Victory Portfolios II N-CSR Certified 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: June 30, 2020

Item 1. Reports to Stockholders.

June 30, 2020

Annual Report

Victory US 500 Enhanced Volatility Wtd Index Fund

Victory Market Neutral Income Fund

Beginning 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

Shareholder Letter (Unaudited)	2
Fund Review and Commentary (Unaudited)	4
Financial Statements
Victory US 500 Enhanced Volatility Wtd Index Fund
Schedule of Portfolio Investments	8-19
Statements of Assets and Liabilities	37
Statements of Operations	38
Statements of Changes in Net Assets	39-40
Financial Highlights	42-43
Victory Market Neutral Income Fund
Schedule of Portfolio Investments	20-36
Statements of Assets and Liabilities	37
Statements of Operations	38
Statements of Changes in Net Assets	39-40
Financial Highlights	44-45
Notes to Financial Statements	46
Report of Independent Registered Public Accounting Firm	59
Supplemental Information (Unaudited)	60
Trustee and Officer Information	60
Proxy Voting and Portfolio Holdings Information	63
Expense Examples	63
Additional Federal Income Tax Information	65
Liquidity Risk Management Program	66
Privacy Policy (inside back cover)

The Victory Funds are distributed by Victory Capital Services, 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 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 at:

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

Visit our website at:

www.vcm.com

1

Victory Funds Letter to Shareholders

Dear Shareholder,

What a difference a year makes. Not long ago, we were marveling at the longest-ever bull market in equities. Although the current market environment appears constructive and relatively calm (as of this writing), what has transpired over the past year has been nothing short of astounding.

In fact, the annual period ended June 30, 2020, has been the most unusual period for investors since the Global Financial Crisis or, perhaps, the Great Depression. We entered this year with mundane concerns of interest rates and global trade talks, but that all changed quickly in early 2020. The spread of COVID-19 throughout the United States was an unprecedented event that rendered virtually any economic forecast unreliable. In March, and seemingly overnight, the sentiment pendulum swung from risk-on to risk-off.

The global economy came to an all-stop and equities sold off sharply. Meanwhile, liquidity evaporated in many segments of the fixed-income market, especially higher-yielding credits and anything perceived to be higher risk, which caused credit spreads to widen and depressed prices.

Fortunately, the U.S. Federal Reserve (the "Fed") and other monetary authorities worldwide leapt into action — slashing interest rates, (re)starting quantitative easing and, in the case of the Fed, launching an array of programs to provide liquidity to stabilize fixed-income markets.

The U.S. government also stepped up to provide $2 trillion of fiscal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act), which aims help toward corporations, small businesses, and individuals that have been affected by the abrupt economic stoppage.

All those steps ended the market's freefall, spurred a significant rally in equities, and helped tighten credit spreads across much of the fixed-income universe. In fact, by June 30, 2020, sentiment was nothing less than bullish and the broad market indexes had largely recovered losses from the first quarter. Through all this turmoil and volatility, the S&P 500^® Index managed to deliver an annual return of approximately 7.5% for the 12-month period ended June 30, 2020. Meanwhile, the yield on 10-year U.S. Treasuries declined 144 basis points, reflecting both the Fed intervention and the uncertainties, ending June 30 at approximately 0.66%.

Looking ahead, the economy and markets remain unpredictable. For equities, investors should expect continued bouts of elevated volatility, which will likely be driven by reports on the virus, a possible vaccine, and the economic data. On the whole, however, we believe the tenor of the market is much improved from the depths of the crisis even as earnings estimates remain vague at best.

Credit markets, too, remain unpredictable, though they have stabilized markedly. A wide range of outcomes are conceivable over the next year, but continued monetary intervention and fiscal stimulus, coupled with a regional approach to economic shutdowns, may well prevent credit spreads from returning to the elevated levels of March.

2

Regardless, whatever is in store for markets, the investment philosophies and resolve of Victory Capital's various independent investment franchises remain steadfast. We believe that our collective investment talent and their actively managed portfolios will be able to manage risks and excel in an environment that often creates short-term pricing dislocations that benefit astute investors.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. If you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

3

Victory Equity Long/Cash Funds

Victory US 500 Enhanced Volatility Wtd Index Fund

Portfolio Review
June 30, 2020 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

Victory US 500 Enhanced Volatility Wtd Index Fund (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 6.71% (Class A Shares at net asset value) for the fiscal year ended June 30, 2020. The Index returned 7.92% and the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, returned 7.51% during the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. Neither the Index nor the S&P 500^® Index are investable products; therefore, fees and expenses do not apply.

The Index moves from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on March 2, 2020. The Index held that T-Bill position until April 1, 2020, at which time the T-Bill position went to 50% and has held that position through the end of the reporting period. Due to the large market downturn, which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's outperformance (before fees) versus the S&P 500^® Index for the fiscal year.

Additionally, underweights to the Energy and Financials sectors contributed to the Fund's performance relative to the S&P 500^® Index, while its underweight positions in Information Technology and Consumer Discretionary detracted from the Fund's performance.

Average Annual Total Return

Year Ended June 30, 2020

	Class A						Class C						Class I
INCEPTION DATE	11/19/12						11/19/12						11/19/12
	Net Asset Value			Maximum Offering Price			Net Asset Value			Contingent Deferred Charges			Net Asset Value			NASDAQ Victory US Large Cap 500 Long/ Cash Volatility Weighted Index1			S&P 500® Index2
One Year		6.71	%		0.58	%		5.96	%		5.02	%		6.97	%		7.92	%		7.51	%
Three Year		6.37	%		4.29	%		5.54	%		5.54	%		6.60	%		7.48	%		10.73	%
Five Year		7.89	%		6.62	%		7.08	%		7.08	%		8.15	%		9.01	%		10.73	%
Ten Year		N/A			N/A			N/A			N/A			N/A			N/A			N/A
Since Inception		11.09	%		10.23	%		10.25	%		10.25	%		11.35	%		N/A			N/A
Expense Ratios
Gross	1.25%						2.00%						1.00%
With Applicable Waivers	0.99%						1.74%						0.74%

4

Victory Equity Long/Cash Funds

Victory US 500 Enhanced Volatility Wtd Index Fund (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses for each class of shares through October 31, 2020.

The maximum offering price (MOP) reflects a maximum sales charge of 5.75% for Class A Shares. Class C Shares are not subject to an initial sales charge, but are subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. NAV does not reflect sales charges. The total return figures set forth above include all waivers of fees for various periods since inception. Without such fee waivers, the total returns would have been lower. Some fee waivers are voluntary and may be modified or terminated at any time.

Victory US 500 Enhanced Volatility Wtd Index Fund — Growth of $10,000

¹Nasdaq Victory US Large Cap 500 Long/Short Cash Volatility Weighted Index is an unmanaged index whose strategy involves equity-oriented investing on both the long and short sides of the market. Index returns assume reinvestment of dividends. Investors may not invest in the index directly. Unlike the Fund's returns, the index returns do not reflect any fees or expenses.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in Class A Shares of the Fund. The performance of other classes of the Fund's shares will be greater than or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes. Past performance is no guarantee of future results.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

5

Victory Bond Replacement Funds

Victory Market Neutral Income Fund

Portfolio Review
June 30, 2020 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

Victory Market Neutral Income Fund (the "Fund") seeks to provide investment results that achieve high current income.

The Fund returned 5.31% (Class A Shares at net asset value) for the fiscal year ended June 30, 2020, outperforming its benchmark, the FTSE 3-Month U.S. Treasury Bill Index (the "Index"), which returned 1.56%.

The Fund pursues its investment objective by engaging in a multi-strategy approach utilizing several distinct strategies. Four of those strategies involve buying the stocks of the Nasdaq Victory High Dividend Indexes and shorting a beta-adjusted equivalent amount of high correlating equity index futures against them. Together, these strategies are referred to as the "spread" strategies and cover the U.S. large cap, U.S. small cap, international developed, and emerging market asset classes in approximately equal dollar amounts.

The Fund's remaining strategy is designed to diversify its investments and its market risk exposure. This consists of holding a long position in Nasdaq-100^® Index futures and a short position in a beta-adjusted equivalent amount of S&P 500^® Index futures (the Nasdaq/S&P strategy).

The Fund's use of derivative strategies to hedge market risk and produce a steady stream of income can produce offsetting gains or losses depending on the market environment. During the fiscal year, the spread strategies collectively detracted from the Fund's performance, but were more than offset by gains in the Nasdaq/S&P strategy.

Average Annual Total Return

Year Ended June 30, 2020

	Class A						Class C						Class I
INCEPTION DATE	11/19/12						11/19/12						11/19/12
	Net Asset Value			Maximum Offering Price			Net Asset Value			Contingent Deferred Charges			Net Asset Value			FTSE 3-Month U.S. Treasury Bill Index1
One Year		5.31	%		–0.74	%		4.59	%		3.59	%		5.79	%		1.56	%
Three Year		4.21	%		2.19	%		3.46	%		3.46	%		4.54	%		1.72	%
Five Year		3.99	%		2.77	%		3.23	%		3.23	%		4.30	%		1.15	%
Ten Year		N/A			N/A			N/A			N/A			N/A			N/A
Since Inception		2.24	%		1.44	%		1.47	%		1.47	%		2.55	%		N/A
Expense Ratios
Gross	1.03%						2.56%						1.05%
With Applicable Waivers	0.75%						1.50%						0.40%

6

Victory Bond Replacement Funds

Victory Market Neutral Income Fund (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses for each class of shares through October 31, 2020.

The maximum offering price (MOP) reflects a maximum sales charge of 5.75% for Class A Shares. Class C Shares are not subject to an initial sales charge, but are subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. NAV does not reflect sales charges. The total return figures set forth above include all waivers of fees for various periods since inception. Without such fee waivers, the total returns would have been lower. Some fee waivers are voluntary and may be modified or terminated at any time.

Victory Market Neutral Income Fund — Growth of $10,000

¹The FTSE 3-Month U.S. Treasury Bill Index is an unmanaged index which measures monthly return equivalents of yield averages that are not marked to market and consists of the last three three-month U.S. Treasury Bill issues. Index assumes reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the index returns do not reflect any fees or expenses.

The graph reflects investment of growth of a hypothetical $10,000 investment in Class A Shares of the Fund. The performance of other classes of the Fund's shares will be greater than or less than the line shown based on the differences in loads and fees paid by shareholders investing in the different classes.

Past performance is no guarantee of future results.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

7

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments
June 30, 2020

Security Description	Shares		Value
Common Stocks (53.6%)
Communication Services (2.4%):
Activision Blizzard, Inc.		1,088	$	82,579
Alphabet, Inc., Class A (a)		56		79,411
AT&T, Inc.		2,757		83,344
Cable One, Inc.		49		86,968
Charter Communications, Inc., Class A (a)		192		97,927
Comcast Corp., Class A		2,103		81,975
Discovery, Inc., Class A (a) (b)		2,231		47,074
DISH Network Corp., Class A (a)		1,658		57,218
Electronic Arts, Inc. (a)		717		94,680
Facebook, Inc., Class A (a)		362		82,200
Fox Corp., Class A		2,278		61,096
GCI Liberty, Inc., Class A (a)		1,240		88,189
Netflix, Inc. (a)		139		63,251
Omnicom Group, Inc. (b)		1,343		73,328
Sirius XM Holdings, Inc. (b)		15,079		88,513
Take-Two Interactive Software, Inc. (a)		535		74,670
The New York Times Co., Class A		1,411		59,304
The Walt Disney Co.		634		70,697
T-Mobile U.S., Inc. (a)		780		81,237
Twitter, Inc. (a)		1,222		36,403
Verizon Communications, Inc.		2,237		123,326
				1,613,390
Consumer Discretionary (5.8%):
Advance Auto Parts, Inc.		478		68,091
Amazon.com, Inc. (a)		43		118,629
Aptiv PLC		715		55,713
Aramark		1,959		44,215
AutoZone, Inc. (a)		83		93,634
Best Buy Co., Inc.		671		58,558
Booking Holdings, Inc. (a)		42		66,878
BorgWarner, Inc.		1,673		59,057
Bright Horizons Family Solutions, Inc. (a)		541		63,405
Burlington Stores, Inc. (a)		243		47,854
CarMax, Inc. (a) (b)		778		69,670
Chipotle Mexican Grill, Inc. (a)		84		88,398
Columbia Sportswear Co.		871		70,185
D.R. Horton, Inc.		1,355		75,135
Darden Restaurants, Inc.		754		57,131
Dollar General Corp.		544		103,638
Dollar Tree, Inc. (a)		707		65,525
Domino's Pizza, Inc.		128		47,288
Dunkin' Brands Group, Inc.		1,335		87,082
eBay, Inc.		1,877		98,449
Etsy, Inc. (a)		639		67,881
Garmin Ltd.		873		85,118
Gentex Corp.		2,634		67,877
Genuine Parts Co.		948		82,438

See notes to financial statements.

8

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Hasbro, Inc.		640	$	47,968
Hilton Worldwide Holdings, Inc.		794		58,319
Hyatt Hotels Corp., Class A (b)		979		49,234
Kohl's Corp.		1,024		21,268
Las Vegas Sands Corp.		1,014		46,178
Lear Corp.		480		52,330
Lennar Corp., Class A		1,161		71,541
Levi Strauss & Co., Class A (b)		2,856		38,270
LKQ Corp. (a)		2,035		53,317
Lowe's Cos., Inc.		663		89,585
Marriott International, Inc., Class A		552		47,323
McDonald's Corp.		528		97,399
Mohawk Industries, Inc. (a)		398		40,500
Nike, Inc., Class B		897		87,951
Norwegian Cruise Line Holdings Ltd. (a)		1,418		23,298
NVR, Inc. (a)		18		58,658
O'Reilly Automotive, Inc. (a)		212		89,394
Planet Fitness, Inc., Class A (a)		805		48,759
Pool Corp.		364		98,961
PulteGroup, Inc.		1,712		58,259
Ralph Lauren Corp.		440		31,909
Ross Stores, Inc.		734		62,566
Royal Caribbean Cruises Ltd. (b)		657		33,047
Service Corp. International		2,092		81,358
Starbucks Corp.		1,031		75,871
Tapestry, Inc.		1,627		21,607
Target Corp.		467		56,007
The Home Depot, Inc.		413		103,461
The TJX Cos., Inc.		1,242		62,796
Tractor Supply Co.		818		107,803
Ulta Beauty, Inc. (a)		142		28,886
VF Corp.		887		54,054
Whirlpool Corp. (b)		470		60,879
Yum China Holdings, Inc.		1,251		60,136
Yum! Brands, Inc.		1,036		90,038
				3,850,779
Consumer Staples (4.0%):
Archer-Daniels-Midland Co.		2,113		84,309
Brown-Forman Corp., Class B		1,455		92,625
Campbell Soup Co.		2,233		110,824
Casey's General Stores, Inc.		492		73,564
Church & Dwight Co., Inc.		1,307		101,031
Colgate-Palmolive Co.		1,317		96,483
Conagra Brands, Inc.		1,722		60,563
Costco Wholesale Corp.		355		107,640
General Mills, Inc.		1,915		118,059
Hormel Foods Corp. (b)		2,233		107,787
Ingredion, Inc.		863		71,629
Kellogg Co.		1,233		81,452
Kimberly-Clark Corp.		702		99,228

See notes to financial statements.

9

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Lamb Weston Holdings, Inc.		808	$	51,655
McCormick & Co., Inc.		598		107,287
Mondelez International, Inc., Class A		1,791		91,574
Monster Beverage Corp. (a)		1,281		88,799
PepsiCo, Inc.		880		116,389
Philip Morris International, Inc.		843		59,061
Sysco Corp.		1,488		81,334
The Clorox Co.		601		131,842
The Coca-Cola Co.		1,952		87,215
The Estee Lauder Cos., Inc., Class A		346		65,283
The Hershey Co.		625		81,013
The J.M. Smucker Co.		807		85,389
The Kraft Heinz Co.		2,233		71,210
The Kroger Co.		2,223		75,249
Tyson Foods, Inc., Class A		932		55,650
U.S. Foods Holding Corp. (a)		2,417		47,663
Walgreens Boots Alliance, Inc.		1,473		62,440
Walmart, Inc.		1,066		127,685
				2,691,932
Energy (0.9%):
Cabot Oil & Gas Corp.		3,632		62,398
ConocoPhillips		1,128		47,399
Continental Resources, Inc.		1,620		28,399
EOG Resources, Inc.		740		37,488
Exxon Mobil Corp.		1,483		66,320
HollyFrontier Corp.		1,460		42,632
Kinder Morgan, Inc.		4,976		75,485
ONEOK, Inc.		1,218		40,462
Phillips 66		923		66,364
The Williams Cos., Inc.		3,853		73,284
Valero Energy Corp.		850		49,997
				590,228
Financials (9.0%):
Aflac, Inc.		2,146		77,320
Alleghany Corp.		123		60,164
Ally Financial, Inc.		2,305		45,708
American Express Co.		749		71,305
American Financial Group, Inc.		1,039		65,935
American International Group, Inc.		1,734		54,066
Ameriprise Financial, Inc.		426		63,917
Arch Capital Group Ltd. (a)		2,198		62,973
Ares Management Corp., Class A		1,611		63,957
Arthur J. Gallagher & Co.		1,031		100,513
Athene Holding Ltd., Class A (a)		1,625		50,684
Bank of America Corp.		2,593		61,584
Berkshire Hathaway, Inc., Class B (a)		581		103,714
BlackRock, Inc., Class A		165		89,775
Brown & Brown, Inc.		2,027		82,621
Capital One Financial Corp.		798		49,947

See notes to financial statements.

10

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Cboe Global Markets, Inc.		722	$	67,348
Chubb Ltd.		593		75,086
Cincinnati Financial Corp.		926		59,292
Citigroup, Inc.		1,093		55,852
Citizens Financial Group, Inc.		2,043		51,565
CME Group, Inc.		390		63,391
Comerica, Inc.		1,184		45,110
Commerce Bancshares, Inc., Class C		1,523		90,574
Credit Acceptance Corp. (a) (b)		171		71,651
Discover Financial Services		979		49,038
East West Bancorp, Inc.		1,287		46,641
Erie Indemnity Co., Class A		414		79,447
Everest Re Group Ltd. (b)		380		78,356
FactSet Research Systems, Inc.		271		89,015
Fidelity National Financial, Inc.		2,578		79,041
Fifth Third Bancorp		2,805		54,080
First American Financial Corp.		1,637		78,609
First Republic Bank		761		80,658
Franklin Resources, Inc. (b)		2,825		59,240
Globe Life, Inc.		1,028		76,308
Huntington Bancshares, Inc.		6,059		54,743
Intercontinental Exchange, Inc.		958		87,753
Invesco Ltd.		4,011		43,158
Jefferies Financial Group, Inc.		3,150		48,983
JPMorgan Chase & Co.		724		68,099
KeyCorp		4,054		49,378
KKR & Co., Inc.		2,153		66,485
Loews Corp.		1,873		64,225
LPL Financial Holdings, Inc.		773		60,603
M&T Bank Corp.		511		53,129
Markel Corp. (a)		83		76,623
MarketAxess Holdings, Inc.		160		80,147
Marsh & McLennan Cos., Inc.		932		100,069
MetLife, Inc.		1,889		68,986
Moody's Corp.		317		87,089
Morgan Stanley		1,552		74,962
Morningstar, Inc.		570		80,353
MSCI, Inc.		214		71,437
Nasdaq, Inc.		814		97,249
Northern Trust Corp. (b)		781		61,965
Old Republic International Corp.		4,373		71,324
People's United Financial, Inc.		5,351		61,911
Principal Financial Group, Inc. (b)		1,510		62,725
Prosperity Bancshares, Inc.		1,122		66,624
Prudential Financial, Inc.		895		54,506
Raymond James Financial, Inc.		818		56,303
Regions Financial Corp.		4,890		54,377
Reinsurance Group of America, Inc.		667		52,319
RenaissanceRe Holdings Ltd.		500		85,515
S&P Global, Inc.		296		97,525

See notes to financial statements.

