)		4,146		962,784
Bio-Techne Corp.		7,221		1,045,023
Centene Corp. (a)		10,095		1,163,954
Cerner Corp. (a)		20,258		1,062,329
Chemed Corp.		5,537		1,568,521
Cigna Corp.		6,921		1,314,436
Danaher Corp.		17,362		1,790,369
Encompass Health Corp. (b)		17,921		1,105,726
Exelixis, Inc. (a)		33,892		666,656
Globus Medical, Inc., Class A (a)		24,249		1,049,497
HCA Holdings, Inc.		10,953		1,363,101
HealthEquity, Inc. (a) (b)		9,858		588,030
Henry Schein, Inc. (a)		16,116		1,265,428
Hill-Rom Holdings, Inc.		16,889		1,495,521
Humana, Inc.		5,758		1,649,552
ICU Medical, Inc. (a)		3,836		880,861
IDEXX Laboratories, Inc. (a)		4,656		866,109
Illumina, Inc. (a)		2,900		869,797
Integra LifeSciences Holdings Corp. (a) (b)		22,852		1,030,625
IQVIA Holdings, Inc. (a)		11,363		1,320,040
Jazz Pharmaceuticals PLC (a)		8,211		1,017,836
Laboratory Corp. of America Holdings (a)		10,405		1,314,776
Masimo Corp. (a)		10,519		1,129,425
Medidata Solutions, Inc. (a) (b)		11,148		751,598
Mednax, Inc. (a)		25,149		829,917
Mettler-Toledo International, Inc. (a)		2,427		1,372,663
Mylan NV (a)		27,542		754,651
Neogen Corp. (a)		15,554		886,578
Penumbra, Inc. (a) (b)		5,588		682,854
Perrigo Co. PLC		14,982		580,553
Pfizer, Inc.		51,625		2,253,430
Quest Diagnostics, Inc.		14,112		1,175,106
Regeneron Pharmaceuticals, Inc. (a)		2,764		1,032,354
ResMed, Inc.		15,864		1,806,433
Thermo Fisher Scientific, Inc.		6,964		1,558,473
United Therapeutics Corp. (a)		7,977		868,695
UnitedHealth Group, Inc.		6,407		1,596,112
Universal Health Services, Inc., Class B		11,399		1,328,667
Veeva Systems, Inc. (a)		9,268		827,818
WellCare Health Plans, Inc. (a)		4,454		1,051,545

See notes to financial statements.

14

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Zimmer Biomet Holdings, Inc.		11,778	$	1,221,614
Zoetis, Inc.		16,489		1,410,469
				52,951,220
Industrials (19.0%):
3M Co.		7,027		1,338,925
A.O. Smith Corp.		25,063		1,070,190
Acuity Brands, Inc. (b)		6,083		699,241
AGCO Corp.		19,864		1,105,829
Air Lease Corp.		34,979		1,056,716
Alaska Air Group, Inc.		14,235		866,200
Allegion PLC		18,429		1,468,975
Allison Transmission Holdings, Inc.		22,810		1,001,587
AMERCO, Inc.		3,437		1,127,714
American Airlines Group, Inc.		23,752		762,677
AMETEK, Inc.		21,779		1,474,438
ASGN, Inc. (a)		13,115		714,768
C.H. Robinson Worldwide, Inc.		14,155		1,190,294
Carlisle Cos., Inc.		10,790		1,084,611
Cintas Corp.		8,010		1,345,600
Copart, Inc. (a)		23,948		1,144,235
Costar Group, Inc. (a)		3,412		1,151,004
CSX Corp.		18,517		1,150,461
Curtiss-Wright Corp.		9,851		1,005,984
Delta Air Lines, Inc.		23,388		1,167,060
Dover Corp.		16,193		1,148,893
Eaton Corp. PLC, ADR		18,835		1,293,211
EMCOR Group, Inc.		17,731		1,058,363
Emerson Electric Co.		18,721		1,118,580
Equifax, Inc.		10,839		1,009,436
Expeditors International of Washington, Inc.		18,463		1,257,145
Fastenal Co.		20,117		1,051,918
FedEx Corp.		5,787		933,617
Fortive Corp.		17,496		1,183,779
Fortune Brands Home & Security, Inc.		25,837		981,548
Gardner Denver Holdings, Inc. (a)		35,522		726,425
General Dynamics Corp.		8,644		1,358,923
Genesee & Wyoming, Inc., Class A (a) (b)		17,329		1,282,693
Graco, Inc.		35,336		1,478,811
Harris Corp.		8,598		1,157,721
HEICO Corp.		13,837		1,072,091
Hexcel Corp.		25,944		1,487,629
Hubbell, Inc.		10,904		1,083,203
Huntington Ingalls Industries, Inc.		5,006		952,692
IDEX Corp.		10,202		1,288,105
Ingersoll-Rand PLC		13,812		1,260,069
Insperity, Inc.		8,067		753,135
J.B. Hunt Transport Services, Inc.		12,196		1,134,716
Jacobs Engineering Group, Inc.		16,484		963,655
Johnson Controls International PLC		34,477		1,022,243
Kansas City Southern		12,469		1,190,166

See notes to financial statements.

15

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
KAR Auction Services, Inc.		30,683	$	1,464,193
Kirby Corp. (a)		14,378		968,502
Knight-Swift Transportation Holdings, Inc.		28,584		716,601
L3 Technologies, Inc.		7,651		1,328,673
Landstar System, Inc.		11,980		1,146,127
Lennox International, Inc.		6,336		1,386,697
Lincoln Electric Holdings, Inc.		15,668		1,235,422
ManpowerGroup, Inc.		11,034		715,003
Masco Corp.		36,222		1,059,131
MSC Industrial Direct Co., Inc., Class A		17,861		1,373,868
Nordson Corp.		10,225		1,220,354
Norfolk Southern Corp.		7,464		1,116,167
Northrop Grumman Corp.		4,546		1,113,315
Old Dominion Freight Line, Inc.		7,433		917,901
Oshkosh Corp.		16,116		988,072
PACCAR, Inc.		18,592		1,062,347
Parker-Hannifin Corp.		7,297		1,088,275
Quanta Services, Inc.		44,584		1,341,978
Raytheon Co.		7,976		1,223,120
Republic Services, Inc., Class A		28,903		2,083,617
Robert Half International, Inc.		17,628		1,008,322
Rollins, Inc. (b)		44,809		1,617,605
Roper Technologies, Inc.		5,300		1,412,555
Schneider National, Inc.		41,546		775,664
Sensata Technologies Holding PLC, ADR (a)		26,428		1,185,032
Snap-on, Inc. (b)		7,292		1,059,455
Southwest Airlines Co.		20,477		951,771
Spirit Aerosystems Holdings, Inc., Class A		15,521		1,118,909
Stanley Black & Decker, Inc.		9,039		1,082,330
Stericycle, Inc. (a)		19,184		703,861
Teledyne Technologies, Inc. (a)		6,209		1,285,698
The Boeing Co.		3,493		1,126,493
The Middleby Corp. (a) (b)		7,180		737,601
Toro Co.		24,726		1,381,688
TransDigm Group, Inc. (a)		4,979		1,693,158
TransUnion		19,772		1,123,050
Trex Co., Inc. (a)		8,798		522,249
Trinity Industries, Inc. (b)		58,668		1,207,974
Union Pacific Corp.		10,460		1,445,885
United Continental Holdings, Inc. (a)		13,353		1,118,047
United Parcel Service, Inc., Class B		12,462		1,215,419
United Rentals, Inc. (a)		6,197		635,378
United Technologies Corp.		14,209		1,512,973
Verisk Analytics, Inc., Class A (a)		15,807		1,723,594
W.W. Grainger, Inc.		3,117		880,116
WABCO Holdings, Inc. (a) (b)		11,782		1,264,680
Wabtec Corp. (b)		14,931		1,048,903
Waste Management, Inc.		20,894		1,859,357
Watsco, Inc.		7,422		1,032,697
Woodward, Inc.		20,171		1,498,503

See notes to financial statements.

16

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
XPO Logistics, Inc. (a)		9,542	$	544,276
Xylem, Inc.		16,598		1,107,419
				111,605,301
Information Technology (11.0%):
Accenture PLC, Class A		8,373		1,180,677
Adobe Systems, Inc. (a)		4,541		1,027,356
Advanced Micro Devices, Inc. (a)		25,911		478,317
Akamai Technologies, Inc. (a)		15,534		948,817
Alliance Data Systems Corp.		5,355		803,678
Analog Devices, Inc.		14,286		1,226,167
ANSYS, Inc. (a)		8,598		1,228,998
Apple, Inc.		6,375		1,005,593
Applied Materials, Inc.		20,224		662,134
Arrow Electronics, Inc. (a)		18,706		1,289,779
Aspen Technology, Inc. (a)		12,318		1,012,293
Automatic Data Processing, Inc.		11,828		1,550,887
Black Knight, Inc. (a)		39,685		1,788,206
Blackbaud, Inc.		10,503		660,639
Booz Allen Hamilton Holdings Corp.		34,962		1,575,737
Broadcom, Inc.		4,373		1,111,966
Broadridge Financial Solutions, Inc.		9,890		951,913
CACI International, Inc., Class A (a)		7,040		1,013,971
CDK Global, Inc.		32,208		1,542,120
CDW Corp. of Delaware		17,482		1,416,916
Coherent, Inc. (a) (b)		3,904		412,692
CommScope Holding Co., Inc. (a)		22,950		376,151
DXC Technology Co.		16,139		858,111
F5 Networks, Inc. (a)		8,251		1,336,909
Fair Isaac Corp. (a)		6,593		1,232,891
Fidelity National Information Services, Inc.		18,460		1,893,073
First Data Corp., Class A (a)		36,795		622,203
Fiserv, Inc. (a) (b)		26,843		1,972,693
FleetCor Technologies, Inc. (a)		6,971		1,294,654
Genpact Ltd.		55,665		1,502,398
Global Payments, Inc.		12,132		1,251,173
Hewlett Packard Enterprises Co.		71,510		944,647
HP, Inc.		57,763		1,181,831
IPG Photonics Corp. (a) (b)		3,541		401,160
Jabil Circuit, Inc.		41,562		1,030,322
Jack Henry & Associates, Inc.		11,056		1,398,805
Leidos Holdings, Inc.		22,312		1,176,289
LogMeIn, Inc.		8,362		682,088
Marvell Technology Group Ltd., ADR		46,146		747,104
Mastercard, Inc., Class A		7,036		1,327,341
Micron Technology, Inc. (a)		13,095		415,504
MKS Instruments, Inc.		8,737		564,498
Monolithic Power Systems, Inc.		8,006		930,698
Nvidia Corp.		3,360		448,560
ON Semiconductor Corp. (a)		45,872		757,347
Paychex, Inc.		26,388		1,719,178

See notes to financial statements.

17

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Paycom Software, Inc. (a) (b)		4,693	$	574,658
PayPal Holdings, Inc. (a)		13,367		1,124,031
PTC, Inc. (a)		13,486		1,117,989
Sabre Corp.		44,468		962,288
Salesforce.com, Inc. (a)		8,731		1,195,885
Seagate Technology PLC		17,940		692,305
Skyworks Solutions, Inc.		13,059		875,214
Texas Instruments, Inc.		11,455		1,082,498
The Trade Desk, Inc., Class A (a) (b)		2,566		297,810
Total System Services, Inc.		17,197		1,397,944
Tyler Technologies, Inc. (a)		7,149		1,328,427
Universal Display Corp. (b)		5,125		479,546
VeriSign, Inc. (a)		10,623		1,575,285
Visa, Inc., Class A		11,755		1,550,955
WEX, Inc. (a)		7,737		1,083,644
Xilinx, Inc.		14,320		1,219,634
				65,512,597
Materials (5.6%):
Air Products & Chemicals, Inc.		11,305		1,809,365
AptarGroup, Inc.		17,625		1,657,984
Ball Corp.		43,969		2,021,694
Berry Global Group, Inc. (a)		32,912		1,564,307
Celanese Corp., Series A		12,082		1,087,018
Eastman Chemical Co.		15,965		1,167,201
Ecolab, Inc.		13,553		1,997,035
FMC Corp.		15,375		1,137,135
Freeport-McMoRan, Inc.		53,287		549,389
Huntsman Corp.		36,079		695,964
International Paper Co.		26,392		1,065,181
Lyondellbasell Industries NV, Class A		11,724		974,968
Martin Marietta Materials, Inc. (b)		7,086		1,217,871
NewMarket Corp.		3,768		1,552,755
Nucor Corp.		19,330		1,001,488
Olin Corp.		38,556		775,361
Packaging Corp. of America		12,799		1,068,205
PPG Industries, Inc.		14,156		1,447,168
Reliance Steel & Aluminum Co.		13,954		993,106
RPM International, Inc.		20,630		1,212,631
Sonoco Products Co.		34,558		1,836,067
Steel Dynamics, Inc.		23,148		695,366
The Chemours Co.		23,772		670,846
The Sherwin-Williams Co.		3,380		1,329,895
U.S. Steel Corp.		22,414		408,831
Vulcan Materials Co.		12,111		1,196,567
Westlake Chemical Corp.		11,566		765,322
WestRock Co.		27,355		1,032,925
				32,931,645

See notes to financial statements.

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Real Estate (0.4%):
CBRE Group, Inc., Class A (a)		35,649	$	1,427,386
Jones Lang LaSalle, Inc.		8,891		1,125,601
				2,552,987
Utilities (7.5%):
Alliant Energy Corp.		48,693		2,057,279
American Electric Power Co., Inc.		28,725		2,146,907
Aqua America, Inc. (b)		50,754		1,735,279
Atmos Energy Corp.		24,508		2,272,382
Consolidated Edison, Inc.		26,705		2,041,864
Dominion Resources, Inc.		26,890		1,921,559
DTE Energy Co.		19,917		2,196,845
Duke Energy Corp.		26,315		2,270,985
Eversource Energy		34,491		2,243,295
Exelon Corp.		52,267		2,357,242
IDACORP, Inc. (b)		19,753		1,838,214
MDU Resources Group, Inc.		71,203		1,697,480
National Fuel Gas Co. (b)		36,626		1,874,519
NextEra Energy, Inc.		13,673		2,376,640
OGE Energy Corp. (b)		56,453		2,212,393
Pinnacle West Capital Corp.		26,642		2,269,898
PPL Corp.		55,943		1,584,865
Public Service Enterprise Group, Inc.		39,203		2,040,516
UGI Corp.		43,835		2,338,597
WEC Energy Group, Inc.		31,675		2,193,811
Xcel Energy, Inc.		41,876		2,063,231
				43,733,801
Total Common Stocks (Cost $641,332,520)				586,046,541
Collateral for Securities Loaned^ (5.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (c)		5,879,599		5,879,599
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (c)		8,495,738		8,495,738
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (c)		262,350		262,350
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (c)		3,266,480		3,266,480
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (c)		5,226,042		5,226,042
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (c)		7,839,552		7,839,552
Total Collateral for Securities Loaned (Cost $30,969,761)				30,969,761
Total Investments (Cost $672,302,281) — 105.1%				617,016,302
Liabilities in excess of other assets — (5.1)%				(30,109,001	)
NET ASSETS — 100.00%			$	586,907,301

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security is on loan.

(c)  Rate disclosed is the daily yield on December 31, 2018.

See notes to financial statements.

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December 31, 2018

  (Unaudited)

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		3	3/15/19	$	370,975	$	375,780	$	4,805
	Total unrealized appreciation							$	4,805
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	4,805

See notes to financial statements.

20

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December 31, 2018

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Security Description	Shares		Value
Common Stocks (99.1%)
Communication Services (2.8%):
Cars.com, Inc. (a)		3,323	$	71,444
Emerald Expositions Events, Inc.		6,239		76,989
Gray Television, Inc. (a)		3,935		58,002
Loral Space & Communications, Inc. (a)		3,443		128,251
Marcus Corp.		2,967		117,197
MSG Networks, Inc., Class A (a)		3,896		91,790
QuinStreet, Inc. (a)		3,482		56,513
Shenandoah Telecommunications Co.		2,511		111,112
Sinclair Broadcast Group, Inc., Class A		2,988		78,704
Techtarget, Inc. (a)		2,965		36,203
TEGNA, Inc.		8,022		87,199
				913,404
Consumer Discretionary (16.0%):
Acushnet Holdings Corp.		4,477		94,331
American Axle & Manufacturing Holdings, Inc. (a)		5,060		56,166
American Outdoor Brands Corp. (a)		3,273		42,091
American Public Education, Inc. (a)		1,506		42,861
America's Car-Mart, Inc./TX (a)		893		64,698
Asbury Automotive Group, Inc. (a)		1,609		107,255
Bed Bath & Beyond, Inc.		4,215		47,714
Big Lots, Inc.		2,179		63,017
BJ's Restaurants, Inc.		1,186		59,976
Bloomin' Brands, Inc.		6,217		111,222
Bluegreen Vacations Corp. (b)		4,061		52,509
Bojangles', Inc. (a)		7,107		114,281
Boot Barn Holdings, Inc. (a)		2,312		39,373
Brinker International, Inc.		2,285		100,494
Caleres, Inc.		2,448		68,128
Carriage Services, Inc.		7,630		118,265
Cavco Industries, Inc. (a)		371		48,371
Century Communities, Inc. (a)		3,143		54,248
Chico's FAS, Inc.		7,281		40,919
Chuy's Holdings, Inc. (a)		3,088		54,781
Citi Trends, Inc.		2,510		51,179
Conn's, Inc. (a)		1,236		23,311
Cooper-Standard Holding (a)		921		57,213
Dave & Buster's Entertainment, Inc.		1,467		65,370
Denny's Corp. (a)		7,242		117,393
Dorman Products, Inc. (a)		1,669		150,243
Ethan Allen Interiors, Inc.		5,802		102,057
Express, Inc. (a)		6,028		30,803
Fox Factory Holding Corp. (a)		1,113		65,522
Funko, Inc. (a)		2,439		32,073
Group 1 Automotive, Inc.		1,076		56,727
Haverty Furniture Cos., Inc.		4,931		92,604
Hooker Furniture Corp.		1,979		52,127
Installed Building Products, Inc. (a)		1,628		54,847

See notes to financial statements.

21

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
International Speedway Corp., Class A		3,957	$	173,554
J. Jill, Inc. (a)		6,575		35,045
Jack in the Box, Inc.		1,367		106,120
Johnson Outdoors, Inc., A		700		41,118
La-Z-Boy, Inc.		2,709		75,066
LCI Industries		865		57,782
LGI Homes, Inc. (a) (b)		1,251		56,570
Lithia Motors, Inc.		1,350		103,046
M/I Homes, Inc. (a)		4,199		88,263
MarineMax, Inc. (a)		2,528		46,288
Mastercraft Boat Holdings, Inc. (a)		3,572		66,796
MDC Holdings, Inc.		3,290		92,482
Meritage Homes Corp. (a)		2,268		83,281
Michaels Cos., Inc. (a)		4,388		59,414
Monarch Casino & Resort, Inc. (a)		3,102		118,310
Monro Muffler Brake, Inc. (b)		1,236		84,975
Murphy USA, Inc. (a)		1,351		103,540
Nautilus, Inc. (a)		5,683		61,945
Nutrisystem, Inc.		1,860		81,617
Oxford Industries, Inc.		1,345		95,549
Papa John's International, Inc. (b)		1,688		67,199
PetMed Express, Inc.		2,013		46,822
Ruth's Hospitality Group, Inc.		3,099		70,440
Sally Beauty Holdings, Inc. (a)		5,479		93,417
Sleep Number Corp. (a)		2,592		82,244
Stoneridge, Inc. (a)		2,398		59,111
Sturm Ruger & Co.		1,688		89,835
Taylor Morrison Home Corp., Class A (a)		5,255		83,555
Tenneco, Inc.		2,319		63,517
The Buckle, Inc. (b)		2,985		57,730
The Cheesecake Factory, Inc. (b)		1,984		86,324
Tilly's, Inc.		2,596		28,193
Topbuild Corp. (a)		1,420		63,900
TRI Pointe Group, Inc. (a)		6,419		70,160
Unifi, Inc. (a)		3,729		85,170
William Lyon Homes, Class A (a)		4,903		52,413
Wingstop, Inc.		1,217		78,119
Winnebago Industries, Inc.		1,757		42,537
Zagg, Inc. (a)		3,146		30,768
				5,214,384
Consumer Staples (6.3%):
B&G Foods, Inc. (b)		2,401		69,413
Calavo Growers, Inc. (b)		1,066		77,775
Central Garden & Pet Co., Class A (a)		3,444		107,625
Chefs' Warehouse, Inc. (a)		3,039		97,187
Craft Brew Alliance, Inc. (a)		6,406		91,670
Elf Beauty, Inc. (a)		3,689		31,947
Hostess Brands, Inc. (a)		6,503		71,143
Ingles Markets, Inc., Class A		2,337		63,613
Inter Parfums, Inc. (b)		1,757		115,206

See notes to financial statements.

22

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
J&J Snack Foods Corp.		1,093	$	158,037
John B. Sanfilippo & Son, Inc.		1,513		84,214
Medifast, Inc.		195		24,379
MGP Ingredients, Inc. (b)		953		54,369
Natural Grocers By Vitamin Cottage, Inc. (a)		2,164		33,174
PriceSmart, Inc.		1,497		88,473
Primo Water Corp. (a)		5,026		70,414
Sanderson Farms, Inc.		949		94,226
The Simply Good Foods Co. (a)		6,185		116,897
Tootsie Roll Industries, Inc. (b)		5,728		191,314
Turning Point Brands, Inc.		2,305		62,742
United Natural Foods, Inc. (a)		2,271		24,050
Universal Corp.		1,015		54,962
Vector Group Ltd.		10,674		103,858
WD-40 Co.		926		169,699
				2,056,387
Energy (3.0%):
Arch Coal, Inc.		932		77,347
C&j Energy Services, Inc. (a)		3,490		47,115
Callon Petroleum Co. (a)		6,310		40,952
Denbury Resources, Inc. (a)		8,834		15,106
Earthstone Energy, Inc., Class A (a)		7,984		36,088
Evolution Petroleum Corp.		9,723		66,311
Exterran Corp. (a)		3,745		66,287
Gulfport Energy Corp. (a)		5,402		35,383
Laredo Petroleum, Inc. (a)		7,395		26,770
Newpark Resources, Inc. (a)		7,336		50,398
Par Pacific Holdings, Inc. (a)		4,407		62,491
Propetro Holding Corp. (a)		4,225		52,052
Rex American Resources Corp. (a)		1,299		88,474
RPC, Inc. (b)		5,282		52,133
SEACOR Smit, Inc. (a)		2,371		87,728
Smart Sand, Inc. (a) (b)		9,813		21,785
Solaris Oilfield Infrastructure, Inc., Class A		3,678		44,467
SRC Energy, Inc. (a)		8,170		38,399
U.S. Silica Holdings, Inc. (b)		3,868		39,376
Unit Corp. (a)		2,091		29,859
				978,521
Financials (23.8%):
1st Source Corp.		2,886		116,421
Ameris Bancorp		2,790		88,359
AMERISAFE, Inc.		2,334		132,314
Axos Financial, Inc. (a) (b)		2,657		66,903
BancFirst Corp.		2,287		114,121
Brookline BanCorp, Inc.		9,669		133,626
Capitol Federal Financial, Inc.		18,523		236,539
Centerstate Banks, Inc.		4,917		103,454
City Holding Co.		2,004		135,450
Cohen & Steers, Inc.		3,805		130,587

See notes to financial statements.

23

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Eagle Bancorp, Inc. (a)		2,669	$	130,007
Employers Holdings, Inc.		3,388		142,194
Enterprise Financial Services Corp.		3,424		128,845
FB Financial Corp.		3,564		124,811
FBL Financial Group, Inc., Class A		1,608		105,565
Federated Investors, Inc., Class B		4,433		117,696
First BanCorp		3,686		120,385
First Busey Corp.		5,506		135,117
First Commonwealth Financial Corp.		9,289		112,211
First Interstate BancSystem, Inc., Class A		3,870		141,487
First Merchants Corp.		3,077		105,449
First Midwest Bancorp, Inc.		5,788		114,660
Great Western BanCorp, Inc.		3,397		106,156
Heartland Financial USA, Inc.		2,980		130,971
Heritage Financial Corp.		3,742		111,212
Hilltop Holdings, Inc.		6,178		110,154
Hope Bancorp, Inc.		8,010		94,999
Horace Mann Educators Corp.		3,391		126,993
Independent Bank Corp.		1,529		107,504
Independent Bank Group, Inc.		2,002		91,632
James River Group Holdings Ltd.		3,621		132,311
Kearny Financial Corp.		11,045		141,597
Kinsale Capital Group, Inc.		2,159		119,954
Lakeland Financial Corp.		3,640		146,182
LegacyTexas Financial Group, Inc.		2,542		81,573
Legg Mason, Inc.		3,909		99,719
NBT Bancorp, Inc.		4,178		144,517
Nelnet, Inc., Class A		2,455		128,494
Northwest Bancshares, Inc.		11,735		198,791
Oceanfirst Financial Corp.		6,581		148,138
Pacific Premier Bancorp, Inc. (a)		3,466		88,452
Park National Corp.		1,483		125,981
PRA Group, Inc. (a)		2,772		67,554
ProAssurance Corp.		2,271		92,112
Provident Financial Services, Inc.		7,153		172,602
Renasant Corp.		3,630		109,553
S&T Bancorp, Inc.		3,399		128,618
Safety Insurance Group, Inc.		1,919		156,994
Sandy Spring BanCorp		4,453		139,557
Seacoast Banking Corp. of Florida (a)		3,894		101,322
ServisFirst Bancshares, Inc.		3,282		104,597
Simmons First National Corp., Class A		4,481		108,127
Southside Bancshares, Inc.		4,735		150,336
Tompkins Financial Corp.		1,764		132,318
Towne Bank		5,697		136,443
Trustmark Corp. (b)		4,662		132,541
Union Bankshares Corp.		3,658		103,265
Universal Insurance Holdings, Inc.		2,629		99,692
Waddell & Reed Financial, Inc., Class A (b)		4,870		88,050
Walker & Dunlop, Inc.		2,205		95,366

See notes to financial statements.

24

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Washington Federal, Inc.		5,056	$	135,046
WesBanco, Inc.		3,324		121,958
Westamerica BanCorp		2,382		132,630
WisdomTree Investments, Inc.		11,653		77,492
				7,757,704
Health Care (7.1%):
Addus HomeCare Corp. (a)		1,530		103,856
AMN Healthcare Services, Inc. (a)		1,291		73,148
Atrion Corp.		175		129,689
Cambrex Corp. (a) (b)		1,609		60,756
CONMED Corp.		1,979		127,052
Corcept Therapeutics, Inc. (a) (b)		4,332		57,876
CorVel Corp. (a)		1,872		115,540
Eagle Pharmaceuticals, Inc. (a)		1,087		43,795
Enanta Pharmaceuticals, Inc. (a)		670		47,456
Innoviva, Inc. (a)		7,525		131,311
Integer Holdings Corp. (a)		1,336		101,883
Lantheus Holdings, Inc. (a)		3,696		57,842
Lemaitre Vascular, Inc.		2,239		52,930
Magellan Health, Inc. (a)		874		49,722
Medpace Holdings, Inc. (a)		1,012		53,565
Meridian Bioscience, Inc.		9,655		167,612
Omnicell, Inc. (a)		1,607		98,413
Orthofix Medical, Inc. (a)		1,672		87,763
Phibro Animal Health Corp., Class A		2,420		77,827
Repligen Corp. (a)		2,446		129,002
Select Medical Holdings Corp. (a)		5,849		89,782
Supernus Pharmaceuticals, Inc. (a)		1,696		56,341
The Ensign Group, Inc.		2,841		110,202
Tivity Health, Inc. (a)		3,850		95,519
US Physical Therapy, Inc.		1,009		103,271
Varex Imaging Corp. (a)		2,299		54,440
				2,276,593
Industrials (23.1%):
AAON, Inc. (b)		2,874		100,762
Acco Brands Corp.		10,073		68,295
Advanced Disposal Services, Inc. (a)		7,441		178,137
Aircastle Ltd.		6,296		108,543
Alamo Group, Inc.		1,264		97,732
Albany International Corp., Class A		1,316		82,158
Allegiant Travel Co.		602		60,333
Altra Industrial Motion Corp.		3,316		83,397
American Woodmark Corp. (a)		814		45,324
Apogee Enterprises, Inc.		2,043		60,984
Applied Industrial Technologies, Inc.		1,611		86,897
ArcBest Corp.		1,192		40,838
Atkore International Group, Inc. (a)		3,311		65,690
BMC Stock Holdings, Inc. (a)		4,246		65,728
Brady Corp., Class A		3,798		165,060

See notes to financial statements.

25

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
CBIZ, Inc. (a)		7,486	$	147,474
Chart Industries, Inc. (a)		1,164		75,695
Comfort Systems USA, Inc.		2,130		93,038
Continental Building Products, Inc. (a)		3,418		86,988
Deluxe Corp.		2,717		104,441
DXP Enterprise, Inc. (a)		1,493		41,565
Dycom Industries, Inc. (a)		714		38,585
Echo Global Logistics, Inc. (a)		3,131		63,653
Encore Wire Corp.		2,367		118,776
EnPro Industries, Inc.		1,508		90,631
ESCO Technologies, Inc.		2,260		149,046
Federal Signal Corp.		3,485		69,352
Forward Air Corp.		2,075		113,814
Franklin Electric Co., Inc.		2,331		99,953
FTI Consulting, Inc. (a)		1,397		93,096
Gibraltar Industries, Inc. (a)		2,170		77,230
Global Brass & Copper Holdings, Inc.		2,470		62,121
GMS, Inc. (a) (b)		3,191		47,418
Gorman-Rupp Co.		4,247		137,644
H&E Equipment Services, Inc.		2,048		41,820
Hawaiian Holdings, Inc.		2,132		56,306
Heartland Express, Inc.		5,592		102,334
Herman Miller, Inc.		2,527		76,442
HNI Corp.		2,423		85,847
Hub Group, Inc., Class A (a)		1,928		71,471
ICF International, Inc.		1,697		109,932
Insteel Industries, Inc.		2,192		53,222
Interface, Inc.		5,301		75,539
Kadant, Inc.		1,478		120,398
Kaman Corp., Class A		2,197		123,231
KBR, Inc.		5,354		81,274
Kforce, Inc.		2,313		71,518
Kimball International, Inc., Class B		9,186		130,349
Knoll, Inc.		5,633		92,832
Lindsay Corp.		1,384		133,210
Lydall, Inc. (a)		2,655		53,923
Marten Transport Ltd.		4,355		70,507
Matson, Inc.		3,566		114,183
Matthews International Corp., Class A (b)		2,675		108,659
McGrath RentCorp		2,437		125,457
Mercury Systems, Inc. (a) (b)		1,209		57,174
Milacron Holdings Corp. (a)		5,686		67,607
Mobile Mini, Inc.		2,257		71,660
Moog, Inc., Class A		1,431		110,874
Mueller Industries, Inc.		3,983		93,043
Mueller Water Products, Inc., Class A		9,643		87,751
Multi-Color Corp. (b)		1,696		59,513
National Presto Industries, Inc. (b)		922		107,800
Navigant Consulting, Inc.		4,262		102,501
NV5 Global, Inc. (a)		760		46,018

See notes to financial statements.

26

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Patrick Industries, Inc. (a)		1,163	$	34,436
PGT, Inc. (a)		4,049		64,177
Pitney Bowes, Inc.		13,077		77,285
Primoris Services Corp. (b)		5,126		98,060
Raven Industries, Inc.		1,609		58,230
REV Group, Inc.		3,976		29,860
Rush Enterprises, Inc., Class A		2,575		88,786
Saia, Inc. (a)		1,257		70,166
SP Plus Corp. (a)		3,950		116,683
SPX Corp. (a)		4,060		113,721
SPX Flow, Inc. (a)		1,929		58,680
Steelcase, Inc., Class A		7,520		111,522
Sun Hydraulics Corp.		2,115		70,197
Sunrun, Inc. (a)		4,132		44,997
Systemax, Inc.		2,618		62,544
The Greenbrier Cos., Inc.		1,759		69,551
Thermon Group Holdings, Inc. (a)		4,413		89,496
TrueBlue, Inc. (a)		3,434		76,407
Universal Forest Products, Inc.		3,615		93,845
US Ecology, Inc.		1,568		98,753
Vectrus, Inc. (a)		1,410		30,428
Wabash National Corp.		5,783		75,642
Werner Enterprises, Inc. (b)		2,796		82,594
WESCO International, Inc. (a)		2,020		96,960
				7,535,813
Information Technology (9.0%):
Alarm.com Holdings, Inc. (a)		1,561		80,969
Alpha & Omega Semiconductor Ltd. (a)		6,292		64,115
Amkor Technology, Inc. (a)		10,230		67,109
Anixter International, Inc. (a)		948		51,486
AppFolio, Inc. (a)		925		54,779
Applied Optoelectronics, Inc. (a)		1,168		18,022
Axcelis Technologies, Inc. (a)		3,884		69,135
AXT, Inc. (a)		7,019		30,533
Badger Meter, Inc.		2,016		99,207
Brooks Automation, Inc.		1,390		36,390
Casa Systems, Inc. (a)		3,071		40,322
Cass Information Systems, Inc.		2,298		121,610
Cohu, Inc.		3,369		54,140
Control4 Corp. (a)		2,035		35,816
CSG Systems International, Inc. (b)		3,858		122,569
Ebix, Inc.		1,379		58,690
Electro Scientific, Inc. (a)		2,788		83,528
ePlus, Inc. (a)		1,398		99,497
Evertec, Inc.		5,964		171,167
Fabrinet (a)		1,871		96,001
FormFactor, Inc. (a)		4,290		60,446
Ichor Holdings Ltd. (a)		2,010		32,763
Insight Enterprises, Inc. (a)		1,787		72,820
InterDigital, Inc.		2,185		145,150

See notes to financial statements.

27

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
KEMET Corp.		2,812	$	49,322
ManTech International Corp., Class A		1,784		93,294
MTS Systems Corp.		2,414		96,874
Nanometrics, Inc. (a)		1,287		35,174
NIC, Inc.		7,561		94,361
PC Connection, Inc.		3,044		90,498
Perficient, Inc. (a)		4,815		107,182
Photronics, Inc. (a)		7,315		70,809
Presidio, Inc. (b)		6,050		78,953
Progress Software Corp.		1,870		66,366
Rogers Corp. (a)		645		63,894
ScanSource, Inc. (a)		2,338		80,380
Tech Data Corp. (a)		1,001		81,892
The Hackett Group, Inc.		6,883		110,197
TTM Technologies, Inc. (a) (b)		4,629		45,040
Ultra Clean Holdings, Inc. (a)		3,846		32,576
				2,963,076
Materials (3.1%):
Advansix, Inc. (a)		2,311		56,250
American Vanguard Corp.		3,720		56,507
Boise Cascade Co.		2,823		67,329
Carpenter Technology Corp.		1,635		58,222
Chase Corp.		900		90,045
Clearwater Paper Corp. (a)		1,684		41,039
Greif, Inc., Class A		1,835		68,097
Minerals Technologies, Inc.		2,105		108,070
Myers Industries, Inc.		3,372		50,951
Olympic Steel, Inc.		3,379		48,218
Rayonier Advanced Materials, Inc.		3,828		40,768
Schnitzer Steel Industries, Inc.		2,937		63,292
Stepan Co.		1,154		85,396
SunCoke Energy, Inc. (a)		7,939		67,879
Warrior Met Coal, Inc.		2,231		53,789
Worthington Industries, Inc.		2,273		79,192
				1,035,044
Real Estate (1.4%):
Four Corners Property Trust, Inc.		7,538		197,496
HFF, Inc., Class A		1,595		52,890
Marcus & Millichap, Inc. (a)		3,957		135,844
The RMR Group, Inc.		1,237		65,660
				451,890
Utilities (3.5%):
American States Water Co.		2,490		166,929
Chesapeake Utilities Corp.		1,833		149,023
MGE Energy, Inc.		2,816		168,847
Middlesex Water Co.		2,637		140,684
Otter Tail Corp.		3,818		189,526

See notes to financial statements.

28

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
SJW Corp.		1,816	$	101,006
Unitil Corp.		3,715		188,128
				1,104,143
Total Common Stocks (Cost $38,680,855)				32,286,959
Rights (0.0%) (c)
Materials (0.0%): (c)
Schulman, Inc. (a) (d) (e)		1,471		2,942
Total Rights (Cost $2,942)				2,942
Collateral for Securities Loaned^ (4.6%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (f)		282,231		282,231
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (f)		407,809		407,809
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (f)		12,593		12,593
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (f)		156,796		156,796
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (f)		250,859		250,859
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (f)		376,312		376,312
Total Collateral for Securities Loaned (Cost $1,486,600)				1,486,600
Total Investments (Cost $40,170,397) — 103.7%				33,776,501
Liabilities in excess of other assets — (3.7)%				(1,205,282	)
NET ASSETS — 100.00%			$	32,571,219

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security is on loan.

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

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(f)  Rate disclosed is the daily yield on December 31, 2018.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		4	3/15/19	$	281,991	$	269,800	$	(12,191	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(12,191	)
	Total net unrealized appreciation(depreciation)							$	(12,191	)

See notes to financial statements.

29

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December 31, 2018

  (Unaudited)

Security Description	Shares			Value
Common Stocks (99.7%)
Australia (5.4%):
Communication Services (0.2%):
Telstra Corp. Ltd.		19,682		$	39,501
Consumer Discretionary (0.1%):
Aristocrat Leisure Ltd.		2,006			30,852
Consumer Staples (0.8%):
Treasury Wine Estates Ltd.		3,030			31,579
Wesfarmers Ltd.		2,914			66,117
Woolworths Ltd.		4,777			98,968
					196,664
Energy (0.5%):
Oil Search Ltd.		9,384			47,315
Santos Ltd.		6,932			26,751
Woodside Petroleum Ltd.		2,430			53,595
					127,661
Financials (2.0%):
Asx Ltd.		1,690			71,334
Australia & New Zealand Banking Group Ltd.		3,674			63,284
Commonwealth Bank of Australia		1,402			71,470
Insurance Australia Group Ltd.		11,249			55,451
Macquarie Group Ltd.		753			57,613
National Australia Bank Ltd.		4,349			73,716
Suncorp Group Ltd.		7,553			67,177
Westpac Banking Corp.		3,586			63,232
					523,277
Health Care (0.4%):
Cochlear Ltd.		363			44,369
CSL Ltd.		380			49,548
					93,917
Industrials (0.3%):
Brambles Ltd.		7,968			56,952
Cimic Group Ltd.		1,075			32,862
					89,814
Materials (0.9%):
BHP Billiton Ltd.		2,310			55,682
BHP Group PLC		1,878			39,528
Newcrest Mining Ltd.		3,809	��		58,474
RIO Tinto Ltd.		941			51,999
South32 Ltd.		14,059			33,166
					238,849
Utilities (0.2%):
AGL Energy Ltd. (a)		3,685			53,457
					1,393,992

See notes to financial statements.

30

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Austria (0.5%):
Energy (0.1%):
OMV AG		580	$	25,415
Financials (0.2%):
Erste Group Bank AG		1,561		51,949
Utilities (0.2%):
Verbund AG, Class A (a)		1,450		61,860
				139,224
Belgium (1.8%):
Consumer Staples (0.5%):
Anheuser-Busch InBev SA/NV		671		44,354
Colruyt SA		1,171		83,494
				127,848
Financials (0.8%):
Ageas		1,397		62,895
Groupe Bruxelles Lambert SA		830		72,340
KBC Groep NV		905		58,764
				193,999
Health Care (0.2%):
UCB SA		708		57,830
Materials (0.3%):
Solvay SA		465		46,515
Umicore SA		782		31,230
				77,745
				457,422
Bermuda (0.6%):
Industrials (0.3%):
Jardine Matheson Holdings Ltd.		1,300		90,454
Real Estate (0.3%):
Hongkong Land Holdings Ltd.		11,900		74,970
				165,424
Canada (10.6%):
Communication Services (1.2%):
BCE, Inc.		2,942		116,236
Rogers Communications, Inc.		1,573		80,621
TELUS Corp.		3,546		117,550
				314,407
Consumer Discretionary (0.5%):
Dollarama, Inc.		1,496		35,586
Magna International, Inc.		782		35,502
Restaurant Brands International, Inc.		1,102		57,579
				128,667

See notes to financial statements.

31

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (1.1%):
Alimentation Couche-Tard, Inc., Class B		1,067	$	53,084
George Weston Ltd.		1,098		72,436
Loblaw Cos. Ltd.		2,058		92,135
Saputo, Inc.		2,060		59,144
				276,799
Energy (1.0%):
Canadian Natural Resources Ltd.		1,359		32,795
Enbridge, Inc.		1,347		41,851
Husky Energy, Inc.		2,686		27,765
Pembina Pipeline Corp. (a)		1,921		57,011
Suncor Energy, Inc.		1,375		38,409
TransCanada Corp.		1,465		52,322
				250,153
Financials (4.5%):
Bank of Montreal		1,787		116,764
Brookfield Asset Management, Inc.		1,637		62,745
Canadian Imperial Bank of Commerce		1,463		108,980
Fairfax Financial Holdings Ltd.		108		47,550
Great-West Lifeco, Inc.		4,918		101,530
Intact Financial Corp.		1,008		73,248
National Bank of Canada		2,357		96,784
Power Corp. of Canada		4,481		80,527
Power Financial Corp.		4,527		85,665
Royal Bank of Canada		1,499		102,613
Sun Life Financial, Inc.		2,330		77,308
The Bank of Nova Scotia		1,904		94,921
The Toronto-Dominion Bank		2,195		109,123
				1,157,758
Industrials (0.5%):
Canadian National Railway Co.		822		60,888
Canadian Pacific Railway Ltd.		339		60,161
				121,049
Information Technology (0.7%):
CGI Group, Inc. (b)		1,395		85,335
Constellation Software, Inc.		63		40,332
Open Text Corp.		1,597		52,064
				177,731
Materials (0.3%):
Franco-Nevada Corp.		683		47,900
Teck Resources Ltd., Class B		1,586		34,148
				82,048

See notes to financial statements.

32

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Utilities (0.8%):
Fortis, Inc.		3,409	$	113,658
Hydro One Ltd. (c)		6,999		103,832
				217,490
				2,726,102
Denmark (1.7%):
Financials (0.2%):
Danske Bank A/S		1,802		35,652
Health Care (0.7%):
Ambu A/S (a)		621		14,927
Coloplast A/S		584		54,230
H. Lundbeck A/S		646		28,298
Novo Nordisk A/S, Class B		1,129		51,622
William Demant Holding A/S (a) (b)		927		26,308
				175,385
Industrials (0.4%):
DSV A/S		589		38,801
Rockwool International A/S, Class B		86		22,440
Vestas Wind Systems A/S		656		49,548
				110,789
Materials (0.4%):
Christian Hansen Holding A/S		545		48,233
Novozymes A/S, B Shares		1,232		55,008
				103,241
				425,067
Finland (1.3%):
Energy (0.1%):
Neste Oyj		390		30,095
Financials (0.5%):
Nordea Bank AB		5,342		44,977
Sampo Oyj, Class A		1,547		68,071
				113,048
Industrials (0.3%):
Kone Oyj, Class B		1,048		49,992
Wartsila Oyj ABP, Class B		2,296		36,548
				86,540
Materials (0.2%):
Stora ENSO Oyj, R Shares		2,118		24,470
UPM-Kymmene Oyj		1,352		34,307
				58,777
Utilities (0.2%):
Fortum Oyj		2,270		49,669
				338,129

See notes to financial statements.

33

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
France (10.9%):
Communication Services (0.7%):
Orange SA		4,696	$	76,150
Publicis Groupe SA		741		42,512
Vivendi Universal SA		2,124		51,779
				170,441
Consumer Discretionary (1.7%):
Accor SA		1,324		56,287
Cie Generale des Etablissements Michelin		471		46,781
Hermes International		109		60,537
Kering		82		38,665
LVMH Moet Hennessy Louis Vuitton SA		156		46,144
Psa Peugeot Citroen		1,460		31,185
Renault SA		577		36,058
Seb SA		303		39,154
Sodexo SA		399		40,910
Valeo SA		1,089		31,825
				427,546
Consumer Staples (0.9%):
Danone SA		990		69,761
L'Oreal SA		307		70,761
Pernod Ricard SA		619		101,617
				242,139
Energy (0.2%):
Total SA		1,067		56,448
Financials (1.2%):
AXA SA		2,200		47,528
BNP Paribas SA		1,085		49,066
CNP Assurances		3,215		68,211
Credit Agricole SA		5,322		57,493
Natixis SA		7,536		35,560
Societe Generale SA		1,659		52,873
				310,731
Health Care (1.1%):
BioMerieux		573		37,744
Essilor International SA		590		74,653
Ipsen SA		382		49,385
Sanofi		919		79,655
Sartorius Stedim Biotech		426		42,629
				284,066
Industrials (3.3%):
Aeroports de Paris		274		51,949
Airbus Group SE		438		42,129
Alstom SA		1,980		80,002
Bollore SA		12,139		48,672
Bouygues		1,483		53,244

See notes to financial statements.

34

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Bureau Veritas SA		2,967	$	60,485
Compagnie de Saint-Gobain		1,513		50,551
Edenred		1,250		45,981
Eiffage SA		842		70,377
Legrand SA		1,144		64,611
Safran SA		459		55,422
Schneider Electric SA		729		49,874
Teleperformance		262		41,900
Thales SA		517		60,412
Vinci SA		796		65,675
				841,284
Information Technology (0.5%):
Atos SE		362		29,643
Cap Gemini SA		497		49,420
Dassault Systemes SA		383		45,500
				124,563
Materials (0.4%):
Air Liquide SA		580		72,059
Arkema SA		502		43,109
				115,168
Utilities (0.9%):
Electricite de France SA		3,306		52,265
Gdf Suez		4,241		60,853
Suez Environnement Co.		3,302		43,615
Veolia Environnement SA		3,133		64,443
				221,176
				2,793,562
Germany (4.9%):
Communication Services (0.5%):
Deutsche Telekom AG, Registered Shares		4,538		77,045
United Internet AG, Registered Shares		851		37,241
				114,286
Consumer Discretionary (0.5%):
Bayerische Motoren Werke AG		636		51,512
Continental AG		230		31,816
Daimler AG, Registered Shares		832		43,758
				127,086
Consumer Staples (0.3%):
Beiersdorf AG		620		64,748
Financials (0.6%):
Commerzbank AG (b)		4,004		26,526
Deutsche Boerse AG		485		58,311
Hannover Rueck SE		528		71,194
				156,031

See notes to financial statements.

35

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Health Care (0.6%):
Bayer AG		485	$	33,648
Fresenius Medical Care AG & Co. KGaA		546		35,428
Fresenius SE & Co. KGaA		658		31,946
Merck KGaA		507		52,262
				153,284
Industrials (1.0%):
Brenntag AG		1,100		47,508
Deutsche Post AG		1,370		37,526
Hochtief AG		349		47,058
MTU Aero Engines Holding AG		181		32,845
Rational AG		67		38,070
Siemens AG		476		53,101
				256,108
Information Technology (0.4%):
Infineon Technologies AG		1,717		34,157
SAP SE		532		52,980
Wirecard AG		158		24,037
				111,174
Materials (0.5%):
BASF SE		681		47,121
Evonik Industries AG		1,683		42,031
Symrise AG		608		44,926
				134,078
Real Estate (0.5%):
Deutsche Wohnen AG		1,706		78,175
Vonovia SE		1,361		61,727
				139,902
				1,256,697
Hong Kong (5.3%):
Consumer Discretionary (0.2%):
Galaxy Entertainment Group Ltd.		4,000		25,441
Techtronic Industries Co. Ltd.		4,000		21,251
				46,692
Consumer Staples (0.2%):
Sun Art Retail Group Ltd.		28,000		28,536
WH Group Ltd. (c)		40,000		30,805
				59,341
Financials (0.8%):
AIA Group Ltd.		4,800		39,847
Hang Seng Bank		2,200		49,395
Hong Kong Exchanges and Clearing Ltd.		2,000		57,880
The Bank of East Asia Ltd.		15,400		48,973
				196,095

See notes to financial statements.

36

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		19,000	$	12,521
Industrials (0.5%):
CK Hutchison Holdings Ltd.		6,500		62,426
MTR Corp. Ltd.		12,000		63,142
				125,568
Real Estate (2.2%):
CK Asset Holdings Ltd.		10,313		75,471
Henderson Land Development Co. Ltd.		15,128		75,350
New World Development Co. Ltd.		46,000		60,863
Shimao Property Holdings Ltd.		8,500		22,688
Sino Land Co. Ltd.		28,000		47,990
Sun Hung KAI Properties Ltd.		7,000		99,770
Swire Pacific Ltd., Class A		6,000		63,372
Wharf Real Estate Investment		9,000		53,851
Wheelock & Co. Ltd.		12,000		68,582
				567,937
Utilities (1.3%):
China Gas Holdings Ltd. (a)		7,000		24,943
CK Infrastructure Holdings Ltd.		11,500		87,094
CLP Holdings Ltd.		6,500		73,467
Hong Kong & China Gas Co. Ltd.		45,394		93,919
Power Assets Holdings Ltd. (a)		9,500		66,124
				345,547
				1,353,701
Ireland (1.3%):
Communication Services (0.1%):
WPP PLC		2,322		25,052
Consumer Staples (0.2%):
Kerry Group PLC		545		54,006
Financials (0.1%):
Bank of Ireland Group PLC		6,153		34,258
Industrials (0.6%):
Experian PLC		2,908		70,599
Kingspan Group PLC		1,212		51,901
Ryanair Holdings PLC, ADR (b)		440		31,389
				153,889
Materials (0.3%):
CRH PLC		1,778		47,052
Smurfit Kappa Group PLC		596		15,881
				62,933
				330,138

See notes to financial statements.

37

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Israel (0.4%):
Financials (0.4%):
Bank Hapoalim BM		8,637	$	54,690
Bank Leumi Le-Israel B.M.		9,719		58,808
				113,498
Italy (2.1%):
Communication Services (0.1%):
Telecom Italia SpA (b)		63,656		35,244
Consumer Discretionary (0.1%):
Moncler SpA		699		23,166
Consumer Staples (0.3%):
Davide Campari - Milano SpA		7,475		63,240
Energy (0.5%):
Eni SpA		3,390		53,392
Snam SpA		14,101		61,692
				115,084
Financials (0.5%):
Assicurazioni Generali SpA		3,908		65,364
Intesa Sanpaolo SpA		17,104		38,009
UniCredit SpA		2,765		31,340
				134,713
Industrials (0.1%):
Atlantia SpA		1,464		30,306
Utilities (0.5%):
Enel SpA		12,097		69,901
Terna Rete Elettrica Nazionale SpA		11,112		63,051
				132,952
				534,705
Japan (20.0%):
Communication Services (1.0%):
KDDI Corp.		2,300		55,071
Nintendo Co. Ltd.		100		26,722
Nippon Telegraph & Telephone Corp.		1,500		61,347
NTT DOCOMO, Inc.		3,000		67,684
SoftBank Group Corp.		300		19,997
Yahoo Japan Corp.		9,700		24,252
				255,073
Consumer Discretionary (3.5%):
Aisin Seiki Co. Ltd.		700		24,400
Bridgestone Corp.		1,600		61,845
Denso Corp.		900		40,183
Fuji Heavy Industries Ltd.		2,100		45,223
Honda Motor Co. Ltd.		1,700		44,900
Isuzu Motors Ltd.		3,200		45,216

See notes to financial statements.

38

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Koito Manufacturing Co. Ltd.		500	$	25,915
Mitsubishi Motors Corp.		5,200		28,565
Nissan Motor Co. Ltd.		8,000		64,261
Nitori Holdings Co. Ltd.		200		25,057
Oriental Land Co. Ltd.		800		80,701
Panasonic Corp.		4,000		36,157
Rakuten, Inc. (a)		5,000		33,580
Sekisui House Ltd.		4,100		60,570
Sharp Corp./Japan		1,200		12,067
Shimano, Inc.		600		84,971
Sumitomo Electric Industries Ltd.		3,300		44,024
Suzuki Motor Corp.		700		35,559
Toyota Industries Corp.		600		27,867
Toyota Motor Corp.		1,100		64,300
Zozo, Inc.		600		11,005
				896,366
Consumer Staples (1.6%):
Asahi Group Holdings Ltd.		900		35,059
Japan Tobacco, Inc. (a)		2,100		50,138
Kao Corp.		900		66,964
Kikkoman Corp.		1,100		59,321
Kose Corp.		100		15,750
MEIJI Holdings Co. Ltd.		500		40,880
Seven & i Holdings Co. Ltd.		1,800		78,560
Uni-Charm Corp.		1,500		48,713
Yakult Honsha Co. Ltd.		400		28,178
				423,563
Energy (0.2%):
Idemitsu Kosan Co. Ltd.		400		13,176
JXTG Holdings, Inc.		5,300		27,891
				41,067
Financials (2.7%):
Daiwa Securities Group, Inc.		12,800		65,010
Japan Post Bank Co. Ltd.		6,300		69,559
Japan Post Holdings Co. Ltd.		7,900		91,190
Mitsubishi UFJ Financial Group, Inc.		9,300		45,647
Mizuho Financial Group, Inc.		54,300		84,381
Nomura Holdings, Inc.		15,500		59,516
ORIX Corp.		3,500		51,275
Resona Holdings, Inc.		8,500		41,007
Sumitomo Mitsui Financial Group, Inc.		1,700		56,543
Sumitomo Mitsui Trust Holdings, Inc.		1,600		58,721
T&D Holdings, Inc.		3,100		36,179
The Dai-ichi Life Insurance Co. Ltd.		2,400		37,624
				696,652

See notes to financial statements.

39

Victory Portfolios II
VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Health Care (1.4%):
Astellas Pharma, Inc.		3,600	$	46,039
Chugai Pharmaceutical Co. Ltd.		1,000		58,217
Eisai Co. Ltd.		200		15,516
Hoya Corp.		700		42,253
M3, Inc.		1,500		20,175
ONO Pharmaceutical Co. Ltd.		1,500		30,728
Otsuka Holdings Co. Ltd.		900		36,899
Shionogi & Co. Ltd.		1,200		68,667
Sysmex Corp.		300		14,443
Taisho Pharmaceutical Holdings		300		30,194
				363,131
Industrials (4.5%):
Central Japan Railway Co.		200		42,276
Daikin Industries Ltd.		300		32,015
East Japan Railway Co.		1,000		88,612
FANUC Corp.		200		30,422
ITOCHU Corp.		3,300		56,220
Japan Airlines Co. Ltd.		1,800		63,909
Komatsu Ltd.		1,600		34,536
Kubota Corp.		3,100		44,171
Makita Corp.		800		28,506
Marubeni Corp.		6,800		47,927
Mitsubishi Corp.		2,000		55,115
Mitsubishi Electric Corp.		3,400		37,742
Mitsubishi Heavy Industries Ltd.		1,800		64,977
Mitsui & Co. Ltd.		3,600		55,532
Nidec Corp.		700		79,683
Recruit Holdings Co. Ltd.		1,000		24,295
Secom Co. Ltd.		1,100		91,481
SMC Corp.		100		30,331
Sumitomo Corp.		3,600		51,295
Taisei Corp.		700		30,053
Tokyu Corp.		3,700		60,603
Toyota Tsusho Corp.		1,100		32,571
West Japan Railway Co.		1,100		77,900
				1,160,172
Information Technology (2.3%):
Canon, Inc.		2,400		65,721
FUJIFILM Holdings Corp.		1,500		58,445
Fujitsu Ltd.		700		43,735
Hitachi Ltd.		1,400		37,501
Keyence Corp.		400		203,230
Murata Manufacturing Co. Ltd.		200		27,293
Nomura Research Institute Ltd.		826		30,714
NTT Data Corp.		3,300		36,285
Oracle Corp. Japan		300		19,162

See notes to financial statements.

40

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
ROHM Co. Ltd.		300	$	19,272
TDK Corp.		200		14,089
Tokyo Electron Ltd.		200		22,840
				578,287
Materials (1.1%):
Asahi Kasei Corp.		3,200		32,996
JFE Holdings, Inc.		1,900		30,462
Mitsubishi Chem Holdings		5,500		41,786
Nippon Paint Co. Ltd. (a)		600		20,586
Nippon Steel & Sumitomo Metal		2,500		43,172
Nitto Denko Corp.		500		25,290
Shin-Etsu Chemical Co. Ltd.		500		38,945
Toray Industries, Inc.		8,200		57,764
				291,001
Real Estate (1.3%):
Daito Trust Construction Co. Ltd.		200		27,402
Daiwa House Industry Co. Ltd.		1,700		54,262
Mitsubishi Estate Co. Ltd.		3,100		48,923
Mitsui Fudosan Co. Ltd.		2,000		44,621
Sumitomo Realty & Development		4,300		157,969
				333,177
Utilities (0.4%):
Kansai Electric Power Co.		3,100		46,674
Tokyo Gas Co. Ltd.		2,300		58,460
				105,134
				5,143,623
Korea, Republic Of (3.6%):
Communication Services (0.4%):
NAVER Corp.		368		40,240
SK Telecom Co. Ltd.		250		60,388
				100,628
Consumer Discretionary (0.3%):
Hyundai Motor Co.		425		45,140
LG Electronics, Inc.		496		27,696
				72,836
Consumer Staples (0.5%):
Amorepacific Corp.		153		28,729
KT&G Corp.		690		62,772
LG Household & Health Care Ltd.		31		30,592
				122,093
Energy (0.3%):
SK Innovation Co. Ltd.		255		41,026
S-Oil Corp.		410		35,903
				76,929

See notes to financial statements.

41

Victory Portfolios II
VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Financials (0.7%):
Hana Financial Group, Inc.		1,011	$	32,848
KB Financial Group, Inc.		1,025		42,720
Shinhan Financial Group Co. Ltd.		1,511		53,631
Woori Bank		3,053		42,688
				171,887
Health Care (0.1%):
Celltrion, Inc. (b)		101		20,054
Industrials (0.5%):
LG Corp.		813		50,936
Samsung C&T Corp.		455		43,025
SK Holdings Co. Ltd.		221		51,501
				145,462
Information Technology (0.5%):
Samsung Electro-Mechanics Co. Ltd.		196		18,182
Samsung Electronics Co. Ltd.		1,065		36,941
Samsung SDI Co. Ltd.		145		28,462
Samsung SDS Co. Ltd.		144		26,330
SK Hynix, Inc.		453		24,565
				134,480
Materials (0.3%):
LG Chem Ltd.		104		32,345
Lotte Chemical Corp.		130		32,276
POSCO		121		26,354
				90,975
				935,344
Luxembourg (0.3%):
Energy (0.1%):
Tenaris SA		2,388		25,825
Health Care (0.1%):
Eurofins Scientific		50		18,673
Materials (0.1%):
Arcelormittal		1,239		25,748
				70,246
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		7,600		33,293
Wynn Macau Ltd.		9,200		20,068
				53,361
Netherlands (3.1%):
Communication Services (0.3%):
Koninklijke KPN NV		23,884		70,045

See notes to financial statements.

42

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VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (0.8%):
Heineken Holding A		555	$	46,891
Heineken NV		768		67,922
Koninklijke Ahold Delhaize NV		3,223		81,506
				196,319
Financials (0.8%):
ABN AMRO Group NV (c)		1,972		46,402
Aegon NV		8,832		41,271
ING Groep NV		4,688		50,537
NN Group NV		1,581		63,029
				201,239
Health Care (0.2%):
Koninklijke Philips NV		1,368		48,473
Industrials (0.5%):
Randstad Holding NV		965		44,319
Wolters Kluwer NV		1,223		72,379
				116,698
Information Technology (0.1%):
ASML Holding NV		236		37,083
Materials (0.4%):
AkzoNobel NV		816		65,810
Koninklijke DSM NV		604		49,432
				115,242
				785,099
Norway (0.9%):
Communication Services (0.3%):
Telenor ASA		3,383		65,580
Consumer Staples (0.2%):
Marine Harvest ASA		2,694		56,963
Energy (0.1%):
Aker BP ASA		794		20,032
Financials (0.2%):
DNB ASA		2,770		44,288
Materials (0.1%):
Norsk Hydro ASA		7,453		33,821
				220,684
Portugal (0.3%):
Consumer Staples (0.1%):
Jeronimo Martins SGPS SA		3,037		35,974
Energy (0.2%):
Galp Energia SGPS SA		2,953		46,668
				82,642

See notes to financial statements.

43

Victory Portfolios II
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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Russian Federation (0.1%):
Materials (0.1%):
Evraz PLC		3,872	$	23,710
Singapore (1.7%):
Communication Services (0.2%):
Singapore Telecommunications Ltd.		27,700		59,563
Consumer Discretionary (0.4%):
Genting Singapore Ltd.		51,000		36,493
Jardine Cycle & Carriage Ltd.		2,100		54,480
				90,973
Consumer Staples (0.3%):
Wilmar International Ltd.		31,800		72,814
Financials (0.6%):
DBS Group Holdings Ltd.		3,100		53,897
Oversea-Chinese Banking Corp. Ltd.		7,200		59,498
United Overseas Bank Ltd.		3,000		54,095
				167,490
Real Estate (0.2%):
CapitaLand Ltd.		25,500		58,201
				449,041
Spain (3.1%):
Communication Services (0.3%):
Telefonica SA		9,209		77,425
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		1,872		47,931
Energy (0.2%):
Repsol SA		3,174		51,196
Financials (0.6%):
Banco Bilbao Vizcaya Argentaria SA		8,114		43,089
Banco Santander SA		10,891		49,570
Bankia SA		13,019		38,181
CaixaBank SA		10,581		38,352
				169,192
Health Care (0.2%):
Grifols SA		1,862		48,848
Industrials (0.5%):
Aena SA (c)		379		58,940
Ferrovial SA		3,279		66,469
				125,409
Information Technology (0.2%):
Amadeus IT Holding SA		711		49,555

See notes to financial statements.

44

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VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Utilities (0.9%):
Endesa SA		3,415	$	78,753
Iberdrola SA		9,611		77,270
Red Electrica Corp. SA		3,432		76,648
				232,671
				802,227
Sweden (2.5%):
Communication Services (0.2%):
TeliaSonera AB		12,542		59,439
Consumer Discretionary (0.2%):
Hennes & Mauritz AB, B Shares (a)		2,938		41,798
Consumer Staples (0.4%):
Essity AB, Class B		2,191		53,822
Swedish Match AB		1,192		46,977
				100,799
Financials (0.6%):
Skandinaviska Enskilda Banken AB, Class A		5,479		53,255
Svenska Handelsbanken AB		4,421		49,061
Swedbank AB, A Shares		2,924		65,276
				167,592
Health Care (0.1%):
Swedish Orphan Biovitrum AB (b)		847		18,454
Industrials (0.8%):
Alfa Laval AB		1,910		40,893
Atlas Copco AB, A Shares		1,668		39,638
Sandvik AB		2,828		40,338
SKF AB, B Shares		2,415		36,655
Volvo AB, Class B		3,004		39,321
				196,845
Information Technology (0.2%):
Hexagon AB, B Shares		1,028		47,349
				632,276
Switzerland (6.4%):
Communication Services (0.3%):
Swisscom AG		158		75,535
Consumer Discretionary (0.3%):
CIE Financiere Richemont SA		690		44,244
The Swatch Group AG, B shares		126		36,768
				81,012

See notes to financial statements.

45

Victory Portfolios II
VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (1.1%):
Barry Callebaut AG		31	$	48,306
Chocoladefabriken Lindt & Spruengli AG		12		74,504
Coca-Cola HBC AG		1,845		57,653
Nestle SA, Registered Shares		1,109		90,075
				270,538
Financials (1.0%):
Julius Baer Group Ltd.		1,117		39,803
Partners Group Holding AG		100		60,661
Swiss Life Holding AG		209		80,537
Zurich Insurance Group AG		250		74,580
				255,581
Health Care (1.2%):
Lonza Group AG, Registered Shares		168		43,552
Novartis AG		812		69,456
Roche Holding AG		319		79,028
Sonova Holding AG, Registered Shares		305		49,855
Straumann Holding AG		61		38,369
Vifor Pharma AG		236		25,678
				305,938
Industrials (1.5%):
ABB Ltd.		2,351		44,735
Adecco SA, Registered Shares		892		41,699
Ferguson PLC		826		52,812
Geberit AG		178		69,261
Kuehne + Nagel International AG		508		65,329
Schindler Holding AG		297		58,856
SGS SA		29		65,232
				397,924
Information Technology (0.2%):
Stmicroelectronics NV		1,703		23,860
Temenos AG		190		22,800
				46,660
Materials (0.8%):
EMS-Chemie Holding AG		108		51,334
Givaudan SA, Registered Shares		31		71,813
Glencore PLC		7,917		29,396
Sika AG, Registered Shares		347		44,006
				196,549
				1,629,737
United Arab Emirates (0.1%):
Health Care (0.1%):
NMC Health PLC		896		31,241

See notes to financial statements.

46

Victory Portfolios II
VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2018

  (Unaudited)

Security Description	Shares		Value
United Kingdom (10.1%):
Communication Services (0.9%):
BT Group PLC		17,250	$	52,343
Informa PLC		7,434		59,705
Pearson PLC		5,162		61,732
Vodafone Group PLC		27,325		53,244
				227,024
Consumer Discretionary (1.1%):
Burberry Group PLC		1,723		38,108
Compass Group PLC		3,163		66,511
InterContinental Hotels Group PLC		1,081		58,370
Next PLC		676		34,382
Persimmon PLC		2,119		52,119
Whitbread PLC		724		42,249
				291,739
Consumer Staples (1.9%):
Associated British Foods PLC		2,014		52,437
British American Tobacco PLC		1,007		32,083
Diageo PLC		2,345		83,528
Imperial Tobacco Group PLC		1,568		47,499
Reckitt Benckiser Group PLC		647		49,580
Sainsbury (J) PLC		10,161		34,315
Tesco PLC		19,652		47,610
Unilever NV		1,460		79,313
Unilever PLC		1,348		70,580
				496,945
Energy (0.4%):
BP PLC		7,561		47,789
Royal Dutch Shell PLC, Class A		1,817		53,432
				101,221
Financials (2.0%):
3I Group PLC		5,472		53,933
Aviva PLC		11,740		56,181
Hargreaves Lansdown PLC		2,028		47,787
Legal & General Group PLC		21,769		64,085
Lloyds Banking Group PLC		121,086		80,011
London Stock Exchange Group PLC		1,156		59,842
Prudential PLC		2,475		44,221
Schroders PLC		1,687		52,523
Standard Life Aberdeen PLC		14,642		47,909
				506,492
Health Care (0.6%):
AstraZeneca PLC		961		71,927
Smith & Nephew PLC		3,804		70,972
				142,899

See notes to financial statements.

47

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Industrials (1.4%):
Ashtead Group PLC		1,610	$	33,588
BAE Systems PLC		9,310		54,483
Bunzl PLC		2,659		80,277
International Consolidated Airlines Group SA		6,037		47,546
Intertek Group PLC		802		49,060
Melrose Industries PLC		9,797		20,457
RELX PLC		3,917		80,693
				366,104
Materials (1.1%):
Anglo American PLC		1,612		35,906
Antofagasta PLC		3,697		36,900
Croda International PLC		988		58,989
DS Smith PLC		7,907		30,160
Johnson Matthey PLC		1,166		41,592
Mondi PLC		1,681		34,994
Rio Tinto PLC		914		43,447
				281,988
Utilities (0.7%):
Centrica PLC		30,196		51,912
National Grid PLC		5,959		58,035
SSE PLC		4,255		58,645
				168,592
				2,583,004
United States (0.5%):
Consumer Discretionary (0.2%):
Carnival PLC		786		37,693
Industrials (0.3%):
Waste Connections, Inc.		1,178		87,448
				125,141
Total Common Stocks (Cost $27,316,195)				25,595,037
Rights (0.0%) (d)
Spain (0.0%): (d)
Energy (0.0%): (d)
Repsol SA Expires 01/10/19 @ $0.41 (b)		2,535		1,162
Total Rights (Cost $1,189)				1,162
Collateral for Securities Loaned^ (1.0%)
United States (1.0%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (e)		48,151		48,151
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (e)		69,576		69,576
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (e)		2,149		2,149
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (e)		26,751		26,751

See notes to financial statements.

48

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (e)		42,799	$	42,799
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (e)		64,202		64,202
Total Collateral for Securities Loaned (Cost $253,628)				253,628
Total Investments (Cost $27,571,012) — 100.7%				25,849,827
Liabilities in excess of other assets — (0.7)%				(188,324	)
NET ASSETS — 100.00%			$	25,661,503

^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security is on loan.

(b)  Non-income producing security.

(c)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $239,978 and amounted to 0.9% of net assets.

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

(e)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

See notes to financial statements.

49

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.4%)
Brazil (5.3%):
Communication Services (0.2%):
TIM Participacoes SA		10,600	$	32,413
Consumer Discretionary (0.6%):
Kroton Educacional S.A.		7,400		16,938
Lojas Renner SA		4,320		47,265
Magazine Luiza SA		600		28,034
				92,237
Consumer Staples (1.0%):
Ambev SA		10,600		42,069
M Dias Branco SA		2,400		26,506
Natura Cosmeticos SA		3,400		39,481
Raia Drogasil SA		1,600		23,596
Sao Martinho SA		9,500		44,591
				176,243
Energy (0.2%):
Ultrapar Participacoes SA		2,400		32,947
Financials (0.7%):
B3 SA - Brasil Bolsa Balcao		5,258		36,376
Banco do Brasil SA		3,300		39,589
BB Seguridade Participacoes SA		6,500		46,276
				122,241
Health Care (0.6%):
Fleury SA		4,700		23,989
Hypermarcas S.A.		4,800		37,406
Odontoprev SA		9,800		34,772
				96,167
Industrials (0.6%):
CCR SA		12,400		35,837
Localiza Rent a Car SA		4,360		33,471
WEG SA		7,020		31,773
				101,081
Information Technology (0.1%):
Cielo SA		6,792		15,581
Materials (0.3%):
Cia Siderurgica Nacional SA		8,900		20,302
Vale SA		2,400		31,585
				51,887
Utilities (1.0%):
Cia de Saneamento Basico do Estado de Sao Paulo		4,800		39,016
EDP - Energias do Brasil SA		7,700		29,307

See notes to financial statements.

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Engie Brasil Energia SA		5,975	$	50,911
Equatorial Energia SA - ORD		2,900		55,796
				175,030
				895,827
Cayman Islands (0.1%):
Consumer Discretionary (0.1%):
Nexteer Automotive Group Ltd.		11,000		15,678
Chile (4.2%):
Consumer Discretionary (0.4%):
SACI Falabella		8,344		61,232
Consumer Staples (0.2%):
Cencosud SA		20,409		36,972
Energy (0.3%):
Empresas COPEC SA		4,575		54,934
Financials (1.7%):
Banco de Chile		615,617		88,027
Banco de Credito e Inversiones		866		56,295
Banco Santander Chile		914,054		68,124
Sociedad Matriz del Banco de Chile SA, Class B		172,279		78,679
				291,125
Materials (0.3%):
Empresas Cmpc SA		13,696		43,566
Utilities (1.3%):
AES Gener SA		179,321		49,875
Aguas Andinas SA		123,273		67,848
Colbun SA		204,473		41,086
Enersis SA		374,537		66,159
				224,968
				712,797
China (15.6%):
Communication Services (0.6%):
China Communications Services Corp. Ltd.		32,000		26,483
China Telecom Corp. Ltd.		104,000		53,129
Tencent Holdings Ltd.		700		28,071
				107,683
Consumer Discretionary (1.4%):
ANTA Sports Products Ltd.		4,000		19,183
BAIC Motor Corp. Ltd., Class H (a)		22,500		11,868
Brilliance China Automotive Holdings Ltd.		10,000		7,446
BYD Co. Ltd.		4,500		28,707
Chongqing Changan Automobile Co. Ltd.		39,100		17,428
Dongfeng Motor Group Co. Ltd.		28,000		25,389
Fuyao Glass Industry Group Co. Ltd. (a)		7,600		24,314
Great Wall Motor Co. Ltd., Class H		48,000		27,525

See notes to financial statements.

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Guangzhou Automobile Group Co. Ltd.		20,800	$	20,747
Minth Group Ltd.		4,000		12,899
Shenzhou International Group Holdings Ltd.		2,000		22,669
Zhongsheng Group Holdings Ltd.		9,500		18,830
				237,005
Consumer Staples (0.5%):
China Mengniu Dairy Co. Ltd.		8,000		24,930
China Resources Beer Holdings Co. Ltd.		6,000		20,958
Uni-President China Holdings Ltd.		22,000		19,106
Want Want China Holdings Ltd.		34,000		23,795
				88,789
Energy (0.5%):
China Petroleum & Chemical Corp., Class H		32,000		22,846
China Shenhua Energy Co. Ltd.		12,000		26,299
PetroChina Co. Ltd.		42,000		26,176
Yanzhou Coal Mining Co. Ltd.		16,000		12,914
				88,235
Financials (5.2%):
Agricultural Bank of China Ltd.		78,000		34,169
Bank of China Ltd.		118,000		50,937
Bank of Communications Co. Ltd., Class H		68,000		53,063
China Cinda Asset Management Co.		140,000		33,972
China CITIC Bank Corp. Ltd.		59,000		35,867
China Construction Bank Corp.		49,000		40,427
China Everbright Bank Co. Ltd.		104,000		45,027
China Galaxy Securities Co. Ltd.		69,500		31,421
China Huarong Asset Management Co. Ltd., Class H (a)		125,000		22,829
China International Capital Corp. Ltd., Class H (a) (b)		14,000		26,283
China Life Insurance Co. Ltd.		23,000		48,879
China Merchants Bank Co. Ltd., Class H		8,500		31,156
China Pacific Insurance Group Co. Ltd.		9,800		31,728
China Reinsurance Group Corp.		208,000		42,503
Chongqing Rural Commercial Bank Co. Ltd.		62,000		33,257
Citic Securities Co. Ltd.		17,000		29,310
Gf Securities Co. Ltd.		29,200		39,605
Haitong Securities Co. Ltd.		37,600		36,015
Huatai Securities Co. Ltd. (a) (b)		21,200		33,573
Industrial & Commercial Bank of China Ltd.		59,000		42,121
New China Life Insurance Co. Ltd., Class H		5,500		21,845
People's Insurance Co. Group of China Ltd.		76,000		30,575
PICC Property & Casualty Co. Ltd., Class H		29,000		29,667
Ping An Insurance Group Co. of China Ltd.		4,000		35,326
Postal Savings Bank of China Co. Ltd., Class H (a)		58,000		30,593
				890,148
Health Care (0.8%):
3SBio, Inc. (a)		10,500		13,464
China Resources Pharmaceutical Group Ltd. (a)		18,000		23,494
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd.		4,000		14,329

See notes to financial statements.

52

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		20,000	$	16,194
Shanghai Fosun Pharmaceutical Group Co. Ltd.		5,500		16,156
Shanghai Pharmaceuticals Holding Co. Ltd.		10,500		21,349
Sinopharm Group Co. Ltd.		5,200		21,849
				126,835
Industrials (2.6%):
Beijing Capital International Airport Co. Ltd.		18,000		19,103
China Communications Construction Co. Ltd.		34,000		32,133
China Conch Venture Holdings Ltd.		9,000		26,782
China Railway Construction Corp. Ltd.		24,500		33,981
China Railway Group Ltd.		40,000		36,424
China State Construction Int		30,000		23,831
Crrc Corp. Ltd., Class H		50,000		48,787
Fosun International Ltd.		18,000		26,207
Jiangsu Expressway Co. Ltd.		26,000		36,260
Metallurgical Corp. of China Ltd.		155,000		37,216
Shanghai Electric Group Co. Ltd.		130,000		41,507
Sinopec Engineering Group Co. Ltd., Class H		28,000		22,994
Weichai Power Co. Ltd.		17,000		19,432
Xinjiang Goldwind Science & Technology Co. Ltd.		15,800		14,004
Zhuzhou CSR Times Electric Co. Ltd.		5,500		30,485
				449,146
Information Technology (1.0%):
AAC Technologies Holdings, Inc. (b)		2,000		11,609
BOE Technology Group Co. Ltd.		62,900		18,235
China Railway Signal & Communication Corp. Ltd. (a)		50,000		34,994
Legend Holdings Corp. (a)		10,100		26,443
Semiconductor Manufacturing International Corp. (c)		20,000		17,497
Silergy Corp.		1,000		14,739
Sunny Optical Technology Group Co. Ltd.		1,200		10,667
TravelSky Technology Ltd.		11,000		28,167
				162,351
Materials (1.2%):
Aluminum Corp. of China Ltd. (c)		56,000		18,023
Angang Steel Co. Ltd.		24,000		16,552
Anhui Conch Cement Co. Ltd.		4,000		19,412
China Hongqiao Group Ltd.		27,500		15,629
China Molybdenum Co. Ltd.		45,000		16,552
China National Building Material Co. Ltd.		22,000		15,060
Jiangxi Copper Co. Ltd.		32,000		37,640
Maanshan Iron & Steel, Series H		44,000		19,387
Sinopec Shanghai Petrochemical Co. Ltd.		56,000		24,531
Zijin Mining Group Co. Ltd.		74,000		28,069
				210,855
Real Estate (1.0%):
China Vanke Co. Ltd. (b)		7,100		24,120
Cifi Holdings Group Co. Ltd.		34,000		18,064
Country Garden Holdings Co. Ltd.		14,000		17,039

See notes to financial statements.

53

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Guangzhou R&f Properties Co. Ltd., Class H		11,600	$	17,541
Logan Property Holdings Co. Ltd.		18,000		22,552
Longfor Properties Co. Ltd.		8,500		25,402
Red Star Macalline Group Corp. Ltd., Class H (a)		25,200		21,628
Sunac China Holdings Ltd.		5,000		16,283
				162,629
Utilities (0.8%):
CGN Power Co. Ltd., Class D (a)		202,000		47,985
China Longyuan Power Group Corp. Ltd.		29,000		19,741
China Resources Gas Group Ltd. (b)		6,000		23,755
ENN Energy Holdings Ltd.		2,000		17,739
Huadian Fuxin Energy Corp. Ltd., Class H		114,000		27,808
				137,028
				2,660,704
Colombia (0.8%):
Financials (0.3%):
Grupo de INV Suramericana		5,776		57,173
Materials (0.2%):
Grupo Argos SA		7,456		38,831
Utilities (0.3%):
Interconexion Electrica SA ESP		9,568		41,220
				137,224
Czech Republic (0.4%):
Financials (0.4%):
Komercni Banka AS		1,817		68,553
Egypt (0.5%):
Consumer Staples (0.2%):
Eastern Tobacco		26,934		24,521
Financials (0.2%):
Commercial International Bank		9,048		37,530
Industrials (0.1%):
Elsewedy Electric Co.		22,925		23,066
				85,117
Hong Kong (3.7%):
Communication Services (0.3%):
China Mobile Ltd.		6,000		57,739
Consumer Discretionary (0.3%):
Geely Automobile Holdings Ltd.		11,000		19,387
Haier Electronics Group Co. Ltd.		10,000		24,598
				43,985
Consumer Staples (0.1%):
Hengan International Group Co. Ltd.		3,500		25,479

See notes to financial statements.

54

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Energy (0.3%):
CNOOC Ltd.		17,000	$	26,271
Kunlun Energy Co. Ltd.		30,000		31,801
				58,072
Financials (0.3%):
BOC Hong Kong Holdings Ltd.		10,500		39,023
China Taiping Insurance Holdings Co. Ltd.		7,000		19,221
				58,244
Health Care (0.1%):
CSPC Pharmaceutical Group Ltd.		8,000		11,545
Industrials (0.7%):
China Everbright International Ltd.		28,000		25,103
China Merchants Holdings International		22,000		39,617
CITIC Ltd.		32,000		50,187
				114,907
Materials (0.1%):
China Resources Cement Holdings Ltd.		16,000		14,406
Real Estate (0.6%):
Agile Group Holdings Ltd.		12,000		14,115
China Overseas Land & Investment Ltd., Class H		10,000		34,355
China Resources Land Ltd.		8,000		30,753
Franshion Properties China Ltd.		54,000		24,276
				103,499
Utilities (0.9%):
Beijing Enterprises Holdings Ltd.		8,000		42,401
Beijing Enterprises Water Group Ltd. (b)		50,000		25,479
China Resources Power Holdings Co. Ltd.		20,000		38,467
Guangdong Investment Ltd.		20,000		38,672
				145,019
				632,895
Hungary (0.6%):
Energy (0.2%):
MOL Hungarian Oil & Gas PLC		3,248		35,708
Financials (0.2%):
OTP Bank Public Co. Ltd.		936		37,745
Health Care (0.2%):
Richter Gedeon Nyrt.		1,839		35,667
				109,120
India (13.6%):
Communication Services (0.7%):
Bharti Airtel Ltd.		5,915		26,479
Bharti Infratel Ltd.		10,252		38,037
Zee Entertainment Enterprises Ltd.		6,946		47,408
				111,924

See notes to financial statements.