11

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June 30, 2020

Security Description	Shares		Value
Santander Consumer USA Holdings, Inc. (b)		2,824	$	51,990
SEI Investments Co.		1,328		73,013
Signature Bank		603		64,473
State Street Corp.		854		54,272
SVB Financial Group (a)		228		49,141
Synchrony Financial		2,477		54,890
T. Rowe Price Group, Inc.		649		80,152
TCF Financial Corp.		1,812		53,309
The Allstate Corp.		862		83,605
The Bank of New York Mellon Corp.		1,805		69,763
The Blackstone Group, Inc., Class A (b)		1,187		67,255
The Charles Schwab Corp.		1,319		44,503
The Goldman Sachs Group, Inc.		388		76,677
The Hartford Financial Services Group, Inc.		1,867		71,973
The PNC Financial Services Group, Inc.		632		66,493
The Progressive Corp.		999		80,030
The Travelers Cos., Inc.		727		82,914
Tradeweb Markets, Inc., Class A		1,197		69,594
Truist Financial Corp.		1,684		63,234
U.S. Bancorp		1,989		73,235
Voya Financial, Inc.		1,331		62,091
W.R. Berkley Corp.		1,274		72,987
Wells Fargo & Co.		1,917		49,075
Zions Bancorp NA		1,639		55,726
				6,083,445
Health Care (7.4%):
Abbott Laboratories		1,164		106,425
AbbVie, Inc.		678		66,566
ABIOMED, Inc. (a)		204		49,278
Agilent Technologies, Inc.		1,013		89,519
Alexion Pharmaceuticals, Inc. (a)		487		54,661
Align Technology, Inc. (a) (b)		164		45,008
Amedisys, Inc. (a)		332		65,915
AmerisourceBergen Corp.		741		74,671
Amgen, Inc.		374		88,212
Anthem, Inc.		232		61,011
Baxter International, Inc.		937		80,676
Biogen, Inc. (a)		128		34,246
Bio-Techne Corp.		398		105,100
Boston Scientific Corp. (a)		1,920		67,411
Bruker Corp.		1,302		52,965
Centene Corp. (a)		929		59,038
Cerner Corp.		1,302		89,252
Charles River Laboratories International, Inc. (a)		432		75,319
Chemed Corp.		203		91,567
Cigna Corp.		298		55,920
CVS Health Corp.		1,168		75,885
Danaher Corp.		583		103,092
DaVita, Inc. (a)		744		58,880
DENTSPLY SIRONA, Inc.		1,744		76,841

See notes to financial statements.

12

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June 30, 2020

Security Description	Shares		Value
Edwards Lifesciences Corp. (a)		953	$	65,862
Eli Lilly & Co.		655		107,538
Encompass Health Corp.		883		54,684
Exelixis, Inc. (a)		2,310		54,839
HCA Healthcare, Inc.		518		50,277
Henry Schein, Inc. (a)		1,282		74,856
Hill-Rom Holdings, Inc.		896		98,363
Humana, Inc.		182		70,571
IDEXX Laboratories, Inc. (a)		261		86,172
Illumina, Inc. (a)		192		71,107
Incyte Corp. (a)		744		77,354
Insulet Corp. (a)		219		42,543
Intuitive Surgical, Inc. (a)		129		73,508
IQVIA Holdings, Inc. (a)		527		74,771
Jazz Pharmaceuticals PLC (a)		569		62,783
Johnson & Johnson		734		103,222
Laboratory Corp. of America Holdings (a)		527		87,540
Masimo Corp. (a)		474		108,066
Medtronic PLC		1,012		92,800
Merck & Co., Inc.		1,178		91,095
Mettler-Toledo International, Inc. (a)		103		82,972
Molina Healthcare, Inc. (a)		386		68,700
Penumbra, Inc. (a)		297		53,110
PerkinElmer, Inc.		848		83,180
PRA Health Sciences, Inc. (a)		676		65,768
Quest Diagnostics, Inc.		981		111,794
Regeneron Pharmaceuticals, Inc. (a)		128		79,827
ResMed, Inc.		441		84,672
Stryker Corp.		445		80,185
Teleflex, Inc.		222		80,804
The Cooper Cos., Inc.		285		80,837
Thermo Fisher Scientific, Inc.		259		93,846
UnitedHealth Group, Inc.		248		73,148
Universal Health Services, Inc., Class B		593		55,084
Varian Medical Systems, Inc. (a)		530		64,936
Veeva Systems, Inc., Class A (a)		380		89,080
Vertex Pharmaceuticals, Inc. (a)		308		89,416
Waters Corp. (a)		403		72,701
West Pharmaceutical Services, Inc.		515		116,992
Zimmer Biomet Holdings, Inc.		558		66,603
Zoetis, Inc.		623		85,376
				4,954,440
Industrials (8.3%):
3M Co.		487		75,967
Alaska Air Group, Inc.		1,324		48,008
Allegion PLC		703		71,861
AMERCO, Inc.		209		63,158	��
American Airlines Group, Inc. (b)		2,234		29,198
AMETEK, Inc.		1,006		89,907
AO Smith Corp.		1,723		81,188

See notes to financial statements.

13

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June 30, 2020

Security Description	Shares		Value
C.H. Robinson Worldwide, Inc.		883	$	69,810
Carlisle Cos., Inc.		507		60,673
Caterpillar, Inc.		552		69,828
Cintas Corp.		287		76,445
Copart, Inc. (a)		953		79,356
CoStar Group, Inc. (a)		92		65,382
CSX Corp.		1,033		72,041
Cummins, Inc.		476		82,472
Deere & Co.		423		66,474
Delta Air Lines, Inc.		1,567		43,954
Donaldson Co., Inc.		1,601		74,479
Dover Corp.		745		71,937
Eaton Corp. PLC		792		69,284
Emerson Electric Co.		1,147		71,148
Enphase Energy, Inc. (a) (b)		385		18,314
Expeditors International of Washington, Inc.		1,077		81,895
Fastenal Co.		1,574		67,430
Fortive Corp.		1,070		72,396
Fortune Brands Home & Security, Inc.		1,124		71,857
Generac Holdings, Inc. (a)		528		64,379
General Dynamics Corp.		574		85,790
Graco, Inc.		1,551		74,432
HD Supply Holdings, Inc. (a)		2,218		76,854
HEICO Corp.		574		57,199
Honeywell International, Inc.		534		77,211
Hubbell, Inc.		625		78,350
Huntington Ingalls Industries, Inc.		340		59,327
IDEX Corp.		571		90,242
Illinois Tool Works, Inc.		457		79,906
Ingersoll Rand, Inc. (a)		1,762		49,547
J.B. Hunt Transport Services, Inc.		700		84,238
Kansas City Southern		484		72,256
Knight-Swift Transportation Holdings, Inc.		1,542		64,317
L3Harris Technologies, Inc.		389		66,002
Lennox International, Inc.		332		77,353
Lockheed Martin Corp.		268		97,798
Masco Corp.		1,670		83,850
Nordson Corp.		511		96,943
Norfolk Southern Corp.		370		64,961
Old Dominion Freight Line, Inc.		546		92,597
Owens Corning, Inc.		1,068		59,552
PACCAR, Inc.		1,098		82,185
Parker-Hannifin Corp.		327		59,929
Quanta Services, Inc.		1,761		69,084
Raytheon Technologies Corp.		669		41,224
Republic Services, Inc.		1,319		108,224
Robert Half International, Inc.		1,383		73,064
Rockwell Automation, Inc.		329		70,077
Rollins, Inc.		1,977		83,805
Roper Technologies, Inc.		250		97,065

See notes to financial statements.

14

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June 30, 2020

Security Description	Shares		Value
Snap-on, Inc.		562	$	77,843
Southwest Airlines Co.		1,645		56,227
Spirit AeroSystems Holdings, Inc., Class A		1,049		25,113
Stanley Black & Decker, Inc.		401		55,891
Teledyne Technologies, Inc. (a)		233		72,451
Textron, Inc.		1,351		44,461
The Middleby Corp. (a)		595		46,969
The Toro Co.		1,264		83,854
Trane Technologies PLC		882		78,480
TransDigm Group, Inc.		112		49,510
TransUnion		846		73,636
Trex Co., Inc. (a) (b)		486		63,214
Union Pacific Corp.		431		72,869
United Airlines Holdings, Inc. (a)		1,028		35,579
United Rentals, Inc. (a)		341		50,823
Verisk Analytics, Inc.		653		111,140
W.W. Grainger, Inc.		235		73,828
Waste Management, Inc.		959		101,568
Watsco, Inc.		611		108,574
Woodward, Inc.		720		55,836
XPO Logistics, Inc. (a)		551		42,565
Xylem, Inc.		908		58,984
				5,521,638
Information Technology (9.0%):
Accenture PLC, Class A		513		110,150
Adobe, Inc. (a)		214		93,156
Advanced Micro Devices, Inc. (a)		835		43,929
Akamai Technologies, Inc. (a)		880		94,239
Amphenol Corp., Class A		854		81,821
Analog Devices, Inc.		552		67,697
ANSYS, Inc. (a)		270		78,767
Apple, Inc.		251		91,564
Applied Materials, Inc.		844		51,020
Arista Networks, Inc. (a)		214		44,946
Aspen Technology, Inc. (a)		470		48,697
Automatic Data Processing, Inc.		561		83,527
Black Knight, Inc. (a)		1,276		92,587
Booz Allen Hamilton Holding Corp.		1,094		85,102
Broadcom, Inc.		218		68,803
Broadridge Financial Solutions, Inc.		737		93,002
CACI International, Inc., Class A (a)		301		65,281
Cadence Design Systems, Inc. (a)		939		90,106
CDW Corp.		559		64,945
Ciena Corp. (a)		1,229		66,563
Cisco Systems, Inc.		1,631		76,070
Citrix Systems, Inc.		896		132,527
Cognex Corp.		1,093		65,274
Cognizant Technology Solutions Corp., Class A		1,273		72,332
Corning, Inc.		2,609		67,573
Dell Technologies, Inc., Class C (a)		1,208		66,368

See notes to financial statements.

15

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June 30, 2020

Security Description	Shares		Value
Dolby Laboratories, Inc., Class A		1,064	$	70,086
Entegris, Inc.		1,103		65,132
EPAM Systems, Inc. (a)		258		65,019
Euronet Worldwide, Inc. (a)		528		50,593
F5 Networks, Inc. (a)		545		76,017
Fair Isaac Corp. (a)		144		60,198
Fiserv, Inc. (a)		708		69,115
FleetCor Technologies, Inc. (a)		254		63,889
FLIR Systems, Inc.		1,267		51,402
Fortinet, Inc. (a)		559		76,734
Gartner, Inc. (a)		426		51,687
Genpact Ltd.		2,027		74,026
Global Payments, Inc.		438		74,294
Intel Corp.		1,127		67,428
International Business Machines Corp.		602		72,704
Jack Henry & Associates, Inc.		591		108,761
Juniper Networks, Inc.		3,508		80,193
Keysight Technologies, Inc. (a)		529		53,313
KLA Corp.		331		64,373
Lam Research Corp.		164		53,047
Leidos Holdings, Inc.		663		62,103
Mastercard, Inc., Class A		252		74,516
Maxim Integrated Products, Inc.		1,152		69,823
Microchip Technology, Inc. (b)		564		59,395
Micron Technology, Inc. (a)		766		39,464
Microsoft Corp.		493		100,330
MKS Instruments, Inc.		412		46,655
Monolithic Power Systems, Inc.		342		81,055
Motorola Solutions, Inc.		496		69,504
NetApp, Inc.		958		42,506
NortonLifeLock, Inc.		1,526		30,261
NVIDIA Corp.		165		62,685
Oracle Corp.		1,607		88,819
Paychex, Inc.		1,244		94,233
Paycom Software, Inc. (a)		161		49,867
Paylocity Holding Corp. (a)		363		52,958
PayPal Holdings, Inc. (a)		605		105,409
Qorvo, Inc. (a)		444		49,075
QUALCOMM, Inc.		730		66,583
RealPage, Inc. (a)		847		55,063
Seagate Technology PLC		1,309		63,369
Skyworks Solutions, Inc.		518		66,231
SS&C Technologies Holdings, Inc.		935		52,809
SYNNEX Corp.		357		42,758
Synopsys, Inc. (a)		470		91,650
TE Connectivity Ltd.		932		76,005
Teradyne, Inc.		762		64,397
Texas Instruments, Inc.		549		69,707
The Trade Desk, Inc., Class A (a) (b)		113		45,935
The Western Union Co. (b)		3,308		71,519
Trimble, Inc. (a)		1,659		71,652

See notes to financial statements.

16

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Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Tyler Technologies, Inc. (a)		290	$	100,595
Ubiquiti, Inc. (b)		239		41,720
Universal Display Corp.		261		39,051
VeriSign, Inc. (a)		425		87,903
Visa, Inc., Class A		456		88,086
VMware, Inc., Class A (a) (b)		407		63,028
WEX, Inc. (a)		306		50,493
Xerox Holdings Corp.		1,693		25,886
Xilinx, Inc.		589		57,952
Zebra Technologies Corp. (a)		214		54,773
Zoom Video Communications, Inc., Class A (a) (b)		328		83,161
				6,053,041
Materials (2.6%):
Air Products & Chemicals, Inc.		365		88,133
Albemarle Corp.		525		40,535
AptarGroup, Inc.		1,005		112,541
Axalta Coating Systems Ltd. (a)		2,504		56,465
Ball Corp.		960		66,710
Celanese Corp.		749		64,669
CF Industries Holdings, Inc.		1,573		44,264
Crown Holdings, Inc. (a)		979		63,762
Eastman Chemical Co.		940		65,462
Ecolab, Inc.		483		96,093
International Flavors & Fragrances, Inc. (b)		427		52,290
International Paper Co.		1,769		62,286
LyondellBasell Industries NV, Class A		791		51,985
Martin Marietta Materials, Inc.		331		68,375
Nucor Corp.		1,587		65,718
Packaging Corp. of America		814		81,237
PPG Industries, Inc.		818		86,757
Reliance Steel & Aluminum Co.		592		56,199
Royal Gold, Inc.		592		73,597
RPM International, Inc.		1,319		99,004
Steel Dynamics, Inc.		1,966		51,293
The Sherwin-Williams Co.		153		88,411
Vulcan Materials Co.		723		83,759
Westlake Chemical Corp.		819		43,939
Westrock Co.		1,552		43,860
				1,707,344
Real Estate (0.2%):
CBRE Group, Inc., Class A (a)		1,355		61,273
Jones Lang LaSalle, Inc.		442		45,729
				107,002
Utilities (4.0%):
Alliant Energy Corp.		2,222		106,300
Ameren Corp.		1,534		107,932
American Electric Power Co., Inc.		1,279		101,860
American Water Works Co., Inc.		858		110,391
Atmos Energy Corp.		1,106		110,135

See notes to financial statements.

17

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Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
CenterPoint Energy, Inc.		3,497	$	65,289
CMS Energy Corp.		1,808		105,623
Consolidated Edison, Inc.		1,389		99,911
DTE Energy Co.		960		103,200
Duke Energy Corp.		1,339		106,973
Edison International		1,004		54,527
Entergy Corp.		993		93,153
Essential Utilities, Inc.		1,951		82,410
Evergy, Inc.		1,913		113,421
Eversource Energy		1,376		114,579
Exelon Corp.		2,269		82,342
MDU Resources Group, Inc.		3,717		82,443
NextEra Energy, Inc.		435		104,474
NRG Energy, Inc.		2,269		73,879
OGE Energy Corp.		2,918		88,590
Pinnacle West Capital Corp.		1,175		86,116
PPL Corp.		3,026		78,192
Public Service Enterprise Group, Inc.		2,213		108,792
Sempra Energy		778		91,205
The Southern Co.		1,729		89,649
Vistra Corp.		3,655		68,056
WEC Energy Group, Inc.		1,211		106,144
Xcel Energy, Inc.		1,737		108,563
				2,644,149
Total Common Stocks (Cost $27,576,786)				35,817,388
Rights (0.0%) (c)
Communication Services (0.0%): (c)
T-Mobile U.S., Inc. Expires 7/28/20 (a)780				131
Total Rights (Cost $—)				131
Investment Companies (46.2%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.20% (d) (e)30,853,208				30,853,208
Total Investment Companies (Cost $30,853,208)				30,853,208
Collateral for Securities Loaned^ (2.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		24,248		24,248
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		733,868		733,868
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		168,617		168,617
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		96,487		96,487
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		433,826		433,826
Total Collateral for Securities Loaned (Cost $1,457,046)				1,457,046
Total Investments (Cost $59,887,040) — 102.0%				68,127,773
Liabilities in excess of other assets — (2.0)%				(1,314,707	)
NET ASSETS — 100.00%			$	66,813,066

See notes to financial statements.

18

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June 30, 2020

^  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 June 30, 2020.

(e)  Represents an investment greater than 25% of the Fund's net assets. Performance of the Fund may be adversely impacted by concentrated investments in securities. The financial statements and portfolio holdings for these securities can be found at www.sec.gov.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		4	9/18/20	$	608,320	$	618,040	$	9,720
	Total unrealized appreciation							$	9,720
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	9,720

See notes to financial statements.

19

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments
June 30, 2020

Security Description	Shares		Value
Common Stocks (76.5%)
Australia (2.3%):
Communication Services (0.2%):
Telstra Corp. Ltd.		196,387	$	426,158
Financials (1.0%):
Australia & New Zealand Banking Group Ltd.		35,960		466,450
National Australia Bank Ltd.		33,502		424,425
Suncorp Group Ltd.		66,439		426,805
Westpac Banking Corp.		37,181		465,868
				1,783,548
Materials (0.9%):
BHP Group Ltd.		19,434		483,724
BHP Group PLC		18,445		377,379
Fortescue Metals Group Ltd.		35,595		345,942
Rio Tinto Ltd.		6,671		456,653
				1,663,698
Utilities (0.2%):
AGL Energy Ltd.		38,161		451,319
				4,324,723
Austria (0.2%):
Energy (0.2%):
OMV AG (a)		9,659		325,905
Bermuda (0.4%):
Financials (0.1%):
Invesco Ltd.		21,092		226,950
Industrials (0.3%):
Triton International Ltd.		14,289		432,099
				659,049
Brazil (0.3%):
Financials (0.2%):
BB Seguridade Participacoes SA		52,000		260,803
Industrials (0.1%):
CCR SA		79,900		213,079
				473,882
Canada (1.3%):
Communication Services (0.9%):
BCE, Inc. (b) (c)		14,226		593,397
Shaw Communications, Inc., Class B (b)		31,054		506,509
TELUS Corp. (b) (c)		32,714		548,768
				1,648,674

See notes to financial statements.