55

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Discretionary (1.7%):
Apollo Tyres Ltd.		10,804	$	36,518
Bajaj Auto Ltd.		998		38,888
Eicher Motors Ltd.		107		35,497
Infibeam Avenues Ltd.		11,197		7,611
Mahindra & Mahindra Ltd.		3,396		39,106
Motherson Sumi Systems Ltd.		11,294		26,994
Page Industries Ltd.		64		23,139
Rajesh Exports Ltd.		4,289		35,082
Titan Co. Ltd.		2,964		39,530
				282,365
Consumer Staples (2.2%):
Britannia Industries Ltd.		1,244		55,518
Colgate-Palmolive (India) Ltd.		3,278		63,090
Dabur India Ltd.		6,476		39,951
Emami Ltd.		4,922		29,621
Glaxo Smithkline Consumer Healthcare Ltd.		345		37,784
Godrej Consumer Products Ltd.		3,283		38,124
Marico Ltd.		7,763		41,524
Nestle India Ltd.		243		38,586
Tata Global Beverages Ltd.		8,364		26,288
				370,486
Energy (0.2%):
Reliance Industries Ltd.		2,411		38,726
Financials (1.3%):
Bajaj Finserv Ltd.		386		35,814
Housing Development Finance Corp. Ltd.		2,072		58,424
ICICI Bank Ltd.		6,282		32,410
Indiabulls Housing Finance Ltd.		1,816		22,212
Kotak Mahindra Bank Ltd.		2,669		48,041
L&t Finance Holdings Ltd.		11,472		25,078
				221,979
Health Care (1.7%):
Aurobindo Pharma Ltd.		3,362		35,300
Biocon Ltd.		3,994		35,991
Cadila Healthcare Ltd.		5,095		25,432
Cipla Ltd.		4,277		31,829
Dr. Reddy's Laboratories Ltd.		899		33,696
Glenmark Pharmaceuticals Ltd.		4,104		40,744
Natco Pharma Ltd.		3,690		35,947
Sun Pharmaceutical Industries Ltd.		3,280		20,228
Torrent Pharmaceuticals Ltd.		1,575		39,966
				299,133
Industrials (1.4%):
ABB India Ltd.		2,064		39,524
Adani Enterprises Ltd.		5,263		12,138
Adani Ports And Special Economic Zone		6,617		36,750

See notes to financial statements.

56

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Amara Raja Batteries Ltd.		3,118	$	33,180
Godrej Industries Ltd.		4,503		35,249
Larsen & Toubro Ltd.		2,288		47,117
Voltas Ltd.		4,208		33,365
				237,323
Information Technology (1.6%):
HCL Technologies Ltd.		2,555		35,296
Hexaware Technologies Ltd.		3,240		15,451
Infosys Ltd.		4,395		41,487
Mindtree Ltd.		1,732		21,449
Mphasis Ltd.		1,414		20,630
Sterlite Technologies Ltd.		4,263		17,920
Tata Consultancy Services Ltd.		1,484		40,243
Tech Mahindra Ltd.		3,066		31,761
Wipro Ltd.		11,360		53,840
				278,077
Materials (2.2%):
ACC Ltd.		1,396		30,159
Ambuja Cements Ltd.		9,785		31,552
Asian Paints Ltd.		2,662		52,359
Berger Paints India Ltd.		8,121		38,425
Castrol India Ltd.		15,574		33,744
Grasim Industries Ltd.		2,605		30,809
JSW Steel Ltd.		5,541		24,348
Pidilite Industries Ltd.		2,596		41,199
Tata Steel Ltd.		3,454		25,781
Ultra Tech Cement Ltd.		706		40,363
UPL Ltd.		2,848		30,935
				379,674
Real Estate (0.1%):
DLF Ltd.		8,775		22,319
Utilities (0.5%):
Reliance Infrastructure Ltd.		3,625		16,420
Tata Power Co. Ltd.		34,112		37,529
Torrent Power Ltd.		7,275		27,283
				81,232
				2,323,238
Indonesia (3.4%):
Communication Services (0.3%):
PT Surya Citra Media TBK		172,800		22,479
PT Telekomunikasi Indonesia Persero TBK		116,000		30,261
				52,740
Consumer Discretionary (0.2%):
PT Astra International TBK		59,800		34,216

See notes to financial statements.

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (0.6%):
PT Charoen Pokphand Indonesia TBK		60,400	$	30,358
PT Gudang Garam TBK		6,700		38,976
PT Indofood Sukses Makmur TBK		75,700		39,232
				108,566
Energy (0.4%):
PT Adaro Energy TBK		159,200		13,456
PT Indo Tambangraya Megah TBK		9,700		13,664
PT United Tractors TBK		11,600		22,070
Tambang Batubara Bukit Asam TBK PT		80,900		24,200
				73,390
Financials (0.9%):
Bank Danamon Indonesia TBK PT		60,400		31,933
PT Bank Central Asia TBK		23,000		41,600
PT Bank Mandiri Persero TBK		55,300		28,372
PT Bank Negara Indonesia Persero TBK		43,600		26,691
PT Bank Rakyat Indonesia Persero TBK		114,600		29,178
				157,774
Health Care (0.2%):
PT Kalbe Farma TBK		264,000		27,915
Industrials (0.3%):
PT Jasa Marga Persero TBK		81,500		24,266
PT Waskita Karya Persero TBK		178,500		20,861
				45,127
Materials (0.4%):
PT Indocement Tunggal Prakarsa TBK		15,800		20,279
PT Semen Indonesia Persero TBK		34,100		27,280
Vale Indonesia TBK PT (c)		76,300		17,304
				64,863
Utilities (0.1%):
PT Perusahaan Gas Negara Persero TBK		111,800		16,488
				581,079
Malaysia (7.0%):
Communication Services (0.6%):
Astro Malaysia Holdings BHD		41,200		12,968
DiGi.Com Berhad		31,500		34,322
Maxis Berhad		30,500		39,510
Telekom Malaysia Berhad		27,800		17,905
				104,705
Consumer Discretionary (0.3%):
Genting Berhad		25,000		36,925
Genting Malaysia Berhad		27,100		19,817
				56,742

See notes to financial statements.

58

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December 31, 2018

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (2.3%):
British American Tobacco Malaysia BHD		2,300	$	20,093
Fraser & Neave Holdings Berhad		5,200		42,179
IOI Corp. Berhad		53,700		57,861
Kuala Lumpur Kepong Berhad		15,400		92,177
PPB Group Berhad		20,860		88,794
Ql Resources BHD		32,900		54,249
Sime Darby Plantation BHD		35,500		40,915
				396,268
Energy (0.1%):
Dialog Group Berhad		31,100		23,419
Financials (1.4%):
CIMB Group Holdings Berhad		25,200		34,841
Hong Leong Bank Berhad		10,400		51,371
Malayan Banking Berhad		21,700		49,915
Public Bank Berhad		9,300		55,755
RHB Capital Berhad		33,397		42,777
				234,659
Health Care (0.6%):
Hartalega Holdings Berhad		18,200		27,058
IHH Healthcare Berhad		37,400		48,810
Top Glove Corp.		14,900		20,203
				96,071
Industrials (0.7%):
AirAsia Berhad		35,800		25,745
Gamuda Berhad		20,200		11,445
IJM Corp. BHD		39,500		15,494
MISC BHD		21,800		35,365
Sime Darby BHD		59,200		34,402
				122,451
Information Technology (0.1%):
Inari Amertron Berhad		36,700		13,329
Materials (0.5%):
Petronas Chemicals Group Berhad		26,500		59,609
Press Metal Aluminium Holdings BHD		17,600		20,583
				80,192
Utilities (0.4%):
Petronas Gas Berhad		10,400		48,349
YTL Power International BHD		98,600		19,815
				68,164
				1,196,000
Mexico (3.8%):
Communication Services (0.1%):
Grupo Televisa Sab		9,009		22,624

See notes to financial statements.

59

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  (Unaudited)

Security Description	Shares		Value
Consumer Discretionary (0.3%):
Alsea SAB de CV		11,607	$	30,217
El Puerto de Liverpool Sab de CV		4,917		31,575
				61,792
Consumer Staples (1.3%):
Arca Continental SAB de CV		7,679		42,901
Gruma SAB de CV, Class B		3,484		39,490
Grupo Bimbo Sab		16,186		32,252
Grupo Lala SAB de CV		25,867		27,766
Kimberly-Clark de Mexico SAB de CV, Series A		21,580		34,235
Wal-Mart de Mexico SAB de CV		16,280		41,405
				218,049
Financials (0.4%):
Grupo Financiero Banorte SAB de CV		5,635		27,470
Grupo Financiero Inbursa SAB de CV		25,214		36,304
				63,774
Industrials (1.0%):
Grupo Aeroportuario del Centro Norte SAB de CV		6,810		32,460
Grupo Aeroportuario del Pacifico SAB de CV		3,995		32,500
Grupo Aeroportuario del Sureste SAB de CV		2,352		35,460
Grupo Carso SAB de CV		7,660		27,450
Promotora y Operadora de Infraestructura SAB de CV		4,615		44,189
				172,059
Materials (0.5%):
Grupo Mexico SAB de CV, Series B		10,485		21,581
Industrias Penoles SAB de CV		1,691		20,651
Mexichem SA de CV		16,975		43,146
				85,378
Utilities (0.2%):
Infraestructura Energetica, Class N		8,290		30,915
				654,591
Philippines (3.1%):
Communication Services (0.1%):
Globe Telecom, Inc.		660		23,849
Consumer Discretionary (0.3%):
Bloomberry Resorts Corp.		114,900		20,563
Jollibee Foods Corp.		6,190		34,352
				54,915
Consumer Staples (0.2%):
Universal Robina Corp.		12,480		30,144
Financials (1.0%):
Ayala Corp.		1,665		28,500
Bank of the Philippine Islands		17,436		31,171
BDO Unibank, Inc.		14,730		36,643

See notes to financial statements.

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Security Description	Shares		Value
Metro Pacific Investments Co.		266,300	$	23,500
Metropolitan Bank & Trust Co.		28,180		43,385
				163,199
Industrials (0.9%):
Aboitiz Equity Ventures, Inc.		25,200		26,360
Alliance Global Group, Inc.		158,000		35,759
International Container Terminal Services, Inc.		20,640		39,254
JG Summit Holdings, Inc.		22,890		24,248
SM Investments Corp.		1,717		29,961
				155,582
Real Estate (0.4%):
Ayala Land, Inc.		41,500		32,045
SM Prime Holdings, Inc.		43,100		29,345
				61,390
Utilities (0.2%):
Manila Electric Co.		5,020		36,280
				525,359
Poland (2.0%):
Communication Services (0.3%):
Cd Projekt SA (c)	��	384		14,950
Cyfrowy Polsat SA (c)		5,494		33,141
				48,091
Energy (0.6%):
Grupa Lotos SA		1,569		37,128
Polski Koncern Naftowy Orlen SA		1,108		32,041
Polskie Gornictwo Naftowe i Gazownictwo SA		22,056		40,752
				109,921
Financials (1.0%):
Bank Pekao SA		1,194		34,799
Bank Zachodni WBK SA		290		27,776
mBank SA		322		36,523
Powszechna Kasa Oszczednosci Bank Polski SA		2,922		30,838
Powszechny Zaklad Ubezpieczen na Zycie SA		2,919		34,264
				164,200
Materials (0.1%):
Jastrzebska Spolka Weglowa SA (c)		1,217		21,887
				344,099
Russian Federation (2.2%):
Communication Services (0.5%):
Mobile TeleSystems PJSC		11,760		40,283
Rostelecom PJSC		49,570		52,130
				92,413

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (0.3%):
Magnit PJSC, GDR		1,722	$	21,921
X5 Retail Group NV, Registered Shares, GDR		1,044		25,870
				47,791
Energy (0.2%):
Tatneft PAO		3,910		41,525
Materials (0.8%):
ALROSA AO		22,700		32,220
MMC Norilsk Nickel PJSC		174		32,653
Phosagro OAO-GDR REG S		2,694		34,349
Severstal PJSC		2,300		31,212
				130,434
Utilities (0.4%):
Federal Grid Co. Unified Energy System PJSC		16,520,000		35,217
Inter RAO UES PJSC		586,000		32,720
				67,937
				380,100
South Africa (6.4%):
Communication Services (0.6%):
Naspers Ltd.		115		23,177
Telkom SA SOC Ltd.		10,671		47,060
Vodacom Group Ltd.		3,546		32,616
				102,853
Consumer Discretionary (0.8%):
Imperial Holdings Ltd.		4,665		22,104
Motus Holdings Ltd. (c)		2,008		12,314
Mr. Price Group Ltd.		1,992		34,167
The Foschini Group Ltd.		2,347		27,187
Truworths International Ltd.		4,858		29,823
				125,595
Consumer Staples (1.5%):
Avi Ltd.		5,683		40,261
Clicks Group Ltd.		2,376		31,697
DIS-Chem Pharmacies Ltd. (a)		10,224		20,653
Pick n Pay Stores Ltd.		7,061		33,344
Pioneer Foods Group Ltd.		4,341		25,539
Shoprite Holdings Ltd.		2,441		32,343
The SPAR Group Ltd.		3,187		46,080
Tiger Brands Ltd.		1,479		28,215
				258,132
Financials (2.0%):
Absa Group Ltd.		2,944		33,196
Capitec Bank Holdings Ltd.		504		39,263
Discovery Ltd.		2,948		32,824
FirstRand Ltd.		5,842		26,688

See notes to financial statements.

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Security Description	Shares		Value
Investec Ltd.		6,198	$	34,119
Nedbank Group Ltd.		1,871		35,816
Remgro Ltd.		2,896		39,298
RMB Holdings Ltd.		5,344		29,380
Sanlam Ltd.		5,369		29,855
Standard Bank Group Ltd.		2,544		31,697
				332,136
Health Care (0.3%):
Aspen Pharmacare Holdings Ltd.		1,690		15,877
Life Healthcare Group Holdings Ltd.		21,143		38,894
				54,771
Industrials (0.3%):
Barloword Ltd.		3,146		25,241
The Bidvest Group Ltd.		2,114		30,470
				55,711
Materials (0.9%):
African Rainbow Minerals Ltd.		2,316		22,973
Anglo American Platinum Ltd.		897		33,623
Assore Ltd.		944		19,076
Mondi Ltd.		1,229		26,511
Sappi Ltd.		4,704		26,763
Sasol Ltd.		993		29,407
				158,353
				1,087,551
Taiwan (17.4%):
Communication Services (1.4%):
Chunghwa Telecom Co. Ltd.		23,000		84,559
Far EasTone Telecommunications Co. Ltd.		27,000		67,113
Taiwan Mobile Co. Ltd.		25,000		86,625
				238,297
Consumer Discretionary (1.6%):
Cheng Shin Rubber Industry Co. Ltd.		33,000		43,859
Eclat Textile Co. Ltd.		2,000		22,644
Feng TAY Enterprise Co. Ltd.		5,000		28,550
Formosa Taffeta Co. Ltd.		45,000		50,584
Hotai Motor Co. Ltd.		5,000		41,564
Pou Chen Corp.		43,000		45,608
Ruentex Industries Ltd.		12,000		30,687
				263,496
Consumer Staples (0.4%):
President Chain Store Corp.		3,000		30,355
Uni-President Enterprises Corp.		16,000		36,335
				66,690

See notes to financial statements.

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Security Description	Shares		Value
Financials (5.4%):
Cathay Financial Holding Co. Ltd.		32,000	$	48,933
Chailease Holding Co. Ltd.		10,000		31,526
Chang Hwa Commercial Bank Ltd.		190,035		106,344
China Development Financial Holding Corp.		170,000		53,761
CTBC Financial Holding Co. Ltd.		82,800		54,417
E.Sun Financial Holding Co. Ltd.		112,013		73,252
First Financial Holding Co. Ltd.		148,040		96,330
Fubon Financial Holding Co. Ltd.		36,000		55,108
Hua Nan Financial Holdings Co. Ltd.		174,606		99,414
Mega Financial Holding Co. Ltd.		80,000		67,543
Taishin Financial Holding Co. Ltd.		181,650		77,126
Taiwan Cooperative Financial Holding Co. Ltd.		194,472		111,675
Yuanta Financial Holding Co. Ltd.		102,000		51,272
				926,701
Industrials (1.8%):
AirTac International Group		2,000		19,554
China Airlines Ltd.		189,000		67,640
Eva Airways Corp.		137,000		70,425
Far Eastern New Century Corp.		31,000		28,140
Hiwin Technologies Corp.		2,060		14,812
Taiwan High Speed Rail Corp.		81,000		80,510
Walsin Lihwa Corp.		30,000		16,349
				297,430
Information Technology (5.2%):
Accton Technology Corp.		5,000		16,040
Acer, Inc.		30,000		18,984
Advantech Co. Ltd.		8,000		54,789
Asustek Computer, Inc.		6,000		39,335
AU Optronics Corp.		83,000		33,215
Catcher Technology Co. Ltd.		3,000		21,961
Chroma ATE, Inc.		4,000		15,357
Compal Electronics, Inc.		104,000		59,045
Delta Electronics, Inc.		8,000		33,706
Foxconn Technology Co. Ltd.		20,100		39,564
General Interface Solution Holding Ltd.		4,000		11,713
Hon Hai Precision Industry Co. Ltd.		14,400		33,170
Inventec Corp.		65,000		46,631
Macronix International Co. Ltd.		18,000		10,746
MediaTek, Inc.		3,000		22,401
Micro-Star International Co. Ltd.		6,000		14,914
Nanya Technology Corp.		10,000		17,894
Novatek Microelectronics Corp.		7,000		32,340
Pegatron Corp.		21,000		35,118
Powertech Technology, Inc.		13,000		27,958
Quanta Computer, Inc.		28,000		48,009
Realtek Semiconductor Corp.		6,000		27,915
SYNNEX Technology International Corp.		27,000		31,976
Taiwan Semiconductor Manufacturing Co. Ltd.		5,000		36,683

See notes to financial statements.

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Security Description	Shares		Value
United Microelectronics Corp.		55,000	$	20,131
Walsin Technology Corp.		1,000		5,010
Winbond Electronics Corp.		46,000		20,279
Wistron Corp.		58,000		36,043
WPG Holdings Ltd.		38,000		45,683
Yageo Corp.		198		2,055
Zhen Ding Technology Holding Ltd.		13,000		33,921
				892,586
Materials (1.6%):
Asia Cement Corp.		24,000		26,510
China Steel Corp.		91,000		71,797
Formosa Chemicals & Fibre		11,000		37,578
Formosa Plastics Corp.		13,000		42,719
Nan Ya Plastics Corp.		20,000		49,128
TA Chen Stainless Pipe		13,000		17,785
Taiwan Cement Corp.		25,800		29,883
				275,400
				2,960,600
Thailand (7.7%):
Communication Services (0.9%):
Advanced Info Service Public Co. Ltd.		7,900		41,857
Intouch Holdings Public Co. Ltd.		39,300		57,639
Total Access Communication Public Co. Ltd.		15,700		20,856
Vgi Global Media PCL		155,300		37,206
				157,558
Consumer Discretionary (0.8%):
Home Product Center Public Co. Ltd.		83,900		39,170
Minor International Public Co. Ltd.		26,000		27,152
Robinson PCL		19,000		37,058
Siam Global House PCL		50,800		30,426
				133,806
Consumer Staples (0.9%):
Berli Jucker PCL		22,000		34,293
Charoen Pokphand Foods Public Co. Ltd.		43,000		32,490
CP ALL Public Co. Ltd.		24,600		51,947
Thai Union Group Public Co. Ltd.		70,800		35,229
				153,959
Energy (0.6%):
Esso Thailand PCL		47,400		14,850
IRPC Public Co. Ltd.		169,600		29,953
PTT PCL		23,000		32,496
Thai Oil PCL		11,100		22,587
				99,886
Financials (1.0%):
Bangkok Bank Public Co. Ltd.		8,300		51,751
Kasikornbank Public Co. Ltd.		6,100		34,662

See notes to financial statements.

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Security Description	Shares		Value
Krung Thai Bank Public Co. Ltd.		85,500	$	50,422
The Siam Commercial Bank Public Co. Ltd.		9,200		37,724
				174,559
Health Care (0.4%):
Bangkok Dusit Medical Services Public Co. Ltd.		41,400		31,536
Bumrungrad Hospital Public Co. Ltd.		6,800		39,161
				70,697
Industrials (1.0%):
Airports of Thailand PCL		26,700		52,690
Bangkok Expressway & Metro PCL		182,700		54,433
Bts Group Holdings PCL		202,000		59,252
				166,375
Materials (0.7%):
Indorama Ventures Public Co. Ltd.		18,000		29,993
PTT Global Chemical Public Co. Ltd.		12,100		26,480
The Siam Cement Public Co. Ltd.		3,850		51,558
				108,031
Real Estate (0.4%):
Central Pattana Public Co. Ltd.		18,000		41,327
Wha Corp. PCL (b)		245,200		32,234
				73,561
Utilities (1.0%):
Banpu Power PCL		63,200		43,288
Global Power Synergy PCL		19,200		34,499
Ratchaburi Electricity Generating Holdings Public Co. Ltd.		62,400		97,268
				175,055
				1,313,487
Turkey (1.6%):
Communication Services (0.2%):
Turkcell Iletisim Hizmetleri AS		15,840		36,493
Consumer Discretionary (0.3%):
Ford Otomotiv Sanayi AS		2,320		21,959
Tofas Turk Otomobil Fabrikasi AS		8,264		26,439
				48,398
Consumer Staples (0.3%):
BIM Birlesik Magazalar AS		3,005		49,491
Energy (0.2%):
Tupras Turkiye Petrol Rafinerileri AS		1,332		29,426
Industrials (0.5%):
Enka Insaat ve Sanayi AS		1		—	(d)
KOC Holding AS		12,447		33,459
TAV Havalimanlari Holding AS		4,029		18,244
Turkiye Sise ve Cam Fabrikalari AS		28,349		30,429
				82,132

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.1%):
Eregli Demir ve Celik Fabrikalari TAS		12,763	$	17,444
				263,384
Total Common Stocks (Cost $17,039,568)				16,947,403
Rights (0.0%) (e)
Taiwan (0.0%): (e)
Industrials (0.0%): (e)
Eva Airways Corp. Expires 01/21/19 @ $0.00 (c) (f) (g)		7,941		723
Total Rights (Cost $—)				723
Collateral for Securities Loaned^ (1.8%)
United States (1.8%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (h)		59,045		59,045
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (h)		85,318		85,318
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (h)		2,635		2,635
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (h)		32,803		32,803
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (h)		52,482		52,482
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (h)		78,728		78,728
Total Collateral for Securities Loaned (Cost $311,011)				311,011
Total Investments (Cost $17,350,579) — 101.2%				17,259,137
Liabilities in excess of other assets — (1.2)%				(210,287	)
NET ASSETS — 100.00%			$	17,048,850

^  Purchased with cash collateral from securities on loan.

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $338,120 and amounted to 2.0% of net assets.

(b)  All or a portion of this security is on loan.

(c)  Non-income producing security.

(d)  Rounds to less than $1.

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

(f)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(g)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(h)  Rate disclosed is the daily yield on December 31, 2018.

GDR — Global Depository Receipt

OAO — Russian Open Joint Stock Corporations

See notes to financial statements.

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PCL — Public Company Limited

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI Emerging Markets Index Futures		3	3/15/19	$	145,422	$	145,020	$	(402	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(402	)
	Total net unrealized appreciation(depreciation)							$	(402	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (4.6%):
AT&T, Inc.		54,792	$	1,563,764
CenturyLink, Inc.		52,929		801,874
Omnicom Group, Inc.		25,692		1,881,682
Verizon Communications, Inc.		37,049		2,082,895
Viacom, Inc., Class B		47,497		1,220,673
				7,550,888
Consumer Discretionary (10.9%):
Ford Motor Co.		181,152		1,385,812
Garmin Ltd.		31,854		2,016,995
Genuine Parts Co.		21,819		2,095,060
Harley-Davidson, Inc.		34,280		1,169,634
Kohl's Corp.		13,462		893,069
L Brands, Inc.		32,960		846,083
Las Vegas Sands Corp.		22,991		1,196,682
Leggett & Platt, Inc. (a)		39,174		1,403,997
Macy's, Inc.		23,671		704,922
McDonald's Corp.		11,410		2,026,073
Newell Brands, Inc.		46,433		863,189
Penske Automotive Group, Inc.		28,830		1,162,426
Target Corp.		18,338		1,211,959
The Gap, Inc.		30,812		793,717
				17,769,618
Consumer Staples (14.3%):
Altria Group, Inc.		28,210		1,393,292
Archer-Daniels-Midland Co.		49,128		2,012,775
Colgate-Palmolive Co.		34,759		2,068,856
General Mills, Inc.		33,409		1,300,946
Ingredion, Inc.		15,063		1,376,758
Kellogg Co.		24,390		1,390,474
Kimberly-Clark Corp.		14,880		1,695,427
Molson Coors Brewing Co., Class B		18,217		1,023,067
Philip Morris International, Inc.		16,266		1,085,918
The Clorox Co.		10,953		1,688,295
The Hershey Co.		18,290		1,960,322
The J.M. Smucker Co.		14,358		1,342,329
The Kraft Heinz Co.		26,352		1,134,190
The Procter & Gamble Co.		29,887		2,747,213
Walgreens Boots Alliance, Inc.		20,316		1,388,192
				23,608,054
Electric Utilities (17.0%):
Alliant Energy Corp.		57,230		2,417,968
American Electric Power Co., Inc.		33,757		2,522,998
Duke Energy Corp.		30,924		2,668,741
Eversource Energy		40,546		2,637,112
Exelon Corp.		61,438		2,770,854
IDACORP, Inc.		23,225		2,161,319

See notes to financial statements.

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Security Description	Shares		Value
NextEra Energy, Inc.		16,076	$	2,794,330
OGE Energy Corp. (a)		66,356		2,600,492
Pinnacle West Capital Corp.		31,311		2,667,697
PPL Corp.		65,757		1,862,896
Xcel Energy, Inc.		49,226		2,425,365
				27,529,772
Energy (6.1%):
Chevron Corp.		15,464		1,682,329
Exxon Mobil Corp.		24,452		1,667,382
Occidental Petroleum Corp.		21,277		1,305,982
ONEOK, Inc.		31,860		1,718,847
Phillips 66		15,775		1,359,016
The Williams Cos., Inc.		58,036		1,279,694
Valero Energy Corp.		13,236		992,303
				10,005,553
Financials (17.4%):
American Financial Group, Inc.		21,832		1,976,451
Ameriprise Financial, Inc.		10,924		1,140,138
BB&T Corp.		34,496		1,494,367
CNA Financial Corp.		44,510		1,965,117
Erie Indemnity Co., Class A		17,859		2,380,784
First American Financial Corp.		35,869		1,601,192
FNF Group		48,542		1,526,160
Huntington Bancshares, Inc.		112,595		1,342,132
Invesco Ltd.		59,691		999,227
KeyCorp		74,011		1,093,883
New York Community Bancorp, Inc. (a)		146,502		1,378,584
Old Republic International Corp.		105,706		2,174,373
PacWest Bancorp		37,997		1,264,540
People's United Financial, Inc. (a)		124,331		1,794,096
Principal Financial Group, Inc.		29,814		1,316,884
Prudential Financial, Inc.		16,627		1,355,932
Umpqua Holdings Corp.		76,868		1,222,201
Unum Group		29,466		865,711
Wells Fargo & Co.		31,012		1,429,033
				28,320,805
Gas Utilities (1.3%):
National Fuel Gas Co. (a)		43,051		2,203,350
Health Care (2.3%):
AbbVie, Inc.		12,044		1,110,336
Pfizer, Inc.		60,680		2,648,682
				3,759,018
Industrials (7.6%):
3M Co.		8,265		1,574,813
Eaton Corp. PLC, ADR		22,138		1,519,995
Emerson Electric Co.		22,005		1,314,799
Fastenal Co.		23,650		1,236,659

See notes to financial statements.

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Security Description	Shares		Value
Hubbell, Inc.		12,821	$	1,273,638
Johnson Controls International PLC		40,525		1,201,566
MSC Industrial Direct Co., Inc., Class A		20,989		1,614,473
United Parcel Service, Inc., Class B		14,649		1,428,717
Watsco, Inc.		8,727		1,214,275
				12,378,935
Information Technology (2.5%):
Broadcom, Inc.		5,141		1,307,253
Paychex, Inc.		31,024		2,021,214
Seagate Technology PLC		21,096		814,095
				4,142,562
Materials (6.9%):
Air Products & Chemicals, Inc.		13,297		2,128,185
International Paper Co.		31,028		1,252,290
Lyondellbasell Industries NV, Class A		13,783		1,146,194
Nucor Corp.		22,716		1,176,916
Olin Corp.		45,317		911,325
Packaging Corp. of America		15,046		1,255,739
Sonoco Products Co.		40,612		2,157,716
WestRock Co.		32,151		1,214,022
				11,242,387
Multi-Utilities (8.7%):
Consolidated Edison, Inc.		31,388		2,399,926
Dominion Resources, Inc.		31,606		2,258,565
DTE Energy Co.		23,408		2,581,903
MDU Resources Group, Inc.		83,697		1,995,336
Public Service Enterprise Group, Inc.		46,086		2,398,776
WEC Energy Group, Inc.		37,226		2,578,273
				14,212,779
Total Common Stocks (Cost $177,032,358)				162,723,721
Collateral for Securities Loaned^ (2.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (b)		707,774		707,774
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (b)		1,022,700		1,022,700
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (b)		31,581		31,581
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (b)		393,212		393,212
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (b)		629,100		629,100
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (b)		943,710		943,710
Total Collateral for Securities Loaned (Cost $3,728,077)				3,728,077
Total Investments (Cost $180,760,435) — 101.9%				166,451,798
Liabilities in excess of other assets — (1.9)%				(3,083,580	)
NET ASSETS — 100.00%			$	163,368,218

^  Purchased with cash collateral from securities on loan.

See notes to financial statements.

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  (Unaudited)

(a)  All or a portion of this security is on loan.

(b)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		3	3/15/19	$	385,575	$	375,780	$	(9,795	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(9,795	)
	Total net unrealized appreciation(depreciation)							$	(9,795	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.2%)
Communication Services (3.6%):
Emerald Expositions Events, Inc.		29,957	$	369,669
Marcus Corp.		14,244		562,638
Sinclair Broadcast Group, Inc., Class A		14,345		377,847
TEGNA, Inc.		38,513		418,637
				1,728,791
Consumer Discretionary (16.4%):
Acushnet Holdings Corp.		21,495		452,899
Bed Bath & Beyond, Inc.		20,238		229,094
Big Lots, Inc.		10,463		302,590
Bloomin' Brands, Inc.		29,848		533,981
Bluegreen Vacations Corp. (a)		19,498		252,109
Brinker International, Inc.		10,969		482,417
Chico's FAS, Inc.		34,956		196,453
Ethan Allen Interiors, Inc.		27,855		489,969
Group 1 Automotive, Inc.		5,162		272,141
Haverty Furniture Cos., Inc.		23,666		444,447
Jack in the Box, Inc.		6,563		509,486
La-Z-Boy, Inc.		13,007		360,424
LCI Industries (a)		4,153		277,420
MDC Holdings, Inc.		15,799		444,110
Nutrisystem, Inc.		8,930		391,849
Papa John's International, Inc. (a)		8,104		322,620
PetMed Express, Inc. (a)		9,663		224,761
Ruth's Hospitality Group, Inc.		14,876		338,131
Sturm Ruger & Co.		8,103		431,242
Tenneco, Inc.		11,134		304,961
The Buckle, Inc. (a)		14,329		277,123
The Cheesecake Factory, Inc. (a)		9,528		414,563
				7,952,790
Consumer Staples (3.7%):
B&G Foods, Inc. (a)		11,529		333,303
Ingles Markets, Inc., Class A		11,222		305,463
John B. Sanfilippo & Son, Inc. (a)		7,265		404,370
Universal Corp.		4,874		263,927
Vector Group Ltd.		51,248		498,643
				1,805,706
Energy (1.9%):
Arch Coal, Inc.		4,474		371,297
Evolution Petroleum Corp.		46,677		318,337
RPC, Inc.		25,357		250,274
				939,908
Financials (24.6%):
Capitol Federal Financial, Inc.		88,931		1,135,649
Cohen & Steers, Inc.		18,268		626,957
Federated Investors, Inc., Class B		21,283		565,064

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
First Busey Corp.		26,437	$	648,764
Hope Bancorp, Inc.		38,455		456,076
Horace Mann Educators Corp.		16,280		609,686
James River Group Holdings Ltd.		17,382		635,138
Legg Mason, Inc.		18,768		478,772
Northwest Bancshares, Inc.		56,335		954,315
Park National Corp.		7,119		604,759
ProAssurance Corp.		10,903		442,226
Provident Financial Services, Inc.		34,342		828,672
Safety Insurance Group, Inc.		9,211		753,552
Sandy Spring BanCorp		21,375		669,893
Southside Bancshares, Inc.		22,732		721,741
Trustmark Corp. (a)		22,385		636,406
Waddell & Reed Financial, Inc., Class A (a)		23,380		422,710
Westamerica BanCorp (a)		11,438		636,868
				11,827,248
Health Care (1.7%):
Meridian Bioscience, Inc.		46,352		804,671
Industrials (22.7%):
Acco Brands Corp.		48,358		327,867
Aircastle Ltd.		30,227		521,113
Allegiant Travel Co.		2,889		289,536
Altra Industrial Motion Corp.		15,917		400,313
Applied Industrial Technologies, Inc.		7,733		417,118
Brady Corp., Class A		18,230		792,276
Deluxe Corp.		13,044		501,411
Gorman-Rupp Co.		20,393		660,937
H&E Equipment Services, Inc.		9,833		200,790
Herman Miller, Inc.		12,134		367,054
HNI Corp.		11,633		412,157
KBR, Inc.		25,706		390,217
Kimball International, Inc., Class B		44,103		625,822
Knoll, Inc.		27,045		445,702
Matson, Inc.		17,121		548,214
Matthews International Corp., Class A		12,841		521,601
McGrath RentCorp		11,699		602,265
Mobile Mini, Inc.		10,836		344,043
Mueller Water Products, Inc., Class A		46,295		421,285
National Presto Industries, Inc. (a)		4,426		517,488
Pitney Bowes, Inc.		62,783		371,048
Steelcase, Inc., Class A		36,105		535,437
The Greenbrier Cos., Inc.		8,443		333,836
Wabash National Corp.		27,765		363,166
				10,910,696
Information Technology (8.5%):
Cass Information Systems, Inc.		11,033		583,866
CSG Systems International, Inc.		18,520		588,381
InterDigital, Inc.		10,490		696,851
ManTech International Corp., Class A		8,564		447,854

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
MTS Systems Corp. (a)		11,590	$	465,107
NIC, Inc.		36,304		453,074
Progress Software Corp.		8,977		318,594
The Hackett Group, Inc.		33,043		529,018
				4,082,745
Materials (3.0%):
Greif, Inc., Class A		8,808		326,865
Myers Industries, Inc.		16,192		244,661
Rayonier Advanced Materials, Inc.		18,376		195,704
Schnitzer Steel Industries, Inc.		14,101		303,877
Worthington Industries, Inc.		10,913		380,208
				1,451,315
Real Estate (2.0%):
Four Corners Property Trust, Inc.		36,188		948,126
Utilities (11.1%):
American States Water Co.		11,955		801,463
Chesapeake Utilities Corp.		8,800		715,440
MGE Energy, Inc.		13,520		810,659
Middlesex Water Co.		12,661		675,464
Otter Tail Corp.		18,333		910,050
SJW Corp.		8,719		484,951
Unitil Corp.		17,833		903,063
				5,301,090
Total Common Stocks (Cost $55,167,845)				47,753,086
Rights (0.0%) (b)
Materials (0.0%): (b)
Schulman, Inc. (c) (d) (e)		7,093		14,186
Total Rights (Cost $14,186)				14,186
Collateral for Securities Loaned^ (7.0%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (f)		639,215		639,215
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (f)		923,635		923,635
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (f)		28,522		28,522
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (f)		355,123		355,123
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (f)		568,162		568,162
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (f)		852,296		852,296
Total Collateral for Securities Loaned (Cost $3,366,953)				3,366,953
Total Investments (Cost $58,548,984) — 106.2%				51,134,225
Liabilities in excess of other assets — (6.2)%				(2,977,974	)
NET ASSETS — 100.00%			$	48,156,251

^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security is on loan.

See notes to financial statements.

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

(c)  Non-income producing security.

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(f)  Rate disclosed is the daily yield on December 31, 2018.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		5	3/15/19	$	352,100	$	337,250	$	(14,850	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(14,850	)
	Total net unrealized appreciation(depreciation)							$	(14,850	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Australia (9.9%):
Communication Services (0.7%):
Telstra Corp. Ltd.		145,448	$	291,910
Consumer Staples (1.2%):
Wesfarmers Ltd.		21,399		485,529
Financials (4.8%):
Australia & New Zealand Banking Group Ltd.		27,110		466,963
Commonwealth Bank of Australia		10,339		527,052
National Australia Bank Ltd.		32,140		544,776
Westpac Banking Corp. (a)		26,473		466,803
				2,005,594
Materials (2.3%):
BHP Group PLC		13,981		294,273
RIO Tinto Ltd.		7,665		423,557
South32 Ltd.		102,744		242,381
				960,211
Utilities (0.9%):
AGL Energy Ltd. (a)		27,190		394,433
				4,137,677
Canada (12.1%):
Communication Services (4.1%):
BCE, Inc.		21,747		859,205
TELUS Corp.		26,226		869,397
				1,728,602
Energy (2.7%):
Enbridge, Inc.		9,924		308,335
Pembina Pipeline Corp. (a)		14,148		419,879
TransCanada Corp.		10,785		385,179
				1,113,393
Financials (1.5%):
Power Financial Corp.		33,437		632,731
Utilities (3.8%):
Fortis, Inc.		25,211		840,552
Hydro One Ltd. (b)		51,686		766,770
				1,607,322
				5,082,048
Denmark (0.6%):
Financials (0.6%):
Danske Bank A/S		13,283		262,798

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Finland (2.9%):
Financials (2.0%):
Nordea Bank AB		39,265	$	330,588
Sampo Oyj, Class A		11,459		504,222
				834,810
Utilities (0.9%):
Fortum Oyj		16,918		370,180
				1,204,990
France (12.6%):
Communication Services (1.3%):
Orange SA		34,688		562,496
Consumer Discretionary (0.6%):
Renault SA		4,251		265,654
Energy (1.0%):
Total SA		7,863		415,980
Financials (4.3%):
AXA SA		16,233		350,691
BNP Paribas SA		8,010		362,231
Credit Agricole SA		39,414		425,787
Natixis SA		55,774		263,181
Societe Generale SA		12,264		390,859
				1,792,749
Health Care (1.4%):
Sanofi		6,763		586,187
Industrials (1.0%):
Bouygues		11,016		395,506
Utilities (3.0%):
Gdf Suez		31,561		452,855
Suez Environnement Co.		24,564		324,459
Veolia Environnement SA		23,120		475,558
				1,252,872
				5,271,444
Germany (3.9%):
Communication Services (1.4%):
Deutsche Telekom AG, Registered Shares		33,515		569,008
Consumer Discretionary (1.7%):
Bayerische Motoren Werke AG		4,643		376,053
Daimler AG, Registered Shares		6,098		320,719
				696,772
Materials (0.8%):
BASF SE		4,979		344,516
				1,610,296

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Hong Kong (3.5%):
Consumer Staples (0.5%):
WH Group Ltd. (b)		288,500	$	222,178
Utilities (3.0%):
CK Infrastructure Holdings Ltd.		93,000		704,330
Power Assets Holdings Ltd.		78,000		542,912
				1,247,242
				1,469,420
Ireland (0.5%):
Communication Services (0.5%):
WPP PLC		17,141		184,936
Italy (6.7%):
Energy (2.0%):
Eni SpA		24,573		387,015
Snam SpA		103,752		453,917
				840,932
Financials (1.8%):
Assicurazioni Generali SpA		28,380		474,675
Intesa Sanpaolo SpA		125,916		279,813
				754,488
Industrials (0.5%):
Atlantia SpA		10,338		214,006
Utilities (2.4%):
Enel SpA		89,646		518,008
Terna Rete Elettrica Nazionale SpA		81,645		463,264
				981,272
				2,790,698
Japan (6.4%):
Consumer Discretionary (4.2%):
Bridgestone Corp.		12,600		487,030
Fuji Heavy Industries Ltd.		16,800		361,784
Nissan Motor Co. Ltd.		60,300		484,370
Sekisui House Ltd.		28,300		418,083
				1,751,267
Consumer Staples (0.9%):
Japan Tobacco, Inc. (a)		16,000		382,006
Information Technology (1.3%):
Canon, Inc. (a)		19,100		523,032
				2,656,305
Korea, Republic Of (2.4%):
Consumer Staples (1.1%):
KT&G Corp.		5,022		456,873

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Energy (1.3%):
SK Innovation Co. Ltd.		1,835	$	295,225
S-Oil Corp.		3,020		264,456
				559,681
				1,016,554
Macau (0.6%):
Consumer Discretionary (0.6%):
Sands China Ltd.		60,000		262,835
Netherlands (3.7%):
Communication Services (1.2%):
Koninklijke KPN NV		176,506		517,642
Financials (1.7%):
ABN AMRO Group NV (b)		14,533		341,969
ING Groep NV		34,440		371,264
				713,233
Industrials (0.8%):
Randstad Holding NV		6,961		319,697
				1,550,572
Norway (2.1%):
Communication Services (1.1%):
Telenor ASA		23,836		462,066
Consumer Staples (1.0%):
Marine Harvest ASA		19,145		404,809
				866,875
Portugal (0.6%):
Consumer Staples (0.6%):
Jeronimo Martins SGPS SA		22,458		266,025
Russian Federation (0.4%):
Materials (0.4%):
Evraz PLC		28,852		176,676
Singapore (1.0%):
Communication Services (1.0%):
Singapore Telecommunications Ltd.		202,400		435,221
Spain (6.4%):
Communication Services (1.4%):
Telefonica SA		68,262		573,914
Energy (0.9%):
Repsol SA		23,441		378,102

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Utilities (4.1%):
Endesa SA		25,277	$	582,908
Iberdrola SA		71,118		571,772
Red Electrica Corp. SA		25,385		566,932
				1,721,612
				2,673,628
Sweden (4.6%):
Communication Services (1.1%):
TeliaSonera AB		93,722		444,164
Consumer Discretionary (0.7%):
Hennes & Mauritz AB, B Shares (a)		21,548		306,553
Financials (2.1%):
Skandinaviska Enskilda Banken AB, Class A		40,267		391,392
Swedbank AB, A Shares		21,420		478,184
				869,576
Industrials (0.7%):
Atlas Copco AB, A Shares		12,135		288,371
				1,908,664
Switzerland (3.4%):
Communication Services (1.4%):
Swisscom AG		1,179		563,640
Financials (1.3%):
Zurich Insurance Group AG		1,837		548,015
Industrials (0.7%):
Adecco SA, Registered Shares		6,550		306,200
				1,417,855
United Kingdom (15.2%):
Communication Services (1.9%):
BT Group PLC		127,535		386,987
Vodafone Group PLC		203,647		396,819
				783,806
Consumer Discretionary (1.5%):
Next PLC		5,022		255,426
Persimmon PLC		15,706		386,305
				641,731
Consumer Staples (1.4%):
British American Tobacco PLC		7,437		236,944
Imperial Tobacco Group PLC		11,590		351,091
				588,035
Energy (1.8%):
BP PLC		55,901		353,318
Royal Dutch Shell PLC, Class A		13,412		394,405
				747,723

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Financials (2.9%):
Aviva PLC		86,786	$	415,305
Legal & General Group PLC		160,964		473,858
Standard Life Aberdeen PLC		108,160		353,903
				1,243,066
Materials (2.7%):
Anglo American PLC		11,905		265,173
Antofagasta PLC		27,529		274,771
Mondi PLC		12,517		260,571
Rio Tinto PLC		6,755		321,101
				1,121,616
Utilities (3.0%):
Centrica PLC		223,910		384,940
National Grid PLC		44,053		429,032
SSE PLC		31,482		433,907
				1,247,879
				6,373,856
Total Common Stocks (Cost $47,933,404)				41,619,373
Rights (0.0%) (c)
Spain (0.0%): (c)
Energy (0.0%): (c)
Repsol SA Expires 01/10/19 @ $0.41 (d)		23,441		10,741
Total Rights (Cost $10,995)				10,741
Collateral for Securities Loaned^ (3.2%)
United States (3.2%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (e)		259,592		259,592
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (e)		375,098		375,098
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (e)		11,583		11,583
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (e)		144,219		144,219
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (e)		230,737		230,737
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (e)		346,127		346,127
Total Collateral for Securities Loaned (Cost $1,367,356)				1,367,356
Total Investments (Cost $49,311,755) — 102.7%				42,997,470
Liabilities in excess of other assets — (2.7)%				(1,138,111	)
NET ASSETS — 100.00%			$	41,859,359

^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security is on loan.