20

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Energy (0.4%):
Enbridge, Inc.		14,372	$	437,068
Pembina Pipeline Corp.		17,105		427,688
				864,756
				2,513,430
Chile (0.4%):
Utilities (0.4%):
Aguas Andinas SA, Class A		882,442		299,056
Colbun SA		2,482,662		396,186
				695,242
China (3.3%):
Consumer Discretionary (0.2%):
Dongfeng Motor Group Co. Ltd., Class H		354,000		213,501
Fuyao Glass Industry Group Co. Ltd., Class H (a) (d)		110,800		265,293
				478,794
Energy (0.6%):
China Petroleum & Chemical Corp., Class H		936,000		391,501
China Shenhua Energy Co. Ltd., Class H		242,500		376,364
PetroChina Co. Ltd., Class H		1,062,000		355,132
				1,122,997
Financials (1.9%):
Agricultural Bank of China Ltd., Class H (b)		1,576,000		637,894
Bank of China Ltd., Class H (a) (b)		1,536,000		569,000
Bank of Communications Co. Ltd., Class H		703,000		435,289
China Cinda Asset Management Co. Ltd., Class H		1,658,000		327,062
China CITIC Bank Corp. Ltd., Class H		936,000		410,173
China Everbright Bank Co. Ltd., Class H		948,000		357,970
China Minsheng Banking Corp. Ltd., Class H		701,500		482,897
Chongqing Rural Commercial Bank Co. Ltd., Class H		987,000		390,345
				3,610,630
Industrials (0.2%):
China Communications Construction Co. Ltd., Class H		516,000		292,673
Materials (0.2%):
China Zhongwang Holdings Ltd.		734,800		139,030
Huaxin Cement Co. Ltd., Class B (a)		142,300		259,899
				398,929
Real Estate (0.2%):
Logan Group Co. Ltd.		168,000		300,159
				6,204,182
Colombia (0.1%):
Materials (0.1%):
Cementos Argos SA		249,474		225,904

See notes to financial statements.

21

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Czech Republic (0.6%):
Financials (0.2%):
Komercni Banka A/S (a)		18,083	$	422,221
Utilities (0.4%):
CEZ A/S (b)		37,174		796,739
				1,218,960
Denmark (0.1%):
Financials (0.1%):
Danske Bank A/S (c)		19,657		262,811
Egypt (0.1%):
Industrials (0.1%):
Elsewedy Electric Co.		516,320		213,685
Finland (0.7%):
Financials (0.2%):
Sampo Oyj, Class A (c)		12,013		414,051
Materials (0.3%):
Stora Enso Oyj, Class R (c)		22,235		266,116
UPM-Kymmene Oyj		10,035		290,637
				556,753
Utilities (0.2%):
Fortum Oyj (c)		20,539		391,813
				1,362,617
France (1.4%):
Communication Services (0.4%):
Orange SA		39,900		477,083
Publicis Groupe SA (c)		7,844		254,791
				731,874
Energy (0.2%):
TOTAL SA (c)		10,446		402,748
Financials (0.5%):
BNP Paribas SA (a)		7,495		299,430
CNP Assurances (a)		23,994		278,270
Natixis SA (a)		71,137		187,611
Societe Generale SA (a)		11,102		185,607
				950,918
Industrials (0.2%):
Alstom SA		7,072		329,534
Utilities (0.1%):
Suez		26,271		308,753
				2,723,827

See notes to financial statements.

22

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Germany (0.9%):
Communication Services (0.3%):
Deutsche Telekom AG		35,782	$	600,344
Consumer Discretionary (0.2%):
Bayerische Motoren Werke AG		6,329		404,014
Materials (0.4%):
Covestro AG (a) (d)		7,857		299,235
Evonik Industries AG		13,694		348,757
				647,992
				1,652,350
Hong Kong (0.9%):
Energy (0.2%):
CNOOC Ltd.		242,000		271,610
Industrials (0.2%):
CK Hutchison Holdings Ltd.		53,000		343,215
Real Estate (0.1%):
Swire Pacific Ltd., Class A		39,500		209,939
Utilities (0.4%):
CK Infrastructure Holdings Ltd.		71,000		367,027
Power Assets Holdings Ltd. (b)		85,000		464,458
				831,485
				1,656,249
India (0.4%):
Communication Services (0.1%):
Bharti Infratel Ltd.		58,924		173,207
Materials (0.1%):
Vedanta Ltd.		135,946		194,229
Utilities (0.2%):
Torrent Power Ltd.		72,166		305,340
				672,776
Indonesia (0.6%):
Communication Services (0.2%):
PT Telekomunikasi Indonesia (Persero) Tbk		1,737,900		374,245
Consumer Staples (0.1%):
PT Gudang Garam Tbk		70,500		234,684
Energy (0.3%):
PT Bukit Asam Tbk		1,616,700		232,256
PT United Tractors Tbk		238,300		278,753
				511,009
				1,119,938

See notes to financial statements.

23

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Ireland (0.4%):
Industrials (0.2%):
Eaton Corp. PLC		4,168	$	364,617
Information Technology (0.2%):
Seagate Technology PLC		6,882		333,157
				697,774
Isle of Man (0.2%):
Real Estate (0.2%):
NEPI Rockcastle PLC		78,578		403,312
Italy (0.6%):
Energy (0.2%):
Snam SpA		80,885		394,294
Financials (0.3%):
Intesa Sanpaolo SpA		160,227		307,881
Poste Italiane SpA (d)		30,429		265,783
				573,664
Industrials (0.1%):
Atlantia SpA (a) (c)		12,118		195,996
				1,163,954
Japan (2.4%):
Communication Services (0.4%):
Softbank Corp.		55,400		706,239
Consumer Discretionary (0.4%):
Bridgestone Corp. (c)		14,900		480,971
Subaru Corp.		14,100		295,291
				776,262
Consumer Staples (0.3%):
Japan Tobacco, Inc.		28,800		534,970
Energy (0.1%):
ENEOS Holdings, Inc.		86,500		308,378
Industrials (1.0%):
Komatsu Ltd.		21,100		432,199
Marubeni Corp.		57,800		262,587
Mitsubishi Corp.		20,700		437,488
Mitsui & Co. Ltd.		27,700		410,477
Sumitomo Corp.		32,500		373,849
				1,916,600
Information Technology (0.2%):
Canon, Inc. (c)		18,200		363,104
				4,605,553
Korea, Republic Of (0.6%):
Consumer Staples (0.3%):
KT&G Corp.		8,076		527,436

See notes to financial statements.

24

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Financials (0.2%):
Hana Financial Group, Inc.		13,647	$	310,378
Materials (0.1%):
POSCO		2,114		307,931
				1,145,745
Luxembourg (0.2%):
Communication Services (0.1%):
PLAY Communications SA (d)		32,564		251,602
Energy (0.1%):
Tenaris SA		30,929		200,979
				452,581
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		62,000		244,239
Wynn Macau Ltd.		124,400		215,769
				460,008
Malaysia (0.9%):
Financials (0.4%):
Malayan Banking Bhd (b)		465,200		817,880
Industrials (0.3%):
Sime Darby Bhd		946,700		477,597
Materials (0.2%):
Petronas Chemicals Group Bhd		265,100		386,488
				1,681,965
Mexico (0.3%):
Industrials (0.1%):
Alfa SAB de CV, Class A		428,765		241,633
Materials (0.2%):
Grupo Mexico SAB de CV, Class B		115,291		268,070
				509,703
Netherlands (1.4%):
Communication Services (0.3%):
Koninklijke KPN NV		187,774		499,421
Consumer Staples (0.3%):
Koninklijke Ahold Delhaize NV		18,668		508,736
Energy (0.1%):
Core Laboratories NV (c)		9,239		187,737
Financials (0.4%):
ABN AMRO Bank NV (d)		21,148		181,977
ING Groep NV		35,890		250,165
NN Group NV		10,201		342,805
				774,947

See notes to financial statements.

25

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Industrials (0.2%):
Randstad NV		6,881	$	307,658
Materials (0.1%):
LyondellBasell Industries NV, Class A		4,161		273,461
				2,551,960
Philippines (0.7%):
Communication Services (0.5%):
Globe Telecom, Inc.		10,050		417,798
PLDT, Inc.		17,615		438,687
				856,485
Industrials (0.1%):
DMCI Holdings, Inc.		2,168,000		179,178
Utilities (0.1%):
Manila Electric Co.		53,020		286,223
				1,321,886
Poland (1.0%):
Energy (0.6%):
Grupa Lotos SA		18,944		288,927
Polski Koncern Naftowy ORLEN SA		20,154		320,456
Polskie Gornictwo Naftowe i Gazownictwo SA		338,725		390,782
				1,000,165
Financials (0.4%):
Bank Pekao SA		17,541		240,480
Powszechny Zaklad Ubezpieczen SA		46,157		339,890
Santander Bank Polska SA (a)		4,652		207,815
				788,185
				1,788,350
Portugal (0.3%):
Utilities (0.3%):
Energias de Portugal SA		105,162		501,924
Russian Federation (1.7%):
Communication Services (0.3%):
Mobile TeleSystems PJSC		110,330		515,382
Consumer Staples (0.2%):
Magnit PJSC		8,054		457,083
Energy (0.2%):
Tatneft PJSC		41,907		327,855
Materials (0.9%):
Alrosa PJSC		343,470		312,423
MMC Norilsk Nickel PJSC		1,334		351,780
PhosAgro PJSC, GDR (b)		46,514		574,446
Severstal PJSC		37,481		456,444
				1,695,093

See notes to financial statements.

26

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Utilities (0.1%):
Federal Grid Co. Unified Energy System PJSC		98,650,000	$	260,048
				3,255,461
Singapore (0.5%):
Consumer Discretionary (0.2%):
Jardine Cycle & Carriage Ltd.		21,700		316,748
Financials (0.3%):
DBS Group Holdings Ltd.		36,100		543,307
				860,055
South Africa (1.8%):
Communication Services (0.3%):
MTN Group Ltd.		77,963		238,887
Vodacom Group Ltd.		59,476		422,218
				661,105
Consumer Discretionary (0.2%):
Mr. Price Group Ltd.		26,535		219,525
The Foschini Group Ltd.		38,368		142,681
				362,206
Consumer Staples (0.4%):
AVI Ltd.		79,210		322,324
Tiger Brands Ltd.		36,329		373,988
				696,312
Energy (0.2%):
Exxaro Resources Ltd.		39,362		297,247
Financials (0.5%):
Absa Group Ltd.		38,739		191,339
Nedbank Group Ltd.		31,868		186,944
Old Mutual Ltd.		372,492		259,749
Standard Bank Group Ltd.		35,955		217,137
				855,169
Health Care (0.1%):
Netcare Ltd.		266,289		208,860
Materials (0.1%):
African Rainbow Minerals Ltd.		27,154		265,997
				3,346,896
Spain (0.7%):
Financials (0.1%):
CaixaBank SA		102,656		219,593
Industrials (0.2%):
ACS Actividades de Construccion y Servicios SA		10,847		278,733

See notes to financial statements.

27

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Utilities (0.4%):
Naturgy Energy Group SA		20,038	$	374,057
Red Electrica Corp. SA		23,994		448,879
				822,936
				1,321,262
Sweden (1.0%):
Communication Services (0.3%):
Telia Co. AB		122,287		457,653
Consumer Discretionary (0.1%):
Hennes & Mauritz AB, Class B (c)		15,688		229,063
Energy (0.1%):
Lundin Energy AB (c)		9,375		228,879
Financials (0.3%):
Skandinaviska Enskilda Banken AB, Class A (a)		35,225		305,874
Swedbank AB, Class A (a) (c)		21,459		275,644
				581,518
Industrials (0.2%):
Volvo AB, Class B		21,314		335,485
				1,832,598
Switzerland (0.6%):
Financials (0.2%):
UBS Group AG, Registered Shares		33,099		382,363
Industrials (0.2%):
Adecco Group AG		7,474		352,384
Materials (0.2%):
LafargeHolcim Ltd.		10,738		473,199
				1,207,946
Taiwan (4.1%):
Consumer Discretionary (0.4%):
Formosa Taffeta Co. Ltd.		532,000		659,231
Industrials (0.5%):
Far Eastern New Century Corp.		564,000		535,798
Walsin Lihwa Corp.		908,000		450,607
				986,405
Information Technology (1.9%):
Compal Electronics, Inc. (b)		1,104,000		722,856
Inventec Corp.		663,000		566,196
Lite-On Technology Corp.		247,000		389,065
Nanya Technology Corp.		95,000		198,271
Powertech Technology, Inc. (b)		88,000		321,330

See notes to financial statements.

28

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Radiant Opto-Electronics Corp.		94,000	$	380,734
Walsin Technology Corp.		30,000		183,401
WPG Holdings Ltd. (b)		538,000		718,067
Yageo Corp.		13,000		169,416
				3,649,336
Materials (1.3%):
Asia Cement Corp.		289,000		428,753
Formosa Chemicals & Fibre		204,000		525,597
Formosa Plastics Corp.		150,000		446,765
Nan Ya Plastics Corp. (b)		248,000		544,881
Taiwan Cement Corp. (b)		354,000		515,248
				2,461,244
				7,756,216
Thailand (1.4%):
Communication Services (0.4%):
Intouch Holdings PCL		194,500		355,949
Jasmine International PCL		1,080,100		125,643
Total Access Communication PCL		224,400		286,424
				768,016
Energy (0.4%):
PTT Exploration & Production PCL		105,100		315,985
PTT PCL		341,900		422,088
				738,073
Financials (0.1%):
The Siam Commercial Bank PCL		107,700		253,871
Materials (0.5%):
PTT Global Chemical PCL		204,800		309,384
The Siam Cement PCL		43,000		514,423
				823,807
				2,583,767
Turkey (0.6%):
Consumer Discretionary (0.3%):
Ford Otomotiv Sanayi A/S		27,065		281,263
Tofas Turk Otomobil Fabrikasi A/S		74,633		290,850
				572,113
Materials (0.1%):
Eregli Demir ve Celik Fabrikalari TAS (a)		250,844		314,696
Utilities (0.2%):
Enerjisa Enerji A/S (d)		255,777		321,393
				1,208,202

See notes to financial statements.

29

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
United Kingdom (3.0%):
Communication Services (0.2%):
BT Group PLC		173,999	$	246,038
WPP PLC		29,049		226,438
				472,476
Consumer Discretionary (0.2%):
Barratt Developments PLC		27,246		167,430
Persimmon PLC		7,125		201,615
				369,045
Consumer Staples (0.3%):
British American Tobacco PLC		8,507		326,214
Imperial Brands PLC		14,079		267,973
				594,187
Energy (0.2%):
Royal Dutch Shell PLC, Class A		19,792		316,843
Financials (0.7%):
Admiral Group PLC		17,696		501,758
Aviva PLC		88,314		299,280
Legal & General Group PLC		92,829		253,033
Lloyds Banking Group PLC		456,416		176,038
				1,230,109
Health Care (0.3%):
GlaxoSmithKline PLC (b)		23,439		473,383
Industrials (0.0%): (e)
International Consolidated Airlines Group SA		35,110		96,823
Materials (0.7%):
Anglo American PLC		12,371		285,144
Antofagasta PLC		25,495		295,040
Mondi PLC		16,422		307,122
Rio Tinto PLC		7,122		400,736
				1,288,042
Utilities (0.4%):
National Grid PLC		38,901		474,530
United Utilities Group PLC		28,653		321,913
				796,443
				5,637,351
United States (37.9%):
Communication Services (1.4%):
AT&T, Inc.		14,497		438,244
John Wiley & Sons, Inc., Class A		15,297		596,583
Omnicom Group, Inc.		7,062		385,585
Telephone & Data Systems, Inc.		14,419		286,650
The Marcus Corp.		15,669		207,928
Verizon Communications, Inc.		11,761		648,384
				2,563,374

See notes to financial statements.

30

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Consumer Discretionary (5.0%):
Acushnet Holdings Corp. (c)		20,857	$	725,615
American Eagle Outfitters, Inc.		22,251		242,536
Big Lots, Inc.		11,861		498,162
Bloomin' Brands, Inc. (c)		20,678		220,428
Brinker International, Inc.		11,599		278,376
Collectors Universe, Inc.		13,598		466,139
Darden Restaurants, Inc.		3,966		300,504
Dine Brands Global, Inc. (c)		4,903		206,416
Genuine Parts Co.		4,983		433,322
Hasbro, Inc.		3,366		252,282
Haverty Furniture Cos., Inc. (c)		21,173		338,768
Hooker Furniture Corp.		23,072		448,750
Jack in the Box, Inc.		5,898		436,983
Kohl's Corp. (b)		5,384		111,826
Kontoor Brands, Inc.		8,563		152,507
Las Vegas Sands Corp. (b)		5,333		242,865
LCI Industries		4,145		476,592
MDC Holdings, Inc.		9,937		354,751
Movado Group, Inc.		18,037		195,521
Oxford Industries, Inc. (c)		6,818		300,060
PetMed Express, Inc. (b)		8,391		299,055
Rent-A-Center, Inc.		17,524		487,518
Rocky Brands, Inc.		15,436		317,364
Royal Caribbean Cruises Ltd. (c)		3,458		173,937
Ruth's Hospitality Group, Inc.		17,952		146,488
Tapestry, Inc.		8,557		113,637
The Buckle, Inc. (c)		11,188		175,428
The Cheesecake Factory, Inc. (c)		11,636		266,697
The Children's Place, Inc. (c)		4,022		150,503
Tupperware Brands Corp. (c)		49,016		232,826
Whirlpool Corp. (c)		2,472		320,198
				9,366,054
Consumer Staples (4.5%):
Archer-Daniels-Midland Co.		11,109		443,249
B&G Foods, Inc. (c)		18,257		445,106
Campbell Soup Co.		11,741		582,706
Conagra Brands, Inc.		9,058		318,570
General Mills, Inc.		10,072		620,939
Ingredion, Inc.		4,538		376,654
John B Sanfilippo & Son, Inc.		6,260		534,166
Kellogg Co.		6,481		428,135
Kimberly-Clark Corp.		3,690		521,581
Medifast, Inc. (c)		2,887		400,629
Nu Skin Enterprises, Inc., Class A		11,572		442,398
Philip Morris International, Inc.		4,432		310,506
The Coca-Cola Co.		10,266		458,685
The J.M. Smucker Co.		4,241		448,740
The Kraft Heinz Co.		11,743		374,484
Universal Corp.		10,644		452,476

See notes to financial statements.

31

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Vector Group Ltd.		26,867	$	270,282
Walgreens Boots Alliance, Inc.		7,744		328,268
Weis Markets, Inc. (b)		14,686		736,062
				8,493,636
Energy (1.9%):
Archrock, Inc.		47,449		307,944
ConocoPhillips		5,933		249,305
CVR Energy, Inc.		14,450		290,589
Delek U.S. Holdings, Inc. (c)		14,016		244,018
Exxon Mobil Corp.		7,800		348,816
Falcon Minerals Corp.		67,524		216,077
HollyFrontier Corp.		7,679		224,227
Kinder Morgan, Inc.		26,167		396,953
ONEOK, Inc.		6,404		212,741
Phillips 66		4,853		348,931
Solaris Oilfield Infrastructure, Inc., Class A		27,080		200,934
The Williams Cos., Inc.		20,262		385,383
Valero Energy Corp.		4,468		262,808
				3,688,726
Financials (8.1%):
American International Group, Inc.		9,118		284,299
Ares Management Corp., Class A		8,472		336,338
Artisan Partners Asset Management, Inc., Class A		15,852		515,190
Associated Bancorp		32,398		443,205
Cadence Bancorp		21,318		188,878
Cathay General Bancorp		18,117		476,477
Citigroup, Inc.		5,747		293,672
Citizens Financial Group, Inc.		10,746		271,229
Columbia Banking System, Inc.		17,136		485,720
Comerica, Inc.		6,229		237,325
Fidelity National Financial, Inc.		13,558		415,688
Fifth Third Bancorp		14,751		284,399
First Financial Bancorp		24,684		342,861
Franklin Resources, Inc. (c)		14,854		311,488
Great Western Bancorp, Inc.		18,138		249,579
Hope Bancorp, Inc.		44,422		409,571
Huntington Bancshares, Inc.		31,863		287,882
Investors Bancorp, Inc.		62,926		534,871
KeyCorp		21,319		259,665
Mercury General Corp. (c)		10,913		444,705
MetLife, Inc.		9,935		362,826
Moelis & Co., Class A (c)		12,265		382,177
Navient Corp.		32,808		230,640
Northwest Bancshares, Inc. (b)		52,409		535,882
Old Republic International Corp.		22,994		375,032
Park National Corp.		6,998		492,519
People's United Financial, Inc.		28,137		325,545
Principal Financial Group, Inc. (c)		7,940		329,828
Provident Financial Services, Inc.		38,120		550,834

See notes to financial statements.

32

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Prudential Financial, Inc.		4,708	$	286,717
Regions Financial Corp.		25,712		285,917
Safety Insurance Group, Inc. (b)		7,525		573,857
Santander Consumer USA Holdings, Inc. (c)		14,850		273,389
TCF Financial Corp.		9,529		280,343
The Blackstone Group, Inc., Class A		6,244		353,785
The PNC Financial Services Group, Inc.		3,323		349,613
Truist Financial Corp.		8,855		332,505
U.S. Bancorp		10,458		385,064
United Bankshares, Inc. (c)		19,524		540,034
Wells Fargo & Co.		10,083		258,125
WesBanco, Inc.		18,918		384,225
Zions Bancorp NA		8,617		292,978
				15,254,877
Health Care (1.6%):
AbbVie, Inc. (c)		3,565		350,012
Amgen, Inc.		1,964		463,229
CVS Health Corp.		6,144		399,176
Merck & Co., Inc.		6,192		478,827
Meridian Bioscience, Inc. (a)		32,135		748,424
National Healthcare Corp. (b)		9,041		573,561
				3,013,229
Industrials (5.3%):
3M Co.		2,558		399,022
ABM Industries, Inc.		15,787		573,068
Altra Industrial Motion Corp.		9,987		318,186
Caterpillar, Inc.		2,905		367,482
Cummins, Inc.		2,501		433,323
Delta Air Lines, Inc.		8,243		231,216
Emerson Electric Co.		6,033		374,227
Ennis, Inc. (b)		28,664		519,965
GATX Corp. (c)		6,520		397,590
GrafTech International Ltd. (c)		32,863		262,247
H&E Equipment Services, Inc.		12,921		238,780
Hawaiian Holdings, Inc.		15,272		214,419
Healthcare Services Group (c)		10,655		260,621
Heidrick & Struggles International, Inc.		16,465		355,973
Herman Miller, Inc.		10,652		251,494
HNI Corp.		14,286		436,723
Hyster-Yale Materials Handling, Inc.		6,613		255,659
KAR Auction Services, Inc.		18,626		256,294
Knoll, Inc.		23,161		282,333
Matson, Inc. (c)		12,142		353,332
National Presto Industries, Inc.		5,734		501,094
Powell Industries, Inc.		11,099		304,002
Resources Connection, Inc.		39,767		476,011
Steelcase, Inc., Class A		22,396		270,096
The Greenbrier Cos., Inc.		12,138		276,139
Trinity Industries, Inc.		16,627		353,989

See notes to financial statements.

33

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Wabash National Corp.		36,172	$	384,147
Watsco, Inc.		3,213		570,950
				9,918,382
Information Technology (2.7%):
American Software, Inc., Class A		20,092		316,650
Broadcom, Inc.		1,145		361,373
Cass Information Systems, Inc.		12,123		473,161
Cisco Systems, Inc.		8,575		399,938
Corning, Inc.		13,720		355,348
International Business Machines Corp.		3,163		381,996
Juniper Networks, Inc.		18,447		421,698
Maxim Integrated Products, Inc.		6,060		367,297
MTS Systems Corp.		7,965		140,104
NetApp, Inc.		5,041		223,669
Paychex, Inc.		6,542		495,557
QUALCOMM, Inc.		3,839		350,155
The Hackett Group, Inc.		24,450		331,053
The Western Union Co. (c)		17,394		376,058
Xerox Holdings Corp.		8,904		136,142
				5,130,199
Materials (3.6%):
Cabot Corp.		10,596		392,582
CF Industries Holdings, Inc.		8,270		232,718
Commercial Metals Co.		20,379		415,732
Eastman Chemical Co.		4,941		344,091
Futurefuel Corp.		35,164		420,210
Greif, Inc., Class A		9,851		338,973
Haynes International, Inc.		16,466		384,646
International Paper Co.		9,304		327,594
Kronos Worldwide, Inc.		34,903		363,340
Myers Industries, Inc.		32,778		476,920
Neenah, Inc.		7,005		346,467
Nucor Corp.		8,344		345,525
Packaging Corp. of America		4,279		427,044
PolyOne Corp.		13,987		366,879
Schweitzer-Mauduit International, Inc.		12,714		424,775
Steel Dynamics, Inc.		10,339		269,744
Tredegar Corp.		26,981		415,507
Trinseo SA		11,892		263,527
Westrock Co.		8,163		230,686
				6,786,960
Utilities (3.8%):
American Electric Power Co., Inc. (b)		6,724		535,499
CenterPoint Energy, Inc.		18,388		343,304
Consolidated Edison, Inc. (b)		7,304		525,377
DTE Energy Co.		5,047		542,552
Duke Energy Corp. (b) (c)		7,039		562,346
Edison International		5,278		286,648

See notes to financial statements.

34

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Entergy Corp.		5,219	$	489,594
Exelon Corp.		11,930		432,940
OGE Energy Corp.		15,342		465,783
Otter Tail Corp. (b)		12,959		502,680
Pinnacle West Capital Corp.		6,177		452,712
PPL Corp.		15,913		411,192
Public Service Enterprise Group, Inc.		11,637		572,075
The Southern Co. (b)		9,092		471,420
Unitil Corp. (b)		12,525		561,371
				7,155,493
				71,370,930
Total Common Stocks (Cost $141,452,911)				143,970,929
Rights (0.0%) (e)
Spain (0.0%): (e)
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA Expires 7/8/20 (a)		10,847		16,920
Total Rights (Cost $16,918)				16,920
Collateral for Securities Loaned^ (5.8%)
United States (5.8%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (f)		181,060		181,060
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (f)		5,479,901		5,479,901
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (f)		1,259,086		1,259,086
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (f)		720,485		720,485
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (f)		3,239,442		3,239,442
Total Collateral for Securities Loaned (Cost $10,879,974)				10,879,974
Total Investments (Cost $152,349,803) — 82.3%				154,867,823
Other assets in excess of liabilities — 17.7%				33,346,971
NET ASSETS — 100.00%			$	188,214,794

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(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 June 30, 2020, the fair value of these securities was $1,585,283 and amounted to 0.8% of net assets.

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

(f)  Rate disclosed is the daily yield on June 30, 2020.

See notes to financial statements.

35

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2020

GDR — Global Depositary Receipt

PCL — Public Company Limited

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
NASDAQ 100 E-Mini Futures		682	9/18/20	$	136,320,287	$	138,408,490	$	2,088,203

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		1,104	9/18/20	$	174,028,727	$	170,579,040	$	3,449,687
Mini MSCI EAFE Index Futures		487	9/18/20		43,289,777		43,304,040		(14,263	)
Mini MSCI Emerging Markets Index Futures		655	9/18/20		32,083,308		32,281,675		(198,367	)
E-Mini Russell 2000 Index Futures		457	9/18/20		33,103,951		32,849,160		254,791
								$	3,491,848
	Total unrealized appreciation							$	5,792,681
	Total unrealized depreciation								(212,630	)
	Total net unrealized appreciation (depreciation)							$	5,580,051

See notes to financial statements.

36

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
ASSETS:
Investments, at value (Cost $59,887,040 and $152,349,803)	$	68,127,773	(a)	$	154,867,823	(b)
Foreign currency, at value (Cost $— and $58,676)		—			58,560
Cash and cash equivalents		—			10,765,345
Deposits with brokers for futures contracts		236,880			32,028,506
Receivables:
Interest and dividends		37,860			567,505
Capital shares issued		16,626			977,372
Variation margin on open futures contracts		8,500			—
Reclaims		—			33,267
From Adviser		30,563			119,976
Prepaid expenses		315			596
Total Assets		68,458,517			199,418,950
LIABILITIES:
Payables:
Collateral received on loaned securities		1,457,046			10,879,974
Capital shares redeemed		84,655			34,155
Variation margin on open futures contracts		—			88,160
Accrued foreign capital gains taxes		—			21,515
Accrued expenses and other payables:
Investment advisory fees		39,102			87,493
Administration fees		3,281			9,044
Custodian fees		716			16,232
Transfer agent fees		16,263			8,714
Compliance fees		50			134
Trustees' fees		34			66
12b-1 fees		13,532			1,492
Other accrued expenses		30,772			57,177
Total Liabilities		1,645,451			11,204,156
NET ASSETS:
Capital		53,714,802			185,467,803
Total distributable earnings/(loss)		13,098,264			2,746,991
Net Assets	$	66,813,066		$	188,214,794
Net Assets
Class A Shares	$	26,394,369		$	12,869,522
Class C Shares		26,239,559			625,776
Class I Shares		14,179,138			174,719,496
Total	$	66,813,066		$	188,214,794
Shares (unlimited number of shares authorized with a par value of $0.001 per share):
Class A Shares		1,966,871			1,316,614
Class C Shares		2,020,517			64,605
Class I Shares		1,055,581			17,778,395
Total		5,042,969			19,159,614
Net asset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	13.42		$	9.77
Class C Shares (c)	$	12.99		$	9.69
Class I Shares	$	13.43		$	9.83
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	$	14.24		$	10.37

(a)  Includes $1,438,979 of securities on loan.

(b)  Includes $10,559,980 of securities on loan.

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

See notes to financial statements.

37

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

		Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Investment Income:
Dividends		$	1,254,790		$	5,710,314
Interest			1,329			192,079
Securities lending (net of fees)			6,875			47,264
Foreign tax withholding			(47	)		(404,228	)
Total Income			1,262,947			5,545,429
Expenses:
Investment advisory fees			567,706			919,598
Administration fees			48,669			92,399
Sub-Administration fees			15,017			14,184
12b-1 fees — Class A Shares			73,480			53,235
12b-1 fees — Class C Shares			309,529			3,954
Custodian fees			12,452			93,257
Transfer agent fees — Class A Shares			30,298			2,283
Transfer agent fees — Class C Shares			30,743			464
Transfer agent fees — Class I Shares			15,831			68,972
Trustees' fees			8,365			11,308
Compliance fees			658			1,167
Legal and audit fees			18,663			32,520
State registration and filing fees			59,081			60,980
Interest expense on interfund lending			—			939
Other expenses			23,936			70,613
Total Expenses			1,214,428			1,425,873
Expenses waived/reimbursed by Adviser			(229,910	)		(670,257	)
Expenses waived/reimbursed by Distributor	��		(3,750	)		(62,750	)
Net Expenses			980,768			692,866
Net Investment Income (Loss)			282,179			4,852,563
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations			10,027,578			(16,701,477	)
Foreign refunds (taxes) on realized gains			—			82
Net realized gains (losses) from futures transactions			(26,210	)		12,824,615
Net realized gains (losses) from written options			—			1,328,817
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations			(5,357,622	)		450,954
Net change in unrealized appreciation/depreciation on futures transactions			4,309			7,248,519
Net change in unrealized appreciation/depreciation on written options			—			40,524
Net change in accrued foreign taxes on unrealized gains			—			(2,338	)
Net realized/unrealized gains (losses) on investments			4,648,055			5,189,696
Change in net assets resulting from operations		$	4,930,234		$	10,042,259

See notes to financial statements.

38

Victory Portfolios II Statements of Changes in Net Assets

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	282,179		$	756,729		$	4,852,563		$	2,003,995
Net realized gains (losses) from investment transactions		10,001,368			12,653,453			(2,547,963	)		1,293,733
Net change in unrealized appreciation/depreciation on investments		(5,353,313	)		(15,031,990	)		7,737,659			(2,114,714	)
Change in net assets resulting from operations		4,930,234			(1,621,808	)		10,042,259			1,183,014
Distributions to Shareholders:
Class A Shares		(3,629,656	)		(5,511,646	)		(475,577	)		(846,203	)
Class C Shares		(3,821,175	)		(4,685,954	)		(6,981	)		(9,801	)
Class I Shares		(2,728,622	)		(4,447,685	)		(4,070,545	)		(1,094,578	)
Change in net assets resulting from distributions to shareholders		(10,179,453	)		(14,645,285	)		(4,553,103	)		(1,950,582	)
Change in net assets resulting from capital transactions		(23,493,549	)		(17,658,385	)		94,738,075			45,113,641
Change in net assets		(28,742,768	)		(33,925,478	)		100,227,231			44,346,073
Net Assets:
Beginning of period		95,555,834			129,481,312			87,987,563			43,641,490
End of period	$	66,813,066		$	95,555,834		$	188,214,794		$	87,987,563

(continues on next page)

See notes to financial statements.

39

Victory Portfolios II Statements of Changes in Net Assets

  (continued)

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	1,011,964		$	3,179,765		$	10,172,219		$	18,863,042
Distributions reinvested		3,601,418			5,443,862			470,960			835,435
Cost of shares redeemed		(9,875,436	)		(20,651,944	)		(31,050,301	)		(10,575,001	)
Total Class A Shares	$	(5,262,054	)	$	(12,028,317	)	$	(20,407,122	)	$	9,123,476
Class C Shares
Proceeds from shares issued	$	744,798		$	5,933,599		$	286,307		$	193,648
Distributions reinvested		3,779,973			4,654,559			6,981			9,801
Cost of shares redeemed		(11,854,457	)		(11,177,965	)		(120,324	)		(68,456	)
Total Class C Shares	$	(7,329,686	)	$	(589,807	)	$	172,964		$	134,993
Class I Shares
Proceeds from shares issued	$	2,905,460		$	6,951,471		$	136,738,767		$	46,027,381
Distributions reinvested		2,572,276			4,229,419			3,984,071			1,066,302
Cost of shares redeemed		(16,379,545	)		(16,221,151	)		(25,750,605	)		(11,238,511	)
Total Class I Shares	$	(10,901,809	)	$	(5,040,261	)	$	114,972,233		$	35,855,172
Change in net assets resulting from capital transactions	$	(23,493,549	)	$	(17,658,385	)	$	94,738,075		$	45,113,641
Share Transactions:
Class A Shares
Issued		73,351			208,203			1,055,922			1,959,809
Reinvested		266,210			421,510			49,332			87,585
Redeemed		(715,630	)		(1,419,022	)		(3,220,943	)		(1,096,194	)
Total Class A Shares		(376,069	)		(789,309	)		(2,115,689	)		951,200
Class C Shares
Issued		55,810			409,244			29,942			20,286
Reinvested		287,964			371,350			735			1,035
Redeemed		(887,789	)		(777,932	)		(12,813	)		(7,185	)
Total Class C Shares		(544,015	)		2,662			17,864			14,136
Class I Shares
Issued		205,422			456,414			14,290,486			4,782,813
Reinvested		189,857			326,714			414,197			111,472
Redeemed		(1,198,037	)		(1,131,076	)		(2,675,738	)		(1,163,832	)
Total Class I Shares		(802,758	)		(347,948	)		12,028,945			3,730,453
Change in Shares		(1,722,842	)		(1,134,595	)		9,931,120			4,695,789

See notes to financial statements.

40

This page is intentionally left blank.

41

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities									Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)			Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended 6/30/2020	$	14.26		0.08			0.88			0.96			(0.07	)		(1.73	)
Year Ended 6/30/2019	$	16.50		0.13			(0.36	)		(0.23	)		(0.12	)		(1.89	)
Year Ended 6/30/2018	$	16.04		0.11			1.91			2.02			(0.10	)		(1.46	)
Year Ended 6/30/2017	$	13.80		0.11			2.48			2.59			(0.11	)		(0.24	)
Year Ended 6/30/2016	$	14.15		0.13			0.16			0.29			(0.12	)		(0.52	)
Class C
Year Ended 6/30/2020	$	13.90		(0.03	)		0.87			0.84			(0.02	)		(1.73	)
Year Ended 6/30/2019	$	16.16		0.02			(0.35	)		(0.33	)		(0.04	)		(1.89	)
Year Ended 6/30/2018	$	15.78		(0.02	)		1.86			1.84			—	(c)		(1.46	)
Year Ended 6/30/2017	$	13.59		—	(c)		2.44			2.44			(0.01	)		(0.24	)
Year Ended 6/30/2016	$	13.95		0.02			0.17			0.19			(0.03	)		(0.52	)
Class I
Year Ended 6/30/2020	$	14.26		0.12			0.88			1.00			(0.10	)		(1.73	)
Year Ended 6/30/2019	$	16.50		0.17			(0.36	)		(0.19	)		(0.16	)		(1.89	)
Year Ended 6/30/2018	$	16.05		0.15			1.90			2.05			(0.14	)		(1.46	)
Year Ended 6/30/2017	$	13.80		0.15			2.48			2.63			(0.14	)		(0.24	)
Year Ended 6/30/2016	$	14.15		0.16			0.16			0.32			(0.15	)		(0.52	)

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

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

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

(d)  Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

42

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)			Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended 6/30/2020		(1.80	)	$	13.42		6.71	%		0.99	%		0.56	%		1.28	%	$	26,394		54	%
Year Ended 6/30/2019		(2.01	)	$	14.26		(0.01	)%		0.99	%		0.84	%		1.25	%	$	33,406		120	%(d)
Year Ended 6/30/2018		(1.56	)	$	16.50		12.79	%		0.99	%		0.67	%		1.19	%	$	51,671		45	%
Year Ended 6/30/2017		(0.35	)	$	16.04		18.89	%		0.99	%		0.75	%		1.35	%	$	36,721		38	%
Year Ended 6/30/2016		(0.64	)	$	13.80		2.17	%		0.99	%		0.92	%		1.28	%	$	62,700		46	%
Class C
Year Ended 6/30/2020		(1.75	)	$	12.99		5.96	%		1.74	%		(0.19	)%		2.03	%	$	26,240		54	%
Year Ended 6/30/2019		(1.93	)	$	13.90		(0.73	)%		1.74	%		0.10	%		2.00	%	$	35,649		120	%(d)
Year Ended 6/30/2018		(1.46	)	$	16.16		11.78	%		1.74	%		(0.11	)%		1.97	%	$	41,410		45	%
Year Ended 6/30/2017		(0.25	)	$	15.78		18.09	%		1.74	%		0.01	%		2.12	%	$	57,620		38	%
Year Ended 6/30/2016		(0.55	)	$	13.59		1.42	%		1.74	%		0.16	%		2.11	%	$	58,249		46	%
Class I
Year Ended 6/30/2020		(1.83	)	$	13.43		6.97	%		0.74	%		0.86	%		1.02	%	$	14,179		54	%
Year Ended 6/30/2019		(2.05	)	$	14.26		0.24	%		0.74	%		1.10	%		1.00	%	$	26,501		120	%(d)
Year Ended 6/30/2018		(1.60	)	$	16.50		12.97	%		0.74	%		0.91	%		0.95	%	$	36,400		45	%
Year Ended 6/30/2017		(0.38	)	$	16.05		19.24	%		0.74	%		1.00	%		1.13	%	$	32,751		38	%
Year Ended 6/30/2016		(0.67	)	$	13.80		2.42	%		0.74	%		1.14	%		1.11	%	$	44,170		46	%

See notes to financial statements.