See notes to financial statements.

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  (Unaudited)

(b)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $1,330,917 and amounted to 3.2% of net assets.

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

(d)  Non-income producing security.

(e)  Rate disclosed is the daily yield on December 31, 2018.

PLC — Public Limited Company

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.3%)
Brazil (10.0%):
Consumer Discretionary (0.5%):
Kroton Educacional S.A.		39,100	$	89,494
Financials (2.6%):
Banco do Brasil SA		17,400		208,739
BB Seguridade Participacoes SA		34,300		244,197
				452,936
Health Care (1.8%):
Fleury SA		24,900		127,093
Hypermarcas S.A.		25,200		196,382
				323,475
Industrials (1.1%):
CCR SA		65,100		188,145
Information Technology (0.5%):
Cielo SA		35,800		82,126
Utilities (3.5%):
Cia de Saneamento Basico do Estado de Sao Paulo		25,400		206,461
EDP - Energias do Brasil SA		40,600		154,530
Engie Brasil Energia SA		31,450		267,974
				628,965
				1,765,141
Chile (3.2%):
Utilities (3.2%):
Aguas Andinas SA		647,682		356,475
Colbun SA		1,074,304		215,867
				572,342
China (15.5%):
Consumer Discretionary (1.1%):
Chongqing Changan Automobile Co. Ltd.		205,100		91,418
Guangzhou Automobile Group Co. Ltd.		110,000		109,719
				201,137
Energy (1.9%):
China Petroleum & Chemical Corp., Class H		172,000		122,794
China Shenhua Energy Co. Ltd.		64,000		140,261
Yanzhou Coal Mining Co. Ltd.		79,800		64,411
				327,466
Financials (9.1%):
Agricultural Bank of China Ltd.		410,000		179,604
Bank of China Ltd.		620,000		267,637
Bank of Communications Co. Ltd., Class H		358,000		279,359
China Cinda Asset Management Co.		734,000		178,110
China CITIC Bank Corp. Ltd.		309,000		187,847

See notes to financial statements.

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Security Description	Shares		Value
China Everbright Bank Co. Ltd.		544,000	$	235,525
China Huarong Asset Management Co. Ltd., Class H (a)		657,000		119,988
Chongqing Rural Commercial Bank Co. Ltd.		324,000		173,793
				1,621,863
Industrials (1.6%):
Jiangsu Expressway Co. Ltd.		132,000		184,092
Weichai Power Co. Ltd.		90,000		102,873
				286,965
Materials (0.7%):
Sinopec Shanghai Petrochemical Co. Ltd.		296,000		129,665
Real Estate (1.1%):
Cifi Holdings Group Co. Ltd.		184,000		97,757
Guangzhou R&f Properties Co. Ltd., Class H		61,600		93,148
				190,905
				2,758,001
Czech Republic (2.0%):
Financials (2.0%):
Komercni Banka AS		9,547		360,198
Egypt (1.4%):
Consumer Staples (0.7%):
Eastern Tobacco		141,510		128,833
Industrials (0.7%):
Elsewedy Electric Co.		120,450		121,192
				250,025
Hong Kong (2.7%):
Industrials (1.1%):
China Merchants Holdings International		112,000		201,686
Real Estate (0.4%):
Agile Group Holdings Ltd.		64,000		75,280
Utilities (1.2%):
China Resources Power Holdings Co. Ltd.		108,000		207,724
				484,690
India (1.1%):
Communication Services (1.1%):
Bharti Infratel Ltd.		53,865		199,850
Indonesia (3.0%):
Communication Services (0.9%):
PT Telekomunikasi Indonesia Persero TBK		609,300		158,948
Energy (1.5%):
PT Adaro Energy TBK		836,300		70,686
PT Indo Tambangraya Megah TBK		50,700		71,421
Tambang Batubara Bukit Asam TBK PT		425,100		127,160
				269,267

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.6%):
PT Indocement Tunggal Prakarsa TBK		82,800	$	106,272
				534,487
Malaysia (7.7%):
Communication Services (1.9%):
Astro Malaysia Holdings BHD		216,400		68,116
DiGi.Com Berhad		165,500		180,327
Telekom Malaysia Berhad		146,100		94,098
				342,541
Consumer Staples (0.6%):
British American Tobacco Malaysia BHD		12,200		106,580
Financials (2.5%):
CIMB Group Holdings Berhad		132,500		183,190
Malayan Banking Berhad		114,000		262,228
				445,418
Industrials (2.1%):
MISC BHD		114,800		186,237
Sime Darby BHD		311,200		180,843
				367,080
Utilities (0.6%):
YTL Power International BHD		518,000		104,102
				1,365,721
Mexico (1.7%):
Consumer Staples (1.0%):
Kimberly-Clark de Mexico SAB de CV, Series A		113,382		179,873
Materials (0.7%):
Grupo Mexico SAB de CV, Series B		55,086		113,381
				293,254
Philippines (0.7%):
Communication Services (0.7%):
Globe Telecom, Inc.		3,475		125,571
Poland (1.0%):
Financials (1.0%):
Bank Pekao SA		6,273		182,828
Russian Federation (9.3%):
Communication Services (2.7%):
Mobile TeleSystems PJSC		61,800		211,689
Rostelecom PJSC		260,420		273,871
				485,560

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.4%):
Magnit PJSC, GDR		9,048	$	115,181
X5 Retail Group NV, Registered Shares, GDR		5,487		135,968
				251,149
Energy (1.2%):
Tatneft PAO		20,540		218,137
Materials (2.9%):
ALROSA AO		119,300		169,332
MMC Norilsk Nickel PJSC		914		171,523
Severstal PJSC		12,110		164,340
				505,195
Utilities (1.1%):
Federal Grid Co. Unified Energy System PJSC		86,770,000		184,976
				1,645,017
South Africa (9.3%):
Communication Services (2.4%):
Telkom SA SOC Ltd.		56,067		247,262
Vodacom Group Ltd.		18,631		171,366
				418,628
Consumer Discretionary (1.7%):
The Foschini Group Ltd.		12,331		142,839
Truworths International Ltd.		25,522		156,677
				299,516
Financials (4.0%):
Absa Group Ltd.		15,467		174,403
Investec Ltd.		32,564		179,258
Nedbank Group Ltd.		9,830		188,174
Standard Bank Group Ltd.		13,364		166,511
				708,346
Materials (1.2%):
African Rainbow Minerals Ltd.		12,167		120,686
Assore Ltd.		4,959		100,209
				220,895
				1,647,385
Taiwan (18.5%):
Consumer Discretionary (2.2%):
Pou Chen Corp.		224,000		237,585
Ruentex Industries Ltd.		63,000		161,107
				398,692
Consumer Staples (2.0%):
President Chain Store Corp.		16,000		161,895
Uni-President Enterprises Corp.		84,300		191,441
				353,336

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.0%):
Mega Financial Holding Co. Ltd.		418,000	$	352,912
Information Technology (9.7%):
Asustek Computer, Inc.		31,000		203,231
AU Optronics Corp.		434,000		173,679
Compal Electronics, Inc.		545,000		309,417
Inventec Corp.		340,000		243,916
Pegatron Corp.		109,000		182,281
Quanta Computer, Inc.		147,000		252,047
Winbond Electronics Corp.		243,000		107,127
WPG Holdings Ltd.		201,000		241,637
				1,713,335
Materials (2.6%):
Formosa Chemicals & Fibre		59,000		201,555
Nan Ya Plastics Corp.		105,000		257,922
				459,477
				3,277,752
Thailand (8.9%):
Communication Services (1.7%):
Intouch Holdings Public Co. Ltd.		206,300		302,567
Energy (2.0%):
Esso Thailand PCL		251,200		78,699
IRPC Public Co. Ltd.		890,900		157,342
Thai Oil PCL		58,400		118,836
				354,877
Materials (2.3%):
PTT Global Chemical Public Co. Ltd.		63,700		139,404
The Siam Cement Public Co. Ltd.		20,200		270,512
				409,916
Utilities (2.9%):
Ratchaburi Electricity Generating Holdings Public Co. Ltd.		327,600		510,656
				1,578,016
Turkey (3.3%):
Communication Services (1.1%):
Turkcell Iletisim Hizmetleri AS		83,226		191,739
Consumer Discretionary (0.8%):
Tofas Turk Otomobil Fabrikasi AS		43,420		138,911
Energy (0.9%):
Tupras Turkiye Petrol Rafinerileri AS		6,997		154,577

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.5%):
Eregli Demir ve Celik Fabrikalari TAS		67,055	$	91,649
				576,876
Total Common Stocks (Cost $19,631,059)				17,617,154
Total Investments (Cost $19,631,059) — 99.3%				17,617,154
Other assets in excess of liabilities — 0.7%				129,354
NET ASSETS — 100.00%			$	17,746,508

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $119,989 and amounted to 0.7% of net assets.

GDR — Global Depository Receipt

PCL — Public Company Limited

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI Emerging Markets Index Futures		2	3/15/19	$	97,838	$	96,680	$	(1,158	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(1,158	)
	Total net unrealized appreciation(depreciation)							$	(1,158	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.8%)
Aerospace & Defense (4.3%):
General Dynamics Corp.		380	$	59,740
Lockheed Martin Corp.		1,050		274,932
Northrop Grumman Corp.		322		78,858
				413,530
Air Freight & Logistics (1.4%):
Expeditors International of Washington, Inc.		1,936		131,822
Building Products (2.1%):
Lennox International, Inc.		928		203,102
Commercial Services & Supplies (3.7%):
Cintas Corp.		364		61,148
Rollins, Inc.		4,441		160,321
Waste Management, Inc.		1,552		138,112
				359,581
Consumer Discretionary (10.6%):
Leggett & Platt, Inc.		1,546		55,409
Lowe's Co., Inc.		1,177		108,708
McDonald's Corp.		953		169,224
Nike, Inc., Class B		2,097		155,472
Pool Corp.		1,049		155,934
Ross Stores, Inc.		666		55,411
The Home Depot, Inc.		1,047		179,895
The TJX Co., Inc.		1,524		68,184
VF Corp.		1,015		72,410
				1,020,647
Consumer Staples (21.9%):
Altria Group, Inc.		841		41,537
Brown-Forman Corp., Class B		2,052		97,634
Church & Dwight Co., Inc.		1,173		77,136
Colgate-Palmolive Co.		2,908		173,084
Costco Wholesale Corp.		804		163,783
Hormel Foods Corp.		2,005		85,573
Kimberly-Clark Corp.		1,357		154,617
McCormick & Co., Inc.		1,058		147,316
PepsiCo, Inc.		2,664		294,319
Sysco Corp.		2,385		149,444
The Clorox Co.		852		131,327
The Procter & Gamble Co.		3,457		317,767
Walgreens Boots Alliance, Inc.		1,218		83,226
Wal-Mart Stores, Inc.		2,341		218,064
				2,134,827
Electrical Equipment (1.5%):
Emerson Electric Co.		2,513		150,152
Energy (0.6%):
Exxon Mobil Corp.		879		59,939

See notes to financial statements.

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Security Description	Shares		Value
Financials (14.9%):
Aflac, Inc.		1,738	$	79,183
American Financial Group, Inc.		2,036		184,319
Brown & Brown, Inc.		3,111		85,739
Cincinnati Financial Corp.		924		71,536
Commerce Bank, Inc. (a)		2,765		155,863
FactSet Research Systems, Inc.		788		157,702
Marsh & McLennan Co., Inc.		1,797		143,311
Old Republic International Corp.		748		15,386
S&P Global, Inc.		238		40,446
SEI Investments Co.		1,631		75,352
T. Rowe Price Group, Inc.		769		70,994
Torchmark Corp.		2,122		158,153
W.R. Berkley Corp.		2,714		200,591
				1,438,575
Health Care (4.1%):
Johnson & Johnson		637		82,205
UnitedHealth Group, Inc.		964		240,152
West Pharmaceutical Services, Inc.		789		77,346
				399,703
Industrial Conglomerates (3.5%):
3M Co.		1,029		196,066
Carlisle Cos., Inc.		785		78,908
Roper Technologies, Inc.		224		59,700
				334,674
Information Technology (13.1%):
Automatic Data Processing, Inc.		2,539		332,914
Broadridge Financial Solutions, Inc.		1,371		131,959
Intuit, Inc.		1,287		253,346
Jack Henry & Associates, Inc.		873		110,452
Mastercard, Inc., Class A		726		136,960
Texas Instruments, Inc.		1,969		186,071
Visa, Inc., Class A		893		117,822
				1,269,524
Machinery (8.6%):
Donaldson Co., Inc.		2,344		101,706
Dover Corp.		1,638		116,216
Graco, Inc.		2,356		98,599
IDEX Corp.		1,332		168,177
Illinois Tool Works, Inc.		1,007		127,577
Nordson Corp.		302		36,044
Stanley Black & Decker, Inc.		359		42,987
Toro Co.		2,562		143,165
				834,471
Materials (5.5%):
Air Products & Chemicals, Inc.		1,167		186,779
AptarGroup, Inc.		1,703		160,201

See notes to financial statements.

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Security Description	Shares		Value
Ecolab, Inc.		404	$	59,529
PPG Industries, Inc.		719		73,503
The Sherwin-Williams Co.		126		49,576
				529,588
Trading Companies & Distributors (1.1%):
W.W. Grainger, Inc.		369		104,191
Utilities (2.9%):
Atmos Energy Corp.		1,070		99,210
Consolidated Edison, Inc.		2,406		183,964
				283,174
Total Common Stocks (Cost $9,906,078)				9,667,500
Collateral for Securities Loaned^ (1.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (b)		28,136		28,136
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (b)		40,656		40,656
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (b)		1,255		1,255
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (b)		15,631		15,631
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (b)		25,009		25,009
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (b)		37,516		37,516
Total Collateral for Securities Loaned (Cost $148,203)				148,203
Total Investments (Cost $10,054,281) — 101.3%				9,815,703
Liabilities in excess of other assets — (1.3)%				(128,183	)
NET ASSETS — 100.00%			$	9,687,520

^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security is on loan.

(b)  Rate disclosed is the daily yield on December 31, 2018.

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.3%)
Communication Services (2.2%):
Omnicom Group, Inc.		4,940	$	361,806
The Walt Disney Co.		1,935		212,173
				573,979
Consumer Discretionary (7.2%):
Best Buy Co., Inc.		1,961		103,855
Carnival Corp., Class A		1,291		63,646
Cracker Barrel Old Country Store, Inc.		922		147,390
Darden Restaurants, Inc.		1,424		142,201
Dollar General Corp.		1,684		182,007
H&R Block, Inc.		8,955		227,188
Kohl's Corp.		4,091		271,397
Las Vegas Sands Corp.		1,146		59,649
Six Flags Entertainment Corp.		2,212		123,054
Target Corp.		5,412		357,679
The Gap, Inc.		5,982		154,096
The Home Depot, Inc.		387		66,494
Williams-Sonoma, Inc.		1,002		50,551
				1,949,207
Consumer Staples (20.2%):
Flowers Foods, Inc.		1,875		34,631
General Mills, Inc.		6,066		236,210
Ingredion, Inc.		4,735		432,779
Keurig Dr Pepper, Inc.		21,609		554,055
Kimberly-Clark Corp.		6,411		730,469
PepsiCo, Inc.		7,829		864,948
Sysco Corp.		2,479		155,334
The Hershey Co.		1,000		107,180
The Kroger Co.		19,497		536,168
The Procter & Gamble Co.		9,249		850,168
Wal-Mart Stores, Inc.		9,844		916,968
				5,418,910
Energy (1.5%):
Valero Energy Corp.		5,316		398,541
Financials (18.6%):
Aflac, Inc.		11,633		529,999
Agnc Investment Corp.		36,181		634,615
Brown & Brown, Inc.		27,969		770,825
Everest Re Group Ltd.		3,155		687,033
First American Financial Corp.		3,486		155,615
FNF Group		16,770		527,249
Hanover Insurance Group, Inc.		1,811		211,470
Marsh & McLennan Co., Inc.		870		69,383
New Residential Investment Corp.		27,237		387,038
Old Republic International Corp.		6,841		140,719
The Allstate Corp.		1,083		89,488

See notes to financial statements.

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Security Description	Shares		Value
The Progressive Corp.		3,742	$	225,755
The Travelers Co., Inc.		4,548		544,623
				4,973,812
Health Care (19.5%):
AmerisourceBergen Corp.		2,161		160,778
CVS Health Corp.		4,798		314,365
Encompass Health Corp.		1,142		70,461
HCA Holdings, Inc.		4,419		549,945
Humana, Inc.		1,869		535,431
Johnson & Johnson		8,811		1,137,060
Pfizer, Inc.		20,503		894,956
UnitedHealth Group, Inc.		2,964		738,392
Universal Health Services, Inc., Class B		1,194		139,173
WellCare Health Plans, Inc. (a)		2,848		672,384
				5,212,945
Industrials (10.1%):
3M Co.		844		160,816
Expeditors International of Washington, Inc.		1,544		105,131
Lockheed Martin Corp.		2,744		718,489
Raytheon Co.		4,088		626,895
Republic Services, Inc., Class A		781		56,302
Spirit Aerosystems Holdings, Inc., Class A		1,577		113,686
Waste Management, Inc.		10,162		904,317
				2,685,636
Information Technology (17.2%):
Apple, Inc.		8,414		1,327,224
Cisco Systems, Inc.		9,101		394,347
F5 Networks, Inc. (a)		674		109,208
Intel Corp.		10,536		494,454
International Business Machines Corp.		5,283		600,519
MAXIMUS, Inc.		1,291		84,031
Microsoft Corp.		15,541		1,578,499
				4,588,282
Real Estate (0.2%):
Medical Properties Trust, Inc.		2,826		45,442
Utilities (2.6%):
IDACORP, Inc.		7,561		703,627
Total Common Stocks (Cost $28,048,882)				26,550,381
Total Investments (Cost $28,048,882) — 99.3%				26,550,381
Other assets in excess of liabilities — 0.7%				180,999
NET ASSETS — 100.00%			$	26,731,380

(a)  Non-income producing security.

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		1	3/15/19	$	123,829	$	125,260	$	1,431
	Total unrealized appreciation							$	1,431
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	1,431

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.9%)
Communication Services (3.1%):
AT&T, Inc.		73,435	$	2,095,835
Cable One, Inc.		2,679		2,197,048
Cargurus, Inc. (a)		20,514		691,937
CBS Corp., Class B		34,247		1,497,279
CenturyLink, Inc.		70,933		1,074,635
Charter Communications, Inc., Class A (a)		4,896		1,395,213
Comcast Corp., Class A		51,854		1,765,629
DISH Network Corp. (a)		34,771		868,232
Facebook, Inc., Class A (a)		7,242		949,354
InterActive Corp. (a)		6,414		1,174,019
Netflix, Inc. (a)		3,503		937,613
Omnicom Group, Inc.		34,432		2,521,799
The Walt Disney Co.		27,142		2,976,120
T-Mobile US, Inc. (a)		31,172		1,982,851
Verizon Communications, Inc.		49,661		2,791,942
Viacom, Inc., Class B		63,661		1,636,088
World Wrestling Entertainment, Inc.		15,194		1,135,296
Zayo Group Holdings, Inc. (a)		66,079		1,509,244
				29,200,134
Consumer Discretionary (12.8%):
Advance Auto Parts, Inc.		10,995		1,731,273
Amazon.com, Inc. (a)		996		1,495,962
American Eagle Outfitters, Inc.		51,769		1,000,695
Aramark		54,549		1,580,285
AutoZone, Inc. (a)		2,763		2,316,333
Best Buy Co., Inc.		21,701		1,149,285
Bright Horizons Family Solutions, Inc. (a)		23,501		2,619,186
Burlington Stores, Inc. (a)		11,752		1,911,698
CarMax, Inc. (a)		22,582		1,416,569
Carter's, Inc.		19,979		1,630,686
Chipotle Mexican Grill, Inc. (a)		2,311		997,867
D.R. Horton, Inc.		36,493		1,264,847
Darden Restaurants, Inc.		14,924		1,490,311
Dollar General Corp.		19,473		2,104,643
Dollar Tree, Inc. (a)		15,422		1,392,915
Domino's Pizza, Inc.		7,114		1,764,201
Dunkin' Brands Group, Inc.		43,185		2,769,021
Etsy, Inc. (a)		20,533		976,755
Five Below, Inc. (a)		10,360		1,060,035
Ford Motor Co.		242,805		1,857,458
Garmin Ltd.		42,687		2,702,941
Gentex Corp.		88,811		1,794,871
Genuine Parts Co.		29,229		2,806,568
Grand Canyon Education, Inc. (a)		21,002		2,019,132
GrubHub, Inc. (a)		7,291		560,022
Harley-Davidson, Inc.		45,951		1,567,848
Hilton Worldwide Holdings, Inc.		33,976		2,439,477

See notes to financial statements.

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Security Description	Shares		Value
Hyatt Hotels Corp., Class A		34,283	$	2,317,531
Kohl's Corp.		18,036		1,196,508
L Brands, Inc.		44,183		1,134,178
Las Vegas Sands Corp.		30,815		1,603,921
Lear Corp.		13,090		1,608,237
Leggett & Platt, Inc.		52,503		1,881,707
Lennar Corp., Class A		31,780		1,244,187
LKQ Corp. (a)		43,185		1,024,780
Lowe's Co., Inc.		16,710		1,543,336
Macy's, Inc.		31,745		945,366
Marriott International, Inc., Class A		18,514		2,009,880
McDonald's Corp.		15,296		2,716,110
MGM Resorts International		50,856		1,233,767
Mohawk Industries, Inc. (a)		7,912		925,388
Newell Brands, Inc.		62,238		1,157,004
Nordstrom, Inc.		21,276		991,674
Norwegian Cruise Line Holdings Ltd. (a)		37,677		1,597,128
NVR, Inc. (a)		626		1,525,556
Ollie's Bargain Outlet Holdings, Inc. (a)		20,704		1,377,023
O'Reilly Automotive, Inc. (a)		5,243		1,805,322
Penske Automotive Group, Inc.		38,634		1,557,723
Polaris Industries, Inc.		14,986		1,149,126
Pool Corp.		17,050		2,534,483
PulteGroup, Inc.		63,597		1,652,886
PVH Corp.		13,723		1,275,553
Qurate Retail, Inc. (a)		80,780		1,576,825
Ross Stores, Inc.		21,868		1,819,418
Royal Caribbean Cruises Ltd.		15,772		1,542,344
Service Corp. International		65,427		2,634,092
Servicemaster Global Holdings, Inc. (a)		60,792		2,233,498
Stamps.com, Inc. (a)		5,423		844,036
Starbucks Corp.		42,062		2,708,793
Target Corp.		24,582		1,624,624
Texas Roadhouse, Inc.		33,247		1,984,846
The Gap, Inc.		41,301		1,063,914
The Home Depot, Inc.		14,759		2,535,891
The TJX Co., Inc.		53,339		2,386,387
Thor Industries, Inc.		13,653		709,956
Tiffany & Co.		10,660		858,237
Toll Brothers, Inc.		39,932		1,314,961
Tractor Supply Co.		20,750		1,731,380
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		6,622		1,621,330
Urban Outfitters, Inc. (a)		33,492		1,111,934
Weight Watchers International, Inc. (a)		15,271		588,697
Williams-Sonoma, Inc.		19,161		966,672
Yum! Brands, Inc.		32,264		2,965,706
				119,252,799
Consumer Staples (7.5%):
Altria Group, Inc.		37,806		1,867,238
Archer-Daniels-Midland Co.		65,839		2,697,424

See notes to financial statements.

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Security Description	Shares		Value
Brown-Forman Corp., Class B		40,065	$	1,906,293
Church & Dwight Co., Inc.		42,665		2,805,650
Colgate-Palmolive Co.		46,584		2,772,680
Conagra Brands, Inc.		65,574		1,400,661
Constellation Brands, Inc., Class A		11,617		1,868,246
Costco Wholesale Corp.		13,507		2,751,510
General Mills, Inc.		44,786		1,743,967
Hormel Foods Corp.		67,079		2,862,931
Ingredion, Inc.		20,193		1,845,640
Kellogg Co.		32,685		1,863,372
Kimberly-Clark Corp.		19,950		2,273,103
Lamb Weston Holdings, Inc.		38,213		2,810,947
McCormick & Co., Inc.		19,998		2,784,522
Molson Coors Brewing Co., Class B		24,422		1,371,540
Mondelez International, Inc., Class A		62,487		2,501,355
Monster Beverage Corp. (a)		25,900		1,274,798
National Beverage Corp. (b)		13,137		942,842
Nu Skin Enterprises, Inc., Class A		22,845		1,401,084
Philip Morris International, Inc.		21,805		1,455,702
Pilgrim's Pride Corp. (a)		87,249		1,353,232
Post Holdings, Inc. (a)		21,259		1,894,815
Sysco Corp.		34,474		2,160,141
The Clorox Co.		14,677		2,262,313
The Estee Lauder Cos., Inc., Class A		15,342		1,995,994
The Hershey Co.		24,522		2,628,268
The J.M. Smucker Co.		19,244		1,799,122
The Kraft Heinz Co.		35,326		1,520,431
The Kroger Co.		48,413		1,331,358
The Procter & Gamble Co.		40,069		3,683,142
Tyson Foods, Inc., Class A		34,163		1,824,304
US Foods Holding Corp. (a)		50,520		1,598,453
Walgreens Boots Alliance, Inc.		27,218		1,859,806
				69,112,884
Energy (3.0%):
Apache Corp.		33,138		869,873
Centennial Resource Development, Inc. (a)		63,701		701,985
Chevron Corp.		20,739		2,256,195
Cimarex Energy Co.		17,850		1,100,453
ConocoPhillips		26,183		1,632,510
Continental Resources, Inc. (a)		23,490		944,063
Core Laboratories N.V.		14,482		863,996
Diamondback Energy, Inc.		10,718		993,559
EOG Resources, Inc.		17,204		1,500,361
Exxon Mobil Corp.		32,779		2,235,200
HollyFrontier Corp.		20,567		1,051,385
Marathon Petroleum Corp.		20,711		1,222,156
Newfield Exploration Co. (a)		48,570		712,036
Occidental Petroleum Corp.		28,513		1,750,128
ONEOK, Inc.		42,698		2,303,556
PBF Energy, Inc.		30,859		1,008,164

See notes to financial statements.

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Security Description	Shares		Value
Peabody Energy Corp.		44,398	$	1,353,251
Phillips 66		21,153		1,822,331
The Williams Cos., Inc.		77,787		1,715,203
Valero Energy Corp.		17,743		1,330,193
				27,366,598
Financials (21.0%):
Affiliated Managers Group, Inc.		14,512		1,414,049
Aflac, Inc.		76,320		3,477,138
Ally Financial, Inc.		89,276		2,022,993
American Financial Group, Inc.		29,251		2,648,093
Ameriprise Financial, Inc.		14,627		1,526,620
Arthur J. Gallagher & Co.		45,854		3,379,440
Associated Banc-Corp.		81,437		1,611,638
Athene Holding Ltd., Class A (a)		44,365		1,767,058
Bank of America Corp.		71,064		1,751,017
Bank Ozk		49,039		1,119,560
BB&T Corp.		46,226		2,002,510
BlackRock, Inc., Class A		4,601		1,807,365
BOK Financial Corp.		24,982		1,831,930
Brown & Brown, Inc.		112,898		3,111,469
CBOE Holdings, Inc.		22,026		2,154,804
Citizens Financial Group, Inc.		52,550		1,562,312
CME Group, Inc.		15,085		2,837,789
CNA Financial Corp.		59,649		2,633,503
Comerica, Inc.		23,742		1,630,838
Commerce Bank, Inc.		40,651		2,291,497
Credit Acceptance Corp. (a)		4,015		1,532,766
Cullen/Frost Bankers, Inc.		21,650		1,903,901
Discover Financial Services		30,419		1,794,113
E*TRADE Financial Corp.		34,122		1,497,273
East West Bancorp, Inc.		35,290		1,536,174
Eaton Vance Corp.		51,461		1,810,398
Erie Indemnity Co., Class A		23,924		3,189,308
FactSet Research Systems, Inc.		11,393		2,280,081
Fifth Third BanCorp		64,432		1,516,085
First American Financial Corp.		48,087		2,146,604
First Citizens BancShares, Inc., Class A		4,728		1,782,692
First Republic Bank		27,486		2,388,533
FNF Group		65,052		2,045,235
Green Dot Corp. (a)		17,905		1,423,806
Hanover Insurance Group, Inc.		22,494		2,626,624
Huntington Bancshares, Inc.		150,908		1,798,823
IBERIABANK Corp.		28,322		1,820,538
Intercontinental Exchange, Inc.		36,944		2,782,992
Invesco Ltd.		80,011		1,339,384
JPMorgan Chase & Co.		21,129		2,062,613
Kemper Corp.		21,084		1,399,556
KeyCorp		99,196		1,466,117
Lincoln National Corp.		31,838		1,633,608
Loews Corp.		63,260		2,879,595

See notes to financial statements.

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Security Description	Shares		Value
LPL Financial Holdings, Inc.		28,569	$	1,744,995
M&T Bank Corp.		14,932		2,137,217
MarketAxess Holdings, Inc.		13,843		2,925,163
Marsh & McLennan Co., Inc.		40,925		3,263,769
MGIC Investment Corp. (a)		100,596		1,052,234
Moody's Corp.		15,461		2,165,158
Morgan Stanley		41,367		1,640,202
Morningstar, Inc.		20,309		2,230,741
MSCI, Inc.		15,124		2,229,731
Nasdaq, Inc.		31,154		2,541,232
New York Community Bancorp, Inc.		196,354		1,847,691
Northern Trust Corp.		21,667		1,811,145
Old Republic International Corp.		141,674		2,914,234
Onemain Holdings, Inc. (a)		53,795		1,306,681
PacWest Bancorp		50,933		1,695,050
People's United Financial, Inc.		166,645		2,404,687
Pinnacle Financial Partners, Inc.		34,668		1,598,195
Primerica, Inc.		19,189		1,874,957
Principal Financial Group, Inc.		39,967		1,765,342
Prosperity Bancshares, Inc.		32,371		2,016,713
Prudential Financial, Inc.		22,284		1,817,260
Raymond James Financial, Inc.		22,043		1,640,220
Regions Financial Corp.		109,364		1,463,290
Reinsurance Group of America, Inc.		18,055		2,531,853
S&P Global, Inc.		15,000		2,549,100
Santander Consumer USA Holdings, Inc.		70,937		1,247,782
SEI Investments Co.		35,617		1,645,505
Signature Bank		17,526		1,801,848
SLM Corp. (a)		199,584		1,658,543
State Street Corp.		22,567		1,423,301
SunTrust Banks, Inc.		32,470		1,637,787
SVB Financial Group (a)		4,216		800,703
Synchrony Financial		57,325		1,344,845
Synovus Financial Corp.		44,633		1,427,810
T. Rowe Price Group, Inc.		19,554		1,805,225
TD Ameritrade Holding Corp.		32,334		1,583,073
Texas Capital Bancshares, Inc. (a)		23,116		1,180,996
The Allstate Corp.		32,593		2,693,160
The Bank of New York Mellon Corp.		42,582		2,004,335
The Charles Schwab Corp.		38,115		1,582,916
The PNC Financial Services Group, Inc.		16,821		1,966,543
The Progressive Corp.		44,899		2,708,757
The Travelers Co., Inc.		22,400		2,682,400
Torchmark Corp.		32,649		2,433,330
U.S. Bancorp		53,398		2,440,290
Umpqua Holdings Corp.		103,026		1,638,113
Unum Group		39,489		1,160,187
W.R. Berkley Corp.		44,686		3,302,742
Webster Financial Corp.		32,595		1,606,608
Wells Fargo & Co.		41,564		1,915,269

See notes to financial statements.

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Security Description	Shares		Value
Western Alliance BanCorp (a)		41,045	$	1,620,867
Wintrust Financial Corp.		25,640		1,704,804
Zions BanCorp		42,392		1,727,050
				191,150,091
Health Care (9.0%):
AbbVie, Inc.		16,147		1,488,592
ABIOMED, Inc. (a)		3,369		1,095,060
Align Technology, Inc. (a)		3,620		758,137
Anthem, Inc.		9,326		2,449,287
athenahealth, Inc. (a)		9,131		1,204,653
BIO-RAD Laboratories, Inc., Class A (a)		6,514		1,512,681
Bio-Techne Corp.		11,379		1,646,769
Centene Corp. (a)		15,899		1,833,155
Cerner Corp. (a)		31,913		1,673,518
Chemed Corp.		8,714		2,468,502
Cigna Corp.		10,901		2,070,318
Danaher Corp.		27,357		2,821,053
Encompass Health Corp.		28,240		1,742,408
Exelixis, Inc. (a)		53,396		1,050,299
Globus Medical, Inc., Class A (a)		38,200		1,653,296
HCA Holdings, Inc.		17,259		2,147,883
HealthEquity, Inc. (a)		15,530		926,365
Henry Schein, Inc. (a)		25,406		1,994,879
Hill-Rom Holdings, Inc.		26,620		2,357,201
Humana, Inc.		9,056		2,594,363
ICU Medical, Inc. (a)		6,057		1,390,869
IDEXX Laboratories, Inc. (a)		7,353		1,367,805
Illumina, Inc. (a)		4,565		1,369,180
Integra LifeSciences Holdings Corp. (a)		35,990		1,623,149
IQVIA Holdings, Inc. (a)		17,887		2,077,933
Jazz Pharmaceuticals PLC (a)		12,928		1,602,555
Laboratory Corp. of America Holdings (a)		16,393		2,071,419
Masimo Corp. (a)		16,588		1,781,054
Medidata Solutions, Inc. (a)		17,555		1,183,558
Mednax, Inc. (a)		39,631		1,307,823
Mettler-Toledo International, Inc. (a)		3,827		2,164,475
Mylan NV (a)		43,401		1,189,187
Neogen Corp. (a)		24,516		1,397,412
Penumbra, Inc. (a)		8,801		1,075,482
Perrigo Co. PLC		23,610		914,888
Pfizer, Inc.		81,338		3,550,404
Quest Diagnostics, Inc.		22,229		1,851,009
Regeneron Pharmaceuticals, Inc. (a)		4,368		1,631,448
ResMed, Inc.		25,011		2,848,002
Thermo Fisher Scientific, Inc.		10,976		2,456,319
United Therapeutics Corp. (a)		12,564		1,368,220
UnitedHealth Group, Inc.		10,095		2,514,866
Universal Health Services, Inc., Class B		17,948		2,092,019
Veeva Systems, Inc. (a)		14,592		1,303,357
WellCare Health Plans, Inc. (a)		7,005		1,653,810

See notes to financial statements.

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Security Description	Shares		Value
Zimmer Biomet Holdings, Inc.		18,561	$	1,925,147
Zoetis, Inc.		25,971		2,221,559
				83,421,368
Industrials (19.0%):
3M Co.		11,083		2,111,755
A.O. Smith Corp.		39,483		1,685,924
Acuity Brands, Inc.		9,577		1,100,876
AGCO Corp.		31,308		1,742,916
Air Lease Corp.		55,113		1,664,964
Alaska Air Group, Inc.		22,440		1,365,474
Allegion PLC		29,038		2,314,619
Allison Transmission Holdings, Inc.		35,941		1,578,169
AMERCO, Inc.		5,410		1,775,075
American Airlines Group, Inc.		37,421		1,201,588
AMETEK, Inc.		34,299		2,322,042
ASGN, Inc. (a)		20,669		1,126,461
C.H. Robinson Worldwide, Inc.		22,302		1,875,375
Carlisle Cos., Inc.		17,016		1,710,448
Cintas Corp.		12,620		2,120,034
Copart, Inc. (a)		37,720		1,802,262
Costar Group, Inc. (a)		5,368		1,810,841
CSX Corp.		29,189		1,813,513
Curtiss-Wright Corp.		15,518		1,584,698
Delta Air Lines, Inc.		36,835		1,838,068
Dover Corp.		25,499		1,809,154
Eaton Corp. PLC, ADR		29,658		2,036,318
EMCOR Group, Inc.		27,953		1,668,515
Emerson Electric Co.		29,501		1,762,685
Equifax, Inc.		17,062		1,588,984
Expeditors International of Washington, Inc.		29,095		1,981,079
Fastenal Co.		31,709		1,658,064
FedEx Corp.		9,106		1,469,071
Fortive Corp.		27,548		1,863,898
Fortune Brands Home & Security, Inc.		40,699		1,546,155
Gardner Denver Holdings, Inc. (a)		55,969		1,144,566
General Dynamics Corp.		13,633		2,143,244
Genesee & Wyoming, Inc., Class A (a)		27,300		2,020,746
Graco, Inc.		55,678		2,330,124
Harris Corp.		13,554		1,825,046
HEICO Corp.		21,794		1,688,599
Hexcel Corp.		40,883		2,344,231
Hubbell, Inc.		17,173		1,705,966
Huntington Ingalls Industries, Inc.		7,878		1,499,262
IDEX Corp.		16,082		2,030,513
Ingersoll-Rand PLC		21,751		1,984,344
Insperity, Inc.		12,718		1,187,352
J.B. Hunt Transport Services, Inc.		19,204		1,786,740
Jacobs Engineering Group, Inc.		25,961		1,517,680
Johnson Controls International PLC		54,326		1,610,766
Kansas City Southern		19,635		1,874,161

See notes to financial statements.