43

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities							Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities		Net Investment Income			Net Realized Gains from Investments
Victory Market Neutral Income Fund
Class A
Year Ended 6/30/2020	$	9.51		0.27		0.23			0.50		(0.24	)		—
Year Ended 6/30/2019	$	9.61		0.32		(0.13	)		0.19		(0.27	)		(0.02	)
Year Ended 6/30/2018	$	9.40		0.24		0.26			0.50		(0.29	)		—
Year Ended 6/30/2017	$	9.21		0.24		0.20	(d)		0.44		(0.25	)		—
Year Ended 6/30/2016	$	9.41		0.26		(0.02	)		0.24		(0.21	)		(0.23	)
Class C
Year Ended 6/30/2020	$	9.43		0.21		0.22			0.43		(0.17	)		—
Year Ended 6/30/2019	$	9.54		0.25		(0.14	)		0.11		(0.20	)		(0.02	)
Year Ended 6/30/2018	$	9.33		0.17		0.26			0.43		(0.22	)		—
Year Ended 6/30/2017	$	9.15		0.17		0.20	(d)		0.37		(0.19	)		—
Year Ended 6/30/2016	$	9.36		0.19		(0.02	)		0.17		(0.15	)		(0.23	)
Class I
Year Ended 6/30/2020	$	9.55		0.31		0.23			0.54		(0.26	)		—
Year Ended 6/30/2019	$	9.65		0.38		(0.16	)		0.22		(0.30	)		(0.02	)
Year Ended 6/30/2018	$	9.44		0.26		0.26			0.52		(0.31	)		—
Year Ended 6/30/2017	$	9.24		0.27		0.20	(d)		0.47		(0.27	)		—
Year Ended 6/30/2016	$	9.44		0.30		(0.04	)		0.26		(0.23	)		(0.23	)

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

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

(c)  Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

(d)  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 on the Statement of Operations due to timing of purchases and sales of Fund Shares in relation to fluctuating market values.

See notes to financial statements.

44

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)			Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
Victory Market Neutral Income Fund
Class A
Year Ended 6/30/2020		(0.24	)	$	9.77		5.31	%		0.75	%		2.78	%		1.17	%	$	12,870		119	%(c)
Year Ended 6/30/2019		(0.29	)	$	9.51		1.99	%		0.75	%		3.36	%		1.03	%	$	32,627		82	%
Year Ended 6/30/2018		(0.29	)	$	9.61		5.37	%		0.89	%		2.55	%		1.18	%	$	23,847		69	%
Year Ended 6/30/2017		(0.25	)	$	9.40		4.77	%		0.90	%		2.59	%		1.25	%	$	24,998		63	%
Year Ended 6/30/2016		(0.44	)	$	9.21		2.54	%		0.90	%		2.72	%		1.06	%	$	29,649		92	%
Class C
Year Ended 6/30/2020		(0.17	)	$	9.69		4.59	%		1.50	%		2.20	%		2.62	%	$	626		119	%(c)
Year Ended 6/30/2019		(0.22	)	$	9.43		1.19	%		1.50	%		2.57	%		2.56	%	$	441		82	%
Year Ended 6/30/2018		(0.22	)	$	9.54		4.64	%		1.64	%		1.79	%		2.51	%	$	311		69	%
Year Ended 6/30/2017		(0.19	)	$	9.33		4.02	%		1.65	%		1.88	%		3.00	%	$	519		63	%
Year Ended 6/30/2016		(0.38	)	$	9.15		1.75	%		1.65	%		2.00	%		2.48	%	$	518		92	%
Class I
Year Ended 6/30/2020		(0.26	)	$	9.83		5.79	%		0.40	%		3.23	%		0.89	%	$	174,719		119	%(c)
Year Ended 6/30/2019		(0.32	)	$	9.55		2.25	%		0.40	%		3.91	%		1.05	%	$	54,920		82	%
Year Ended 6/30/2018		(0.31	)	$	9.65		5.62	%		0.64	%		2.72	%		1.09	%	$	19,483		69	%
Year Ended 6/30/2017		(0.27	)	$	9.44		5.11	%		0.65	%		2.83	%		1.13	%	$	31,140		63	%
Year Ended 6/30/2016		(0.46	)	$	9.24		2.77	%		0.65	%		3.16	%		1.05	%	$	43,866		92	%

See notes to financial statements.

45

Victory Portfolios II Notes to Financial Statements
June 30, 2020

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust as a successor to the "Compass EMP Funds 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 24 funds, 22 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 two following 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 generally accepted accounting principles 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)

46

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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, including ETFs, 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 (the "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 Market Neutral Income Fund uses a systematic valuation model, provided daily by an independent third party to fair value its international equity securities. To the extent this model is utilized, these valuations are considered as Level 2 in the fair value hierarchy.

A summary of the valuations as of June 30, 2020, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments.

	LEVEL 1		LEVEL 2		LEVEL 3		Total
US 500 Enhanced Volatility Wtd Index Fund
Common Stocks	$	35,817,388	$	—	$	—	$	35,817,388
Rights		131		—		—		131
Investment Companies		30,853,208		—		—		30,853,208
Collateral for Securities Loaned		1,457,046		—		—		1,457,046
Total	$	68,127,773	$	—	$	—	$	68,127,773
Other Financial Investments^:
Assets:
Futures Contracts	$	9,720	$	—	$	—	$	9,720
Total	$	9,720	$	—	$	—	$	9,720

47

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

	LEVEL 1			LEVEL 2		LEVEL 3		Total
Market Neutral Income Fund
Common Stocks	$	77,607,110		$	66,363,819	$	—	$	143,970,929
Rights		16,920			—		—		16,920
Collateral for Securities Loaned		10,879,974			—		—		10,879,974
Total	$	88,504,004		$	66,363,819	$	—	$	154,867,823
Other Financial Investments^:
Assets:
Futures Contracts	$	5,792,681		$	—	$	—	$	5,792,681
Liabilities:
Futures Contracts		(212,630	)		—		—		(212,630	)
Total	$	5,580,051		$	—	$	—	$	5,580,051

^  Futures Contracts are valued at the unrealized appreciation (depreciation) on the investment.

For the year ended June 30, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

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 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 June 30, 2020, 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

48

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 Deposits with brokers for futures contracts.

As of June 30, 2020, 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.

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, if any, is presented on the Schedules of Portfolio Investments. During the year ended June 30, 2020, the Market Neutral Income Fund did not purchase or sell a material volume of 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 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

49

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 June 30, 2020, discloses both gross information and net information about instruments and transactions eligible for offset on 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.

	Gross Amounts of Recognized Assets		Gross Amounts of 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.	$	8,500	$	—		$	8,500	$	—		$	8,500
Market Neutral Income Fund
Futures-Goldman Sachs & Co.		2,586,880		(2,586,880	)		—		—			—
	Gross Amounts of Recognized Liabilities		Gross Amounts of 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.	$	2,675,040	$	(2,586,880	)	$	88,160	$	(88,160	)	$	—

*  Cash collateral pledged may be in excess of the amounts shown in the table. The total cash collateral pledged by each Fund is disclosed on the Statements of Assets and Liabilities.

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 June 30, 2020:

	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Equity Risk Exposure:
US 500 Enhanced Volatility Wtd Index Fund	$	9,720	$	—
Market Neutral Income Fund		5,792,681		212,630

*  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.

50

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2020:

	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
	Net Realized Gains (Losses) from Futures Contracts			Net Realized Gains (Losses) from Written Options		Net Change in Unrealized Appreciation/ Depreciation on Futures Contracts		Net Change in Unrealized Appreciation/ Depreciation on Written Options
Equity Risk Exposure:
US 500 Enhanced Volatility Wtd Index Fund	$	(26,210	)	$	—	$	4,309	$	—
Market Neutral Income Fund		12,824,615			1,328,817		7,248,519		40,524

All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to the US 500 Enhanced Volatility Wtd Index Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year. The volume associated with futures contracts in the Market Neutral Income Fund was 85% based on average monthly notional amounts in comparison to net assets during the year.

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 determined on the basis of coupon interest accrued using the effective interest method which adjusts, 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 recorded on the identified cost basis.

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, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay the Agent various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) 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.

51

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 June 30, 2020. 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
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 and 90 Days		>90 Days		Net Amount
US 500 Enhanced Volatility Wtd Index Fund	$	1,438,979	$	1,438,979	$	—	$	—	$	—	$	—
Market Neutral Income Fund		10,559,980		10,559,980		—		—		—		—

*  Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed on the Statements of Assets and Liabilities.

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 investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities 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.

Distributions 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 (collectively, distributions to shareholders) 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 and distribution reclassification), 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.

52

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

As of June 30, 2020, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:

	Total Distributable Earnings/(Loss)			Capital
US 500 Enhanced Volatility Wtd Index Fund	$	(859,419	)	$	859,419

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 years, which includes the current fiscal tax year end). 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 fees 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.

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2020 were as follows:

	Purchases		Sales
US 500 Enhanced Volatility Wtd Index Fund	$	36,946,441	$	100,376,211
Market Neutral Income Fund		235,951,887		148,110,112

For the year ended June 30, 2020, 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.

Under the terms of the Investment Advisory Agreement, 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.

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

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 "Victory Funds Complex"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Victory Funds Complex and 0.04% of the average daily net assets over $30 billion of the Victory Funds Complex.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, 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 Funds reimburse VCM and Citi for reasonable out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds under the Fund Administration, Servicing, and Accounting Agreement. Amounts paid by the Funds to reimburse VCM for expenses incurred during the year ended June 30, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank acts as the custodian of the Funds' assets pursuant to the Global Custodial Services Agreement (the "Custody Agreement"). Citibank's responsibilities include safeguarding and controlling the Funds' cash and securities, handling the receipt and delivery of securities, and collecting interest and dividends on the Funds' investments. Pursuant to the Custody Agreement, Citibank also maintains original entry documents and books of record and general ledgers; posts cash receipts and disbursements; and records purchases and sales based upon communications from the Adviser. Citibank may, with the approval of a Fund and at its own expense, open and maintain a sub-custody account or accounts on behalf of a Fund, provided that it shall remain liable for the performance of all of its duties under the Custody Agreement.

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. The Funds in the Victory Funds Complex, in 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 on the Statements of Operations.

Sidley Austin LLP provides legal services to the Trust.

Victory Capital Services, Inc. (the "Distributor"), an affiliate of the Adviser, serves as distributor for the continuous offering of the shares of the Fund pursuant to a Distribution Agreement between the Distributor and the Trust. Effective June 30, 2020, the Distributor's name was changed from Victory Capital Advisers, Inc.

Pursuant to the Distribution and Service Plans (the "Plans") adopted in accordance with Rule 12b-1 under the 1940 Act, the Distributor may receive a monthly distribution and service fees, at an annual rate of up to 0.25% of the average daily net assets for Class A Shares, and at an annual rate of up to 1.00% of the average daily net assets of Class C Shares of the 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.

The Plans are characterized as reimbursement plans since the distribution fees will be paid to the Distributor as reimbursement for, or in anticipation of, expenses incurred for distribution-related activity. If the aggregate payments received by the Distributor for a particular class of shares of the Funds in any fiscal year exceed the expenditures made by the Distributor in that year pursuant to the

54

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Plans, the Distributor will reimburse the Funds for the amount of the excess. For the fiscal year ended June 30, 2020, the Distributor reimbursed $3,750 to the US 500 Enhanced Volatility Wtd Index Fund and $62,750 to the Market Neutral Income Fund.

In addition, the Distributor is entitled to receive commission on sales of Class A Shares of the Funds. For the year ended June 30, 2020, the Distributor received approximately $3,479 from commissions earned on sales of Class A Shares. A $15 fee may be charged for redemptions made by wire. The redemption fee is paid directly to and retained by the Funds, and is designed to deter excessive short-term trading and to offset brokerage commissions, market impact and other costs that may be associated with short- term money movement in and out of the Funds.

The Adviser has entered into 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 amounts 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 June 30, 2020, the expense limits (excluding voluntary waivers) are as follows:

	In effect July 1, 2019 until October 31, 2020
	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 year ended June 30, 2020, if any, are reflected on the Statements of Operations as Recoupment of prior expenses waived/reimbursed by Adviser.

As of June 30, 2020, the following amounts are available to be repaid to the Adviser.

	Expires June 30, 2021		Expires June 30, 2022		Expires June 30, 2023		Total
US 500 Enhanced Volatility Wtd Index Fund	$	283,259	$	292,081	$	229,910	$	805,250
Market Neutral Income Fund		197,955		258,188		670,257		1,126,400

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 year ended June 30, 2020.

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 Counsel.

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.

55

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 the Fund's investments in certain foreign countries. Governments of many countries have exercised and continue to exercise substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the United States. 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 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.

An outbreak of respiratory disease called COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in international, national and local border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and consumer activity, significant challenges in healthcare service preparation and delivery, quarantines and general concern and uncertainty. These negative impacts have caused significant volatility and declines in global financial markets, which have caused losses for Fund investors during and subsequent to period end. The impact of the COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. Public health crises may exacerbate other pre-existing political, social, economic, market and financial risks. The extent of the impact to the financial performance of the Funds' investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted.

6. Borrowing and Interfund Lending:

Line of Credit:

For the year ended June 30, 2020, the Victory Funds Complex and the USAA Mutual Funds Complex (another series of mutual funds managed by the Adviser) participated in a short-term demand note "Line of Credit" with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2020 with a termination date of June 28, 2021. Under the agreement with Citibank, the Victory Funds Complex and USAA Mutual Funds Complex, combined, may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund (herein, the "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. For the year ended June 30, 2020, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. For the year ended June 30, 2020, Citibank earned approximately $450 thousand in commitment fees from the combined Victory Funds Complex and USAA Mutual Funds Complex. Each fund in the Victory Funds

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Complex pays a pro-rata portion of the commitment fees plus any interest (one month LIBOR plus one percent) on amounts borrowed. Effective June 29, 2020, under an amended Line of Credit agreement, Citibank will also receive an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex will pay a pro-rata portion of the upfront fee. Interest charged to each Fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The Funds did not utilize the Line of Credit during the year ended June 30, 2020.

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 from or lend money to 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. As a Borrower, interest charged to each Fund during the period, as applicable, is presented on the Statements of Operations under Interest expense on interfund lending. As a Lender, interest earned by each Fund during the period, if applicable, is presented on the Statements of Operations under Interfund lending income.

The average borrowing for the days outstanding and average interest rate for each Fund during the year ended June 30, 2020 were as follows:

	Borrower or Lender	Amount Outstanding at June 30, 2020		Average Borrowing		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
Market Neutral Income Fund	Borrower	$	—	$	5,953,667		6		0.96	%	$	8,132,000

*  For the year ended June 30, 2020, based on the number of days borrowings were outstanding.

7. Federal Income Tax Information:

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

	Year Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	1,380,360	$	8,799,093	$	10,179,453	$	10,179,453
Market Neutral Income Fund		4,553,103		—		4,553,103		4,553,103
	Year Ended June 30, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	1,600,430	$	13,044,855	$	14,645,285	$	14,645,285
Market Neutral Income Fund		1,950,582		—		1,950,582		1,950,582

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

As of June 30, 2020, the components of accumulated earnings (deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Unrealized Appreciation (Depreciation)*			Total Accumulated Earnings (Deficit)
US 500 Enhanced Volatility Wtd Index Fund	$	1,797,820	$	4,597,460	$	6,395,280	$	6,702,984		$	13,098,264
Market Neutral Income Fund		3,244,696		7,108,438		10,353,134		(7,606,143	)		2,746,991

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

During the year ended June 30, 2020, the Market Neutral Income Fund utilized $1,011,865 and $3,526,994 of short term and long term capital loss carryforwards, respectively for federal income tax purposes.

As of June 30, 2020, 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	$	61,424,789	$	8,348,204	$	(1,645,220	)	$	6,702,984
Market Neutral Income Fund		162,451,836		9,621,241		(17,205,254	)		(7,584,013	)

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 June 30, 2020, the shareholders listed below held more than 25% of the shares outstanding of the Funds and may be deemed to control those Funds. Shareholders of record may hold Fund shares for the benefit of their customers.

	Shareholder	Percent
US 500 Enhanced Volatility Wtd Index Fund	LPL Financial Corp.		33.4	%
Market Neutral Income Fund	Charles Schwab & Co., Inc.		40.5	%
Market Neutral Income Fund	Gerlach Co. LLC		41.5	%

58

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory US 500 Enhanced Volatility Wtd Index Fund and Victory Market Neutral Income Fund (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2020, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the five years in the period then ended (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2020, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 25, 2020

59

Victory Portfolios II Supplemental Information
June 30, 2020

  (Unaudited)

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 nine Trustees, eight 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 date of birth, 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 24 portfolios in the Trust, 42 portfolios in Victory Portfolios and 9 portfolios in Victory Variable Insurance Funds, 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 Date of Birth	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, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	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).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015).	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

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Victory Portfolios II Supplemental Information — continued
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  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	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.	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer,* Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	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, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

*  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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Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Officers:

The officers of the Trust, their date of births, 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 Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	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, Born March 1984	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 Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	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, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011- January 2018).

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

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  (Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

Information regarding the policies and procedures 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 files 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. Forms N-PORT are available on the SEC's web site 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 January 1, 2020 through June 30, 2020.

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 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
US 500 Enhanced Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	986.80	$	1,019.94	$	4.89	$	4.97		0.99	%
Class C Shares		1,000.00		983.10		1,016.21		8.58		8.72		1.74	%
Class I Shares		1,000.00		987.50		1,021.18		3.66		3.72		0.74	%

63

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

	Beginning Account Value 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
Market Neutral Income Fund
Class A Shares	$	1,000.00	$	1,032.60	$	1,021.13	$	3.79	$	3.77		0.75	%
Class C Shares		1,000.00		1,029.60		1,017.40		7.57		7.52		1.50	%
Class I Shares		1,000.00		1,035.10		1,022.87		2.02		2.01		0.40	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

64

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2020, the Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Percent
US 500 Enhanced Volatility Wtd Index Fund		32	%
Market Neutral Income Fund		55	%

Dividends qualified for corporate dividends received deductions of:

	Percent
US 500 Enhanced Volatility Wtd Index Fund		31	%
Market Neutral Income Fund		35	%

For the year ended June 30, 2020, the following Funds designated short-term capital gain distributions:

	Amount
US 500 Enhanced Volatility Wtd Index Fund	$	1,430,322

For the year ended June 30, 2020, the following Funds designated long-term capital gain distributions:

	Amount
US 500 Enhanced Volatility Wtd Index Fund	$	9,326,373

65

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Act. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Board approved the appointment of VCM as the administrator of the LRMP. At an in-person meeting held on February 20, 2020, VCM provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year.

VCM manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every fund investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of Fund investments, VCM has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by VCM. VCM reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.

The report from VCM concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable VCM to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments reasonably expected to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a Highly Liquid Investment Minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, VCM indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

66

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-AR (6/20)

June 30, 2020

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 January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the VictoryShares' shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.VictorySharesLiterature.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 electronically sooner than January 1, 2021 by notifying your financial intermediary directly.

You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary that you wish to continue receiving paper copies of your reports. Your election to receive reports in paper will apply to all VictoryShares 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

Shareholder Letter (Unaudited)	5
Fund Review and Commentary (Unaudited)	7
Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares US 500 Volatility Wtd ETF
Schedule of Portfolio Investments	35-46
Statements of Assets and Liabilities	170
Statements of Operations	175
Statements of Changes in Net Assets	180
Financial Highlights	186
VictoryShares US Small Cap Volatility Wtd ETF
Schedule of Portfolio Investments	47-57
Statements of Assets and Liabilities	170
Statements of Operations	175
Statements of Changes in Net Assets	180
Financial Highlights	186
VictoryShares International Volatility Wtd ETF
Schedule of Portfolio Investments	58-77
Statements of Assets and Liabilities	170
Statements of Operations	175
Statements of Changes in Net Assets	180
Financial Highlights	186
VictoryShares Emerging Market Volatility Wtd ETF
Schedule of Portfolio Investments	78-95
Statements of Assets and Liabilities	171
Statements of Operations	176
Statements of Changes in Net Assets	181
Financial Highlights	188
VictoryShares US Large Cap High Div Volatility Wtd ETF
Schedule of Portfolio Investments	96-99
Statements of Assets and Liabilities	171
Statements of Operations	176
Statements of Changes in Net Assets	181
Financial Highlights	188
VictoryShares US Small Cap High Div Volatility Wtd ETF
Schedule of Portfolio Investments	100-103
Statements of Assets and Liabilities	171
Statements of Operations	176
Statements of Changes in Net Assets	181
Financial Highlights	188

1

Table of Contents (continued)

VictoryShares International High Div Volatility Wtd ETF
Schedule of Portfolio Investments	104-110
Statements of Assets and Liabilities	172
Statements of Operations	177
Statements of Changes in Net Assets	182
Financial Highlights	190
VictoryShares Emerging Market High Div Volatility Wtd ETF
Schedule of Portfolio Investments	111-116
Statements of Assets and Liabilities	172
Statements of Operations	177
Statements of Changes in Net Assets	182
Financial Highlights	190
VictoryShares Dividend Accelerator ETF
Schedule of Portfolio Investments	117-119
Statements of Assets and Liabilities	172
Statements of Operations	177
Statements of Changes in Net Assets	182
Financial Highlights	190
VictoryShares US Multi-Factor Minimum Volatility ETF
Schedule of Portfolio Investments	120-122
Statements of Assets and Liabilities	173
Statements of Operations	178
Statements of Changes in Net Assets	183
Financial Highlights	192
VictoryShares US 500 Enhanced Volatility Wtd ETF
Schedule of Portfolio Investments	123-134
Statements of Assets and Liabilities	173
Statements of Operations	178
Statements of Changes in Net Assets	183
Financial Highlights	192
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Schedule of Portfolio Investments	135-138
Statements of Assets and Liabilities	173
Statements of Operations	178
Statements of Changes in Net Assets	183
Financial Highlights	192
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Schedule of Portfolio Investments	139-149
Statements of Assets and Liabilities	174
Statements of Operations	179
Statements of Changes in Net Assets	184
Financial Highlights	194

2

Table of Contents (continued)

VictoryShares Developed Enhanced Volatility Wtd ETF
Schedule of Portfolio Investments	150-169
Statements of Assets and Liabilities	174
Statements of Operations	179
Statements of Changes in Net Assets	184
Financial Highlights	194
Notes to Financial Statements	196
Report of Independent Registered Public Accounting Firm	217
Supplemental Information (Unaudited)
Trustee and Officer Information	220
Proxy Voting and Portfolio Holdings Information	223
Expense Examples	223
Additional Federal Income Tax Information	225
Liquidity Risk Management Program	226
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 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 Funds Letter to Shareholders

Dear Shareholder,

What a difference a year makes. Not long ago, we were marveling at the longest-ever bull market in equities. Although the current market environment appears constructive and relatively calm (as of this writing), what has transpired over the past year has been nothing short of astounding.

In fact, the annual period ended June 30, 2020, has been the most unusual period for investors since the Global Financial Crisis or, perhaps, the Great Depression. We entered this year with mundane concerns of interest rates and global trade talks, but that all changed quickly in early 2020. The spread of COVID-19 throughout the United States was an unprecedented event that rendered virtually any economic forecast unreliable. In March, and seemingly overnight, the sentiment pendulum swung from risk-on to risk-off.

The global economy came to an all-stop and equities sold off sharply. Meanwhile, liquidity evaporated in many segments of the fixed-income market, especially higher-yielding credits and anything perceived to be higher risk, which caused credit spreads to widen and depressed prices.

Fortunately, the U.S. Federal Reserve (the "Fed") and other monetary authorities worldwide leapt into action — slashing interest rates, (re)starting quantitative easing and, in the case of the Fed, launching an array of programs to provide liquidity to stabilize fixed-income markets.

The U.S. government also stepped up to provide $2 trillion of fiscal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act), which aims help toward corporations, small businesses, and individuals that have been affected by the abrupt economic stoppage.

All those steps ended the market's freefall, spurred a significant rally in equities, and helped tighten credit spreads across much of the fixed-income universe. In fact, by June 30, 2020, sentiment was nothing less than bullish and the broad market indexes had largely recovered losses from the first quarter. Through all this turmoil and volatility, the S&P 500^® Index managed to deliver an annual return of approximately 7.5% for the 12-month period ended June 30, 2020. Meanwhile, the yield on 10-year U.S. Treasuries declined 144 basis points, reflecting both the Fed intervention and the uncertainties, ending June 30 at approximately 0.66%.

Looking ahead, the economy and markets remain unpredictable. For equities, investors should expect continued bouts of elevated volatility, which will likely be driven by reports on the virus, a possible vaccine, and the economic data. On the whole, however, the tenor of the market is much improved from the depths of the crisis even as earnings estimates remain vague at best.

Credit markets, too, remain unpredictable, though they have stabilized markedly. A wide range of outcomes are conceivable over the next year, but continued monetary intervention and fiscal stimulus, coupled with a regional approach to economic shutdowns, may well prevent credit spreads from returning to the elevated levels of March.

5

Regardless, whatever is in store for markets, you can be certain that the investment philosophies and resolve of Victory Capital's various independent investment franchises remain steadfast. We believe that our collective investment talent and their passively managed portfolios will be able to manage risks and excel in an environment that often creates short-term pricing dislocations that benefit astute investors.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. If you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

6

VictoryShares

VictoryShares US 500 Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US 500 Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -2.12% for the fiscal year ended June 30, 2020, compared to the Index's return of -1.82%. The Fund underperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 7.51% during the period.

Over the reporting period, much of the Fund's underperformance relative to the S&P 500^® Index was driven by its underweight positions in the largest market cap names within the index. The well-known FAANG+M stocks, comprised of Facebook, Apple, Amazon, Netflix, Google, and Microsoft, combined to make up over 22% of the S&P 500^® Index and contributed a positive 8.37% to that index's return. Within the Fund, FAANG+M stocks made up 1.49% of the portfolio and contributed 0.51% to its return.

From a sector perspective, the Fund's underweight positions in Energy and Real Estate, along with positive stock selection within Health Care, contributed positively to the Fund's performance relative to the Index. An underweight position to Information Technology and an overweight position to Financials detracted from relative performance. Stock selection within Information Technology and Consumer Discretionary also weighed on relative performance over the reporting period.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap 500 Volatility Weighted Index1			S&P 500® Index2
One Year		–2.12	%		–2.17	%		–1.82	%		7.51	%
Three Year		6.19	%		6.16	%		6.55	%		10.73	%
Five Year		8.06	%		8.06	%		8.44	%		10.73	%
Ten Year		N/A			N/A			N/A			N/A
Since Inception		7.78	%		7.77	%		N/A			N/A
Expense Ratios
Gross		0.40	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

7

VictoryShares

VictoryShares US 500 Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Large Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

8

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US Small Cap Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -11.00% for the fiscal year ended June 30, 2020 compared to the Index's return of -10.76%. The Russell 2000^® Index, a market cap-based index against which the performance of the Fund is also measured, returned -6.63% during the period.

An underweight position to the Real Estate sector along with positive stock selection within the Communication Services sector contributed positively to the Fund's performance relative to the Russell 2000^® Index over the fiscal year. An underweight position to Health Care and an overweight position to Financials detracted from the Fund's relative performance to the index, along with stock selection within Health Care and Information Technology.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

7/8/15

7/8/15

Net Asset Value

Market Price Value

Nasdaq Victory US Small Cap 500 Volatility Weighted Index1

Russell 2000® Index2

One Year

–11.00

%

–11.17

%

–10.76

%

–6.62

%

Three Year

–0.39

%

–0.44

%

–0.08

%

2.01

%

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

4.13

%

4.09

%

N/A

N/A

Expense Ratios

Gross

0.46

%

With Applicable Waivers

0.35

%

Portfolio Holdings:

(As a Percentage of Total Investments)

9

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Small Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. small cap stocks with $3 billion or less of market value with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

10

VictoryShares

VictoryShares International Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares International Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -7.23% for the fiscal year ended June 30, 2020, compared to the Index's return of -7.02%. The MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, returned -5.13% during the period.

Fund exposure to the Energy and Financial sectors contributed positively to performance relative to the MSCI EAFE Index for the fiscal year. An underweight position to Health Care along with negative stock selection within the Consumer Discretionary and Utilities sectors detracted from the Fund's performance relative to the MSCI EAFE Index for the period.

From a country perspective, an underweight position in the Fund's stock selection in the United Kingdom contributed to relative performance, while an overweight position in stock selection in Canada detracted from the Fund's performance.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

8/20/15

8/20/15

Net Asset Value

Market Price Value

Nasdaq Victory International 500 Volatility Weighted Index1

MSCI EAFE Index2

One Year

–7.23

%

–7.35

%

–7.02

%

–5.13

%

Three Year

0.07

%

–0.04

%

0.28

%

0.81

%

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

2.14

%

2.17

%

N/A

N/A

Expense Ratios

Gross

0.73

%

With Applicable Waivers

0.45

%

Portfolio Holdings:

(As a Percentage of Total Investments)

11

VictoryShares

VictoryShares International Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory International 500 Volatility Weighted Index consists of 500 of the largest developed country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

12

VictoryShares

VictoryShares Emerging Market Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares Emerging Market Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -12.35% for the fiscal year ended June 30, 2020, compared to the Index's return of -11.58%. The MSCI Emerging Markets Index, a market cap-based index against which the performance of the Fund is also measured, returned -3.39% during the period.

Stock selection within the Financial and Real Estate sectors contributed positively to Fund performance relative to the MSCI Emerging Markets Index over the reporting period. The Fund's underweight positions in the Communication Services and Information Technology sectors detracted from relative Fund performance along with its stock selection within Consumer Discretionary and Communication Services.

The Fund's underweight stock selection in Saudi Arabia along with stock selection within Brazil contributed to the Fund's performance relative to the MSCI Emerging Market Index. An underweight stock selection in China, along with negative stock selection within China, were the primary drivers of the Fund's underperformance relative to that index.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

3/22/16

3/22/16

Net Asset Value

Market Price Value

Nasdaq Victory Emerging Market 500 Volatility Weighted Index1

MSCI Emerging Markets (Net) Index2

One Year

–12.35

%

–12.58

%

–11.58

%

–3.39

%

Three Year

–1.90

%

–2.65

%

–1.16

%

1.90

%

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

1.84

%

1.56

%

N/A

N/A

Expense Ratios

Gross

1.41

%

With Applicable Waivers

0.50

%

Portfolio Holdings:

(As a Percentage of Total Investments)

13

VictoryShares

VictoryShares Emerging Market Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Emerging Market 500 Volatility Weighted Index consists of 500 of the largest Emerging Market country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²MSCI Emerging Markets (Net) Index is a float-adjusted market cap index covering over 2,700 securities in 21 markets that are currently classified as Emerging Market countries. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

14

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US Large Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -12.78% for the fiscal year ended June 30, 2020 compared to the Index's return of -12.62%. The Russell 1000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, returned -8.84% during the period.

Stock selection within the Industrials sector, along with an underweight selection to the Real Estate sector, contributed positively to Fund performance relative to the Russell 1000^® Value Index over the reporting period. Conversely, stock selection within the Utilities and the Consumer Discretionary sectors detracted from the Fund's relative performance.

The primary driver of the Fund's underperformance relative to the Index was the lackluster performance of high-dividend yielding stocks compared to low-dividend yielding stocks. The highest-yielding quartile of the Russell 1000^® Value Index was down -15.24% over the reporting period versus -3.75% for the lowest-dividend yielding quartile. The Fund selects the 100 highest-dividend yielding stocks within that index.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	7/8/15			7/8/15
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index1			Russell 1000® Value Index2
One Year		–12.78	%		–12.94	%		–12.61	%		–8.84	%
Three Year		1.13	%		1.05	%		1.47	%		1.82	%
Five Year		N/A			N/A			N/A			N/A
Ten Year		N/A			N/A			N/A			N/A
Since Inception		5.73	%		5.69	%		N/A			N/A
Expense Ratios
Gross		0.42	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

15

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend yielding stocks of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The Russell 1000^® Value Index is made of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

16

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US Small Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -13.61% for the fiscal year ended June 30, 2020, compared to the Index's return of -13.49%. The Russell 2000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, returned -17.48% during the period.

An overweight position in the Consumer Staples sector and an underweight position in the Energy sector contributed to the Fund's relative performance versus the Russell 2000^® Value Index over the reporting period. Positive stock selection within the Communication Services and Consumer Staples sectors also contributed to relative performance. The largest detractors from the Fund's relative performance resulted from an underweight position in the Information Technology sector along with negative stock selection within the Consumer Discretionary sector.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

7/8/15

7/8/15

Net Asset Value

Market Price Value

Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index1

Russell 2000® Value Index2

One Year

–13.61

%

–13.69

%

–13.49

%

–17.48

%

Three Year

0.31

%

0.27

%

0.55

%

–4.35

%

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

4.43

%

4.40

%

N/A

N/A

Expense Ratios

Gross

0.44

%

With Applicable Waivers

0.35

%

Portfolio Holdings:

(As a Percentage of Total Investments)

17

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The Russell 2000^® Index is an index measuring the performance of approximately 2,000 smallest-cap American companies in the Russell 3000^® Index, which is made up of 3,000 of the largest U.S. stocks. It is a market cap-weighted index. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

18

VictoryShares

VictoryShares International High Div Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares International High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -19.22% for the fiscal year ended June 30, 2020, compared to the Index's return of -18.64%. The MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, returned -5.13% during the period.

The Fund held an underweight position in the Real Estate sector, along with an overweight position in the Materials sector, which contributed positively to the Fund's relative performance versus the MSCI EAFE Index over the reporting period. The Fund's underweight position in the Health Care sector, along with negative stock selection within the Communication Services sector, detracted from the Fund's relative performance.

From a country perspective, an underweight stock selection in Belgium contributed positively to the Fund's performance relative to the Index, while an underweight stock selection in Japan detracted from performance. Additionally, stock selection within Japan and the United Kingdom dragged on Fund performance over the reporting period.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

8/20/15

8/20/15

Net Asset Value

Market Price Value

Nasdaq Victory International High Dividend 100 Volatility Weighted Index1

MSCI EAFE Index (Net)2

One Year

–19.22

%

–19.88

%

–18.64

%

–5.13

%

Three Year

–5.75

%

–5.99

%

–5.32

%

0.81

%

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–2.62

%

–2.67

%

N/A

N/A

Expense Ratios

Gross

0.59

%

With Applicable Waivers

0.45

%

Portfolio Holdings:

(As a Percentage of Total Investments)

19

VictoryShares

VictoryShares International High Div Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory International High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory International 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Market countries around the world. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

20

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares Emerging Market High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -15.55% for the fiscal year ended June 30, 2020, compared to the Index's return of -14.88%. The MSCI Emerging Markets Index, a market cap-based index against which the performance of the Fund is also measured, returned -3.39% during the period.

Cash allocations, along with stock selection within the Real Estate sector, contributed positively to the Fund's performance relative to the MSCI Emerging Markets Index over the fiscal year. An underweight position to the Consumer Discretionary sector and an overweight position to the Utilities sector detracted from the Fund's relative performance to the index. Stock selection within the Communication Services and the Consumer Discretionary sectors also weighed on relative Fund performance.

The Fund held underweight stock positions in Brazil and India, along with an overweight stock position in Taiwan, contributing to the Fund's relative performance to the Index. Underweight stock positions in China and overweight stock positions in South Africa, detracted from performance relative to the Index. Additionally, stock selection within China and South Africa negatively impacted relative performance.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

10/26/17

10/26/17

Net Asset Value

Market Price Value

Nasdaq Victory Em Mkt High Div. 100 Vol. Wtd Index1

MSCI Emerging Markets (Net) Index2

One Year

–15.55

%

–16.75

%

–14.88

%

–3.39

%

Three Year

N/A

N/A

N/A

N/A

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–4.40

%

–4.65

%

N/A

N/A

Expense Ratios

Gross

0.88

%

With Applicable Waivers

0.51

%

Portfolio Holdings:

(As a Percentage of Total Investments)

21

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Em Mkt High Div. 100 Vol. Wtd Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory Emerging Market 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²MSCI Emerging Market (Net) Index is a float-adjusted market cap index covering over 2,700 securities in 21 markets that are currently classified as Emerging Market countries. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

22

VictoryShares

VictoryShares Dividend Accelerator ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares Dividend Accelerator ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index (the "Index") before fees and expenses.