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Security Description	Shares		Value
KAR Auction Services, Inc.		48,341	$	2,306,833
Kirby Corp. (a)		22,648		1,525,569
Knight-Swift Transportation Holdings, Inc.		45,038		1,129,103
L3 Technologies, Inc.		12,042		2,091,214
Landstar System, Inc.		18,871		1,805,389
Lennox International, Inc.		9,972		2,182,471
Lincoln Electric Holdings, Inc.		24,675		1,945,624
ManpowerGroup, Inc.		17,397		1,127,326
Masco Corp.		57,057		1,668,347
MSC Industrial Direct Co., Inc., Class A		28,137		2,164,297
Nordson Corp.		16,121		1,924,041
Norfolk Southern Corp.		11,758		1,758,291
Northrop Grumman Corp.		7,164		1,754,464
Old Dominion Freight Line, Inc.		11,704		1,445,327
Oshkosh Corp.		25,405		1,557,581
PACCAR, Inc.		29,273		1,672,659
Parker-Hannifin Corp.		11,509		1,716,452
Quanta Services, Inc.		70,244		2,114,344
Raytheon Co.		12,563		1,926,536
Republic Services, Inc., Class A		45,548		3,283,554
Robert Half International, Inc.		27,776		1,588,787
Rollins, Inc.		70,593		2,548,407
Roper Technologies, Inc.		8,346		2,224,376
Schneider National, Inc.		65,444		1,221,839
Sensata Technologies Holding PLC, ADR (a)		41,639		1,867,093
Snap-on, Inc.		11,501		1,670,980
Southwest Airlines Co.		32,251		1,499,026
Spirit Aerosystems Holdings, Inc., Class A		24,460		1,763,321
Stanley Black & Decker, Inc.		14,236		1,704,619
Stericycle, Inc. (a)		30,220		1,108,772
Teledyne Technologies, Inc. (a)		9,793		2,027,837
The Boeing Co.		5,506		1,775,685
The Middleby Corp. (a)		11,309		1,161,774
Toro Co.		38,943		2,176,135
TransDigm Group, Inc. (a)		7,832		2,663,350
TransUnion		31,154		1,769,547
Trex Co., Inc. (a)		13,860		822,730
Trinity Industries, Inc.		92,529		1,905,172
Union Pacific Corp.		16,487		2,278,998
United Continental Holdings, Inc. (a)		21,039		1,761,595
United Parcel Service, Inc., Class B		19,623		1,913,831
United Rentals, Inc. (a)		9,771		1,001,821
United Technologies Corp.		22,396		2,384,726
Verisk Analytics, Inc., Class A (a)		24,912		2,716,405
W.W. Grainger, Inc.		4,899		1,383,282
WABCO Holdings, Inc. (a)		18,568		1,993,089
Wabtec Corp. (b)		23,521		1,652,350
Waste Management, Inc.		32,929		2,930,352
Watsco, Inc.		11,687		1,626,129
Woodward, Inc.		31,763		2,359,674

See notes to financial statements.

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Security Description	Shares		Value
XPO Logistics, Inc. (a)		15,024	$	856,969
Xylem, Inc.		26,157		1,745,195
				175,825,653
Information Technology (11.0%):
Accenture PLC, Class A		13,206		1,862,178
Adobe Systems, Inc. (a)		7,155		1,618,747
Advanced Micro Devices, Inc. (a)		40,826		753,648
Akamai Technologies, Inc. (a)		24,482		1,495,361
Alliance Data Systems Corp.		8,439		1,266,525
Analog Devices, Inc.		22,494		1,930,661
ANSYS, Inc. (a)		13,555		1,937,552
Apple, Inc.		10,040		1,583,710
Applied Materials, Inc.		31,854		1,042,900
Arrow Electronics, Inc. (a)		29,474		2,032,232
Aspen Technology, Inc. (a)		19,414		1,595,443
Automatic Data Processing, Inc.		18,647		2,444,995
Black Knight, Inc. (a)		62,514		2,816,881
Blackbaud, Inc.		16,561		1,041,687
Booz Allen Hamilton Holdings Corp.		55,084		2,482,636
Broadcom, Inc.		6,905		1,755,803
Broadridge Financial Solutions, Inc.		15,584		1,499,960
CACI International, Inc., Class A (a)		11,106		1,599,597
CDK Global, Inc.		50,732		2,429,047
CDW Corp. of Delaware		27,547		2,232,685
Coherent, Inc. (a)		6,137		648,742
CommScope Holding Co., Inc. (a)		36,158		592,630
DXC Technology Co.		25,431		1,352,166
F5 Networks, Inc. (a)		12,996		2,105,742
Fair Isaac Corp. (a)		10,376		1,940,312
Fidelity National Information Services, Inc.		29,091		2,983,282
First Data Corp., Class A (a)		57,967		980,222
Fiserv, Inc. (a)		42,276		3,106,862
FleetCor Technologies, Inc. (a)		10,988		2,040,691
Genpact Ltd.		87,684		2,366,591
Global Payments, Inc.		19,126		1,972,464
Hewlett Packard Enterprises Co.		112,664		1,488,291
HP, Inc.		91,008		1,862,024
IPG Photonics Corp. (a)		5,589		633,178
Jabil Circuit, Inc.		65,471		1,623,026
Jack Henry & Associates, Inc.		17,435		2,205,876
Leidos Holdings, Inc.		35,138		1,852,475
LogMeIn, Inc.		13,187		1,075,664
Marvell Technology Group Ltd., ADR		72,700		1,177,013
Mastercard, Inc., Class A		11,098		2,093,638
Micron Technology, Inc. (a)		20,634		654,717
MKS Instruments, Inc.		13,756		888,775
Monolithic Power Systems, Inc.		12,613		1,466,261
Nvidia Corp.		5,278		704,613
ON Semiconductor Corp. (a)		72,267		1,193,128
Paychex, Inc.		41,570		2,708,286

See notes to financial statements.

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Security Description	Shares		Value
Paycom Software, Inc. (a)		7,378	$	903,436
PayPal Holdings, Inc. (a)		21,063		1,771,188
PTC, Inc. (a)		21,233		1,760,216
Sabre Corp.		70,045		1,515,774
Salesforce.com, Inc. (a)		13,745		1,882,653
Seagate Technology PLC		28,273		1,091,055
Skyworks Solutions, Inc.		20,572		1,378,735
Texas Instruments, Inc.		18,045		1,705,253
The Trade Desk, Inc., Class A (a)		4,027		467,374
Total System Services, Inc.		27,106		2,203,447
Tyler Technologies, Inc. (a)		11,255		2,091,403
Universal Display Corp.		8,083		756,326
VeriSign, Inc. (a)		16,730		2,480,892
Visa, Inc., Class A		18,521		2,443,661
WEX, Inc. (a)		12,189		1,707,191
Xilinx, Inc.		22,549		1,920,498
				103,218,019
Materials (5.6%):
Air Products & Chemicals, Inc.		17,825		2,852,891
AptarGroup, Inc.		27,771		2,612,418
Ball Corp.		69,264		3,184,758
Berry Global Group, Inc. (a)		51,866		2,465,191
Celanese Corp., Series A		19,045		1,713,479
Eastman Chemical Co.		25,146		1,838,424
Ecolab, Inc.		21,344		3,145,037
FMC Corp.		24,209		1,790,498
Freeport-McMoRan, Inc.		83,941		865,432
Huntsman Corp.		56,850		1,096,637
International Paper Co.		41,577		1,678,048
Lyondellbasell Industries NV, Class A		18,469		1,535,882
Martin Marietta Materials, Inc.		11,147		1,915,835
NewMarket Corp.		5,941		2,448,227
Nucor Corp.		30,462		1,578,237
Olin Corp.		60,749		1,221,662
Packaging Corp. of America		20,163		1,682,804
PPG Industries, Inc.		22,305		2,280,240
Reliance Steel & Aluminum Co.		21,995		1,565,384
RPM International, Inc.		32,513		1,911,114
Sonoco Products Co.		54,449		2,892,875
Steel Dynamics, Inc.		36,461		1,095,288
The Chemours Co.		37,455		1,056,980
The Sherwin-Williams Co.		5,312		2,090,060
U.S. Steel Corp.		35,313		644,109
Vulcan Materials Co.		19,095		1,886,586
Westlake Chemical Corp.		18,235		1,206,610
WestRock Co.		43,102		1,627,532
				51,882,238

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (0.4%):
CBRE Group, Inc., Class A (a)		56,150	$	2,248,246
Jones Lang LaSalle, Inc.		14,021		1,775,059
				4,023,305
Utilities (7.5%):
Alliant Energy Corp.		76,718		3,241,336
American Electric Power Co., Inc.		45,242		3,381,387
Aqua America, Inc.		79,971		2,734,208
Atmos Energy Corp.		38,606		3,579,548
Consolidated Edison, Inc.		42,076		3,217,131
Dominion Resources, Inc.		42,356		3,026,760
DTE Energy Co.		31,365		3,459,560
Duke Energy Corp.		41,444		3,576,617
Eversource Energy		54,350		3,534,924
Exelon Corp.		82,341		3,713,579
IDACORP, Inc.		31,122		2,896,213
MDU Resources Group, Inc.		112,173		2,674,204
National Fuel Gas Co.		57,713		2,953,751
NextEra Energy, Inc.		21,552		3,746,168
OGE Energy Corp.		88,936		3,485,402
Pinnacle West Capital Corp.		41,969		3,575,759
PPL Corp.		88,124		2,496,553
Public Service Enterprise Group, Inc.		61,761		3,214,660
UGI Corp.		69,072		3,684,992
WEC Energy Group, Inc.		49,892		3,455,520
Xcel Energy, Inc.		65,973		3,250,491
				68,898,763
Total Common Stocks (Cost $1,023,077,638)				923,351,852
Investment Companies (0.0%) (c)
JPMorgan U.S. Treasury Plus Money Market Fund, Class L, 2.27%		427,261		427,261
Total Investment Companies (Cost $427,261)				427,261
Collateral for Securities Loaned^ (0.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (d)		300,577		300,577
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		434,318		434,318
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (d)		13,412		13,412
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (d)		166,989		166,989
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (d)		267,165		267,165
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (d)		400,773		400,773
Total Collateral for Securities Loaned (Cost $1,583,234)				1,583,234
Total Investments (Cost $1,025,088,133) — 100.1%				925,362,347
Liabilities in excess of other assets — (0.1)%				(735,703	)
NET ASSETS — 100.00%			$	924,626,644

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security is on loan.

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

(d)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		5	3/15/19	$	620,720	$	626,300	$	5,580
	Total unrealized appreciation							$	5,580
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	5,580

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (4.6%):
AT&T, Inc.		270,874	$	7,730,744
CenturyLink, Inc.		261,647		3,963,952
Omnicom Group, Inc.		127,006		9,301,919
Verizon Communications, Inc.		183,156		10,297,030
Viacom, Inc., Class B		234,766		6,033,486
				37,327,131
Consumer Discretionary (10.9%):
Ford Motor Co.		895,497		6,850,552
Garmin Ltd.		157,476		9,971,380
Genuine Parts Co.		107,835		10,354,317
Harley-Davidson, Inc.		169,460		5,781,975
Kohl's Corp.		66,520		4,412,937
L Brands, Inc.		162,960		4,183,183
Las Vegas Sands Corp.		113,641		5,915,014
Leggett & Platt, Inc.		193,665		6,940,954
Macy's, Inc.		117,055		3,485,898
McDonald's Corp.		56,393		10,013,705
Newell Brands, Inc.		229,543		4,267,204
Penske Automotive Group, Inc.		142,508		5,745,922
Target Corp.		90,628		5,989,604
The Gap, Inc.		152,322		3,923,815
				87,836,460
Consumer Staples (14.4%):
Altria Group, Inc.		139,454		6,887,633
Archer-Daniels-Midland Co.		242,863		9,950,096
Colgate-Palmolive Co.		171,829		10,227,262
General Mills, Inc.		165,141		6,430,591
Ingredion, Inc.		74,466		6,806,192
Kellogg Co.		120,573		6,873,867
Kimberly-Clark Corp.		73,545		8,379,717
Molson Coors Brewing Co., Class B		90,082		5,059,005
Philip Morris International, Inc.		80,432		5,369,640
The Clorox Co.		54,147		8,346,219
The Hershey Co.		90,411		9,690,251
The J.M. Smucker Co.		70,989		6,636,762
The Kraft Heinz Co.		130,303		5,608,241
The Procter & Gamble Co.		147,771		13,583,110
Walgreens Boots Alliance, Inc.		100,417		6,861,494
				116,710,080
Electric Utilities (17.0%):
Alliant Energy Corp.		282,924		11,953,539
American Electric Power Co., Inc.		166,896		12,473,807
Duke Energy Corp.		152,890		13,194,407
Eversource Energy		200,450		13,037,268
Exelon Corp.		303,716		13,697,592
IDACORP, Inc.		114,793		10,682,637

See notes to financial statements.

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Security Description	Shares		Value
NextEra Energy, Inc.		79,480	$	13,815,214
OGE Energy Corp.		328,021		12,855,143
Pinnacle West Capital Corp.		154,804		13,189,301
PPL Corp.		325,056		9,208,836
Xcel Energy, Inc.		243,344		11,989,559
				136,097,303
Energy (6.1%):
Chevron Corp.		76,474		8,319,607
Exxon Mobil Corp.		120,906		8,244,580
Occidental Petroleum Corp.		105,172		6,455,457
ONEOK, Inc.		157,514		8,497,881
Phillips 66		78,003		6,719,958
The Williams Cos., Inc.		286,909		6,326,343
Valero Energy Corp.		65,438		4,905,887
				49,469,713
Financials (17.3%):
American Financial Group, Inc.		107,935		9,771,356
Ameriprise Financial, Inc.		53,957		5,631,492
BB&T Corp.		170,512		7,386,580
CNA Financial Corp.		220,009		9,713,397
Erie Indemnity Co., Class A		88,257		11,765,542
First American Financial Corp.		177,338		7,916,368
FNF Group		239,960		7,544,342
Huntington Bancshares, Inc.		556,609		6,634,779
Invesco Ltd.		295,075		4,939,556
KeyCorp		365,878		5,407,677
New York Community Bancorp, Inc.		724,219		6,814,901
Old Republic International Corp.		522,540		10,748,648
PacWest Bancorp		187,835		6,251,149
People's United Financial, Inc.		614,619		8,868,953
Principal Financial Group, Inc.		147,414		6,511,276
Prudential Financial, Inc.		82,197		6,703,165
Umpqua Holdings Corp.		379,988		6,041,809
Unum Group		145,649		4,279,168
Wells Fargo & Co.		153,306		7,064,340
				139,994,498
Gas Utilities (1.4%):
National Fuel Gas Co. (a)		212,834		10,892,844
Health Care (2.3%):
AbbVie, Inc.		59,522		5,487,333
Pfizer, Inc.		299,964		13,093,429
				18,580,762
Industrials (7.6%):
3M Co.		40,856		7,784,702
Eaton Corp. PLC, ADR		109,440		7,514,151
Emerson Electric Co.		108,798		6,500,681
Fastenal Co.		116,911		6,113,276
Hubbell, Inc.		63,351		6,293,288

See notes to financial statements.

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Security Description	Shares		Value
Johnson Controls International PLC		200,343	$	5,940,170
MSC Industrial Direct Co., Inc., Class A		103,792		7,983,681
United Parcel Service, Inc., Class B		72,405		7,061,660
Watsco, Inc.		43,129		6,000,969
				61,192,578
Information Technology (2.5%):
Broadcom, Inc.		25,429		6,466,086
Paychex, Inc.		153,324		9,989,059
Seagate Technology PLC		104,260		4,023,393
				20,478,538
Materials (6.9%):
Air Products & Chemicals, Inc.		65,702		10,515,605
International Paper Co.		153,351		6,189,246
Lyondellbasell Industries NV, Class A		68,137		5,666,273
Nucor Corp.		112,311		5,818,833
Olin Corp.		224,029		4,505,223
Packaging Corp. of America		74,367		6,206,670
Sonoco Products Co.		200,781		10,667,495
WestRock Co.		158,929		6,001,159
				55,570,504
Multi-Utilities (8.7%):
Consolidated Edison, Inc.		155,179		11,864,986
Dominion Resources, Inc.		156,243		11,165,125
DTE Energy Co.		115,711		12,762,923
MDU Resources Group, Inc.		413,745		9,863,681
Public Service Enterprise Group, Inc.		227,811		11,857,563
WEC Energy Group, Inc.		184,036		12,746,332
				70,260,610
Total Common Stocks (Cost $882,361,159)				804,411,021
Investment Companies (0.1%)
JPMorgan U.S. Treasury Plus Money Market Fund, Class L, 2.27%		823,070		823,070
Total Investment Companies (Cost $823,070)				823,070
Collateral for Securities Loaned^ (0.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (b)		246,721		246,721
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (b)		356,500		356,500
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (b)		11,009		11,009
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (b)		137,069		137,069
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (b)		219,296		219,296
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (b)		328,964		328,964
Total Collateral for Securities Loaned (Cost $1,299,559)				1,299,559
Total Investments (Cost $884,483,788) — 100.0%				806,533,650
Other assets in excess of liabilities — 0.0%				329,122
NET ASSETS — 100.00%			$	806,862,772

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security is on loan.

(b)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		11	3/15/19	$	1,385,244	$	1,377,860	$	(7,384	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(7,384	)
	Total net unrealized appreciation(depreciation)							$	(7,384	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.0%)
Communication Services (2.8%):
Cars.com, Inc. (a)		11,448	$	246,132
Emerald Expositions Events, Inc.		21,494		265,236
Gray Television, Inc. (a)		13,556		199,815
Loral Space & Communications, Inc. (a)		11,859		441,747
Marcus Corp.		10,220		403,690
MSG Networks, Inc., Class A (a)		13,421		316,199
QuinStreet, Inc. (a)		11,993		194,646
Shenandoah Telecommunications Co.		8,651		382,807
Sinclair Broadcast Group, Inc., Class A		10,293		271,118
Techtarget, Inc. (a)		10,212		124,689
TEGNA, Inc.		27,632		300,360
				3,146,439
Consumer Discretionary (16.0%):
Acushnet Holdings Corp.		15,423		324,963
American Axle & Manufacturing Holdings, Inc. (a)		17,430		193,473
American Outdoor Brands Corp. (a)		11,273		144,971
American Public Education, Inc. (a)		5,186		147,594
America's Car-Mart, Inc./TX (a)		3,077		222,929
Asbury Automotive Group, Inc. (a)		5,544		369,562
Bed Bath & Beyond, Inc.		14,521		164,378
Big Lots, Inc.		7,507		217,102
BJ's Restaurants, Inc.		4,082		206,427
Bloomin' Brands, Inc.		21,415		383,114
Bluegreen Vacations Corp.		13,990		180,891
Bojangles', Inc. (a)		24,481		393,654
Boot Barn Holdings, Inc. (a)		7,965		135,644
Brinker International, Inc.		7,870		346,123
Caleres, Inc.		8,434		234,718
Carriage Services, Inc.		26,281		407,355
Cavco Industries, Inc. (a)		1,275		166,235
Century Communities, Inc. (a)		10,824		186,822
Chico's FAS, Inc.		25,080		140,950
Chuy's Holdings, Inc. (a)		10,638		188,718
Citi Trends, Inc.		8,648		176,333
Conn's, Inc. (a)		4,258		80,306
Cooper-Standard Holding (a)		3,173		197,107
Dave & Buster's Entertainment, Inc.		5,052		225,117
Denny's Corp. (a)		24,947		404,391
Dorman Products, Inc. (a)		5,748		517,435
Ethan Allen Interiors, Inc.		19,984		351,519
Express, Inc. (a)		20,762		106,094
Fox Factory Holding Corp. (a)		3,835		225,766
Funko, Inc. (a)		8,400		110,460
Group 1 Automotive, Inc.		3,703		195,222
Haverty Furniture Cos., Inc.		16,998		319,222
Hooker Furniture Corp.		6,815		179,507
Installed Building Products, Inc. (a)		5,607		188,900

See notes to financial statements.

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Security Description	Shares		Value
International Speedway Corp., Class A		13,630	$	597,812
J. Jill, Inc. (a)		22,650		120,725
Jack in the Box, Inc.		4,709		365,560
Johnson Outdoors, Inc., A		2,410		141,563
La-Z-Boy, Inc.		9,333		258,617
LCI Industries		2,980		199,064
LGI Homes, Inc. (a) (b)		4,311		194,943
Lithia Motors, Inc.		4,650		354,935
M/I Homes, Inc. (a)		14,465		304,054
MarineMax, Inc. (a)		8,708		159,443
Mastercraft Boat Holdings, Inc. (a)		12,304		230,085
MDC Holdings, Inc.		11,336		318,655
Meritage Homes Corp. (a)		7,811		286,820
Michaels Cos., Inc. (a)		15,113		204,630
Monarch Casino & Resort, Inc. (a)		10,687		407,602
Monro Muffler Brake, Inc.		4,259		292,806
Murphy USA, Inc. (a)		4,653		356,606
Nautilus, Inc. (a)		19,578		213,400
Nutrisystem, Inc.		6,407		281,139
Oxford Industries, Inc.		4,633		329,128
Papa John's International, Inc.		5,815		231,495
PetMed Express, Inc.		6,934		161,285
Ruth's Hospitality Group, Inc.		10,673		242,597
Sally Beauty Holdings, Inc. (a)		18,872		321,768
Sleep Number Corp. (a)		8,929		283,317
Stoneridge, Inc. (a)		8,263		203,683
Sturm Ruger & Co.		5,814		309,421
Taylor Morrison Home Corp., Class A (a)		18,102		287,822
Tenneco, Inc.		7,989		218,819
The Buckle, Inc. (b)		10,282		198,854
The Cheesecake Factory, Inc. (b)		6,836		297,434
Tilly's, Inc.		8,942		97,110
Topbuild Corp. (a)		4,890		220,050
TRI Pointe Group, Inc. (a)		22,111		241,673
Unifi, Inc. (a)		12,845		293,380
William Lyon Homes, Class A (a)		16,891		180,565
Wingstop, Inc.		4,191		269,020
Winnebago Industries, Inc.		6,053		146,543
Zagg, Inc. (a)		10,835		105,966
				17,961,391
Consumer Staples (6.2%):
B&G Foods, Inc. (b)		8,272		239,144
Calavo Growers, Inc.		3,672		267,909
Central Garden & Pet Co., Class A (a)		11,861		370,656
Chefs' Warehouse, Inc. (a)		10,470		334,831
Craft Brew Alliance, Inc. (a)		22,066		315,765
Elf Beauty, Inc. (a)		12,705		110,025
Hostess Brands, Inc. (a)		22,402		245,078
Ingles Markets, Inc., Class A		8,051		219,148
Inter Parfums, Inc.		6,053		396,896

See notes to financial statements.

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Security Description	Shares		Value
J&J Snack Foods Corp.		3,766	$	544,526
John B. Sanfilippo & Son, Inc.		5,212		290,100
Medifast, Inc.		671		83,888
MGP Ingredients, Inc.		3,283		187,295
Natural Grocers By Vitamin Cottage, Inc. (a)		7,456		114,300
PriceSmart, Inc.		5,157		304,779
Primo Water Corp. (a)		17,311		242,527
Sanderson Farms, Inc.		3,271		324,778
The Simply Good Foods Co. (a)		21,304		402,646
Tootsie Roll Industries, Inc.		19,733		659,081
Turning Point Brands, Inc.		7,941		216,154
United Natural Foods, Inc. (a)		7,824		82,856
Universal Corp.		3,497		189,363
Vector Group Ltd.		36,769		357,762
WD-40 Co.		3,191		584,783
				7,084,290
Energy (3.0%):
Arch Coal, Inc.		3,210		266,397
C&j Energy Services, Inc. (a)		12,022		162,297
Callon Petroleum Co. (a)		21,734		141,054
Denbury Resources, Inc. (a)		30,427		52,030
Earthstone Energy, Inc., Class A (a)		27,501		124,305
Evolution Petroleum Corp.		33,489		228,395
Exterran Corp. (a)		12,899		228,312
Gulfport Energy Corp. (a)		18,609		121,889
Laredo Petroleum, Inc. (a)		25,474		92,216
Newpark Resources, Inc. (a)		25,269		173,598
Par Pacific Holdings, Inc. (a)		15,181		215,267
Propetro Holding Corp. (a)		14,554		179,305
Rex American Resources Corp. (a)		4,472		304,587
RPC, Inc. (b)		18,193		179,565
SEACOR Smit, Inc. (a)		8,169		302,253
Smart Sand, Inc. (a)		33,804		75,045
Solaris Oilfield Infrastructure, Inc., Class A		12,670		153,180
SRC Energy, Inc. (a)		28,145		132,282
U.S. Silica Holdings, Inc.		13,326		135,659
Unit Corp. (a)		7,202		102,845
				3,370,481
Financials (23.8%):
1st Source Corp.		9,940		400,980
Ameris Bancorp		9,610		304,349
AMERISAFE, Inc.		8,039		455,731
Axos Financial, Inc. (a)		9,153		230,473
BancFirst Corp.		7,877		393,062
Brookline BanCorp, Inc.		33,305		460,275
Capitol Federal Financial, Inc.		63,772		814,368
Centerstate Banks, Inc.		16,936		356,333
City Holding Co.		6,904		466,641
Cohen & Steers, Inc.		13,110		449,935

See notes to financial statements.

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Security Description	Shares		Value
Eagle Bancorp, Inc. (a)		9,195	$	447,888
Employers Holdings, Inc.		11,672		489,874
Enterprise Financial Services Corp.		11,794		443,808
FB Financial Corp.		12,279		430,011
FBL Financial Group, Inc., Class A		5,540		363,701
Federated Investors, Inc., Class B		15,270		405,419
First BanCorp		12,694		414,586
First Busey Corp.		18,968		465,475
First Commonwealth Financial Corp.		31,997		386,524
First Interstate BancSystem, Inc., Class A		13,330		487,345
First Merchants Corp.		10,598		363,193
First Midwest Bancorp, Inc.		19,938		394,972
Great Western BanCorp, Inc.		11,702		365,688
Heartland Financial USA, Inc.		10,267		451,235
Heritage Financial Corp.		12,891		383,121
Hilltop Holdings, Inc.		21,280		379,422
Hope Bancorp, Inc.		27,590		327,217
Horace Mann Educators Corp.		11,681		437,453
Independent Bank Corp.		5,267		370,323
Independent Bank Group, Inc.		6,899		315,767
James River Group Holdings Ltd.		12,472		455,727
Kearny Financial Corp.		38,045		487,737
Kinsale Capital Group, Inc.		7,437		413,200
Lakeland Financial Corp.		12,537		503,485
LegacyTexas Financial Group, Inc.		8,757		281,012
Legg Mason, Inc.		13,465		343,492
NBT Bancorp, Inc.		14,390		497,749
Nelnet, Inc., Class A		8,456		442,587
Northwest Bancshares, Inc.		40,419		684,698
Oceanfirst Financial Corp.		22,668		510,257
Pacific Premier Bancorp, Inc. (a)		11,941		304,734
Park National Corp.		5,108		433,925
PRA Group, Inc. (a)		9,550		232,734
ProAssurance Corp.		7,823		317,301
Provident Financial Services, Inc.		24,639		594,539
Renasant Corp.		12,503		377,341
S&T Bancorp, Inc.		11,709		443,069
Safety Insurance Group, Inc.		6,609		540,683
Sandy Spring BanCorp		15,335		480,599
Seacoast Banking Corp. of Florida (a)		13,412		348,980
ServisFirst Bancshares, Inc.		11,307		360,354
Simmons First National Corp., Class A		15,434		372,422
Southside Bancshares, Inc.		16,309		517,810
Tompkins Financial Corp.		6,078		455,911
Towne Bank		19,626		470,043
Trustmark Corp.		16,060		456,586
Union Bankshares Corp.		12,600		355,698
Universal Insurance Holdings, Inc.		9,057		343,441
Waddell & Reed Financial, Inc., Class A (b)		16,776		303,310
Walker & Dunlop, Inc.		7,596		328,527
Washington Federal, Inc.		17,413		465,101

See notes to financial statements.

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Security Description	Shares		Value
WesBanco, Inc.		11,449	$	420,064
Westamerica BanCorp		8,207		456,966
WisdomTree Investments, Inc.		40,139		266,924
				26,722,175
Health Care (7.1%):
Addus HomeCare Corp. (a)		5,270		357,728
AMN Healthcare Services, Inc. (a)		4,447		251,967
Atrion Corp.		603		446,871
Cambrex Corp. (a) (b)		5,543		209,304
CONMED Corp.		6,817		437,651
Corcept Therapeutics, Inc. (a)		14,924		199,385
CorVel Corp. (a)		6,451		398,156
Eagle Pharmaceuticals, Inc. (a)		3,744		150,846
Enanta Pharmaceuticals, Inc. (a)		2,309		163,546
Innoviva, Inc. (a)		25,919		452,286
Integer Holdings Corp. (a)		4,604		351,101
Lantheus Holdings, Inc. (a)		12,730		199,225
Lemaitre Vascular, Inc.		7,712		182,312
Magellan Health, Inc. (a)		3,011		171,296
Medpace Holdings, Inc. (a)		3,488		184,620
Meridian Bioscience, Inc.		33,256		577,324
Omnicell, Inc. (a)		5,536		339,025
Orthofix Medical, Inc. (a)		5,760		302,342
Phibro Animal Health Corp., Class A		8,336		268,086
Repligen Corp. (a)		8,427		444,440
Select Medical Holdings Corp. (a)		20,145		309,226
Supernus Pharmaceuticals, Inc. (a)		5,840		194,005
The Ensign Group, Inc.		9,784		379,521
Tivity Health, Inc. (a)		13,262		329,030
US Physical Therapy, Inc.		3,475		355,666
Varex Imaging Corp. (a)		7,919		187,522
				7,842,481
Industrials (23.1%):
AAON, Inc.		9,899		347,058
Acco Brands Corp.		34,696		235,239
Advanced Disposal Services, Inc. (a)		25,632		613,629
Aircastle Ltd.		21,687		373,884
Alamo Group, Inc.		4,354		336,651
Albany International Corp., Class A		4,534		283,058
Allegiant Travel Co.		2,073		207,757
Altra Industrial Motion Corp.		11,420		287,213
American Woodmark Corp. (a)		2,804		156,127
Apogee Enterprises, Inc.		7,037		210,054
Applied Industrial Technologies, Inc.		5,548		299,259
ArcBest Corp.		4,108		140,740
Atkore International Group, Inc. (a)		11,405		226,275
BMC Stock Holdings, Inc. (a)		14,624		226,380
Brady Corp., Class A		13,080		568,457
CBIZ, Inc. (a)		25,786		507,985

See notes to financial statements.

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Security Description	Shares		Value
Chart Industries, Inc. (a)		4,010	$	260,770
Comfort Systems USA, Inc.		7,339		320,568
Continental Building Products, Inc. (a)		11,775		299,674
Deluxe Corp.		9,359		359,760
DXP Enterprise, Inc. (a)		5,144		143,209
Dycom Industries, Inc. (a)		2,460		132,938
Echo Global Logistics, Inc. (a)		10,783		219,218
Encore Wire Corp.		8,156		409,268
EnPro Industries, Inc.		5,196		312,280
ESCO Technologies, Inc.		7,787		513,552
Federal Signal Corp.		12,004		238,880
Forward Air Corp.		7,148		392,068
Franklin Electric Co., Inc.		8,029		344,283
FTI Consulting, Inc. (a)		4,813		320,738
Gibraltar Industries, Inc. (a)		7,474		266,000
Global Brass & Copper Holdings, Inc.		8,506		213,926
GMS, Inc. (a)		10,989		163,297
Gorman-Rupp Co.		14,634		474,287
H&E Equipment Services, Inc.		7,055		144,063
Hawaiian Holdings, Inc.		7,345		193,981
Heartland Express, Inc.		19,262		352,495
Herman Miller, Inc.		8,705		263,326
HNI Corp.		8,346		295,699
Hub Group, Inc., Class A (a)		6,641		246,182
ICF International, Inc.		5,844		378,574
Insteel Industries, Inc.		7,552		183,363
Interface, Inc.		18,261		260,219
Kadant, Inc.		5,093		414,875
Kaman Corp., Class A		7,569		424,544
KBR, Inc.		18,443		279,965
Kforce, Inc.		7,967		246,340
Kimball International, Inc., Class B		31,643		449,014
Knoll, Inc.		19,404		319,778
Lindsay Corp.		4,767		458,823
Lydall, Inc. (a)		9,147		185,776
Marten Transport Ltd.		15,000		242,850
Matson, Inc.		12,284		393,334
Matthews International Corp., Class A		9,213		374,232
McGrath RentCorp		8,394		432,123
Mercury Systems, Inc. (a)		4,165		196,963
Milacron Holdings Corp. (a)		19,586		232,878
Mobile Mini, Inc.		7,775		246,856
Moog, Inc., Class A		4,931		382,054
Mueller Industries, Inc.		13,721		320,523
Mueller Water Products, Inc., Class A		33,215		302,257
Multi-Color Corp.		5,841		204,961
National Presto Industries, Inc.		3,176		371,338
Navigant Consulting, Inc.		14,682		353,102
NV5 Global, Inc. (a)		2,617		158,459
Patrick Industries, Inc. (a)		4,007		118,647
PGT, Inc. (a)		13,947		221,060

See notes to financial statements.

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Security Description	Shares		Value
Pitney Bowes, Inc.		45,045	$	266,216
Primoris Services Corp.		17,656		337,759
Raven Industries, Inc.		5,541		200,529
REV Group, Inc.		13,698		102,872
Rush Enterprises, Inc., Class A		8,873		305,941
Saia, Inc. (a)		4,330		241,701
SP Plus Corp. (a)		13,607		401,951
SPX Corp. (a)		13,987		391,775
SPX Flow, Inc. (a)		6,645		202,141
Steelcase, Inc., Class A		25,905		384,171
Sun Hydraulics Corp.		7,287		241,856
Sunrun, Inc. (a)		14,231		154,976
Systemax, Inc.		9,018		215,440
The Greenbrier Cos., Inc.		6,057		239,494
Thermon Group Holdings, Inc. (a)		15,200		308,256
TrueBlue, Inc. (a)		11,828		263,173
Universal Forest Products, Inc.		12,454		323,306
US Ecology, Inc.		5,400		340,092
Vectrus, Inc. (a)		4,854		104,749
Wabash National Corp.		19,921		260,567
Werner Enterprises, Inc.		9,634		284,588
WESCO International, Inc. (a)		6,961		334,128
				25,958,817
Information Technology (9.0%):
Alarm.com Holdings, Inc. (a)		5,377		278,905
Alpha & Omega Semiconductor Ltd. (a)		21,673		220,848
Amkor Technology, Inc. (a)		35,237		231,155
Anixter International, Inc. (a)		3,268		177,485
AppFolio, Inc. (a)		3,187		188,734
Applied Optoelectronics, Inc. (a) (b)		4,021		62,044
Axcelis Technologies, Inc. (a)		13,379		238,146
AXT, Inc. (a)		24,181		105,187
Badger Meter, Inc.		6,947		341,862
Brooks Automation, Inc.		4,788		125,350
Casa Systems, Inc. (a)		10,579		138,902
Cass Information Systems, Inc.		7,916		418,915
Cohu, Inc.		11,605		186,492
Control4 Corp. (a)		7,009		123,358
CSG Systems International, Inc.		13,288		422,160
Ebix, Inc.		4,751		202,203
Electro Scientific, Inc. (a)		9,604		287,736
ePlus, Inc. (a)		4,815		342,684
Evertec, Inc.		20,541		589,527
Fabrinet (a)		6,443		330,590
FormFactor, Inc. (a)		14,776		208,194
Ichor Holdings Ltd. (a)		6,924		112,861
Insight Enterprises, Inc. (a)		6,156		250,857
InterDigital, Inc.		7,526		499,952
KEMET Corp.		9,686		169,892
ManTech International Corp., Class A		6,144		321,300

See notes to financial statements.

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Security Description	Shares		Value
MTS Systems Corp.		8,315	$	333,681
Nanometrics, Inc. (a)		4,434		121,181
NIC, Inc.		26,047		325,067
PC Connection, Inc.		10,484		311,689
Perficient, Inc. (a)		16,584		369,160
Photronics, Inc. (a)		25,196		243,898
Presidio, Inc.		20,842		271,988
Progress Software Corp.		6,441		228,591
Rogers Corp. (a)		2,223		220,210
ScanSource, Inc. (a)		8,054		276,897
Tech Data Corp. (a)		3,449		282,163
The Hackett Group, Inc.		23,708		379,565
TTM Technologies, Inc. (a)		15,948		155,174
Ultra Clean Holdings, Inc. (a)		13,247		112,202
				10,206,805
Materials (3.1%):
Advansix, Inc. (a)		7,961		193,771
American Vanguard Corp.		12,812		194,614
Boise Cascade Co.		9,724		231,917
Carpenter Technology Corp.		5,634		200,627
Chase Corp.		3,097		309,855
Clearwater Paper Corp. (a)		5,800		141,346
Greif, Inc., Class A		6,320		234,535
Minerals Technologies, Inc.		7,250		372,214
Myers Industries, Inc.		11,618		175,548
Olympic Steel, Inc.		11,638		166,074
Rayonier Advanced Materials, Inc.		13,184		140,410
Schnitzer Steel Industries, Inc.		10,117		218,021
Stepan Co.		3,976		294,224
SunCoke Energy, Inc. (a)		27,345		233,800
Warrior Met Coal, Inc.		7,685		185,285
Worthington Industries, Inc.		7,830		272,798
				3,565,039
Real Estate (1.4%):
Four Corners Property Trust, Inc.		25,963		680,231
HFF, Inc., Class A		5,495		182,214
Marcus & Millichap, Inc. (a)		13,630		467,918
The RMR Group, Inc.		4,261		226,174
				1,556,537
Utilities (3.5%):
American States Water Co.		8,577		575,002
Chesapeake Utilities Corp.		6,315		513,410
MGE Energy, Inc.		9,700		581,612
Middlesex Water Co.		9,084		484,631
Otter Tail Corp.		13,153		652,915
SJW Corp.		6,256		347,959
Unitil Corp.		12,794		648,315
				3,803,844
Total Common Stocks (Cost $123,657,632)				111,218,299

See notes to financial statements.

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Security Description	Shares		Value
Rights (0.0%) (c)
Materials (0.0%): (c)
Schulman, Inc. (a) (d) (e)		4,224	$	8,448
Total Rights (Cost $8,448)				8,448
Investment Companies (0.8%)
JPMorgan U.S. Treasury Plus Money Market Fund, Class L, 2.27%		942,820		942,820
Total Investment Companies (Cost $942,820)				942,820
Collateral for Securities Loaned^ (1.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (f)		261,687		261,687
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (f)		378,125		378,125
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (f)		11,677		11,677
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (f)		145,383		145,383
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (f)		232,599		232,599
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (f)		348,918		348,918
Total Collateral for Securities Loaned (Cost $1,378,389)				1,378,389
Total Investments (Cost $125,987,289) — 101.0%				113,547,956
Liabilities in excess of other assets — (1.0)%				(1,116,377	)
NET ASSETS — 100.00%			$	112,431,579

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security is on loan.

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

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(f)  Rate disclosed is the daily yield on December 31, 2018.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		16	3/15/19	$	1,121,279	$	1,079,200	$	(42,079	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(42,079	)
	Total net unrealized appreciation(depreciation)							$	(42,079	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (23.4%)
Australia (1.3%):
Communication Services (0.0%): (a)
Telstra Corp. Ltd.		26,025	$	52,231
Consumer Discretionary (0.0%): (a)
Aristocrat Leisure Ltd.		2,627		40,403
Consumer Staples (0.2%):
Treasury Wine Estates Ltd.		3,849		40,115
Wesfarmers Ltd.		3,911		88,738
Woolworths Ltd.		6,204		128,532
				257,385
Energy (0.1%):
Oil Search Ltd.		12,286		61,947
Santos Ltd.		8,028		30,980
Woodside Petroleum Ltd.		3,089		68,130
				161,057
Financials (0.5%):
Asx Ltd.		2,429		102,528
Australia & New Zealand Banking Group Ltd.		4,736		81,576
Commonwealth Bank of Australia		1,792		91,351
Insurance Australia Group Ltd.		15,777		77,771
Macquarie Group Ltd.		958		73,298
National Australia Bank Ltd.		5,652		95,802
Suncorp Group Ltd.		9,852		87,624
Westpac Banking Corp.		4,673		82,400
				692,350
Health Care (0.1%):
Cochlear Ltd.		459		56,103
CSL Ltd.		485		63,239
				119,342
Industrials (0.1%):
Brambles Ltd.		10,335		73,871
Cimic Group Ltd.		1,386		42,369
				116,240
Materials (0.2%):
BHP Billiton Ltd.		3,002		72,362
BHP Group PLC		2,468		51,947
Newcrest Mining Ltd.		5,012		76,942
RIO Tinto Ltd.		1,351		74,654
South32 Ltd.		18,299		43,169
				319,074
Utilities (0.1%):
AGL Energy Ltd.		4,770		69,196
				1,827,278

See notes to financial statements.