The Fund returned 2.23% for the fiscal year ended June 30, 2020, compared to the Index's return of 2.57%. The S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, returned 7.51% during the period.

The Fund held an underweight position in the Energy sector, which contributed positively to the Fund's performance relative to the S&P 500^® Index over the fiscal year. Stock selection within the Consumer Staples and Industrials sectors also added to relative performance. An underweight position to the Information Technology sector, along with negative stock selection within the Information Technology and Communication Services sectors, detracted from Fund performance relative to that index.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	4/18/17			4/18/17
	Net Asset Value			Market Price Value			Nasdaq Victory Dividend Accelerator Index1			S&P 500® Index2
One Year		2.23	%		2.12	%		2.57	%		7.51	%
Three Year		10.21	%		10.19	%		10.61	%		10.73	%
Five Year		N/A			N/A			N/A			N/A
Ten Year		N/A			N/A			N/A			N/A
Since Inception		10.56	%		10.55	%		N/A			N/A
Expense Ratios
Gross		0.59	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

23

VictoryShares

VictoryShares Dividend Accelerator ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Dividend Accelerator Index utilizes a rules-based approach designed to identify dividend paying stocks with a higher likelihood of future dividend growth. It is not possible to invest directly in an index.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

24

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US Multi-Factor Minimum Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index (the "Index") before fees and expenses.

The Fund returned 1.82% for the fiscal year ended June 30, 2020, compared to the Index's return of 2.14%. The S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, returned 7.51% during the period.

An underweight position in the Energy sector, along with stock selection within the Consumer Staples and Industrials sectors, contributed positively to the Fund's performance relative to the S&P 500^® Index over the fiscal year. The Fund's underweight position in the Information Technology sector, along with stock selection in the Communication Services and Health Care sectors, detracted from Fund performance relative to that index.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	6/22/17			6/22/17
	Net Asset Value			Market Price Value			Nasdaq Victory US Multi-Factor Minimum Volatility Index1			S&P 500® Index2
One Year		1.82	%		1.81	%		2.14	%		7.51	%
Three Year		9.74	%		9.67	%		10.13	%		10.73	%
Five Year		N/A			N/A			N/A			N/A
Ten Year		N/A			N/A			N/A			N/A
Since Inception		9.46	%		9.39	%		N/A			N/A
Expense Ratios
Gross		0.48	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

25

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Multi-Factor Minimum Volatility Index utilizes a rules-based approach designed to generate investment returns with less volatility than the broader U.S. market. It is not possible to invest directly in an index.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

26

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US 500 Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 7.49% over the fiscal year ended June 30, 2020, compared to the Index's return of 7.92%. The Fund underperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 7.51% during the period.

The Index moves from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on March 2, 2020. The Index held that T-Bill position until April 1, 2020, at which time the T-Bill position went to 50% and held that position through the end of the reporting period. Due to the large market downturn, which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's outperformance (before fees) versus the S&P 500^® Index for the fiscal year.

The Fund's underweight positions in the Energy and Financials sectors contributed positively to the Fund's performance relative to the S&P 500^® Index, while underweight positions in Information Technology and Consumer Discretionary detracted.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap 500 Long/Cash Vol. Wtd. Index1			S&P 500® Index2
One Year		7.49	%		7.46	%		7.92	%		7.51	%
Three Year		7.07	%		7.05	%		7.48	%		10.73	%
Five Year		8.60	%		8.59	%		9.01	%		10.73	%
Ten Year		N/A			N/A			N/A			N/A
Since Inception		8.19	%		8.18	%		N/A			N/A
Expense Ratios
Gross		0.40	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

27

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. It is not possible to invest directly in an index.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

28

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

The VictoryShares US EQ Income Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 5.49% for the fiscal year ended June 30, 2020 compared to the Index's return of 5.79%. The Russell 1000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, returned -8.84% during the period.

The Index moves from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on March 2, 2020. The Index held that T-Bill position until April 1, 2020, at which time the T-Bill position went to 25% and held that position through the end of the reporting period. Due to the large market downturn, which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's outperformance versus the S&P 500^® Index for the fiscal year.

The Fund's underweight positions in the Financials and Energy sectors contributed positively to the Fund's performance relative to the Russell 1000^® Value Index, while an overweight position in the Consumer Staples sector and an underweight position in the Health Care sector detracted from the Fund's relative performance over the reporting period.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap High Div. 100 Long/Cash Vol. Wtd Index1			Russell 1000® Value Index2
One Year		5.49	%		5.41	%		5.79	%		–8.84	%
Three Year		5.69	%		5.66	%		6.08	%		1.82	%
Five Year		8.98	%		8.97	%		9.42	%		4.64	%
Ten Year		N/A			N/A			N/A			N/A
Since Inception		8.10	%		8.08	%		N/A			N/A
Expense Ratios
Gross		0.40	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

29

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. It is not possible to invest directly in an index.

²The Russell 1000^® Value Index is made of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

30

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares US Discovery Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 5.00% for the fiscal year ended June 30, 2020, compared to the Index's return of 5.58%. The Russell 2000^® Index, a market cap-based index against which the performance of the Fund is also measured, returned -6.63% during the period.

The Index moves from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index was triggered multiple times during the fiscal year, with the first trigger resulting in an allocation to a 75% T-Bill position on September 1, 2019, and a subsequent reallocation to 100% equities October 1, 2019. The Index triggered an allocation to a 75% T-Bill position on March 2, 2020. The Index held that T-Bill position until April 1, 2020, at which time the T-Bill position went to 25% and held that position through the end of the reporting period. Due to the large market downturn, which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's outperformance versus the S&P 500^® Index for the fiscal year.

The Fund's overweight position in the Consumer Discretionary sector and underweight position in the Real Estate sector contributed positively to Fund performance relative to the Russell 2000^® Index. The Fund's underweight positions in the Health Care and Information Technology sectors detracted from relative performance over the reporting period.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	7/31/14			7/31/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Small Cap 500 Long/Cash Vol. Wtd. Index1			Russell 2000® Index2
One Year		5.00	%		5.04	%		5.58	%		–6.62	%
Three Year		–0.54	%		–0.53	%		–0.10	%		2.01	%
Five Year		1.18	%		1.19	%		1.61	%		4.29	%
Ten Year		N/A			N/A			N/A			N/A
Since Inception		3.12	%		3.11	%		N/A			N/A
Expense Ratios
Gross		0.42	%
With Applicable Waivers		0.35	%

Portfolio Holdings:

(As a Percentage of Total Investments)

31

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF (continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. It is not possible to invest directly in an index.

²The Russell 2000^® Index is a market cap-weighted index composed of 2,000 U.S. small-cap common stocks. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

32

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2020 (Unaudited)

VictoryShares Developed Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -14.55% for the fiscal year ended June 30, 2020, compared to the Index's return of -14.14%. The MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, returned -5.13% during the period.

The Index moves from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index narrowly missed triggering in February following the large market downturn. The Index went on to trigger in late March, allocating to a 50% T-Bill position on April 1, 2020. The Index held the 50% T-Bill position through the end of the reporting period. The Fund's allocation to T-Bills while the market mounted a significant comeback was the key driver of underperformance relative to the MSCI EAFE Index for the fiscal year.

The Fund's underweight position in the Energy sector, along with stock selection in the Financials sector, contributed positively to relative Fund performance over the reporting period. Negative stock selection in the Consumer Discretionary sector, along with an underweight to the Information Technology sector, detracted from relative Fund performance.

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

9/30/14

9/30/14

Net Asset Value

Market Price Value

Nasdaq Victory International 500 Long/Cash Volatility Wtd Index1

MSCI EAFE Index (Net)2

One Year

–14.55

%

–14.51

%

–14.14

%

–5.13

%

Three Year

–3.51

%

–3.88

%

–3.06

%

0.81

%

Five Year

–3.16

%

–3.39

%

–2.57

%

2.05

%

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–2.46

%

–2.50

%

N/A

N/A

Expense Ratios

Gross

0.56

%

With Applicable Waivers

0.45

%

Portfolio Holdings:

(As a Percentage of Total Investments)

33

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF(continued)

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated November 1, 2019, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2020.

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory International 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when the market prices have further declined or rebounded. It is not possible to invest directly in an index.

²The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

34

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments
June 30, 2020

Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (4.6%):
Activision Blizzard, Inc.		20,266	$	1,538,189
Alphabet, Inc., Class A (a)		1,048		1,486,116
AT&T, Inc.		51,366		1,552,794
Cable One, Inc.		926		1,643,511
Charter Communications, Inc., Class A (a)		3,579		1,825,434
Comcast Corp., Class A		39,178		1,527,158
Discovery, Inc., Class A (a) (b)		41,569		877,106
DISH Network Corp., Class A (a)		30,895		1,066,186
Electronic Arts, Inc. (a)		13,351		1,762,999
Facebook, Inc., Class A (a)		6,748		1,532,269
Fox Corp., Class A		42,453		1,138,589
GCI Liberty, Inc., Class A (a)		23,111		1,643,654
Netflix, Inc. (a)		2,594		1,180,374
Omnicom Group, Inc.		25,025		1,366,365
Sirius XM Holdings, Inc. (b)		280,963		1,649,253
Take-Two Interactive Software, Inc. (a)		9,972		1,391,792
The New York Times Co. Class A		26,294		1,105,137
The Walt Disney Co.		11,809		1,316,822
T-Mobile U.S., Inc. (a)		14,533		1,513,612
Twitter, Inc. (a)		22,771		678,348
Verizon Communications, Inc.		41,672		2,297,378
				30,093,086
Consumer Discretionary (10.9%):
Advance Auto Parts, Inc. (b)		8,907		1,268,802
Amazon.com, Inc. (a)		802		2,212,574
Aptiv PLC		13,318		1,037,739
Aramark		36,494		823,670
AutoZone, Inc. (a)		1,541		1,738,433
Best Buy Co., Inc.		12,493		1,090,264
Booking Holdings, Inc. (a)		786		1,251,579
BorgWarner, Inc. (b)		31,180		1,100,654
Bright Horizons Family Solutions, Inc. (a)		10,074		1,180,673
Burlington Stores, Inc. (a)		4,522		890,517
CarMax, Inc. (a) (b)		14,498		1,298,296
Chipotle Mexican Grill, Inc. (a)		1,573		1,655,362
Columbia Sportswear Co. (b)		16,234		1,308,136
D.R. Horton, Inc.		25,239		1,399,503
Darden Restaurants, Inc.		14,051		1,064,644
Dollar General Corp.		10,133		1,930,437
Dollar Tree, Inc. (a)		13,174		1,220,966
Domino's Pizza, Inc.		2,382		880,006
Dunkin' Brands Group, Inc.		24,868		1,622,140
eBay, Inc.		34,973		1,834,334
Etsy, Inc. (a) (b)		11,897		1,263,818
Garmin Ltd.		16,261		1,585,447
Gentex Corp.		49,074		1,264,637
Genuine Parts Co.		17,657		1,535,453

See notes to financial statements.

35

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Hasbro, Inc.		11,925	$	893,779
Hilton Worldwide Holdings, Inc.		14,788		1,086,179
Hyatt Hotels Corp., Class A (b)		18,239		917,239
Kohl's Corp.		19,075		396,188
Las Vegas Sands Corp.		18,893		860,387
Lear Corp.		8,945		975,184
Lennar Corp., Class A		21,636		1,333,210
Levi Strauss & Co., Class A (b)		53,211		713,027
LKQ Corp. (a)		37,913		993,321
Lowe's Cos., Inc.		12,355		1,669,408
Marriott International, Inc., Class A		10,292		882,333
McDonald's Corp.		9,838		1,814,816
Mohawk Industries, Inc. (a)		7,423		755,364
Nike, Inc., Class B		16,718		1,639,200
Norwegian Cruise Line Holdings Ltd. (a)		26,420		434,081
NVR, Inc. (a)		339		1,104,716
O'Reilly Automotive, Inc. (a)		3,956		1,668,127
Planet Fitness, Inc., Class A (a)		14,995		908,247
Pool Corp.		6,774		1,841,647
PulteGroup, Inc.		31,898		1,085,489
Ralph Lauren Corp.		8,205		595,027
Ross Stores, Inc.		13,667		1,164,975
Royal Caribbean Cruises Ltd. (b)		12,250		616,175
Service Corp. International		38,985		1,516,126
Starbucks Corp.		19,202		1,413,075
Tapestry, Inc.		30,318		402,623
Target Corp.		8,692		1,042,432
The Home Depot, Inc.		7,700		1,928,927
The TJX Cos., Inc.		23,134		1,169,655
Tractor Supply Co.		15,240		2,008,479
Ulta Beauty, Inc. (a)		2,643		537,639
VF Corp.		16,518		1,006,607
Whirlpool Corp. (b)		8,756		1,134,165
Yum China Holdings, Inc.		23,314		1,120,704
Yum! Brands, Inc.		19,302		1,677,537
				71,764,172
Consumer Staples (7.6%):
Archer-Daniels-Midland Co.		39,362		1,570,544
Brown-Forman Corp., Class B		27,103		1,725,377
Campbell Soup Co.		41,603		2,064,757
Casey's General Stores, Inc.		9,162		1,369,902
Church & Dwight Co., Inc.		24,353		1,882,487
Colgate-Palmolive Co.		24,544		1,798,093
Conagra Brands, Inc.		32,093		1,128,711
Costco Wholesale Corp.		6,612		2,004,825
General Mills, Inc.		35,687		2,200,103
Hormel Foods Corp. (b)		41,609		2,008,466
Ingredion, Inc.		16,080		1,334,640
Kellogg Co.		22,966		1,517,134
Kimberly-Clark Corp.		13,076		1,848,293

See notes to financial statements.

36

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Lamb Weston Holdings, Inc.		15,061	$	962,850
McCormick & Co., Inc.		11,134		1,997,551
Mondelez International, Inc., Class A		33,370		1,706,208
Monster Beverage Corp. (a)		23,877		1,655,154
PepsiCo, Inc.		16,399		2,168,931
Philip Morris International, Inc.		15,700		1,099,942
Sysco Corp.		27,731		1,515,776
The Clorox Co.		11,192		2,455,189
The Coca-Cola Co.		36,376		1,625,280
The Estee Lauder Cos., Inc., Class A		6,440		1,215,099
The Hershey Co.		11,637		1,508,388
The J.M. Smucker Co.		15,028		1,590,113
The Kraft Heinz Co.		41,609		1,326,911
The Kroger Co.		41,413		1,401,830
Tyson Foods, Inc., Class A		17,368		1,037,043
U.S. Foods Holding Corp. (a)		45,041		888,209
Walgreens Boots Alliance, Inc.		27,437		1,163,054
Walmart, Inc.		19,869		2,379,909
				50,150,769
Energy (1.6%):
Cabot Oil & Gas Corp.		67,670		1,162,571
ConocoPhillips		21,019		883,218
Continental Resources, Inc. (b)		30,179		529,038
EOG Resources, Inc.		13,792		698,703
Exxon Mobil Corp.		27,636		1,235,882
HollyFrontier Corp.		27,206		794,415
Kinder Morgan, Inc.		92,718		1,406,532
ONEOK, Inc. (b)		22,688		753,695
Phillips 66		17,197		1,236,464
The Williams Cos., Inc.		71,795		1,365,541
Valero Energy Corp.		15,828		931,003
				10,997,062
Financials (16.8%):
Aflac, Inc.		39,990		1,440,840
Alleghany Corp.		2,290		1,120,131
Ally Financial, Inc.		42,953		851,758
American Express Co.		13,953		1,328,326
American Financial Group, Inc.		19,359		1,228,522
American International Group, Inc.		32,304		1,007,239
Ameriprise Financial, Inc.		7,942		1,191,618
Arch Capital Group Ltd. (a)		40,957		1,173,418
Ares Management Corp., Class A		30,016		1,191,635
Arthur J. Gallagher & Co.		19,210		1,872,784
Athene Holding Ltd., Class A (a)		30,285		944,589
Bank of America Corp.		48,315		1,147,481
Berkshire Hathaway, Inc., Class B (a)		10,818		1,931,121
BlackRock, Inc., Class A		3,068		1,669,268
Brown & Brown, Inc. (b)		37,768		1,539,424
Capital One Financial Corp.		14,870		930,713

See notes to financial statements.

37

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Cboe Global Markets, Inc.		13,454	$	1,254,989
Chubb Ltd.		11,040		1,397,885
Cincinnati Financial Corp.		17,249		1,104,453
Citigroup, Inc.		20,359		1,040,345
Citizens Financial Group, Inc.		38,073		960,963
CME Group, Inc.		7,265		1,180,853
Comerica, Inc.		22,067		840,753
Commerce Bancshares, Inc., Class C		28,373		1,687,343
Credit Acceptance Corp. (a) (b)		3,188		1,335,804
Discover Financial Services		18,235		913,391
East West Bancorp, Inc.		23,984		869,180
Erie Indemnity Co. Class A		7,706		1,478,781
Everest Re Group Ltd.		7,074		1,458,659
FactSet Research Systems, Inc.		5,055		1,660,416
Fidelity National Financial, Inc.		48,040		1,472,906
Fifth Third Bancorp		52,265		1,007,669
First American Financial Corp.		30,493		1,464,274
First Republic Bank		14,179		1,502,833
Franklin Resources, Inc. (b)		52,629		1,103,630
Globe Life, Inc.		19,161		1,422,321
Huntington Bancshares, Inc.		112,894		1,019,997
Intercontinental Exchange, Inc.		17,849		1,634,968
Invesco Ltd.		74,730		804,095
Jefferies Financial Group, Inc.		58,683		912,521
JPMorgan Chase & Co.		13,484		1,268,305
KeyCorp		75,534		920,004
KKR & Co., Inc.		40,113		1,238,689
Loews Corp.		34,901		1,196,755
LPL Financial Holdings, Inc.		14,404		1,129,274
M&T Bank Corp.		9,522		990,002
Markel Corp. (a)		1,542		1,423,528
MarketAxess Holdings, Inc.		2,974		1,489,736
Marsh & McLennan Cos., Inc.		17,370		1,865,017
MetLife, Inc.		35,205		1,285,687
Moody's Corp.		5,915		1,625,028
Morgan Stanley (b)		28,923		1,396,981
Morningstar, Inc.		10,617		1,496,678
MSCI, Inc.		3,993		1,332,943
Nasdaq, Inc.		15,165		1,811,762
Northern Trust Corp.		14,543		1,153,842
Old Republic International Corp.		81,476		1,328,874
People's United Financial, Inc.		99,695		1,153,471
Principal Financial Group, Inc.		28,132		1,168,603
Prosperity Bancshares, Inc.		20,907		1,241,458
Prudential Financial, Inc.		16,679		1,015,751
Raymond James Financial, Inc.		15,243		1,049,176
Regions Financial Corp.		91,102		1,013,054
Reinsurance Group of America, Inc.		12,434		975,323
RenaissanceRe Holdings Ltd.		9,323		1,594,512
S&P Global, Inc.		5,518		1,818,070

See notes to financial statements.