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Security Description	Shares		Value
Austria (0.1%):
Energy (0.0%): (a)
OMV AG		1,101	$	48,245
Financials (0.0%): (a)
Erste Group Bank AG		1,848		61,500
Utilities (0.1%):
Verbund AG, Class A (b)		1,703		72,653
				182,398
Belgium (0.4%):
Consumer Staples (0.1%):
Anheuser-Busch InBev SA/NV		875		57,838
Colruyt SA		1,540		109,805
				167,643
Financials (0.2%):
Ageas		1,818		81,849
Groupe Bruxelles Lambert SA		1,091		95,088
KBC Groep NV		1,181		76,685
				253,622
Health Care (0.0%): (a)
UCB SA		928		75,800
Materials (0.1%):
Solvay SA		612		61,220
Umicore SA		1,013		40,455
				101,675
				598,740
Bermuda (0.2%):
Industrials (0.1%):
Jardine Matheson Holdings Ltd.		1,794		124,826
Real Estate (0.1%):
Hongkong Land Holdings Ltd.		15,876		100,019
				224,845
Canada (2.5%):
Communication Services (0.3%):
BCE, Inc.		3,843		151,834
Rogers Communications, Inc.		2,050		105,068
TELUS Corp.		4,626		153,353
				410,255
Consumer Discretionary (0.1%):
Dollarama, Inc.		1,944		46,243
Magna International, Inc.		1,017		46,171
Restaurant Brands International, Inc.		1,440		75,239
				167,653

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (0.3%):
Alimentation Couche-Tard, Inc., Class B		1,387	$	69,005
George Weston Ltd.		1,461		96,383
Loblaw Cos. Ltd.		2,741		122,712
Saputo, Inc. (b)		2,676		76,830
				364,930
Energy (0.2%):
Canadian Natural Resources Ltd.		1,762		42,520
Enbridge, Inc.		1,747		54,279
Husky Energy, Inc.		3,577		36,976
Pembina Pipeline Corp. (b)		2,493		73,986
Suncor Energy, Inc.		1,783		49,806
TransCanada Corp.		1,907		68,107
				325,674
Financials (1.0%):
Bank of Montreal		2,333		152,440
Brookfield Asset Management, Inc.		1,847		70,795
Canadian Imperial Bank of Commerce		1,915		142,650
Fairfax Financial Holdings Ltd.		138		60,758
Great-West Lifeco, Inc.		6,410		132,332
Intact Financial Corp.		1,313		95,411
National Bank of Canada		3,076		126,308
Power Corp. of Canada		5,841		104,967
Power Financial Corp.		5,899		111,627
Royal Bank of Canada		1,953		133,691
Sun Life Financial, Inc.		3,032		100,600
The Bank of Nova Scotia		2,488		124,036
The Toronto-Dominion Bank		2,868		142,581
				1,498,196
Industrials (0.1%):
Canadian National Railway Co.		1,075		79,629
Canadian Pacific Railway Ltd.		445		78,972
				158,601
Information Technology (0.2%):
CGI Group, Inc. (c)		1,821		111,394
Constellation Software, Inc.		77		49,295
Open Text Corp.		2,076		67,679
				228,368
Materials (0.1%):
Franco-Nevada Corp.		1,295		90,820
Teck Resources Ltd., Class B		2,065		44,462
				135,282
Utilities (0.2%):
Fortis, Inc.		4,447		148,266
Hydro One Ltd. (d)		9,115		135,222
				283,488
				3,572,447

See notes to financial statements.

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Security Description	Shares		Value
Denmark (0.4%):
Financials (0.0%): (a)
Danske Bank A/S		2,333	$	46,157
Health Care (0.2%):
Ambu A/S		803		19,301
Coloplast A/S		765		71,038
H. Lundbeck A/S		833		36,490
Novo Nordisk A/S, Class B		1,469		67,168
William Demant Holding A/S (b) (c)		1,200		34,056
				228,053
Industrials (0.1%):
DSV A/S		769		50,659
Rockwool International A/S, Class B		119		31,051
Vestas Wind Systems A/S		859		64,881
				146,591
Materials (0.1%):
Christian Hansen Holding A/S		719		63,632
Novozymes A/S, B Shares		1,605		71,662
				135,294
				556,095
Finland (0.3%):
Energy (0.0%): (a)
Neste Oyj		513		39,587
Financials (0.1%):
Nordea Bank AB		6,884		57,959
Sampo Oyj, Class A		2,023		89,017
				146,976
Industrials (0.1%):
Kone Oyj, Class B		1,374		65,543
Wartsila Oyj ABP, Class B		2,988		47,563
				113,106
Materials (0.1%):
Stora ENSO Oyj, R Shares		2,749		31,760
UPM-Kymmene Oyj		1,758		44,609
				76,369
Utilities (0.0%): (a)
Fortum Oyj		2,985		65,314
				441,352
France (2.6%):
Communication Services (0.2%):
Orange SA		6,123		99,290
Publicis Groupe SA		961		55,134
Vivendi Universal SA		2,765		67,406
				221,830

See notes to financial statements.

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Security Description	Shares		Value
Consumer Discretionary (0.4%):
Accor SA		1,718	$	73,037
Cie Generale des Etablissements Michelin		610		60,587
Hermes International		140		77,754
Kering		104		49,039
LVMH Moet Hennessy Louis Vuitton SA		201		59,454
Psa Peugeot Citroen		1,896		40,498
Renault SA		746		46,619
Seb SA		387		50,009
Sodexo SA		517		53,008
Valeo SA		1,414		41,323
				551,328
Consumer Staples (0.2%):
Danone SA		1,283		90,407
L'Oreal SA		399		91,967
Pernod Ricard SA		810		132,973
				315,347
Energy (0.0%): (a)
Total SA		1,384		73,218
Financials (0.3%):
AXA SA		2,862		61,829
BNP Paribas SA		1,411		63,809
CNP Assurances		4,192		88,939
Credit Agricole SA		6,953		75,113
Natixis SA		9,834		46,404
Societe Generale SA		2,163		68,936
				405,030
Health Care (0.3%):
BioMerieux		737		48,547
Essilor International SA		765		96,796
Ipsen SA		500		64,640
Sanofi		1,194		103,491
Sartorius Stedim Biotech		554		55,438
				368,912
Industrials (0.8%):
Aeroports de Paris		358		67,875
Airbus Group SE		540		51,939
Alstom SA		2,575		104,043
Bollore SA		15,826		63,456
Bouygues		1,941		69,688
Bureau Veritas SA		3,862		78,730
Compagnie de Saint-Gobain		1,970		65,820
Edenred		1,613		59,334
Eiffage SA		1,098		91,774
Legrand SA		1,487		83,982
Safran SA		596		71,964
Schneider Electric SA		946		64,721

See notes to financial statements.

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Security Description	Shares		Value
Teleperformance		497	$	79,483
Thales SA		670		78,290
Vinci SA		1,031		85,063
				1,116,162
Information Technology (0.1%):
Atos SE		464		37,996
Cap Gemini SA		639		63,540
Dassault Systemes SA		495		58,805
				160,341
Materials (0.1%):
Air Liquide SA		752		93,428
Arkema SA		649		55,732
				149,160
Utilities (0.2%):
Electricite de France SA		4,310		68,138
Gdf Suez		5,566		79,864
Suez Environnement Co.		4,328		57,167
Veolia Environnement SA		4,079		83,901
				289,070
				3,650,398
Germany (1.2%):
Communication Services (0.1%):
Deutsche Telekom AG, Registered Shares		5,910		100,338
United Internet AG, Registered Shares		1,100		48,138
				148,476
Consumer Discretionary (0.1%):
Bayerische Motoren Werke AG		820		66,414
Continental AG		297		41,084
Daimler AG, Registered Shares		1,075		56,539
				164,037
Consumer Staples (0.1%):
Beiersdorf AG		798		83,337
Financials (0.2%):
Commerzbank AG (c)		5,234		34,675
Deutsche Boerse AG		627		75,384
Hannover Rueck SE		686		92,498
				202,557
Health Care (0.1%):
Bayer AG		621		43,083
Fresenius Medical Care AG & Co. KGaA		701		45,485
Fresenius SE & Co. KGaA		850		41,268
Merck KGaA		651		67,106
				196,942

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.3%):
Brenntag AG		1,426	$	61,587
Deutsche Post AG		1,772		48,537
Hochtief AG		450		60,676
MTU Aero Engines Holding AG		343		62,242
Rational AG		83		47,162
Siemens AG		613		68,385
				348,589
Information Technology (0.1%):
Infineon Technologies AG		2,226		44,282
SAP SE		682		67,918
Wirecard AG		205		31,188
				143,388
Materials (0.1%):
BASF SE		877		60,683
Evonik Industries AG		2,183		54,518
Symrise AG		783		57,857
				173,058
Real Estate (0.1%):
Deutsche Wohnen AG		2,220		101,729
Vonovia SE		1,766		80,095
				181,824
				1,642,208
Hong Kong (1.2%):
Consumer Discretionary (0.1%):
Galaxy Entertainment Group Ltd.		6,636		42,206
Techtronic Industries Co. Ltd.		6,852		36,404
				78,610
Consumer Staples (0.0%): (a)
Sun Art Retail Group Ltd.		37,412		38,129
WH Group Ltd. (d)		49,866		38,402
				76,531
Financials (0.2%):
AIA Group Ltd.		7,270		60,351
Hang Seng Bank		3,294		73,957
Hong Kong Exchanges and Clearing Ltd.		2,748		79,527
The Bank of East Asia Ltd.		20,998		66,776
				280,611
Health Care (0.0%): (a)
Sino Biopharmaceutical Ltd.		26,500		17,463
Industrials (0.1%):
CK Hutchison Holdings Ltd.		8,186		78,619
MTR Corp. Ltd.		16,138		84,915
				163,534

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (0.0%): (a)
Hanergy Thin Film Power Group Ltd. (c) (e) (f)		24,455	$	1,843
Real Estate (0.5%):
CK Asset Holdings Ltd.		13,715		100,366
Henderson Land Development Co. Ltd.		15,044		74,932
New World Development Co. Ltd.		62,650		82,893
Shimao Property Holdings Ltd.		12,500		33,365
Sino Land Co. Ltd.		38,080		65,266
Sun Hung KAI Properties Ltd.		6,968		99,314
Swire Pacific Ltd., Class A		7,936		83,820
Wharf Real Estate Investment		9,000		53,851
Wheelock & Co. Ltd.		15,568		88,974
				682,781
Utilities (0.3%):
China Gas Holdings Ltd.		13,072		46,578
CK Infrastructure Holdings Ltd.		14,870		112,617
CLP Holdings Ltd.		8,536		96,480
Hong Kong & China Gas Co. Ltd. (b)		56,205		116,286
Power Assets Holdings Ltd.		12,036		83,776
				455,737
				1,757,110
Ireland (0.3%):
Communication Services (0.0%): (a)
WPP PLC		3,026		32,648
Consumer Staples (0.1%):
Kerry Group PLC		723		71,645
Financials (0.0%): (a)
Bank of Ireland Group PLC		8,090		45,042
Industrials (0.1%):
Experian PLC		3,790		92,011
Kingspan Group PLC		1,382		59,180
Ryanair Holdings PLC, ADR (c)		576		41,092
				192,283
Materials (0.1%):
CRH PLC		2,337		61,845
Smurfit Kappa Group PLC		1,131		30,137
				91,982
				433,600
Israel (0.1%):
Financials (0.1%):
Bank Hapoalim BM		11,280		71,425
Bank Leumi Le-Israel B.M.		12,692		76,797
				148,222

See notes to financial statements.

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Security Description	Shares		Value
Italy (0.5%):
Communication Services (0.1%):
Telecom Italia SpA (c)		83,102	$	46,011
Consumer Discretionary (0.0%): (a)
Moncler SpA		1,326		43,946
Consumer Staples (0.1%):
Davide Campari - Milano SpA		9,729		82,309
Energy (0.1%):
Eni SpA		4,320		68,038
Snam SpA		18,296		80,046
				148,084
Financials (0.1%):
Assicurazioni Generali SpA		4,994		83,528
Intesa Sanpaolo SpA		22,208		49,351
UniCredit SpA		3,507		39,750
				172,629
Industrials (0.0%): (a)
Atlantia SpA		1,810		37,469
Utilities (0.1%):
Enel SpA		15,810		91,356
Terna Rete Elettrica Nazionale SpA		14,396		81,685
				173,041
				703,489
Japan (4.6%):
Communication Services (0.2%):
KDDI Corp.		3,308		79,206
Nintendo Co. Ltd.		100		26,722
Nippon Telegraph & Telephone Corp.		2,064		84,413
NTT DOCOMO, Inc.		3,692		83,297
SoftBank Group Corp.		564		37,595
Yahoo Japan Corp.		13,130		32,828
				344,061
Consumer Discretionary (0.8%):
Aisin Seiki Co. Ltd.		1,410		49,149
Bridgestone Corp.		1,760		68,030
Denso Corp.		1,430		63,847
Fuji Heavy Industries Ltd.		3,050		65,681
Honda Motor Co. Ltd.		2,330		61,540
Isuzu Motors Ltd.		4,494		63,500
Koito Manufacturing Co. Ltd.		990		51,311
Mitsubishi Motors Corp.		7,300		40,100
Nissan Motor Co. Ltd.		10,576		84,953
Nitori Holdings Co. Ltd.		430		53,873
Oriental Land Co. Ltd.		708		71,420
Panasonic Corp.		5,900		53,331
Rakuten, Inc. (b)		7,000		47,012
Sekisui House Ltd.		5,272		77,885

See notes to financial statements.

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Security Description	Shares		Value
Sharp Corp./Japan		1,600	$	16,089
Shimano, Inc.		540		76,474
Sumitomo Electric Industries Ltd.		4,694		62,621
Suzuki Motor Corp.		804		40,842
Toyota Industries Corp.		1,208		56,107
Toyota Motor Corp.		1,324		77,393
Zozo, Inc.		1,100		20,175
				1,201,333
Consumer Staples (0.4%):
Asahi Group Holdings Ltd.		1,460		56,873
Japan Tobacco, Inc. (b)		3,044		72,677
Kao Corp.		918		68,304
Kikkoman Corp.		1,200		64,714
Kose Corp.		200		31,499
MEIJI Holdings Co. Ltd.		1,004		82,086
Seven & i Holdings Co. Ltd.		2,200		96,018
Uni-Charm Corp.		2,094		68,004
Yakult Honsha Co. Ltd.		770		54,242
				594,417
Energy (0.0%): (a)
Idemitsu Kosan Co. Ltd.		700		23,059
JXTG Holdings, Inc.		7,710		40,572
				63,631
Financials (0.7%):
Daiwa Securities Group, Inc.		16,400		83,294
Japan Post Bank Co. Ltd.		8,212		90,670
Japan Post Holdings Co. Ltd.		10,300		118,893
Mitsubishi UFJ Financial Group, Inc.		12,234		60,048
Mizuho Financial Group, Inc.		69,794		108,458
Nomura Holdings, Inc.		19,970		76,680
ORIX Corp.		5,068		74,247
Resona Holdings, Inc.		11,546		55,702
Sumitomo Mitsui Financial Group, Inc.		2,484		82,619
Sumitomo Mitsui Trust Holdings, Inc.		2,300		84,411
T&D Holdings, Inc.		4,200		49,017
The Dai-ichi Life Insurance Co. Ltd.		3,488		54,680
				938,719
Health Care (0.4%):
Astellas Pharma, Inc.		5,252		67,166
Chugai Pharmaceutical Co. Ltd.		1,130		65,785
Eisai Co. Ltd.		354		27,463
Hoya Corp.		1,118		67,484
M3, Inc.		2,200		29,590
ONO Pharmaceutical Co. Ltd.		1,884		38,595
Otsuka Holdings Co. Ltd.		1,400		57,398
Shionogi & Co. Ltd.		1,428		81,713
Sysmex Corp.		574		27,634
Taisho Pharmaceutical Holdings		500		50,324
				513,152

See notes to financial statements.

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Security Description	Shares		Value
Industrials (1.0%):
Central Japan Railway Co.		54	$	11,414
Daikin Industries Ltd.		466		49,730
East Japan Railway Co.		586		51,927
FANUC Corp.		230		34,986
ITOCHU Corp.		4,208		71,688
Japan Airlines Co. Ltd.		2,100		74,561
Komatsu Ltd.		1,788		38,594
Kubota Corp.		4,304		61,326
Makita Corp.		1,578		56,229
Marubeni Corp.		9,274		65,364
Mitsubishi Corp.		2,992		82,451
Mitsubishi Electric Corp.		4,752		52,749
Mitsubishi Heavy Industries Ltd.		2,200		79,416
Mitsui & Co. Ltd.		5,086		78,455
Nidec Corp.		454		51,680
Recruit Holdings Co. Ltd.		1,720		41,788
Secom Co. Ltd.		710		59,047
SMC Corp.		114		34,578
Sumitomo Corp.		5,298		75,489
Taisei Corp.		1,334		57,272
Tokyu Corp.		5,000		81,896
Toyota Tsusho Corp.		1,880		55,667
West Japan Railway Co.		1,200		84,982
				1,351,289
Information Technology (0.4%):
Canon, Inc.		3,114		85,273
FUJIFILM Holdings Corp.		1,960		76,368
Fujitsu Ltd.		1,063		66,414
Hitachi Ltd.		2,147		57,510
Keyence Corp.		114		57,921
Murata Manufacturing Co. Ltd.		334		45,579
Nomura Research Institute Ltd.		1,258		46,777
NTT Data Corp.		4,708		51,767
Oracle Corp. Japan		600		38,325
ROHM Co. Ltd.		600		38,544
TDK Corp.		400		28,178
Tokyo Electron Ltd.		326		37,229
				629,885
Materials (0.3%):
Asahi Kasei Corp.		5,068		52,257
JFE Holdings, Inc.		3,104		49,765
Mitsubishi Chem Holdings		7,748		58,865
Nippon Paint Co. Ltd. (b)		1,138		39,044
Nippon Steel & Sumitomo Metal		3,898		67,314
Nitto Denko Corp.		764		38,643
Shin-Etsu Chemical Co. Ltd.		670		52,187
Toray Industries, Inc.		10,880		76,643
				434,718

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (0.3%):
Daito Trust Construction Co. Ltd.		440	$	60,285
Daiwa House Industry Co. Ltd.		2,300		73,414
Mitsubishi Estate Co. Ltd.		4,352		68,681
Mitsui Fudosan Co. Ltd.		3,078		68,672
Sumitomo Realty & Development		2,500		91,842
				362,894
Utilities (0.1%):
Kansai Electric Power Co.		4,300		64,741
Tokyo Gas Co. Ltd.		3,100		78,794
				143,535
				6,577,634
Korea, Republic Of (0.8%):
Communication Services (0.1%):
NAVER Corp.		463		50,628
SK Telecom Co. Ltd.		322		77,780
				128,408
Consumer Discretionary (0.1%):
Hyundai Motor Co.		558		59,266
LG Electronics, Inc.		626		34,956
				94,222
Consumer Staples (0.1%):
Amorepacific Corp.		206		38,682
KT&G Corp.		892		81,149
LG Household & Health Care Ltd.		38		37,499
				157,330
Energy (0.1%):
SK Innovation Co. Ltd.		325		52,288
S-Oil Corp.		518		45,360
				97,648
Financials (0.1%):
Hana Financial Group, Inc.		1,316		42,758
KB Financial Group, Inc.		1,372		57,182
Shinhan Financial Group Co. Ltd.		1,947		69,106
Woori Bank		3,859		53,957
				223,003
Health Care (0.0%): (a)
Celltrion, Inc. (c)		135		26,851
Industrials (0.1%):
LG Corp.		1,014		63,528
Samsung C&T Corp.		593		56,074
SK Holdings Co. Ltd.		280		65,251
				184,853

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (0.1%):
Samsung Electro-Mechanics Co. Ltd.		264	$	24,490
Samsung Electronics Co. Ltd.		1,382		47,937
Samsung SDI Co. Ltd.		185		36,314
Samsung SDS Co. Ltd.		180		32,912
SK Hynix, Inc.		589		31,939
				173,592
Materials (0.1%):
LG Chem Ltd.		134		41,676
Lotte Chemical Corp.		160		39,724
POSCO		154		33,541
				114,941
				1,200,848
Luxembourg (0.1%):
Energy (0.0%): (a)
Tenaris SA		3,029		32,757
Health Care (0.1%):
Eurofins Scientific		94		35,106
Materials (0.0%): (a)
Arcelormittal		1,569		32,605
				100,468
Macau (0.1%):
Consumer Discretionary (0.1%):
Sands China Ltd.		10,800		47,310
Wynn Macau Ltd.		13,600		29,667
				76,977
Netherlands (0.7%):
Communication Services (0.1%):
Koninklijke KPN NV		31,147		91,345
Consumer Staples (0.2%):
Heineken Holding A		1,053		88,965
Heineken NV		970		85,787
Koninklijke Ahold Delhaize NV		4,178		105,657
				280,409
Financials (0.2%):
ABN AMRO Group NV (d)		2,561		60,262
Aegon NV		11,483		53,659
ING Groep NV		6,067		65,402
NN Group NV		2,026		80,770
				260,093
Health Care (0.0%): (a)
Koninklijke Philips NV		1,746		61,866

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.1%):
Randstad Holding NV		1,221	$	56,077
Wolters Kluwer NV		1,567		92,737
				148,814
Information Technology (0.0%): (a)
ASML Holding NV		275		43,211
Materials (0.1%):
AkzoNobel NV		1,036		83,553
Koninklijke DSM NV		760		62,200
				145,753
				1,031,491
Norway (0.2%):
Communication Services (0.1%):
Telenor ASA		4,175		80,934
Consumer Staples (0.1%):
Marine Harvest ASA		3,347		70,770
Energy (0.0%): (a)
Aker BP ASA		1,506		37,996
Financials (0.0%): (a)
DNB ASA		3,442		55,032
Materials (0.0%): (a)
Norsk Hydro ASA		9,530		43,246
				287,978
Portugal (0.1%):
Consumer Staples (0.0%): (a)
Jeronimo Martins SGPS SA		3,961		46,920
Energy (0.1%):
Galp Energia SGPS SA		3,865		61,080
				108,000
Russian Federation (0.0%): (a)
Materials (0.0%): (a)
Evraz PLC		5,092		31,181
Singapore (0.4%):
Communication Services (0.0%): (a)
Singapore Telecommunications Ltd.		35,694		76,753
Consumer Discretionary (0.1%):
Genting Singapore Ltd.		64,070		45,845
Jardine Cycle & Carriage Ltd.		2,584		67,037
				112,882
Consumer Staples (0.1%):
Wilmar International Ltd.		41,462		94,937

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.1%):
DBS Group Holdings Ltd.		3,778	$	65,684
Oversea-Chinese Banking Corp. Ltd.		9,138		75,513
United Overseas Bank Ltd.		3,992		71,982
				213,179
Real Estate (0.1%):
CapitaLand Ltd.		33,636		76,771
				574,522
Spain (0.7%):
Communication Services (0.1%):
Telefonica SA		12,049		101,302
Consumer Discretionary (0.0%): (a)
Industria de Diseno Textil SA		2,463		63,063
Energy (0.1%):
Repsol SA		4,139		66,762
Financials (0.2%):
Banco Bilbao Vizcaya Argentaria SA		10,590		56,237
Banco Santander SA		14,239		64,808
Bankia SA		17,124		50,220
CaixaBank SA		13,817		50,082
				221,347
Health Care (0.0%): (a)
Grifols SA		2,426		63,644
Industrials (0.1%):
Aena SA (d)		501		77,912
Ferrovial SA		4,279		86,741
				164,653
Information Technology (0.0%): (a)
Amadeus IT Holding SA		931		64,889
Utilities (0.2%):
Endesa SA		4,461		102,874
Iberdrola SA		12,556		100,947
Red Electrica Corp. SA		4,481		100,076
				303,897
				1,049,557
Sweden (0.6%):
Communication Services (0.1%):
TeliaSonera AB		16,500		78,196
Consumer Discretionary (0.0%): (a)
Hennes & Mauritz AB, B Shares (b)		3,761		53,506
Consumer Staples (0.1%):
Essity AB, Class B		3,208		78,805
Swedish Match AB		1,501		59,155
				137,960

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.2%):
Skandinaviska Enskilda Banken AB, Class A		7,060	$	68,623
Svenska Handelsbanken AB		5,686		63,099
Swedbank AB, A Shares		3,737		83,425
				215,147
Health Care (0.0%): (a)
Swedish Orphan Biovitrum AB (c)		1,606		34,991
Industrials (0.2%):
Alfa Laval AB		2,415		51,705
Atlas Copco AB, A Shares		2,099		49,880
Sandvik AB		3,610		51,492
SKF AB, B Shares		3,075		46,673
Volvo AB, Class B		3,839		50,251
				250,001
Information Technology (0.0%): (a)
Hexagon AB, B Shares		1,264		58,219
				828,020
Switzerland (1.5%):
Communication Services (0.1%):
Swisscom AG		209		99,916
Consumer Discretionary (0.1%):
CIE Financiere Richemont SA		898		57,582
The Swatch Group AG, B shares		165		48,148
				105,730
Consumer Staples (0.2%):
Barry Callebaut AG		39		60,773
Chocoladefabriken Lindt & Spruengli AG		15		93,130
Coca-Cola HBC AG		2,405		75,152
Nestle SA, Registered Shares		1,446		117,446
				346,501
Financials (0.2%):
Julius Baer Group Ltd.		1,455		51,847
Partners Group Holding AG		137		83,106
Swiss Life Holding AG		277		106,740
Zurich Insurance Group AG		327		97,551
				339,244
Health Care (0.3%):
Lonza Group AG, Registered Shares		215		55,736
Novartis AG		1,057		90,413
Roche Holding AG		414		102,562
Sonova Holding AG, Registered Shares		396		64,730
Straumann Holding AG		79		49,692
Vifor Pharma AG		309		33,620
				396,753

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.4%):
ABB Ltd.		3,050	$	58,035
Adecco SA, Registered Shares		1,160		54,228
Ferguson PLC		1,084		69,308
Geberit AG		235		91,441
Kuehne + Nagel International AG		664		85,391
Schindler Holding AG		389		77,087
SGS SA		34		76,478
				511,968
Information Technology (0.0%): (a)
Stmicroelectronics NV		2,117		29,660
Temenos AG		361		43,320
				72,980
Materials (0.2%):
EMS-Chemie Holding AG		145		68,921
Givaudan SA, Registered Shares		38		88,029
Glencore PLC		10,330		38,355
Sika AG, Registered Shares		453		57,449
				252,754
				2,125,846
United Arab Emirates (0.0%): (a)
Health Care (0.0%): (a)
NMC Health PLC		1,177		41,039
United Kingdom (2.4%):
Communication Services (0.2%):
BT Group PLC		22,520		68,334
Informa PLC		9,776		78,514
Pearson PLC		6,790		81,202
Vodafone Group PLC		35,956		70,062
				298,112
Consumer Discretionary (0.3%):
Burberry Group PLC		2,262		50,029
Compass Group PLC		4,128		86,802
InterContinental Hotels Group PLC		1,416		76,459
Next PLC		890		45,267
Persimmon PLC		2,769		68,107
Whitbread PLC		950		55,437
				382,101
Consumer Staples (0.5%):
Associated British Foods PLC		2,630		68,475
British American Tobacco PLC		1,310		41,737
Diageo PLC		3,060		108,996
Imperial Tobacco Group PLC		2,043		61,888
Reckitt Benckiser Group PLC		849		65,059
Sainsbury (J) PLC		13,368		45,146
Tesco PLC		25,656		62,155

See notes to financial statements.

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Security Description	Shares		Value
Unilever NV		1,894	$	102,890
Unilever PLC		1,762		92,256
				648,602
Energy (0.1%):
BP PLC		9,868		62,370
Royal Dutch Shell PLC, Class A		2,367		69,606
				131,976
Financials (0.5%):
3I Group PLC		7,151		70,482
Aviva PLC		15,323		73,326
Hargreaves Lansdown PLC		2,653		62,515
Legal & General Group PLC		28,419		83,662
Lloyds Banking Group PLC		158,595		104,796
London Stock Exchange Group PLC		1,515		78,426
Prudential PLC		3,225		57,622
Schroders PLC		2,203		68,588
Standard Life Aberdeen PLC		19,095		62,479
				661,896
Health Care (0.1%):
AstraZeneca PLC		1,264		94,605
Smith & Nephew PLC		4,965		92,634
				187,239
Industrials (0.3%):
Ashtead Group PLC		2,098		43,768
BAE Systems PLC		12,172		71,231
Bunzl PLC		3,493		105,456
International Consolidated Airlines Group SA		7,887		62,117
Intertek Group PLC		1,053		64,414
RELX PLC		5,112		105,311
				452,297
Materials (0.3%):
Anglo American PLC		2,102		46,820
Antofagasta PLC		4,861		48,518
Croda International PLC		1,302		77,737
DS Smith PLC		10,402		39,676
Johnson Matthey PLC		1,531		54,612
Mondi PLC		2,206		45,923
Rio Tinto PLC		1,193		56,710
				369,996
Utilities (0.1%):
Centrica PLC		39,534		67,966
National Grid PLC		7,777		75,740
SSE PLC		5,557		76,590
				220,296
				3,352,515

See notes to financial statements.

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Security Description	Shares		Value
United States (0.1%):
Consumer Discretionary (0.0%): (a)
Carnival PLC		1,040	$	49,874
Industrials (0.1%):
Waste Connections, Inc.		1,475		109,497
				159,371
Total Common Stocks (Cost $34,944,735)				33,283,629
Rights (0.0%) (a)
Spain (0.0%): (a)
Energy (0.0%): (a)
Repsol SA Expires 01/10/19 @ $0.41 (c)		4,139		1,896
Total Rights (Cost $1,941)				1,896
Investment Companies (76.3%)
United States (76.3%):
JPMorgan U.S. Treasury Plus Money Market Fund, Class L, 2.27%		108,318,486		108,318,486
Total Investment Companies (Cost $108,318,486)				108,318,486
Collateral for Securities Loaned^ (0.3%)
United States (0.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.49% (g)		89,883		89,883
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (g)		129,877		129,877
Fidelity Investments Prime Money Market Portfolio, Class I, 2.46% (g)		4,011		4,011
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.55% (g)		49,936		49,936
JPMorgan Prime Money Market Fund, Capital Class, 2.49% (g)		79,892		79,892
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.58% (g)		119,844		119,844
Total Collateral for Securities Loaned (Cost $473,443)				473,443
Total Investments (Cost $143,738,605) — 100.0%				142,077,454
Liabilities in excess of other assets — 0.0%				(52,979	)
NET ASSETS — 100.00%			$	142,024,475

^  Purchased with cash collateral from securities on loan.

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

(b)  All or a portion of this security is on loan.

(c)  Non-income producing security.

(d)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, the fair value of these securities was $311,799 and amounted to 0.2% of net assets.

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of December 31, 2018. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

See notes to financial statements.

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  (Unaudited)

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(g)  Rate disclosed is the daily yield on December 31, 2018.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		7	3/15/19	$	613,558	$	600,600	$	(12,958	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(12,958	)
	Total net unrealized appreciation(depreciation)							$	(12,958	)

See notes to financial statements.

140

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2018

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $672,302,281, $40,170,397 and $27,571,012)	$	617,016,302	(a)	$	33,776,501	(b)	$	25,849,827	(c)
Foreign currency, at value (Cost $—, $— and $4,706)		—			—			4,707
Cash and cash equivalents		322,152			221,722			204,730
Deposits with brokers for futures contracts		44,460			35,983			5,760
Interest and dividends receivable		711,724			39,845			37,982
Receivable for capital shares issued		6,594,465			—			1,048,646
Variation margin receivable on open futures contracts		2,139			1,620			—
Reclaims receivable		—			—			27,104
Total Assets		624,691,242			34,075,671			27,178,756
LIABILITIES:
Payables:
Collateral received on loaned securities		30,969,761			1,486,600			253,628
Investments purchased		6,587,551			—			1,235,621
Accrued expenses and other payables:
Investment advisory fees		140,207			6,352			3,542
Administration fees		16,598			956			582
Custodian fees		6,722			759			13,714
Chief Compliance Officer fees		588			66			21
Trustees' fees		1,776			101			—
Other accrued expenses		60,738			9,618			10,145
Total Liabilities		37,783,941			1,504,452			1,517,253
NET ASSETS:
Capital		634,737,134			38,434,100			27,862,293
Total distributable earnings/(loss)		(47,829,833	)		(5,862,881	)		(2,200,790	)
Net Assets	$	586,907,301		$	32,571,219		$	25,661,503
Shares Outstanding (unlimited shares authorized, no par value):		13,350,000			800,000			750,000
Net asset value:	$	43.96		$	40.71		$	34.22

(a)  Includes $30,509,804 of securities on loan.

(b)  Includes $1,443,303 of securities on loan.

(c)  Includes $348,960 of securities on loan.

See notes to financial statements.

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December 31, 2018

  (Unaudited)

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $17,350,579, $180,760,435 and $58,548,984)	$	17,259,137	(a)	$	166,451,798	(b)	$	51,134,225	(c)
Foreign currency, at value (Cost $2,641, $— and $—)		2,662			—			—
Cash and cash equivalents		102,854			331,669			304,156
Deposits with brokers for futures contracts		19,067			53,372			46,995
Interest and dividends receivable		16,559			314,602			59,936
Receivable for capital shares issued		—			4,135,905			—
Variation margin receivable on open futures contracts		—			2,880			2,025
Receivable from Adviser		10,011			—			—
Total Assets		17,410,290			171,290,226			51,547,337
LIABILITIES:
Payables:
Collateral received on loaned securities		311,011			3,728,077			3,366,953
Investments purchased		—			4,130,040			—
Variation margin on open futures contracts		525			—			—
Accrued foreign capital gains taxes		3,171			—			—
Accrued expenses and other payables:
Investment advisory fees		—			35,093			10,350
Administration fees		530			4,438			1,419
Custodian fees		16,488			800			711
Chief Compliance Officer fees		52			154			62
Trustees' fees		30			154			124
Other accrued expenses		29,633			23,252			11,467
Total Liabilities		361,440			7,922,008			3,391,086
NET ASSETS:
Capital		17,487,610			178,008,163			55,766,022
Total distributable earnings/(loss)		(438,760	)		(14,639,945	)		(7,609,771	)
Net Assets	$	17,048,850		$	163,368,218		$	48,156,251
Shares Outstanding (unlimited shares authorized, no par value):		700,000			3,950,000			1,200,000
Net asset value:	$	24.36		$	41.36		$	40.13

(a)  Includes $159,667 of securities on loan.

(b)  Includes $3,636,055 of securities on loan.

(c)  Includes $3,272,170 of securities on loan.

See notes to financial statements.

142

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2018

  (Unaudited)

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
ASSETS:
Investments, at value (Cost $49,311,755, $19,631,059 and $10,054,281)	$	42,997,470	(a)	$	17,617,154		$	9,815,703	(b)
Foreign currency, at value (Cost $17,071, $577 and $—)		17,071			577			—
Cash and cash equivalents		—			77,814			11,114
Deposits with brokers for futures contracts		44			11,048			50
Unrealized appreciation on foreign currency spot contracts		—			1			—
Interest and dividends receivable		167,192			53,633			15,140
Reclaims receivable		73,250			—			—
Receivable from Adviser		—			3,936			—
Total Assets		43,255,027			17,764,163			9,842,007
LIABILITIES:
Payables:
Collateral received on loaned securities		1,367,356			—			148,203
Custodian		792			—			—
Investments purchased		—			5,740			—
Variation margin on open futures contracts		—			350			—
Accrued expenses and other payables:
Investment advisory fees		10,543			—			1,031
Administration fees		1,198			404			125
Custodian fees		4,638			6,663			—
Chief Compliance Officer fees		46			19			9
Trustees' fees		6			—			99
Other accrued expenses		11,089			4,479			5,020
Total Liabilities		1,395,668			17,655			154,487
NET ASSETS:
Capital		49,213,876			21,249,594			9,927,260
Total distributable earnings/(loss)		(7,354,517	)		(3,503,086	)		(239,740	)
Net Assets	$	41,859,359		$	17,746,508		$	9,687,520
Shares Outstanding (unlimited shares authorized, no par value):		1,400,000			800,000			350,000
Net asset value:	$	29.90		$	22.18		$	27.68

(a)  Includes $2,166,864 of securities on loan.

(b)  Includes $146,562 of securities on loan.

See notes to financial statements.

143

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December 31, 2018

  (Unaudited)

	VictoryShares US Multi-Factor Minimum Volatility ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $28,048,882, $1,025,088,133 and $884,483,788)	$	26,550,381		$	925,362,347	(a)	$	806,533,650	(b)
Cash and cash equivalents		106,148			—			—
Deposits with brokers for futures contracts		18,814			57,640			228,470
Interest and dividends receivable		70,420			1,178,093			1,693,769
Variation margin receivable on open futures contracts		960			4,058			8,335
Total Assets		26,746,723			926,602,138			808,464,224
LIABILITIES:
Payables:
Collateral received on loaned securities		—			1,583,234			1,299,559
Capital shares redeemed		—			19,063			1,595
Accrued expenses and other payables:
Investment advisory fees		7,827			235,127			195,562
Administration fees		1,170			27,446			23,404
Custodian fees		257			8,984			4,008
Chief Compliance Officer fees		28			956			793
Trustees' fees		188			3,311			2,747
Other accrued expenses		5,873			97,373			73,784
Total Liabilities		15,343			1,975,494			1,601,452
NET ASSETS:
Capital		29,743,431			1,014,645,354			892,570,987
Total distributable earnings/(loss)		(3,012,051	)		(90,018,710	)		(85,708,215	)
Net Assets	$	26,731,380		$	924,626,644		$	806,862,772
Shares Outstanding (unlimited shares authorized, no par value):		1,000,000			21,050,000			19,000,000
Net asset value:	$	26.73		$	43.93		$	42.47

(a)  Includes $1,579,110 of securities on loan.

(b)  Includes $1,279,039 of securities on loan.

See notes to financial statements.

144

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2018

  (Unaudited)

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $125,987,289 and $143,738,605)	$	113,547,956	(a)	$	142,077,454	(b)
Foreign currency, at value (Cost $— and $8,615)		—			8,615
Deposits with brokers for futures contracts		144,973			57,644
Interest and dividends receivable		158,039			266,369
Variation margin receivable on open futures contracts		6,480			280
Reclaims receivable		—			175,164
Total Assets		113,857,448			142,585,526
LIABILITIES:
Payables:
Collateral received on loaned securities		1,378,389			473,443
Accrued expenses and other payables:
Investment advisory fees		25,208			41,210
Administration fees		3,147			4,026
Custodian fees		1,477			18,449
Chief Compliance Officer fees		115			150
Trustees' fees		111			—
Other accrued expenses		17,422			23,773
Total Liabilities		1,425,869			561,051
NET ASSETS:
Capital		133,663,534			158,045,364
Total distributable earnings/(loss)		(21,231,955	)		(16,020,889	)
Net Assets	$	112,431,579		$	142,024,475
Shares Outstanding (unlimited shares authorized, no par value):		2,850,000			4,600,000
Net asset value:	$	39.45		$	30.87

(a)  Includes $1,336,147 of securities on loan.

(b)  Includes $505,051 of securities on loan.

See notes to financial statements.

145

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
Investment Income:
Dividends	$	5,612,270		$	341,010		$	270,232
Interest		16,274			2,120			821
Securities lending (net of fees)		39,615			8,414			2,501
Foreign tax withholding		(423	)		—			(34,791	)
Total Income		5,667,736			351,544			238,763
Expenses:
Investment advisory fees		951,896			62,036			42,338
Administration fees		193,160			12,580			6,443
Custodian fees		13,643			1,593			24,916
Servicing fees		2,168			2,114			2,112
Trustees' fees		23,809			1,617			903
Chief Compliance Officer fees		2,461			143			87
Legal and audit fees		29,886			5,287			4,937
Printing Fees		33,823			3,913			1,808
Other expenses		20,560			2,218			5,729
Total Expenses		1,271,406			91,501			89,273
Expenses waived/reimbursed by Adviser		(160,728	)		(19,211	)		(41,593	)
Net Expenses		1,110,678			72,290			47,680
Net Investment Income (Loss)		4,557,058			279,254			191,083
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions and foreign currency translations		17,244,550			2,444,282			83,230
Net realized gains (losses) from futures transactions		(54,304	)		(18,388	)		(6,963	)
Net change in unrealized appreciation/depreciation on investments and foreign currency translations		(90,844,789	)		(8,974,189	)		(2,663,133	)
Net change in unrealized appreciation/depreciation on futures transactions		68,514			(6,233	)		54
Net realized/unrealized gains (losses) on investments		(73,586,029	)		(6,554,528	)		(2,586,812	)
Change in net assets resulting from operations	$	(69,028,971	)	$	(6,275,274	)	$	(2,395,729	)

See notes to financial statements.

146

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Income:
Dividends	$	308,918		$	2,770,800		$	857,402
Interest		1,041			6,311			3,011
Securities lending (net of fees)		2,328			4,494			18,752
Foreign tax withholding		(39,854	)		—			—
Total Income		272,433			2,781,605			879,165
Expenses:
Investment advisory fees		41,816			229,052			74,969
Administration fees		5,656			46,491			15,215
Custodian fees		63,205			4,743			1,730
Servicing fees		2,120			2,122			2,122
Trustees' fees		870			5,955			1,968
Chief Compliance Officer fees		61			608			186
Legal and audit fees		19,125			9,010			5,502
Printing Fees		2,771			12,501			4,171
Other expenses		7,070			3,165			1,803
Total Expenses		142,694			313,647			107,666
Expenses waived/reimbursed by Adviser		(96,259	)		(46,246	)		(20,160	)
Net Expenses		46,435			267,401			87,506
Net Investment Income (Loss)		225,998			2,514,204			791,659
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		(235,272	)		6,106,679			3,086,966
Net realized gains (losses) from futures transactions		(22,394	)		(58,153	)		(62,854	)
Net change in unrealized appreciation/ depreciation on investments		(651,424	)		(19,168,648	)		(9,952,835	)
Net change in unrealized appreciation/ depreciation on futures transactions		7,316			(47	)		(12,153	)
Net realized/unrealized gains (losses) on investments		(901,774	)		(13,120,169	)		(6,940,876	)
Change in net assets resulting from operations	$	(675,776	)	$	(10,605,965	)	$	(6,149,217	)

See notes to financial statements.

147

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
Investment Income:
Dividends	$	1,072,641		$	712,420		$	80,471
Interest		1,810			1,125			143
Securities lending (net of fees)		11,612			888			132
Foreign tax withholding		(168,211	)		(85,064	)		—
Total Income		917,852			629,369			80,746
Expenses:
Investment advisory fees		90,375			47,296			11,899
Administration fees		13,751			6,396			2,417
Custodian fees		10,307			31,961			1,538
Servicing fees		2,122			2,494			2,061
Trustees' fees		1,868			827			232
Chief Compliance Officer fees		185			81			32
Legal and audit fees		6,008			6,979			3,886
Printing Fees		3,991			1,909			469
Other expenses		2,862			1,718			763
Total Expenses		131,469			99,661			23,297
Expenses waived/reimbursed by Adviser		(29,848	)		(47,163	)		(9,390	)
Net Expenses		101,621			52,498			13,907
Net Investment Income (Loss)		816,231			576,871			66,839
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		(139,303	)		(1,529,612	)		218,799
Net realized gains (losses) from futures transactions		(65,924	)		(20,688	)		—
Net change in unrealized appreciation/ depreciation on investments		(5,245,335	)		110,650			(592,371	)
Net change in unrealized appreciation/ depreciation on futures transactions		4,857			(414	)		—
Net realized/unrealized gains (losses) on investments		(5,445,705	)		(1,440,064	)		(373,572	)
Change in net assets resulting from operations	$	(4,629,474	)	$	(863,193	)	$	(306,733	)

See notes to financial statements.

148

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	VictoryShares US Multi-Factor Minimum Volatility ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	321,518		$	9,402,916		$	15,010,396
Interest		533			2,046			2,781
Securities lending (net of fees)		683			56,948			36,563
Foreign tax withholding		—			(747	)		—
Total Income		322,734			9,461,163			15,049,740
Expenses:
Investment advisory fees		31,000			1,594,791			1,235,598
Administration fees		6,331			323,584			250,798
Custodian fees		1,005			24,025			21,226
Servicing fees		2,027			2,168			2,170
Trustees' fees		529			39,854			31,027
Chief Compliance Officer fees		58			4,103			3,196
Legal and audit fees		3,947			46,948			37,820
Printing Fees		755			49,583			36,906
Other expenses		1,348			34,170			22,581
Total Expenses		47,000			2,119,226			1,641,322
Expenses waived/reimbursed by Adviser		(10,660	)		(258,981	)		(199,184	)
Net Expenses		36,340			1,860,245			1,442,138
Net Investment Income (Loss)		286,394			7,600,918			13,607,602
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions		(1,358,197	)		30,172,892			24,303,809
Net realized gains (losses) from futures transactions		(10,707	)		(82,704	)		(279,285	)
Net change in unrealized appreciation/ depreciation on investments		(1,671,812	)		(156,223,058	)		(97,264,240	)
Net change in unrealized appreciation/ depreciation on futures transactions		1,431			111,593			49,549
Net realized/unrealized gains (losses) on investments		(3,039,285	)		(126,021,277	)		(73,190,167	)
Change in net assets resulting from operations	$	(2,752,891	)	$	(118,420,359	)	$	(59,582,565	)

(a)  Rounds to less than $1.

See notes to financial statements.

149

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2018

  (Unaudited)

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	969,864		$	1,973,594
Interest		636			271
Securities lending (net of fees)		24,574			17,407
Foreign tax withholding		—			(193,495	)
Total Income		995,074			1,797,777
Expenses:
Investment advisory fees		185,788			333,697
Administration fees		37,694			50,755
Custodian fees		3,278			37,525
Servicing fees		2,122			2,122
Trustees' fees		4,729			6,794
Chief Compliance Officer fees		480			682
Legal and audit fees		8,639			10,985
Printing Fees		9,210			11,479
Other expenses		4,114			9,218
Total Expenses		256,054			463,257
Expenses waived/reimbursed by Adviser		(39,344	)		(88,309	)
Net Expenses		216,710			374,948
Net Investment Income (Loss)		778,364			1,422,829
Realized/Unrealized Gains (Losses) from Investment Transactions:
Net realized gains (losses) from investment transactions and foreign currency translations		300,439			(8,250,385	)
Net realized gains (losses) from futures transactions		(56,276	)		(125,613	)
Net change in unrealized appreciation/depreciation on investments and foreign currency translations		(22,532,792	)		(5,969,015	)
Net change in unrealized appreciation/depreciation on futures transactions		(26,105	)		(3,170	)
Net realized/unrealized gains (losses) on investments		(22,314,734	)		(14,348,183	)
Change in net assets resulting from operations	$	(21,536,370	)	$	(12,925,354	)

See notes to financial statements.

150

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US 500 Volatility Wtd ETF						VictoryShares US Small Cap Volatility Wtd ETF						VictoryShares International Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	4,557,058		$	5,705,606		$	279,254		$	352,570		$	191,083		$	478,765
Net realized gains (losses) from investment transactions		17,190,246			24,992,063			2,425,894			3,253,519			76,267			659,926
Net change in unrealized appreciation/ depreciation on investments		(90,776,275	)		18,418,955			(8,980,422	)		1,088,968			(2,663,079	)		(248,818	)
Change in net assets resulting from operations		(69,028,971	)		49,116,624			(6,275,274	)		4,695,057			(2,395,729	)		889,873
Distributions to Shareholders: (a)
Change in net assets resulting from distributions to shareholders		(5,005,900	)		(5,493,806	)		(299,888	)		(350,537	)		(248,952	)		(470,597	)
Change in net assets resulting from capital transactions		93,571,817			230,826,334			(2,114,357	)		11,477,938			6,808,770			8,057,297
Change in net assets		19,536,946			274,449,152			(8,689,519	)		15,822,458			4,164,089			8,476,573
Net Assets:
Beginning of period		567,370,355			292,921,203			41,260,738			25,438,280			21,497,414			13,020,841
End of period	$	586,907,301		$	567,370,355		$	32,571,219		$	41,260,738		$	25,661,503		$	21,497,414
Capital Transactions:
Proceeds from shares issued		206,668,279			382,162,595			17,161,712			34,043,827			6,808,770			12,040,236
Cost of shares redeemed		(113,096,462	)		(151,336,261	)		(19,276,069	)		(22,565,889	)		—			(3,982,939	)
Change in net assets resulting from capital transactions		93,571,817			230,826,334			(2,114,357	)		11,477,938			6,808,770			8,057,297
Share Transactions:
Issued		4,100,000			7,950,000			350,000			750,000			200,000			300,000
Redeemed		(2,250,000	)		(3,100,000	)		(400,000	)		(500,000	)		—			(100,000	)
Change in Shares		1,850,000			4,850,000			(50,000	)		250,000			200,000			200,000

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

See notes to financial statements.

151

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Emerging Market Volatility Wtd ETF						VictoryShares US Large Cap High Div Volatility Wtd ETF						VictoryShares US Small Cap High Div Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	225,998		$	606,309		$	2,514,204		$	4,193,272		$	791,659		$	1,386,793
Net realized gains (losses) from investment transactions		(257,666	)		3,424,454			6,048,526			8,645,786			3,024,112			3,481,128
Net change in unrealized appreciation/ depreciation on investments		(644,108	)		(1,912,020	)		(19,168,695	)		525,911			(9,964,988	)		1,836,675
Change in net assets resulting from operations		(675,776	)		2,118,743			(10,605,965	)		13,364,969			(6,149,217	)		6,704,596
Distributions to Shareholders: (a)
Change in net assets resulting from distributions to shareholders		(1,224,866	)		(1,624,922	)		(2,636,314	)		(4,292,079	)		(805,083	)		(1,457,987	)
Change in net assets resulting from capital transactions		—			(14,936,943	)		32,423,213			14,933,024			11,445,540			6,093,407
Change in net assets		(1,900,642	)		(14,443,122	)		19,180,934			24,005,914			4,491,240			11,340,016
Net Assets:
Beginning of period		18,949,492			33,392,614			144,187,284			120,181,370			43,665,011			32,324,995
End of period	$	17,048,850		$	18,949,492		$	163,368,218		$	144,187,284		$	48,156,251		$	43,665,011
Capital Transactions:
Proceeds from shares issued		—			3,024,918			83,268,052			105,456,748			33,061,648			42,447,183
Cost of shares redeemed		—			(17,961,861	)		(50,844,838	)		(90,523,724	)		(21,616,108	)		(36,353,776	)
Change in net assets resulting from capital transactions		—			(14,936,943	)		32,423,214			14,933,024			11,445,540			6,093,407
Share Transactions:
Issued		—			100,000			1,850,000			2,400,000			700,000			1,000,000
Redeemed		—			(600,000	)		(1,100,000	)		(2,050,000	)		(450,000	)		(850,000	)
Change in Shares		—			(500,000	)		750,000			350,000			250,000			150,000

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

See notes to financial statements.

152

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares International High Div Volatility Wtd ETF						VictoryShares Emerging Market High Div Volatility Wtd ETF						VictoryShares Dividend Accelerator ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			For the Period October 25, 2017 through June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	816,231		$	1,675,655		$	576,871		$	410,601		$	66,839		$	120,160
Net realized gains (losses) from investment transactions		(205,227	)		1,539,234			(1,550,300	)		120,539			218,799			319,823
Net change in unrealized appreciation/ depreciation on investments		(5,240,478	)		(2,576,324	)		110,236			(2,125,137	)		(592,371	)		284,045
Change in net assets resulting from operations		(4,629,474	)		638,565			(863,193	)		(1,593,997	)		(306,733	)		724,028
Distributions to Shareholders: (a)
Change in net assets resulting from distributions to shareholders		(966,296	)		(1,619,642	)		(710,958	)		(334,938	)		(75,074	)		(116,651	)
Change in net assets resulting from capital transactions		1,631,147			14,263,656			(2,211,771	)		23,461,365			2,967,466			2,601,811
Change in net assets		(3,964,623	)		13,282,579			(3,785,922	)		21,532,430			2,585,659			3,209,188
Net Assets:
Beginning of period		45,823,982			32,541,403			21,532,430			—			7,101,861			3,892,673
End of period	$	41,859,359		$	45,823,982		$	17,746,508		$	21,532,430		$	9,687,520		$	7,101,861
Capital Transactions:
Proceeds from shares issued		1,631,147			26,698,800			1,131,917			23,461,365			4,436,938			6,794,590
Cost of shares redeemed		—			(12,435,144	)		(3,343,688	)		—			(1,469,472	)		(4,192,779	)
Change in net assets resulting from capital transactions		1,631,147			14,263,656			(2,211,771	)		23,461,365			2,967,466			2,601,811
Share Transactions:
Issued		50,000			750,000			50,000			900,000			150,000			250,000
Redeemed		—			(350,000	)		(150,000	)		—			(50,000	)		(150,000	)
Change in Shares		50,000			400,000			(100,000	)		900,000			100,000			100,000

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

See notes to financial statements.

153

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Multi-Factor Minimum Volatility ETF						VictoryShares US 500 Enhanced Volatility Wtd ETF						VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	286,394		$	109,618		$	7,600,918		$	8,989,753		$	13,607,602		$	18,850,437
Net realized gains (losses) from investment transactions		(1,368,904	)		126,449			30,090,188			41,515,455			24,024,524			36,578,511
Net change in unrealized appreciation/ depreciation on investments		(1,670,381	)		188,786			(156,111,465	)		20,477,654			(97,214,691	)		269,683
Change in net assets resulting from operations		(2,752,891	)		424,853			(118,420,359	)		70,982,862			(59,582,565	)		55,698,631
Distributions to Shareholders: (a)
Change in net assets resulting from distributions to shareholders		(315,420	)		(98,884	)		(8,406,401	)		(8,545,250	)		(14,441,645	)		(18,927,936	)
Change in net assets resulting from capital transactions		21,526,218			5,464,103			100,042,346			473,126,725			142,626,900			229,562,322
Change in net assets		18,457,907			5,790,072			(26,784,414	)		535,564,337			68,602,690			266,333,017
Net Assets:
Beginning of period		8,273,473			2,483,401			951,411,058			415,846,721			738,260,082			471,927,065
End of period	$	26,731,380		$	8,273,473		$	924,626,644		$	951,411,058		$	806,862,772		$	738,260,082
Capital Transactions:
Proceeds from shares issued		47,491,894			8,142,957			327,768,382			705,160,890			341,726,153			645,087,685
Cost of shares redeemed		(25,965,676	)		(2,678,854	)		(227,726,036	)		(232,034,165	)		(199,099,253	)		(415,525,363	)
Change in net assets resulting from capital transactions		21,526,218			5,464,103			100,042,346			473,126,725			142,626,900			229,562,322
Share Transactions:
Issued		1,650,000			300,000			6,400,000			14,600,000			7,200,000			14,250,000
Redeemed		(950,000	)		(100,000	)		(4,650,000	)		(4,750,000	)		(4,150,000	)		(9,200,000	)
Change in Shares		700,000			200,000			1,750,000			9,850,000			3,050,000			5,050,000

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

See notes to financial statements.

154

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Discovery Enhanced Volatility Wtd ETF						VictoryShares Developed Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Six Months Ended December 31, 2018			Year Ended June 30, 2018
	(Unaudited)						(Unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	778,364		$	937,200		$	1,422,829		$	3,753,566
Net realized gains (losses) from investment transactions		244,163			6,030,929			(8,375,998	)		3,995,306
Net change in unrealized appreciation/depreciation on investments		(22,558,897	)		5,475,692			(5,972,185	)		(2,480,069	)
Change in net assets resulting from operations		(21,536,370	)		12,443,821			(12,925,354	)		5,268,803
Distributions to Shareholders: (a)
Change in net assets resulting from distributions to shareholders		(827,749	)		(914,103	)		(1,888,822	)		(3,545,391	)
Change in net assets resulting from capital transactions		18,638,502			46,656,676			(22,264,645	)		95,229,946
Change in net assets		(3,725,617	)		58,186,394			(37,078,821	)		96,953,358
Net Assets:
Beginning of period		116,157,196			57,970,802			179,103,296			82,149,938
End of period	$	112,431,579		$	116,157,196		$	142,024,475		$	179,103,296
Capital Transactions:
Proceeds from shares issued		57,276,423			86,697,217			1,668,844			112,807,667
Cost of shares redeemed		(38,637,921	)		(40,040,541	)		(23,933,489	)		(17,577,721	)
Change in net assets resulting from capital transactions		18,638,502			46,656,676			(22,264,645	)		95,229,946
Share Transactions:
Issued		1,200,000			1,950,000			50,000			3,250,000
Redeemed		(800,000	)		(900,000	)		(750,000	)		(500,000	)
Change in Shares		400,000			1,050,000			(700,000	)		2,750,000

(a)  Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 10 in the Notes to Financial Statements).

See notes to financial statements.

155

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US 500 Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Period Ended June 30, 2015(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	49.34		$	44.05		$	37.24		$	36.78		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.36			0.63			0.60			0.57			0.49
Net realized and unrealized gains (losses) on investments		(5.35	)		5.26			6.71			0.42			1.73
Total from Investment Activities		(4.99	)		5.89			7.31			0.99			2.22
Distributions to Shareholders:
Net investment income		(0.39	)		(0.60	)		(0.50	)		(0.51	)		(0.44	)
Net realized gains from investments		—			—			—			(0.02	)		—
Total Distributions to Shareholders		(0.39	)		(0.60	)		(0.50	)		(0.53	)		(0.44	)
Net Asset Value, End of Period	$	43.96		$	49.34		$	44.05		$	37.24		$	36.78
Total Return (c)		(10.17	)%		13.42	%		19.72	%		2.78	%		6.38	%
Ratios/Supplemental Data:																��
Net Assets at end of period (000)	$	586,907		$	567,370		$	292,921		$	44,689		$	9,194
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%		0.54	%
Ratio of net investment income (loss) to average net assets (d)		1.44	%		1.32	%		1.43	%		1.59	%		1.37	%
Ratio of gross expenses to average net assets (d) (e)		0.40	%		0.41	%		0.47	%		0.74	%		1.39	%
Portfolio turnover (c) (f)		16	%		36	%		26	%		31	%		23	%

(a)  The Fund commenced operations on July 1, 2014.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

156

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US Small Cap Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	48.54		$	42.40		$	34.35		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.32			0.50			0.50			0.41
Net realized and unrealized gains (losses) on investments		(7.79	)		6.14			8.01			(0.72	)
Total from Investment Activities		(7.47	)		6.64			8.51			(0.31	)
Distributions to Shareholders:
Net investment income		(0.36	)		(0.50	)		(0.46	)		(0.34	)
Total Distributions to Shareholders		(0.36	)		(0.50	)		(0.46	)		(0.34	)
Net Asset Value, End of Period	$	40.71		$	48.54		$	42.40		$	34.35
Total Return (c)		(15.44	)%		15.75	%		24.86	%		(0.86	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	32,571		$	41,261		$	25,438		$	10,304
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%
Ratio of net investment income (loss) to average net assets (d)		1.35	%		1.10	%		1.25	%		1.28	%
Ratio of gross expenses to average net assets (d) (e)		0.44	%		0.47	%		0.68	%		1.44	%
Portfolio turnover (c) (f)		29	%		47	%		47	%		50	%

(a)  The Fund commenced operations on July 7, 2015.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

157

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares International Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	39.09		$	37.20		$	32.11		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.34			1.04			0.76			0.85
Net realized and unrealized gains (losses) on investments		(4.76	)		1.81			5.10			(3.15	)
Total from Investment Activities		(4.42	)		2.85			5.86			(2.30	)
Distributions to Shareholders:
Net investment income		(0.45	)		(0.96	)		(0.77	)		(0.59	)
Total Distributions to Shareholders		(0.45	)		(0.96	)		(0.77	)		(0.59	)
Net Asset Value, End of Period	$	34.22		$	39.09		$	37.20		$	32.11
Total Return (c)		(11.41	)%		7.62	%		18.44	%		(6.58	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	25,662		$	21,497		$	13,021		$	12,844
Ratio of net expenses to average net assets (d)		0.45	%		0.45	%		0.45	%		0.45	%
Ratio of net investment income (loss) to average net assets (d)		1.80	%		2.61	%		2.25	%		2.99	%
Ratio of gross expenses to average net assets (d) (e)		0.84	%		0.98	%		1.54	%		2.31	%
Portfolio turnover (c) (f)		28	%		37	%		46	%		31	%

(a)  The Fund commenced operations on August 19, 2015.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

158

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares Emerging Market Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	27.07		$	27.83		$	25.28		$	25.00
Investment Activities:
Net investment income (loss) (b)		0.32			0.64			0.55			0.25
Net realized and unrealized gains (losses) on investments		(1.28	)		0.29			2.64			0.13
Total from Investment Activities		(0.96	)		0.93			3.19			0.38
Distributions to Shareholders:
Net investment income		(0.34	)		(0.60	)		(0.52	)		(0.10	)
Net realized gains from investments		(1.41	)		(1.09	)		(0.12	)		—
Total Distributions to Shareholders		(1.75	)		(1.69	)		(0.64	)		(0.10	)
Net Asset Value, End of Period	$	24.36		$	27.07		$	27.83		$	25.28
Total Return (c)		(3.58	)%		3.09	%		12.76	%		1.56	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	17,049		$	18,949		$	33,393		$	12,642
Ratio of net expenses to average net assets (d)		0.50	%		0.50	%		0.50	%		0.50	%
Ratio of net investment income (loss) to average net assets (d)		2.43	%		2.19	%		2.11	%		3.70	%
Ratio of gross expenses to average net assets (d) (e)		1.54	%		1.23	%		1.91	%		6.26	%
Portfolio turnover (c) (f)		40	%		53	%		38	%		1	%

(a)  The Fund commenced operations on March 22, 2016.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

159

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US Large Cap High Div Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	45.06		$	42.17		$	37.58		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.75			1.34			1.24			1.28
Net realized and unrealized gains (losses) on investments		(3.68	)		2.92			4.46			2.35
Total from Investment Activities		(2.93	)		4.26			5.70			3.63
Distributions to Shareholders:
Net investment income		(0.77	)		(1.37	)		(1.11	)		(1.05	)
Total Distributions to Shareholders		(0.77	)		(1.37	)		(1.11	)		(1.05	)
Net Asset Value, End of Period	$	41.36		$	45.06		$	42.17		$	37.58
Total Return (c)		(6.61	)%		10.23	%		15.37	%		10.62	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	163,368		$	144,187		$	120,181		$	41,333
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%
Ratio of net investment income (loss) to average net assets (d)		3.29	%		3.04	%		3.05	%		3.69	%
Ratio of gross expenses to average net assets (d) (e)		0.41	%		0.42	%		0.45	%		0.72	%
Portfolio turnover (c) (f)		26	%		52	%		48	%		46	%

(a)  The Fund commenced operations on July 7, 2015.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

160

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US Small Cap High Div Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	45.96		$	40.41		$	35.40		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.72			1.39			1.43			1.18
Net realized and unrealized gains (losses) on investments		(5.83	)		5.61			4.93			0.21
Total from Investment Activities		(5.11	)		7.00			6.36			1.39
Distributions to Shareholders:
Net investment income		(0.72	)		(1.45	)		(1.35	)		(0.99	)
Total Distributions to Shareholders		(0.72	)		(1.45	)		(1.35	)		(0.99	)
Net Asset Value, End of Period	$	40.13		$	45.96		$	40.41		$	35.40
Total Return (c)		(11.22	)%		17.64	%		18.07	%		4.15	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	48,156		$	43,665		$	32,325		$	14,160
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%
Ratio of net investment income (loss) to average net assets (d)		3.17	%		3.23	%		3.65	%		3.59	%
Ratio of gross expenses to average net assets (d) (e)		0.43	%		0.45	%		0.55	%		0.92	%
Portfolio turnover (c) (f)		52	%		68	%		65	%		78	%

(a)  The Fund commenced operations on July 7, 2015.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

161

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares International High Div Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Period Ended June 30, 2016(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	33.94		$	34.25		$	30.65		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.59			1.47			1.40			1.37
Net realized and unrealized gains (losses) on investments		(3.93	)		(0.41	)		3.47			(4.71	)
Total from Investment Activities		(3.34	)		1.06			4.87			(3.34	)
Distributions to Shareholders:
Net investment income		(0.70	)		(1.37	)		(1.27	)		(1.01	)
Total Distributions to Shareholders		(0.70	)		(1.37	)		(1.27	)		(1.01	)
Net Asset Value, End of Period	$	29.90		$	33.94		$	34.25		$	30.65
Total Return (c)		(9.97	)%		3.00	%		16.16	%		(9.63	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	41,859		$	45,824		$	32,541		$	16,855
Ratio of net expenses to average net assets (d)		0.45	%		0.45	%		0.45	%		0.45	%
Ratio of net investment income (loss) to average net assets (d)		3.61	%		4.14	%		4.32	%		4.98	%
Ratio of gross expenses to average net assets (d) (e)		0.58	%		0.60	%		0.77	%		1.17	%
Portfolio turnover (c) (f)		4	%		58	%		69	%		53	%

(a)  The Fund commenced operations on August 19, 2015.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

162

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares Emerging Market High Div Volatility Wtd ETF
	Six Months Ended December 31, 2018			Period Ended June 30, 2018(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	23.92		$	24.95
Investment Activities:
Net investment income (loss) (b)		0.64			0.78
Net realized and unrealized gains (losses) on investments		(1.59	)		(1.29	)
Total from Investment Activities		(0.95	)		(0.51	)
Distributions to Shareholders:
Net investment income		(0.65	)		(0.52	)
Net realized gains from investments		(0.14	)		—
Total Distributions to Shareholders		(0.79	)		(0.52	)
Net Asset Value, End of Period	$	22.18		$	23.92
Total Return (c)		(4.06	)%		(2.17	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	17,747		$	21,532
Ratio of net expenses to average net assets (d)		0.50	%		0.50	%
Ratio of net investment income (loss) to average net assets (d)		5.49	%		4.44	%
Ratio of gross expenses to average net assets (d) (e)		0.95	%		1.05	%
Portfolio turnover (c) (f)		9	%		52	%

(a)  The Fund commenced operations on October 26, 2017.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

163

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares Dividend Accelerator ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Period Ended June 30, 2017(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	28.41		$	25.95		$	25.26
Investment Activities:
Net investment income (loss) (b)		0.25			0.48			0.12
Net realized and unrealized gains (losses) on investments		(0.71	)		2.45			0.65
Total from Investment Activities		(0.46	)		2.93			0.77
Distributions to Shareholders:
Net investment income		(0.27	)		(0.47	)		(0.08	)
Total Distributions to Shareholders		(0.27	)		(0.47	)		(0.08	)
Net Asset Value, End of Period	$	27.68		$	28.41		$	25.95
Total Return (c)		(1.67	)%		11.33	%		3.05	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	9,688		$	7,102		$	3,893
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%
Ratio of net investment income (loss) to average net assets (d)		1.68	%		1.75	%		2.31	%
Ratio of gross expenses to average net assets (d) (e)		0.59	%		0.67	%		1.92	%
Portfolio turnover (c) (f)		12	%		43	%		—	%

(a)  The Fund commenced operations on April 18, 2017.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

164

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US Multi-Factor Minimum Volatility ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Period Ended June 30, 2017(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	27.58		$	24.83		$	24.97
Investment Activities:
Net investment income (loss) (b)		0.40			0.63			0.02
Net realized and unrealized gains (losses) on investments		(0.86	)		2.69			(0.16	)
Total from Investment Activities		(0.46	)		3.32			(0.14	)
Distributions to Shareholders:
Net investment income		(0.39	)		(0.57	)		—
Total Distributions to Shareholders		(0.39	)		(0.57	)		—
Net Asset Value, End of Period	$	26.73		$	27.58		$	24.83
Total Return (c)		(1.70	)%		13.41	%		(0.54	)%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	26,731		$	8,273		$	2,483
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%
Ratio of net investment income (loss) to average net assets (d)		2.76	%		2.33	%		3.20	%
Ratio of gross expenses to average net assets (d) (e)		0.45	%		0.74	%		7.21	%
Portfolio turnover (c) (f)		10	%		26	%		—	%

(a)  The Fund commenced operations on June 22, 2017.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

165

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US 500 Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Period Ended June 30, 2015(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	49.30		$	44.00		$	37.23		$	36.76		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.36			0.64			0.58			0.56			0.49
Net realized and unrealized gains (losses) on investments		(5.34	)		5.25			6.71			0.45			1.65
Total from Investment Activities		(4.98	)		5.89			7.29			1.01			2.14
Distributions to Shareholders:
Net investment income		(0.39	)		(0.59	)		(0.52	)		(0.54	)		(0.38	)
Total Distributions to Shareholders		(0.39	)		(0.59	)		(0.52	)		(0.54	)		(0.38	)
Net Asset Value, End of Period	$	43.93		$	49.30		$	44.00		$	37.23		$	36.76
Total Return (c)		(10.17	)%		13.42	%		19.72	%		2.79	%		6.15	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	924,627		$	951,411		$	415,847		$	141,470		$	86,397
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%		0.59	%
Ratio of net investment income (loss) to average net assets (d)		1.43	%		1.32	%		1.42	%		1.56	%		1.34	%
Ratio of gross expenses to average net assets (d) (e)		0.40	%		0.41	%		0.45	%		0.58	%		0.81	%
Portfolio turnover (c) (f)		1	%		37	%		26	%		36	%		13	%

(a)  The Fund commenced operations on July 1, 2014.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

166

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Period Ended June 30, 2015(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	46.29		$	43.30		$	38.59		$	35.38		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.77			1.39			1.28			1.27			1.12
Net realized and unrealized gains (losses) on investments		(3.78	)		2.99			4.58			3.18			0.20
Total from Investment Activities		(3.01	)		4.38			5.86			4.45			1.32
Distributions to Shareholders:
Net investment income		(0.81	)		(1.39	)		(1.15	)		(1.24	)		(0.94	)
Total Distributions to Shareholders		(0.81	)		(1.39	)		(1.15	)		(1.24	)		(0.94	)
Net Asset Value, End of Period	$	42.47		$	46.29		$	43.30		$	38.59		$	35.38
Total Return (c)		(6.60	)%		10.23	%		15.35	%		12.89	%		3.77	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	806,863		$	738,260		$	471,927		$	156,278		$	86,678
Ratio of net expenses to average net assets (d)		0.35	%		0.35	%		0.35	%		0.35	%		0.59	%
Ratio of net investment income (loss) to average net assets (d)		3.30	%		3.06	%		3.06	%		3.51	%		3.09	%
Ratio of gross expenses to average net assets (d) (e)		0.40	%		0.41	%		0.43	%		0.56	%		0.77	%
Portfolio turnover (c) (f)		1	%		52	%		49	%		52	%		17	%

(a)  The Fund commenced operations on July 1, 2014.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

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

(d)  Annualized for periods less than one year.

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

(f)  Excludes impact of in-kind transactions.

See notes to financial statements.

167

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares US Discovery Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Period Ended June 30, 2015(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	47.41		$	41.41		$	33.55		$	39.23		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.29			0.50			0.49			0.34			0.40
Net realized and unrealized gains (losses) on investments		(7.94	)		5.98			7.84			(5.71	)(c)		4.16
Total from Investment Activities		(7.65	)		6.48			8.33			(5.37	)		4.56
Distributions to Shareholders:
Net investment income		(0.31	)		(0.48	)		(0.47	)		(0.31	)		(0.33	)
Total Distributions to Shareholders		(0.31	)		(0.48	)		(0.47	)		(0.31	)		(0.33	)
Net Asset Value, End of Period	$	39.45		$	47.41		$	41.41		$	33.55		$	39.23
Total Return (d)		(16.21	)%		15.75	%		24.91	%		(13.70	)%(e)		13.06	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	112,432		$	116,157		$	57,971		$	26,838		$	23,538
Ratio of net expenses to average net assets (f)		0.35	%		0.35	%		0.35	%		0.35	%		1.07	%
Ratio of net investment income (loss) to average net assets (f)		1.26	%		1.13	%		1.25	%		1.00	%		1.15	%
Ratio of gross expenses to average net assets (f) (g)		0.41	%		0.43	%		0.55	%		0.80	%		0.59	%
Portfolio turnover (d) (h)		90	%		47	%		50	%		221	%		10	%

(a)  The Fund commenced operations on July 31, 2014.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

(c)  Includes $0.07 gain derived from a payment from affiliate.

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

(e)  Before payment from affiliate for the loss resulting from a trade error, the total return for the year would have been (13.88)%.

(f)  Annualized for periods less than one year.

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

(h)  Excludes impact of in-kind transactions.

See notes to financial statements.

168

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

	VictoryShares Developed Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2018			Year Ended June 30, 2018			Year Ended June 30, 2017			Year Ended June 30, 2016			Period Ended June 30, 2015(a)
	(Unaudited)
Net Asset Value, Beginning of Period	$	33.79		$	32.22		$	29.00		$	35.19		$	35.00
Investment Activities:
Net investment income (loss) (b)		0.28			0.94			0.78			0.67			0.80
Net realized and unrealized gains (losses) on investments		(2.83	)		1.45			2.90	(c)		(6.27	)		(0.18	)
Total from Investment Activities		(2.55	)		2.39			3.68			(5.60	)		0.62
Distributions to Shareholders:
Net investment income		(0.37	)		(0.82	)		(0.46	)		(0.59	)		(0.42	)
Net realized gains from investments		—			—			—			—			(0.01	)
Total Distributions to Shareholders		(0.37	)		(0.82	)		(0.46	)		(0.59	)		(0.43	)
Net Asset Value, End of Period	$	30.87		$	33.79		$	32.22		$	29.00		$	35.19
Total Return (d)		(7.58	)%		7.41	%		12.79	%(e)		(15.96	)%		1.77	%
Ratios/Supplemental Data:
Net Assets at end of period (000)	$	142,024		$	179,103		$	82,150		$	34,797		$	24,633
Ratio of net expenses to average net assets (f)		0.45	%		0.45	%		0.45	%		0.45	%		0.63	%
Ratio of net investment income (loss) to average net assets (f)		1.71	%		2.73	%		2.59	%		2.16	%		2.99	%
Ratio of gross expenses to average net assets (f) (g)		0.56	%		0.58	%		0.86	%		1.36	%		1.58	%
Portfolio turnover (d) (h)		37	%		38	%		164	%		211	%		31	%

(a)  The Fund commenced operations on September 30, 2014.

(b)  Per share net investment income (loss) has been calculated using the average daily shares method.

(c)  Includes $0.07 gain derived from a payment from affiliate.

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

(e)  Before the payment from affiliate for the loss resulting from a trade error, the total return for the year would have been 12.55%.

(f)  Annualized for periods less than one year.

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

(h)  Excludes impact of in-kind transactions.

See notes to financial statements.

169

Victory Portfolios II Notes to Financial Statements
December 31, 2018

  (Unaudited)

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 20 funds, 18 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.

The accompanying financial statements are those of the following 14 Funds (collectively, the "Funds" and individually, a "Fund").

Funds (Legal Name)	Funds (Short Name)
VictoryShares US 500 Volatility Wtd ETF	US 500 Volatility Wtd ETF
VictoryShares US Small Cap Volatility Wtd ETF	US Small Cap Volatility Wtd ETF
VictoryShares International Volatility Wtd ETF	International Volatility Wtd ETF
VictoryShares Emerging Market Volatility Wtd ETF	Emerging Market Volatility Wtd ETF
VictoryShares US Large Cap High Div Volatility Wtd ETF	US Large Cap High Div Volatility Wtd ETF
VictoryShares US Small Cap High Div Volatility Wtd ETF	US Small Cap High Div Volatility Wtd ETF
VictoryShares International High Div Volatility Wtd ETF	International High Div Volatility Wtd ETF
VictoryShares Emerging Market High Div Volatility Wtd ETF	Emerging Market High Div Volatility Wtd ETF
VictoryShares Dividend Accelerator ETF	Dividend Accelerator ETF
VictoryShares US Multi-Factor Minimum Volatility ETF	US Multi-Factor Minimum Volatility ETF
VictoryShares US 500 Enhanced Volatility Wtd ETF	US 500 Enhanced Volatility Wtd ETF
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	US EQ Income Enhanced Volatility Wtd ETF
VictoryShares US Discovery Enhanced Volatility Wtd ETF	US Discovery Enhanced Volatility Wtd ETF
VictoryShares Developed Enhanced Volatility Wtd ETF	Developed Enhanced Volatility Wtd ETF

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 Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The 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 issue and redeem shares of a Fund ("Shares") at net asset value ("NAV") only in aggregations of 50,000 Shares (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares 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

170

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

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. 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 Transaction Fees for each Fund are listed below:

	Fee for In-Kind and Cash Purchases and Redemptions		Maximum Additional Variable Charge for Cash Purchases and Redemptions*
US 500 Volatility Wtd ETF	$	750		2.00	%
US Small Cap Volatility Wtd ETF		750		2.00	%
International Volatility Wtd ETF		6,000		2.00	%
Emerging Market Volatility Wtd ETF		9,000		2.00	%
US Large Cap High Div Volatility Wtd ETF		250		2.00	%
US Small Cap High Div Volatility Wtd ETF		250		2.00	%
International High Div Volatility Wtd ETF		1,500		2.00	%
Emerging Market High Div Volatility Wtd ETF		3,400		2.00	%
Dividend Accelerator ETF		250		2.00	%
US Multi-Factor Minimum Volatility ETF		250		2.00	%
US 500 Enhanced Volatility Wtd ETF		750		2.00	%
US EQ Income Enhanced Volatility Wtd ETF		250		2.00	%
US Discovery Enhanced Volatility Wtd ETF		750		2.00	%
Developed Enhanced Volatility Wtd ETF		4,500		2.00	%

*  As a percentage of the amount invested.

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of 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.

Investment Valuation:

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

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

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

171

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.

Portfolio securities listed or traded on securities exchanges, American Depositary Receipts ("ADRs") and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.

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

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

Investments for which there are no such quotations, or for which quotations do not appear reliable, are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees ("Board"). These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value.

A summary of the valuations as of December 31, 2018, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed in the Schedules of Portfolio Investments:

	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
VictoryShares US 500 Volatility Wtd ETF
Common Stocks	$	586,046,541	$	—		$	—	$	—	$	—	$	—	$	586,046,541	$	—
Collateral for Securities Loaned		30,969,761		—			—		—		—		—		30,969,761		—
Futures Contracts		—		4,805			—		—		—		—		—		4,805
Total		617,016,302		4,805			—		—		—		—		617,016,302		4,805
VictoryShares US Small Cap Volatility Wtd ETF
Common Stocks		32,286,959		—			—		—		—		—		32,286,959		—
Rights		—		—			2,942		—		—		—		2,942		—
Collateral for Securities Loaned		1,486,600		—			—		—		—		—		1,486,600		—
Futures Contracts		—		(12,191	)		—		—		—		—		—		(12,191	)
Total		33,773,559		(12,191	)		2,942		—		—		—		33,776,501		(12,191	)

172

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2018

  (Unaudited)

	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
VictoryShares International Volatility Wtd ETF
Common Stocks	$	25,595,037	$	—		$	—	$	—	$	—	$	—	$	25,595,037	$	—
Rights		1,162		—			—		—		—		—		1,162		—
Collateral for Securities Loaned		253,628		—			—		—		—		—		253,628		—
Total		25,849,827		—			—		—		—		—		25,849,827		—
VictoryShares Emerging Market Volatility Wtd ETF
Common Stocks		16,947,403		—			—		—		—		—		16,947,403		—
Rights		—		—			723		—		—		—		723		—
Collateral for Securities Loaned		311,011		—			—		—		—		—		311,011		—
Futures Contracts		—		(402	)		—		—		—		—		—		(402	)
Total		17,258,414		(402	)		723		—		—		—		17,259,137		(402	)
VictoryShares US Large Cap High Div Volatility Wtd ETF
Common Stocks		162,723,721		—			—		—		—		—		162,723,721		—
Collateral for Securities Loaned		3,728,077		—			—		—		—		—		3,728,077		—
Futures Contracts		—		(9,795	)		—		—		—		—		—		(9,795	)
Total		166,451,798		(9,795	)		—		—		—		—		166,451,798		(9,795	)
VictoryShares US Small Cap High Div Volatility Wtd ETF
Common Stocks		47,753,086		—			—		—		—		—		47,753,086		—
Rights		—		—			14,186		—		—		—		14,186		—
Collateral for Securities Loaned		3,366,953		—			—		—		—		—		3,366,953		—
Futures Contracts		—		(14,850	)		—		—		—		—		—		(14,850	)
Total		51,120,039		(14,850	)		14,186		—		—		—		51,134,225		(14,850	)
VictoryShares International High Div Volatility Wtd ETF
Common Stocks		41,619,373		—			—		—		—		—		41,619,373		—
Rights		10,741		—			—		—		—		—		10,741		—
Collateral for Securities Loaned		1,367,356		—			—		—		—		—		1,367,356		—
Total		42,997,470		—			—		—		—		—		42,997,470		—
VictoryShares Emerging Market High Div Volatility Wtd ETF
Common Stocks		17,617,154		—			—		—		—		—		17,617,154		—
Futures Contracts		—		(1,158	)		—		—		—		—		—		(1,158	)
Total		17,617,154		(1,158	)		—		—		—		—		17,617,154		(1,158	)
VictoryShares Dividend Accelerator ETF
Common Stocks		9,667,500		—			—		—		—		—		9,667,500		—
Collateral for Securities Loaned		148,203		—			—		—		—		—		148,203		—
Total		9,815,703		—			—		—		—		—		9,815,703		—

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	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
VictoryShares US Multi-Factor Minimum Volatility ETF
Common Stocks	$	26,550,381	$	—		$	—	$	—	$	—	$	—	$	26,550,381	$	—
Futures Contracts		—		1,431			—		—		—		—		—		1,431
Total		26,550,381		1,431			—		—		—		—		26,550,381		1,431
VictoryShares US 500 Enhanced Volatility Wtd ETF
Common Stocks		923,351,852		—			—		—		—		—		923,351,852		—
Investment Companies		427,261		—			—		—		—		—		427,261		—
Collateral for Securities Loaned		1,583,234		—			—		—		—		—		1,583,234		—
Futures Contracts		—		5,580			—		—		—		—		—		5,580
Total		925,362,347		5,580			—		—		—		—		925,362,347		5,580
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Common Stocks		804,411,021		—			—		—		—		—		804,411,021		—
Investment Companies		823,070		—			—		—		—		—		823,070		—
Collateral for Securities Loaned		1,299,559		—			—		—		—		—		1,299,559		—
Futures Contracts		—		(7,384	)		—		—		—		—		—		(7,384	)
Total		806,533,650		(7,384	)		—		—		—		—		806,533,650		(7,384	)
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Common Stocks		111,218,299		—			—		—		—		—		111,218,299		—
Rights		—		—			8,448		—		—		—		8,448		—
Investment Companies		942,820		—			—		—		—		—		942,820		—
Collateral for Securities Loaned		1,378,389		—			—		—		—		—		1,378,389		—
Futures Contracts		—		(42,079	)		—		—		—		—		—		(42,079	)
Total		113,539,508		(42,079	)		8,448		—		—		—		113,547,956		(42,079	)
VictoryShares Developed Enhanced Volatility Wtd ETF
Common Stocks		33,281,786		—			—		—		1,843		—		33,283,629		—
Rights		1,896		—			—		—		—		—		1,896		—
Investment Companies		108,318,486		—			—		—		—		—		108,318,486		—
Collateral for Securities Loaned		473,443		—			—		—		—		—		473,443		—
Futures Contracts		—		(12,958	)		—		—		—		—		—		(12,958	)
Total		142,075,611		(12,958	)		—		—		1,843		—		142,077,454		(12,958	)

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

	Investments In Securities
Developed Enhanced Volatility Wtd ETF
Balance as of June 30, 2018	$	563
Realized Gain (Loss)		(272	)
Change in Unrealized Appreciation/Depreciation		1,552
Purchases		—
Sale Proceeds		—
Transfers into Level 3		—
Transfers out of Level 3		—
Balance as of December 31, 2018	$	1,843

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

Developed Enhanced Volatility Wtd ETF	Fair Value as of 12/31/2018*		Valuation Techniques	Unobservable Input	Input Values			Impact to valuation from an increase to input
Common Stocks	$	1,843	Market Comparables	Discount		(95.7	%)	Any change to the discount would result in direct and proportional changes in the fair value of the security.

*  Level 3 securities are typically valued by the Adviser, pursuant to fair valuation procedures approved by the Board of Trustees.

Real Estate Investment Trusts ("REITs"):

The Funds may invest in REITs which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.

Investment Companies:

The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.

Derivative Instruments:

Foreign Exchange Currency Contracts:

The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, International High Div Volatility Wtd ETF, Emerging Market Volatility Wtd ETF, and Emerging Market High Div Volatility Wtd ETF may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter

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into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Fund records realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 2018, the Funds had no open forward foreign exchange currency contracts.

Futures Contracts:

The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. A Fund may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Fund the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Fund to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. A Fund may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Fund had not entered into any futures transactions. In addition, the value of a Fund's futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting a Fund's ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is presented on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.

As of December 31, 2018, the Funds entered into Futures Contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.

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.

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The table below, as of December 31, 2018, 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 of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
US 500 Volatility Wtd ETF
Futures
Goldman Sachs & Co.	$	2,139	$	—	$	2,139	$	—		$	2,139
US Small Cap Volatility Wtd ETF
Futures
Goldman Sachs & Co.		1,620		—		1,620		—			1,620
US Large Cap High Div Volatility Wtd ETF
Futures
Goldman Sachs & Co.		2,880		—		2,880		—			2,880
US Small Cap High Div Volatility Wtd ETF
Futures
Goldman Sachs & Co.		2,025		—		2,025		—			2,025
US Multi-Factor Minimum Volatility ETF
Futures
Goldman Sachs & Co.		960		—		960		—			960
US 500 Enhanced Volatility Wtd ETF
Futures
Goldman Sachs & Co.		4,058		—		4,058		—			4,058
US EQ Income Enhanced Volatility Wtd ETF
Futures
Goldman Sachs & Co.		8,335		—		8,335		—			8,335
US Discovery Enhanced Volatility Wtd ETF
Futures
Goldman Sachs & Co.		6,480		—		6,480		—			6,480
Developed Enhanced Volatility Wtd ETF
Futures
Goldman Sachs & Co.		280		—		280		—			280
Liabilities	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
Emerging Market Volatility Wtd ETF
Futures
Goldman Sachs & Co.	$	525	$	—	$	525	$	(525	)	$	—
Emerging Market High Div Volatility Wtd ETF
Futures
Goldman Sachs & Co.		350		—		350		(350	)		—

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Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of December 31, 2018:

	Asset Location		Liability Location
Risk Exposure	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Futures Contracts
Equity Risk
US 500 Volatility Wtd ETF	$	4,805	$	—
US Small Cap Volatility Wtd ETF		—		12,191
Emerging Market Volatility Wtd ETF		—		402
US Large Cap High Div Volatility Wtd ETF		—		9,795
US Small Cap High Div Volatility Wtd ETF		—		14,850
Emerging Market High Div Volatility Wtd ETF		—		1,158
US Multi-Factor Minimum Volatility ETF		1431		—
US 500 Enhanced Volatility Wtd ETF		5,580		—
US EQ Income Enhanced Volatility Wtd ETF		—		7,384
US Discovery Enhanced Volatility Wtd ETF		—		42,079
Developed Enhanced Volatility ETF		—		12,958

*  Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities.

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the six months ended December 31, 2018:

	Net Realized Gains (Losses) on Derivatives Recognized as a Result from Operations			Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations
Risk Exposure	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation (Depreciation) on Futures Contracts
Futures Contracts
Equity Risk
US 500 Volatility Wtd ETF	$	(54,304	)	$	68,514
US Small Cap Volatility Wtd ETF		(18,388	)		(6,233	)
International Volatility Wtd ETF		(6,963	)		54
Emerging Market Volatility Wtd ETF		(22,394	)		7,316
US Large Cap High Div Volatility Wtd ETF		(58,153	)		(47	)
US Small Cap High Div Volatility Wtd ETF		(62,854	)		(12,153	)
International High Div Volatility Wtd ETF		(65,924	)		4,857
Emerging Market High Div Volatility Wtd ETF		(20,688	)		(414	)
US Multi-Factor Minimum Volatility ETF		(10,707	)		1,431
US 500 Enhanced Volatility Wtd ETF		(82,704	)		111,593
US EQ Income Enhanced Volatility Wtd ETF		(279,285	)		49,549
US Discovery Enhanced Volatility Wtd ETF		(56,276	)		(26,105	)
Developed Enhanced Volatility ETF		(125,613	)		(3,170	)

All open derivative positions at period end are reflected in each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at period end is generally representative of the notional amount of open positions to net assets throughout the period.

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Investment Transactions and Related Income:

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

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

Securities Lending:

The Trust has entered into a Master Securities Lending Agreement ("MSLA") with Citibank, N.A. ("Citibank" or the "Agent"). Under the terms of the MSLA, the Funds may lend securities to certain broker-dealers and banks in exchange for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are adjusted the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities, letters of credit and certificates of deposit. The cash collateral is invested in short-term instruments or cash equivalents as noted in the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed in the Funds' Schedules of Portfolio Investments. The Funds continue to benefit from interest or dividends on the securities loaned and may also earn a return from the collateral. The Funds pay various fees in connection with the investment of cash collateral. The Funds pay the Agent fees based on the investment income received from securities lending activities. Securities lending income is disclosed on the Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them.

Securities lending transactions are entered into by a Fund under the MSLA, which permits the Fund, under certain circumstances such as an event of default, to offset amounts payable by the Fund to the same counterparty against amounts receivable from the counterparty to create a net payment due to or from the Fund.

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of December 31, 2018. These transactions are accounted for as secured borrowings with an overnight and continuous contractual maturity for cash collateral, and greater than overnight and continuous contractual maturity for non-cash collateral.

	Gross Amount of Recognized Assets (Value of		Value of Cash		Value of Non-cash Collateral Received by Maturity
Fund	Securities on Loan)		Collateral Received		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
US 500 Volatility Wtd ETF	$	30,509,804	$	30,969,761	$	—	$	—	$	—	$	459,957
US Small Cap Volatility Wtd ETF		1,443,303		1,486,600		—		—		—		43,297
International Volatility Wtd ETF		348,960		253,628		—		—		453,878		358,546
Emerging Market Volatility Wtd ETF		159,667		311,011		24,454		383		471,148		647,329
US Large Cap High Div Volatility Wtd ETF		3,636,055		3,728,077		—		—		—		92,022
US Small Cap High Div Volatility Wtd ETF		3,272,170		3,366,953		—		—		—		94,783

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	Gross Amount of Recognized Assets (Value of		Value of Cash		Value of Non-cash Collateral Received by Maturity
Fund	Securities on Loan)		Collateral Received		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
International High Div Volatility Wtd ETF	$	2,166,864	$	1,367,356	$	—	$	—	$	1,243,268	$	443,760
Emerging Market High Div Volatility Wtd ETF		—		—		—		—		—		—
Dividend Accelerator ETF		146,562		148,203		—		—		—		1,641
US Multi-Factor Minimum Volatility ETF		—		—		—		—		—		—
US 500 Enhanced Volatility Wtd ETF		1,579,110		1,583,234		—		—		—		4,124
US EQ Income Enhanced Volatility Wtd ETF		1,279,039		1,299,559		—		—		—		20,520
US Discovery Enhanced Volatility Wtd ETF		1,336,147		1,378,389		—		—		—		42,242
Developed Enhanced Volatility Wtd ETF		505,051		473,443		—		—		420,947		389,339

Foreign Currency Translations:

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

Foreign Taxes:

The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.

Dividends to Shareholders:

Dividends from net investment income, if any, are declared and paid monthly for the Funds. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

The amounts of dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss, distribution reclassification, and deemed distribution due to shareholder redemptions), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by a Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

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Federal Income Taxes:

It is the policy of each Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.

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

Allocations:

Expenses directly attributable to a Fund are charged to the Fund, while expenses which are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or affiliated trust based upon net assets or another appropriate basis.

Affiliated Securities Transactions:

Pursuant to Rule 17a-7 under the 1940 Act, the Funds may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Adviser and any applicable sub-adviser. Any such purchase or sale transaction must be effected without brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security's last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. For the six months ended December 31, 2018, the Funds did not engage in any Rule 17a-7 transactions under the 1940 Act.

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition and in-kind transactions) for the six months ended December 31, 2018 were as follows:

Fund	Purchases		Sales
US 500 Volatility Wtd ETF	$	104,573,783	$	101,559,613
US Small Cap Volatility Wtd ETF		11,602,392		11,531,839
International Volatility Wtd ETF		6,305,547		6,043,140
Emerging Market Volatility Wtd ETF		7,294,922		8,289,300
US Large Cap High Div Volatility Wtd ETF		40,338,423		40,003,488
US Small Cap High Div Volatility Wtd ETF		25,367,141		25,098,336
International High Div Volatility Wtd ETF		19,274,300		1,823,781
Emerging Market High Div Volatility Wtd ETF		14,475,397		1,773,584
Dividend Accelerator ETF		957,441		957,667
US Multi-Factor Minimum Volatility ETF		1,839,152		2,015,294
US 500 Enhanced Volatility Wtd ETF		181,211,119		13,972,683
US EQ Income Enhanced Volatility Wtd ETF		225,264,767		9,811,062
US Discovery Enhanced Volatility Wtd ETF		130,342,003		96,650,017
Developed Enhanced Volatility Wtd ETF		48,739,608		120,777,760

For the six months ended December 31, 2018, there were no purchases or sales of U.S. Government Securities.

In-kind transactions associated with purchases and sales for the six months ended December 31, 2018 were as follows:

	Purchases		Sales
US 500 Volatility Wtd ETF	$	205,995,475	$	113,015,500
US Small Cap Volatility Wtd ETF		17,129,381		19,227,870
International Volatility Wtd ETF		6,557,788		—
Emerging Market Volatility Wtd ETF		—		—

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	Purchases		Sales
US Large Cap High Div Volatility Wtd ETF	$	82,589,036	$	50,470,943
US Small Cap High Div Volatility Wtd ETF		32,964,736		21,771,604
International High Div Volatility Wtd ETF		1,630,060		—
Emerging Market High Div Volatility Wtd ETF		656,147		1,937,740
Dividend Accelerator ETF		4,430,751		1,473,737
US Multi-Factor Minimum Volatility ETF		47,412,637		25,894,712
US 500 Enhanced Volatility Wtd ETF		328,865,531		227,815,869
US EQ Income Enhanced Volatility Wtd ETF		338,767,528		198,339,146
US Discovery Enhanced Volatility Wtd ETF		55,526,847		38,565,854
Developed Enhanced Volatility Wtd ETF		1,652,562		17,632,907

4. Fees and Transactions with Affiliates and Related Parties:

Investment advisory services are provided to the Funds by Victory Capital Management Inc. ("VCM" or the "Adviser"), a New York corporation registered as an investment adviser with the Securities and Exchange Commission ("SEC"). The Adviser is a wholly-owned indirect subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation and a wholly-owned direct subsidiary of Victory Capital Operating, LLC.

Under the terms of the Investment Advisory Agreements, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Adviser Fee Rate
US 500 Volatility Wtd ETF		0.30	%
US Small Cap Volatility Wtd ETF		0.30	%
International Volatility Wtd ETF		0.40	%
Emerging Market Volatility Wtd ETF		0.45	%
US Large Cap High Div Volatility Wtd ETF		0.30	%
US Small Cap High Div Volatility Wtd ETF		0.30	%
International High Div Volatility Wtd ETF		0.40	%
Emerging Market High Div Volatility Wtd ETF		0.45	%
Dividend Accelerator ETF		0.30	%
US Multi-Factor Minimum Volatility ETF		0.30	%
US 500 Enhanced Volatility Wtd ETF		0.30	%
US EQ Income Enhanced Volatility Wtd ETF		0.30	%
US Discovery Enhanced Volatility Wtd ETF		0.30	%
Developed Enhanced Volatility ETF		0.40	%

VCM also serves as the Funds' administrator and fund accountant. Under an Administration and Fund Accounting Agreement, VCM is paid for its services an annual fee at a rate of 0.08% of the first $15 billion in average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Trusts"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Trusts and 0.04% of the average daily net assets over $30 billion of the Trusts.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, N.A., acts as sub-administrator and sub-fund accountant to the Funds pursuant to a Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for all of their reasonable out-of-pocket expenses incurred in providing these services.

Citibank, N.A. also serves as the Funds' Transfer Agent.

Foreside Fund Services, LLC ("Foreside") serves as the Funds' distributor.

The Chief Compliance Officer ("CCO") is an employee of the Adviser, which pays the compensation of the CCO and his support staff. The Trust has entered into an Agreement to provide compliance services with the Adviser, pursuant to which the Adviser furnishes its compliance personnel, including the

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services of the CCO, and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. Funds in the Trust, Victory Variable Insurance Funds, Victory Institutional Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), in the aggregate, compensate the Adviser for these services.

The Victory Funds Complex pays an annual retainer to each Independent Trustee, plus an additional annual retainer to the Chairman of the Board. The aggregate amount of the fees and expenses of the Independent Trustees are allocated amongst all the funds in the Victory Funds Complex and are presented in the Statements of Operations.

Shearman & Sterling LLP provides legal services to the Trust.

The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by the Funds in any fiscal year exceed the expense limit for such Fund. Such excess amount will be the liability of the Adviser. Interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of December 31, 2018, the expense limits (excluding voluntary waivers) are as follows:

	In effect July 1, 2018 until October 31, 2019
US 500 Volatility Wtd ETF		0.35	%
US Small Cap Volatility Wtd ETF		0.35	%
International Volatility Wtd ETF		0.45	%
Emerging Market Volatility Wtd ETF		0.50	%
US Large Cap High Div Volatility Wtd ETF		0.35	%
US Small Cap High Div Volatility Wtd ETF		0.35	%
International High Div Volatility Wtd ETF		0.45	%
Emerging Market High Div Volatility Wtd ETF		0.50	%
Dividend Accelerator ETF		0.35	%
US Multi-Factor Minimum Volatility ETF		0.35	%
US 500 Enhanced Volatility Wtd ETF		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		0.35	%
US Discovery Enhanced Volatility Wtd ETF		0.35	%
Developed Enhanced Volatility Wtd ETF		0.45	%

The Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period up to three fiscal years after such waiver or reimbursement was made to the extent such payments or repayments would not cause the expenses of a class to exceed the original expense limitation in place at the time of the waiver or reimbursement or any expense limitation agreement in place at the time of repayment. Amounts repaid to the Adviser during the year, if any, are reflected on the Statements of Operations as "Recoupment of prior expenses waived/reimbursed by Adviser".

As of December 31, 2018, the following amounts are available to be repaid to the Adviser:

Fund	Expires 6/30/19		Expires 6/30/20		Expires 6/30/21		Expires 6/30/22		Total
US 500 Volatility Wtd ETF	$	99,395	$	144,075	$	149,989	$	74,785	$	468,244
US Small Cap Volatility Wtd ETF		81,175		57,777		29,566		13,603		182,121
International Volatility Wtd ETF		141,495		137,905		91,734		38,719		409,853
Emerging Market Volatility Wtd ETF		135,767		328,831		194,086		93,736		752,420
US Large Cap High Div Volatility Wtd ETF		76,158		75,818		59,758		25,560		237,294
US Small Cap High Div Volatility Wtd ETF		51,660		45,472		29,681		13,400		140,213
International High Div Volatility Wtd ETF		74,062		73,555		47,955		23,718		219,290
Emerging Market High Div Volatility Wtd ETF		—		—		47,982		44,310		92,292
Dividend Accelerator ETF		—		11,553		20,087		8,314		39,954
US Multi-Factor Minimum Volatility ETF		—		4,204		16,990		7,880		29,074
US 500 Enhanced Volatility Wtd ETF		271,284		212,940		219,577		115,054		818,855

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Fund	Expires 6/30/19		Expires 6/30/20		Expires 6/30/21		Expires 6/30/22		Total
US EQ Income Enhanced Volatility Wtd ETF	$	219,924	$	217,731	$	178,795	$	87,697	$	704,147
US Discovery Enhanced Volatility Wtd ETF		124,242		73,330		48,147		22,566		268,285
Developed Enhanced Volatility Wtd ETF		285,869		185,004		140,353		65,645		676,871

The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time. The Adviser voluntarily waived the following administration fees for the six months ended December 31, 2018:

US 500 Volatility Wtd ETF	$	85,943
US Small Cap Volatility Wtd ETF		5,608
International Volatility Wtd ETF		2,873
Emerging Market Volatility Wtd ETF		2,523
US Large Cap High Div Volatility Wtd ETF		20,685
US Small Cap High Div Volatility Wtd ETF		6,761
International High Div Volatility Wtd ETF		6,130
Emerging Market High Div Volatility Wtd ETF		2,853
Dividend Accelerator ETF		1,076
US Multi-Factor Minimum Volatility ETF		2,781
US 500 Enhanced Volatility Wtd ETF		143,927
US EQ Income Enhanced Volatility Wtd ETF		111,487
US Discovery Enhanced Volatility Wtd ETF		16,778
Developed Enhanced Volatility ETF		22,664

Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, Administrator, Fund Accountant, Sub-Administrator, Sub-Fund Accountant, and Legal.

5. Risks:

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

An investment in the Funds' shares represents an indirect investment in the securities owned by the Funds, some of which will be traded on a national securities exchange or in the over-the-counter markets. The value of the securities in which the Funds invest, like other market investments, may move up or down, sometimes rapidly and unpredictably. The value of the securities in which the Funds invest may affect the value of the Funds' shares. An investment in the Funds' shares at any point in time may be worth less than the original investment, even after taking into account the reinvestment of the Funds' distributions.

The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, Emerging Market Volatility Wtd ETF, International High Div Volatility Wtd ETF and Emerging Market 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 U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital re-investment, resource self-sufficiency and balance of payments

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position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.

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

6. Borrowing:

Line of Credit:

The Victory Funds Complex participates in a short-term, demand note "Line of Credit" agreement with Citibank. Under the agreement with Citibank, the Victory Funds Complex 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 Floating Rate Fund, another series of the Victory Funds Complex, with that Fund paying the 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. The current agreement was amended on July 27, 2018 with a new termination date of July 26, 2019. Citibank receives an annual commitment fee of 0.15% on $100 million for providing the Line of Credit. For the six months ended December 31, 2018, Citibank earned approximately $76,000 in commitment fees from the Victory Funds Complex. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest on amounts borrowed. Interest accrued by each Fund during the period is presented on the Statements of Operations under Interest expense on line of credit.

The average loans for the days outstanding and average interest rate for each Fund during the six months ended December 31, 2018 were as follows:

Fund	Amount Outstanding at December 31, 2018		Average Borrowing*		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
Developed Enhanced Volatility ETF	$	—	$	3,250,000		2		3.22	%	$	4,100,000
Emerging Market High Div Volatility Wtd ETF		—		1,830,000		5		3.24	%		4,100,000
Emerging Market Volatility Wtd ETF		—		1,112,500		8		3.31	%		2,400,000
International Volatility Wtd ETF		—		500,000		1		3.22	%		500,000
US Discovery Enhanced Volatility Wtd ETF		—		20,650,000		2		3.30	%		40,000,000

*  For the six months ended December 31, 2018, based on the number of days borrowings were outstanding.

7. Federal Income Tax Information:

The tax character of current year distributions paid and the tax basis of current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2019.

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The tax character of distributions paid during the most recent tax year ended June 30, 2018 were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid):

	Year Ended June 30, 2018
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Volatility Wtd ETF	$	5,493,806	$	—	$	5,493,806	$	5,493,806
US Small Cap Volatility Wtd ETF		350,537		—		350,537		350,537
International Volatility Wtd ETF		470,597		—		470,597		470,597
Emerging Market Volatility Wtd ETF		1,460,731		164,191		1,624,922		1,624,922
US Large Cap High Div Volatility Wtd ETF		4,292,079		—		4,292,079		4,292,079
US Small Cap High Div Volatility Wtd ETF		1,457,987		—		1,457,987		1,457,987
International High Div Volatility Wtd ETF		1,619,642		—		1,619,642		1,619,642
Emerging Market High Div Volatility Wtd ETF		334,938		—		334,938		334,938
Dividend Accelerator ETF		116,651		—		116,651		116,651
US Multi-Factor Minimum Volatility ETF		98,875		9		98,884		98,884
US 500 Enhanced Volatility Wtd ETF		8,545,250		—		8,545,250		8,545,250
US EQ Income Enhanced Volatility Wtd ETF		18,927,936		—		18,927,936		18,927,936
US Discovery Enhanced Volatility Wtd ETF		914,103		—		914,103		914,103
Developed Enhanced Volatility Wtd ETF		3,545,391		—		3,545,391		3,545,391

As of the most recent tax year ended June 30, 2018, the components of accumulated earnings (deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		��	Accumulated Capital and Other Losses			Qualified Late-Year Losses*			Unrealized Appreciation (Depreciation)**			Total Accumulated Earnings (Deficit)
US 500 Volatility Wtd ETF	$	470,528	$	—	$	470,528		$	(9,492,420	)	$	—		$	35,226,930		$	26,205,038
US Small Cap Volatility Wtd ETF		21,536		—		21,536			(1,852,738	)		—			2,543,483			712,281
International Volatility Wtd ETF		56,209		—		56,209			(530,605	)		—			918,287			443,891
Emerging Market Volatility Wtd ETF		415,019		584,060		999,079			—			—			462,803			1,461,882
US Large Cap High Div Volatility Wtd ETF		130,562		—		130,562			(6,196,442	)		—			4,668,214			(1,397,666	)
US Small Cap High Div Volatility Wtd ETF		15,645		—		15,645			(3,162,220	)		—			2,491,104			(655,471	)
International High Div Volatility Wtd ETF		163,477		—		163,477			(782,720	)		(10,238	)		(1,129,267	)		(1,758,748	)

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	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Accumulated Capital and Other Losses			Qualified Late-Year Losses*		Unrealized Appreciation (Depreciation)**			Total Accumulated Earnings (Deficit)
Emerging Market High Div Volatility Wtd ETF	$	199,635	$	—	$	199,635	$	—		$	—	$	(2,128,571	)	$	(1,928,936	)
Dividend Accelerator ETF		8,321		—		8,321		(219,881	)		—		353,627			142,067
US Multi-Factor Minimum Volatility ETF		12,708		—		12,708		(128,204	)		—		171,757			56,261
US 500 Enhanced Volatility Wtd ETF		805,102		—		805,102		(19,630,500	)		—		55,633,448			36,808,050
US EQ Income Enhanced Volatility Wtd ETF		840,475		—		840,475		(31,336,433	)		—		18,811,953			(11,684,005	)
US Discovery Enhanced Volatility Wtd ETF		68,759		—		68,759		(8,938,341	)		—		10,001,747			1,132,165
Developed Enhanced Volatility Wtd ETF		461,520		—		461,520		(5,852,164	)		—		4,183,931			(1,206,713	)

*  Under the current tax law, net investment losses realized after October 31 or December 31 of a Fund's fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes.

**  The difference between the book-basis and tax-basis of unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales.

As of the most recent tax year ended June 30, 2018, the following Funds had net capital loss carry-forwards ("CLCFs") (no expiration) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration are applied as either short-term or long-term depending on the originating capital loss and must be utilized before those that are subject to expiration.

	Short-Term Amount		Long-Term Amount		Total
US 500 Volatility Wtd ETF	$	7,759,276	$	1,733,144	$	9,492,420
US Small Cap Volatility Wtd ETF		1,327,291		525,447		1,852,738
International Volatility Wtd ETF		334,173		196,432		530,605
US Large Cap High Div Volatility Wtd ETF		4,504,746		1,691,696		6,196,442
US Small Cap High Div Volatility Wtd ETF		2,143,764		1,018,456		3,162,220
International High Div Volatility Wtd ETF		342,094		440,626		782,720
Dividend Accelerator ETF		169,518		50,363		219,881
US Multi-Factor Minimum Volatility ETF		128,204		—		128,204
US 500 Enhanced Volatility Wtd ETF		14,385,063		5,245,437		19,630,500
US EQ Income Enhanced Volatility Wtd ETF		23,267,688		8,068,745		31,336,433
US Discovery Enhanced Volatility Wtd ETF		7,610,477		1,327,864		8,938,341
Developed Enhanced Volatility Wtd ETF		5,489,277		362,887		5,852,164

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At December 31, 2018, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation			Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Volatility Wtd ETF	$	672,496,807	$	20,115,820	��	$	(75,591,520	)	$	(55,475,700	)
US Small Cap Volatility Wtd ETF		40,197,846		689,282			(7,122,818	)		(6,433,536	)
International Volatility Wtd ETF		27,596,315		803,752			(2,550,240	)		(1,746,488	)
Emerging Market Volatility Wtd ETF		17,406,388		1,517,602			(1,665,255	)		(147,653	)
US Large Cap High Div Volatility Wtd ETF		180,848,666		3,909,057			(18,315,720	)		(14,406,663	)
US Small Cap High Div Volatility Wtd ETF		58,588,845		1,270,166			(8,739,636	)		(7,469,470	)
International High Div Volatility Wtd ETF		49,371,044		472,268			(6,845,842	)		(6,373,574	)
Emerging Market High Div Volatility Wtd ETF		19,791,043		295,399			(2,470,446	)		(2,175,047	)
Dividend Accelerator ETF		10,054,389		232,381			(471,067	)		(238,686	)
US Multi-Factor Minimum Volatility ETF		28,054,957		125,400			(1,628,545	)		(1,503,145	)
US 500 Enhanced Volatility Wtd ETF		1,025,554,052		28,223,316			(128,409,441	)		(100,186,125	)
US EQ Income Enhanced Volatility Wtd ETF		884,876,586		22,371,642			(100,721,962	)		(78,350,320	)
US Discovery Enhanced Volatility Wtd ETF		126,012,403		788,165			(13,294,691	)		(12,506,526	)
Developed Enhanced Volatility ETF		143,822,786		1,933,626			(3,691,916	)		(1,758,290	)

8. Recent Accounting Pronouncements:

In October 2016, the SEC released its Final Rules on Investment Company Reporting Modernization (the "Rules"). The Rules introduced a new regulatory reporting form for investment companies — Form N-PORT. The Funds' compliance date for Form N-PORT was June 1, 2018, and the Funds will make their initial filing with the SEC on Form N-PORT for the period ending March 31, 2019. Effective with the period ended June 30, 2018, the Funds were required to maintain, and make available to the SEC upon request, the information required to be included in Form N-PORT. Form N-PORT will replace Form N-Q filings effective with the requirement to file the Form N-PORT with the SEC for the period ending March 31, 2019. The Funds' adoption of this amendment has no effect on the Fund's net assets or results of operations.

In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements" ("ASU 2018-13"). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurements. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. As permitted, the Funds have early adopted ASU 2018-13 with the financial statements prepared as of December 31, 2018.

In August 2018, the SEC adopted amendments to certain financial statement disclosure requirements to conform them to GAAP for investment companies. These amendments made certain disclosure requirements effective under Regulation S-X. The Funds' adoption of these amendments, effective with the financial statements prepared as of December 31, 2018 had no effect on the Funds' net assets or results of operations. As a result of adopting these amendments, the distributions to shareholders in

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the June 30, 2018 Statements of Changes in Net Assets presented herein have been reclassified to conform to the current year presentation, which includes all distributions to each class of shareholders, other than tax basis return of capital distributions, in one line item per share class. Distributions to shareholders for the year ended June 30, 2018 from net investment income and net realized gains in the Funds were as follows:

	US 500 Volatility Wtd ETF			US Small Cap Volatility Wtd ETF			International Volatility Wtd ETF
Distributions to Shareholders:
From net investment income:	$	(5,493,806	)	$	(350,537	)	$	(470,597	)
From net Realized Gains:		—			—			—
	Emerging Market Volatility Wtd ETF			US Large Cap High Div Volatility Wtd ETF			US Small Cap High Div volatility Wtd ETF
Distributions to Shareholders:
From net investment income:	$	(592,927	)	$	(4,292,079	)	$	(1,457,987	)
From net Realized Gains:		(1,031,995	)		—			—
	International High Div Volatility Wtd ETF			Emerging Market High Div Volatility Wtd ETF			Dividend Accelerator ETF
Distributions to Shareholders:
From net investment income:	$	(1,619,642	)	$	(334,938	)	$	(116,651	)
From net Realized Gains:		—			—			—
	US Multi-factor Minimum Volatility ETF			US 500 Enhanced Volatility Wtd ETF			US EQ Income Enhanced Volatility Wtd ETF
Distributions to Shareholders:
From net investment income:	$	(98,884	)	$	(8,545,250	)	$	(18,927,936	)
From net Realized Gains:		—			—			—

	US Discovery Enhanced Volatility Wtd ETF			Developed Enhanced Volatility Wtd ETF
Distributions to Shareholders:
From net investment income:	$	(914,103	)	$	(3,545,391	)
From net Realized Gains:		—			—

9. Subsequent Events:

The Funds have evaluated the need for additional disclosures or adjustments resulting from subsequent events through the date these financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have a material impact on the Funds' financial statements.

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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 20 portfolios in the Trust, nine portfolios in Victory Variable Insurance Funds, one portfolio in Victory Institutional Funds and 42 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Funds Complex. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. 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, 67	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, 71	Vice Chair and Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012); Director, Old Mutual US Asset Management (2002-2014).
E. Lee Beard, 67*	Trustee	May 2015	Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).	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
Dennis M. Bushe, 75	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).
Sally M. Dungan, 64	Trustee	May 2015	Chief Investment Officer, Tufts University (since 2002).	None.
John L. Kelly, 65	Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016-September 2017); Advisor (January 2016-April 2016) and Managing Partner (August 2014-January 2016), Endgate Commodities LLC; Chief Operating Officer, Liquidnet Holdings, Inc. (2011-2014).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, 61*	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, 57	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, 74	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown, 46**	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), Co-Chief Executive Officer (2011-2013), the Adviser; Chairman and Chief Executive Officer, Victory Capital Holdings, Inc. (since 2013).	None.

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

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

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

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Officers:

The officers of the Trust, their ages, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each 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 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. 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, 57	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, 49	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, 45	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, 53	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, 34*	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Advisers, Inc. (since 2018).
Colin Kinney, 45	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, 58	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, 65	Assistant Secretary	May 2015	Partner, Shearman & Sterling LLP (since 2018); Partner, Morrison & Foerster LLP (2011-2017).

*  On December 5, 2017, Mr. Ponte resigned as Treasurer and accepted the position of Assistant Treasurer of the Trust.

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Proxy Voting and Form N-Q Information

Proxy Voting:

Information regarding the policies and procedures that each 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 Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.

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

Availability of Schedules of Portfolio Investments:

The Trust expects to file a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT beginning March 1, 2019. Prior to that date, the Trust has filed a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-PORT and Forms N-Q are available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2018 through December 31, 2018.

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

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

Please note the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Account Value 7/1/18		Actual Ending Account Value 12/31/18		Hypothetical Ending Account Value 12/31/18		Actual Expenses Paid During Period 7/1/18- 12/31/18*		Hypothetical Expenses Paid During Period 7/1/18- 12/31/18*		Annualized Expense Ratio During Period 7/1/18- 12/31/18
US 500 Volatility Wtd ETF	$	1,000.00	$	898.30	$	1,023.44	$	1.67	$	1.79		0.35	%
US Small Cap Volatility Wtd ETF		1,000.00		845.60		1,023.44		1.63		1.79		0.35
International Volatility Wtd ETF		1,000.00		885.90		1,022.94		2.14		2.29		0.45

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	Beginning Account Value 7/1/18		Actual Ending Account Value 12/31/18		Hypothetical Ending Account Value 12/31/18		Actual Expenses Paid During Period 7/1/18- 12/31/18*		Hypothetical Expenses Paid During Period 7/1/18- 12/31/18*		Annualized Expense Ratio During Period 7/1/18- 12/31/18
Emerging Market Volatility Wtd ETF	$	1,000.00	$	964.20	$	1,022.68	$	2.48	$	2.55		0.50	%
US Large Cap High Div Volatility Wtd ETF		1,000.00		933.90		1,023.44		1.71		1.79		0.35
US Small Cap High Div Volatility Wtd ETF		1,000.00		887.80		1,023.44		1.67		1.79		0.35
International High Div Volatility Wtd ETF		1,000.00		900.30		1,022.94		2.16		2.29		0.45
Emerging Market High Div Volatility Wtd ETF		1,000.00		959.40		1,022.68		2.47		2.55		0.50
Dividend Accelerator ETF		1,000.00		983.30		1,023.44		1.75		1.79		0.35
US Multi-Factor Minimum Volatility ETF		1,000.00		983.00		1,023.44		1.75		1.79		0.35
US 500 Enhanced Volatility Wtd ETF		1,000.00		898.30		1,023.44		1.67		1.79		0.35
US EQ Income Enhanced Volatility Wtd ETF		1,000.00		934.00		1,023.44		1.71		1.79		0.35
US Discovery Enhanced Volatility Wtd ETF		1,000.00		837.90		1,023.44		1.62		1.79		0.35
Developed Enhanced Volatility Wtd ETF		1,000.00		924.20		1,022.94		2.18		2.29		0.45

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

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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 5, 2018. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 23, 2018. 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 obtained throughout the year and was advised by legal counsel to the Funds and by independent legal counsel to the Independent Trustees. In addition, in 2017 the Independent Trustees, through their counsel, retained an independent consultant to assist with a review of the overall process for conducting the annual review of these advisory arrangements. 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;

•  The performance of the Funds as compared to comparable funds;

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

•  Whether the fee would be sufficient to enable the Adviser to attract and retain experienced personnel and continue to provide quality services to the Funds;

•  Fees paid by other clients of the Adviser whose accounts 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, taking into consideration any distribution or shareholder servicing fees;

•  Management'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 received by the Adviser, and its affiliates, including revenues paid to the Adviser, or its affiliates, by the Funds for administration and fund accounting services, and distribution;

•  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 gross management fee and total expense ratio on a net and gross basis, taking into consideration any distribution or shareholder servicing fees, with the median gross management fee and median expense ratio of a universe of comparable exchange-traded funds ("ETFs") compiled by an independent consultant, 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, including FUSE's selection of a broad universe of funds using the standard Retail Morningstar Categories, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among other factors. The Board also reviewed any changes to FUSE's methodology as compared to the prior year, including as a result of input from the Adviser, if any.

The Board also reviewed the fee of a comparable mutual fund managed by the Adviser that is comparable to the VictoryShares US 500 Enhanced Volatility Wtd ETF and the differences in the services provided to the mutual fund. The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which are generally viewed as a method by which the investment adviser shares any economies of scale with a fund as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below.

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The Board found that the gross annual management fee paid by each Fund was within the range of management fees paid by each Fund's respective peer group. The Board also found that each Fund's net annual expense ratio was reasonable as compared with each Fund's respective peer group. The Board considered the Adviser's contractual agreement with each Fund to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus.

With the understanding that each Fund had only one year of performance history, the Board reviewed each Fund's performance over a one-year period against the Fund's benchmark index noting that each Fund's investment objective is to track its proprietary benchmark index before fees and expenses. The Board recognized that the performance of each Fund is net of expenses, while the performance of each benchmark index is gross returns, and as a result, each Fund will generally underperform its benchmark index due to fees and expenses. The Board also considered each Fund's tracking error as a factor in evaluating performance. The Board 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

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one- and three-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund outperformed the peer group for the one- and three-year periods, and underperformed the benchmark index for the one- and three-year periods.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Small Cap Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund underperformed the benchmark index and matched the peer group. The Board noted the Fund's low tracking error for the period.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares International Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group. The Board noted the Fund's low tracking error for the period.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares Emerging Market Volatility Wtd ETF

Noting that the Fund commenced operations in 2016, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index

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for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group. The Board noted the Fund's higher tracking error for the period relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Large Cap High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group. The Board noted the Fund's low tracking error for the period.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Small Cap High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund underperformed the benchmark index and outperformed the peer group. The Board noted the Fund's low tracking error for the period.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares International High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and peer group. The Board noted the Fund's low tracking error for the period relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares Emerging Market High Div Volatility Wtd ETF

The Board considered the Fund with the understanding that since the Fund began operations on October 25, 2017, comparative fee, expense and performance data was not yet available.

VictoryShares Dividend Accelerator ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group for the same period and considered the fact that the Fund matched the performance of the peer group. The Board noted the Fund's low tracking error for the period relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses

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for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Multi-Factor Minimum Volatility ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2018, to that of the median performance of the peer group for the same period and considered the fact that the Fund outperformed the peer group. The Board noted the Fund's higher tracking error for the period relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US 500 Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one- and three-year performance for the period ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both periods, underperformed the peer group for the one-year period, and outperformed the peer group for the three-year period. The Board noted the Fund's low tracking error for the periods.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both periods, underperformed the peer group for the one-year period, and outperformed the peer group for the three-year period. The Board noted the Fund's low tracking error for the periods.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both periods, outperformed the peer group for the one-year period, and underperformed the peer group for the three-year period. The Board noted the Fund's low tracking error for the periods. The Board brought the Fund's underperformance to management's attention and discussed with the Adviser any steps that had been or could be taken to enhance performance in the future.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

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VictoryShares Developed Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2018, to that of the median performance of the peer group and benchmark index for the same periods and considered the fact that the Fund underperformed both the peer group and benchmark index for the periods reviewed. The Board noted the Fund's higher tracking error for the periods relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded 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, 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 unanimously 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, to the extent applicable;

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

•  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; and

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

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Privacy Policy

Protecting the Privacy of Information

The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.

We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.

To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic and procedural safeguards to guard your personal information.*

*  You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.

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

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

VPII-VICTORYSHARESETF-SAR (12/18)

Item 2. Code of Ethics.

Not applicable — only for annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable — only for annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable — only for annual reports.

Item 5.   Audit Committee of Listed Registrants.

Not applicable.

Item 6.   Investments.

(a)        Not applicable.

(b)        Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

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

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a)(1)  Not applicable.

(a)(2)  Not applicable.

(a)(3)  Not applicable.

(a)(4)  Not applicable.

(b)       Not applicable.

Item 13. Exhibits.

(a)(1)  Not applicable.

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

(a)(3)  Not applicable.

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)		Victory Portfolios II
By (Signature and Title)*			/s/ Allan Shaer
			Allan Shaer, Principal Financial Officer
Date	March 7, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*		/s/ Christopher K. Dyer
		Christopher K. Dyer, Principal Executive Officer
Date	March 7, 2019
By (Signature and Title)*		/s/ Allan Shaer
		Allan Shaer, Principal Financial Officer
Date	March 7, 2019