38

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Santander Consumer USA Holdings, Inc. (b)		52,616	$	968,661
SEI Investments Co.		24,749		1,360,700
Signature Bank		11,231		1,200,819
State Street Corp.		15,916		1,011,462
SVB Financial Group (a)		4,248		915,571
Synchrony Financial		46,144		1,022,551
T. Rowe Price Group, Inc.		12,089		1,492,992
TCF Financial Corp.		33,762		993,278
The Allstate Corp.		16,052		1,556,883
The Bank of New York Mellon Corp.		33,640		1,300,186
The Blackstone Group, Inc., Class A (b)		22,122		1,253,433
The Charles Schwab Corp.		24,567		828,891
The Goldman Sachs Group, Inc.		7,223		1,427,409
The Hartford Financial Services Group, Inc.		34,784		1,340,923
The PNC Financial Services Group, Inc.		11,773		1,238,637
The Progressive Corp.		18,616		1,491,328
The Travelers Cos., Inc.		13,545		1,544,807
Tradeweb Markets, Inc., Class A		22,302		1,296,638
Truist Financial Corp.		31,374		1,178,094
U.S. Bancorp		37,055		1,364,365
Voya Financial, Inc.		24,791		1,156,500
W.R. Berkley Corp.		23,743		1,360,236
Wells Fargo & Co.		35,724		914,534
Zions Bancorp NA (b)		30,530		1,038,020
				113,337,337
Health Care (13.8%):
Abbott Laboratories		21,685		1,982,660
AbbVie, Inc.		12,631		1,240,112
ABIOMED, Inc. (a)		3,802		918,411
Agilent Technologies, Inc.		18,876		1,668,072
Alexion Pharmaceuticals, Inc. (a)		9,071		1,018,129
Align Technology, Inc. (a) (b)		3,058		839,238
Amedisys, Inc. (a)		6,184		1,227,771
AmerisourceBergen Corp.		13,816		1,392,238
Amgen, Inc.		6,959		1,641,350
Anthem, Inc.		4,323		1,136,863
Baxter International, Inc.		17,452		1,502,617
Biogen, Inc. (a)		2,386		638,374
Bio-Techne Corp.		7,422		1,959,927
Boston Scientific Corp. (a)		35,765		1,255,709
Bruker Corp.		24,254		986,653
Centene Corp. (a)		17,302		1,099,542
Cerner Corp. (b)		24,264		1,663,298
Charles River Laboratories International, Inc. (a)		8,055		1,404,389
Chemed Corp.		3,774		1,702,338
Cigna Corp.		5,558		1,042,959
CVS Health Corp.		21,771		1,414,462
Danaher Corp.		10,855		1,919,490
DaVita, Inc. (a)		13,855		1,096,485
DENTSPLY SIRONA, Inc.		32,501		1,431,994

See notes to financial statements.

39

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Edwards Lifesciences Corp. (a)		17,763	$	1,227,601
Eli Lilly & Co.		12,201		2,003,159
Encompass Health Corp.		16,458		1,019,244
Exelixis, Inc. (a)		43,044		1,021,865
HCA Healthcare, Inc.		9,650		936,629
Henry Schein, Inc. (a)		23,893		1,395,112
Hill-Rom Holdings, Inc.		16,695		1,832,777
Humana, Inc.		3,397		1,317,187
IDEXX Laboratories, Inc. (a)		4,871		1,608,209
Illumina, Inc. (a)		3,584		1,327,334
Incyte Corp. (a)		13,866		1,441,648
Insulet Corp. (a)		4,086		793,746
Intuitive Surgical, Inc. (a)		2,395		1,364,743
IQVIA Holdings, Inc. (a)		9,817		1,392,836
Jazz Pharmaceuticals PLC (a)		10,605		1,170,156
Johnson & Johnson		13,681		1,923,959
Laboratory Corp. of America Holdings (a)		9,810		1,629,539
Masimo Corp. (a)		8,832		2,013,608
Medtronic PLC		18,853		1,728,820
Merck & Co., Inc.		21,942		1,696,775
Mettler-Toledo International, Inc. (a)		1,920		1,546,656
Molina Healthcare, Inc. (a)		7,199		1,281,278
Penumbra, Inc. (a) (b)		5,534		989,590
PerkinElmer, Inc.		15,796		1,549,430
PRA Health Sciences, Inc. (a)		12,593		1,225,173
Quest Diagnostics, Inc.		18,269		2,081,935
Regeneron Pharmaceuticals, Inc. (a)		2,394		1,493,018
ResMed, Inc.		8,216		1,577,472
Stryker Corp.		8,283		1,492,514
Teleflex, Inc.		4,133		1,504,329
The Cooper Cos., Inc. (b)		5,302		1,503,859
Thermo Fisher Scientific, Inc.		4,817		1,745,392
UnitedHealth Group, Inc.		4,627		1,364,734
Universal Health Services, Inc., Class B		11,044		1,025,877
Varian Medical Systems, Inc. (a)		9,881		1,210,620
Veeva Systems, Inc., Class A (a)		7,089		1,661,803
Vertex Pharmaceuticals, Inc. (a)		5,731		1,663,766
Waters Corp. (a)		7,515		1,355,706
West Pharmaceutical Services, Inc.		9,602		2,181,286
Zimmer Biomet Holdings, Inc.		10,405		1,241,941
Zoetis, Inc.		11,617		1,591,994
				92,316,401
Industrials (15.3%):
3M Co.		9,065		1,414,049
Alaska Air Group, Inc.		24,672		894,607
Allegion PLC		13,091		1,338,162
AMERCO, Inc.		3,899		1,178,239
American Airlines Group, Inc. (b)		41,625		544,039
AMETEK, Inc.		18,748		1,675,509
AO Smith Corp.		32,105		1,512,788

See notes to financial statements.

40

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June 30, 2020

Security Description	Shares		Value
C.H. Robinson Worldwide, Inc. (b)		16,459	$	1,301,249
Carlisle Cos., Inc.		9,437		1,129,326
Caterpillar, Inc.		10,293		1,302,065
Cintas Corp.		5,348		1,424,493
Copart, Inc. (a)		17,761		1,478,958
CoStar Group, Inc. (a)		1,707		1,213,114
CSX Corp.		19,243		1,342,007
Cummins, Inc.		8,865		1,535,950
Deere & Co.		7,874		1,237,399
Delta Air Lines, Inc.		29,206		819,228
Donaldson Co., Inc.		29,824		1,387,412
Dover Corp.		13,880		1,340,253
Eaton Corp. PLC		14,765		1,291,642
Emerson Electric Co.		21,379		1,326,139
Enphase Energy, Inc. (a)		7,165		340,839
Expeditors International of Washington, Inc.		20,065		1,525,742
Fastenal Co.		29,318		1,255,983
Fortive Corp.		19,944		1,349,411
Fortune Brands Home & Security, Inc.		20,948		1,339,206
Generac Holdings, Inc. (a)		9,839		1,199,669
General Dynamics Corp.		10,697		1,598,774
Graco, Inc.		28,900		1,386,911
HD Supply Holdings, Inc. (a)		41,318		1,431,669
HEICO Corp.		10,694		1,065,657
Honeywell International, Inc.		9,957		1,439,683
Hubbell, Inc.		11,638		1,458,940
Huntington Ingalls Industries, Inc.		6,332		1,104,871
IDEX Corp.		10,635		1,680,755
Illinois Tool Works, Inc.		8,510		1,487,974
Ingersoll Rand, Inc. (a) (b)		32,829		923,151
J.B. Hunt Transport Services, Inc.		13,034		1,568,512
Kansas City Southern		9,024		1,347,193
Knight-Swift Transportation Holdings, Inc.		28,729		1,198,287
L3Harris Technologies, Inc.		7,240		1,228,411
Lennox International, Inc. (b)		6,188		1,441,742
Lockheed Martin Corp.		4,997		1,823,505
Masco Corp.		31,107		1,561,882
Nordson Corp.		9,525		1,806,989
Norfolk Southern Corp.		6,885		1,208,799
Old Dominion Freight Line, Inc.		10,183		1,726,934
Owens Corning, Inc.		19,908		1,110,070
PACCAR, Inc.		20,452		1,530,832
Parker-Hannifin Corp.		6,095		1,117,031
Quanta Services, Inc.		32,813		1,287,254
Raytheon Technologies Corp.		12,470		768,401
Republic Services, Inc.		24,578		2,016,625
Robert Half International, Inc.		25,763		1,361,059
Rockwell Automation, Inc.		6,124		1,304,412
Rollins, Inc. (b)		36,841		1,561,690
Roper Technologies, Inc.		4,649		1,805,021

See notes to financial statements.

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June 30, 2020

Security Description	Shares		Value
Snap-on, Inc.		10,468	$	1,449,923
Southwest Airlines Co.		30,657		1,047,856
Spirit AeroSystems Holdings, Inc., Class A (b)		19,542		467,835
Stanley Black & Decker, Inc.		7,469		1,041,029
Teledyne Technologies, Inc. (a)		4,342		1,350,145
Textron, Inc.		25,178		828,608
The Middleby Corp. (a) (b)		11,083		874,892
The Toro Co.		23,554		1,562,572
Trane Technologies PLC		16,432		1,462,119
TransDigm Group, Inc.		2,082		920,348
TransUnion		15,767		1,372,360
Trex Co., Inc. (a) (b)		9,046		1,176,613
Union Pacific Corp.		8,037		1,358,816
United Airlines Holdings, Inc. (a)		19,155		662,955
United Rentals, Inc. (a)		6,350		946,404
Verisk Analytics, Inc.		12,165		2,070,483
W.W. Grainger, Inc.		4,373		1,373,822
Waste Management, Inc.		17,870		1,892,612
Watsco, Inc.		11,385		2,023,114
Woodward, Inc.		13,411		1,040,023
XPO Logistics, Inc. (a)		10,268		793,203
Xylem, Inc.		16,914		1,098,733
				102,864,977
Information Technology (16.7%):
Accenture PLC, Class A		9,565		2,053,797
Adobe, Inc. (a)		3,985		1,734,710
Advanced Micro Devices, Inc. (a)		15,557		818,454
Akamai Technologies, Inc. (a)		16,404		1,756,704
Amphenol Corp., Class A		15,918		1,525,103
Analog Devices, Inc.		10,280		1,260,739
ANSYS, Inc. (a)		5,030		1,467,402
Apple, Inc.		4,678		1,706,534
Applied Materials, Inc.		15,717		950,093
Arista Networks, Inc. (a)		3,983		836,549
Aspen Technology, Inc. (a)		8,751		906,691
Automatic Data Processing, Inc.		10,456		1,556,794
Black Knight, Inc. (a)		23,767		1,724,534
Booz Allen Hamilton Holdings Corp.		20,385		1,585,749
Broadcom, Inc.		4,055		1,279,799
Broadridge Financial Solutions, Inc.		13,730		1,732,589
CACI International, Inc., Class A (a)		5,606		1,215,829
Cadence Design Systems, Inc. (a)		17,500		1,679,300
CDW Corp.		10,416		1,210,131
Ciena Corp. (a)		22,906		1,240,589
Cisco Systems, Inc.		30,385		1,417,156
Citrix Systems, Inc.		16,697		2,469,652
Cognex Corp.		20,366		1,216,258
Cognizant Technology Solutions Corp., Class A		23,716		1,347,543
Corning, Inc.		48,615		1,259,129
Dell Technologies, Inc., Class C (a)		22,507		1,236,535

See notes to financial statements.

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June 30, 2020

Security Description	Shares		Value
Dolby Laboratories, Inc., Class A		19,823	$	1,305,741
Entegris, Inc. (b)		20,550		1,213,478
EPAM Systems, Inc. (a)		4,802		1,210,152
Euronet Worldwide, Inc. (a)		9,829		941,815
F5 Networks, Inc. (a)		10,153		1,416,140
Fair Isaac Corp. (a)		2,685		1,122,437
Fiserv, Inc. (a)		13,190		1,287,608
FleetCor Technologies, Inc. (a)		4,729		1,189,485
FLIR Systems, Inc.		23,615		958,061
Fortinet, Inc. (a)		10,413		1,429,393
Gartner, Inc. (a)		7,938		963,118
Genpact Ltd.		37,774		1,379,506
Global Payments, Inc.		8,152		1,382,742
Intel Corp.		21,005		1,256,729
International Business Machines Corp.		11,208		1,353,590
Jack Henry & Associates, Inc.		11,008		2,025,801
Juniper Networks, Inc.		65,362		1,494,176
Keysight Technologies, Inc. (a)		9,848		992,481
KLA Corp.		6,172		1,200,331
Lam Research Corp.		3,052		987,200
Leidos Holdings, Inc.		12,360		1,157,761
Mastercard, Inc., Class A		4,694		1,388,016
Maxim Integrated Products, Inc.		21,469		1,301,236
Microchip Technology, Inc. (b)		10,511		1,106,913
Micron Technology, Inc. (a)		14,267		735,036
Microsoft Corp.		9,194		1,871,071
MKS Instruments, Inc.		7,673		868,891
Monolithic Power Systems, Inc.		6,371		1,509,926
Motorola Solutions, Inc.		9,236		1,294,241
NetApp, Inc.		17,858		792,359
NortonLifeLock, Inc.		28,429		563,747
NVIDIA Corp.		3,067		1,165,184
Oracle Corp.		29,936		1,654,563
Paychex, Inc.		23,181		1,755,961
Paycom Software, Inc. (a)		3,007		931,358
Paylocity Holding Corp. (a)		6,769		987,529
PayPal Holdings, Inc. (a)		11,277		1,964,792
Qorvo, Inc. (a)		8,276		914,746
QUALCOMM, Inc.		13,599		1,240,365
RealPage, Inc. (a)		15,788		1,026,378
Seagate Technology PLC		24,383		1,180,381
Skyworks Solutions, Inc.		9,648		1,233,593
SS&C Technologies Holdings, Inc.		17,425		984,164
SYNNEX Corp.		6,646		795,991
Synopsys, Inc. (a)		8,754		1,707,030
TE Connectivity Ltd.		17,360		1,415,708
Teradyne, Inc. (b)		14,199		1,199,957
Texas Instruments, Inc.		10,225		1,298,268
The Trade Desk, Inc., Class A (a) (b)		2,099		853,244
The Western Union Co. (b)		61,630		1,332,441

See notes to financial statements.

43

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June 30, 2020

Security Description	Shares		Value
Trimble, Inc. (a)		30,905	$	1,334,787
Tyler Technologies, Inc. (a)		5,395		1,871,418
Ubiquiti, Inc. (b)		4,453		777,316
Universal Display Corp.		4,869		728,500
VeriSign, Inc. (a)		7,922		1,638,507
Visa, Inc., Class A		8,499		1,641,752
VMware, Inc., Class A (a) (b)		7,588		1,175,078
WEX, Inc. (a)		5,694		939,567
Xerox Holdings Corp.		31,547		482,354
Xilinx, Inc.		10,978		1,080,125
Zebra Technologies Corp. (a)		3,984		1,019,705
Zoom Video Communications, Inc., Class A (a) (b)		6,114		1,550,144
				112,768,450
Materials (4.7%):
Air Products & Chemicals, Inc.		6,798		1,641,445
Albemarle Corp. (b)		9,783		755,345
AptarGroup, Inc.		18,724		2,096,714
Axalta Coating Systems Ltd. (a)		46,647		1,051,890
Ball Corp.		17,895		1,243,524
Celanese Corp.		13,950		1,204,443
CF Industries Holdings, Inc.		29,301		824,530
Crown Holdings, Inc. (a)		18,247		1,188,427
Eastman Chemical Co.		17,506		1,219,118
Ecolab, Inc.		8,997		1,789,953
International Flavors & Fragrances, Inc.		7,948		973,312
International Paper Co.		32,963		1,160,627
LyondellBasell Industries NV, Class A		14,741		968,779
Martin Marietta Materials, Inc. (b)		6,175		1,275,570
Nucor Corp.		29,563		1,224,204
Packaging Corp. of America		15,163		1,513,267
PPG Industries, Inc.		15,247		1,617,097
Reliance Steel & Aluminum Co.		11,025		1,046,603
Royal Gold, Inc.		11,030		1,371,250
RPM International, Inc.		24,575		1,844,600
Steel Dynamics, Inc.		36,632		955,729
The Sherwin-Williams Co.		2,848		1,645,717
Vulcan Materials Co.		13,480		1,561,658
Westlake Chemical Corp.		15,259		818,645
Westrock Co.		28,922		817,336
				31,809,783
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		25,245		1,141,579
Jones Lang LaSalle, Inc.		8,235		851,993
				1,993,572
Utilities (7.3%):
Alliant Energy Corp.		41,403		1,980,720
Ameren Corp.		28,589		2,011,522
American Electric Power Co., Inc.		23,827		1,897,582

See notes to financial statements.

44

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June 30, 2020

Security Description	Shares		Value
American Water Works Co., Inc.		15,984	$	2,056,501
Atmos Energy Corp.		20,612		2,052,543
CenterPoint Energy, Inc.		65,151		1,216,369
CMS Energy Corp.		33,678		1,967,469
Consolidated Edison, Inc.		25,881		1,861,620
DTE Energy Co.		17,885		1,922,638
Duke Energy Corp.		24,942		1,992,616
Edison International		18,701		1,015,651
Entergy Corp.		18,495		1,735,016
Essential Utilities, Inc.		36,349		1,535,382
Evergy, Inc.		35,652		2,113,807
Eversource Energy		25,641		2,135,127
Exelon Corp.		42,271		1,534,015
MDU Resources Group, Inc.		69,255		1,536,076
NextEra Energy, Inc.		8,111		1,948,019
NRG Energy, Inc.		42,270		1,376,311
OGE Energy Corp.		54,362		1,650,430
Pinnacle West Capital Corp.		21,887		1,604,098
PPL Corp.		56,386		1,457,014
Public Service Enterprise Group, Inc.		41,234		2,027,063
Sempra Energy		14,503		1,700,187
The Southern Co.		32,217		1,670,451
Vistra Corp.		68,109		1,268,190
WEC Energy Group, Inc.		22,562		1,977,559
Xcel Energy, Inc.		32,367		2,022,938
				49,266,914
Total Common Stocks (Cost $642,690,854)				667,362,523
Rights (0.0%) (c)
Communication Services (0.0%): (c)
T-Mobile U.S., Inc., Expires 7/28/20 (a)		14,605		2,454
Total Rights (Cost $—)				2,454
Collateral for Securities Loaned^ (4.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		453,361		453,361
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		13,721,293		13,721,293
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		3,152,665		3,152,665
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		1,804,045		1,804,045
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		8,111,340		8,111,340
Total Collateral for Securities Loaned (Cost $27,242,704)				27,242,704
Total Investments (Cost $669,933,558) — 103.7%				694,607,681
Liabilities in excess of other assets — (3.7)%				(24,602,814	)
NET ASSETS — 100.00%			$	670,004,867

See notes to financial statements.

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June 30, 2020

^  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 June 30, 2020.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		15	9/18/20	$	2,269,873	$	2,317,650	$	47,777
	Total unrealized appreciation							$	47,777
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	47,777

See notes to financial statements.

46

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June 30, 2020

Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (2.3%):
Cargurus, Inc. (a)		1,020	$	25,857
Cumulus Media, Inc., Class A (a) (b)		2,242		8,856
John Wiley & Sons, Inc., Class A		1,465		57,135
MSG Networks, Inc., Class A (a) (b)		2,503		24,905
QuinStreet, Inc. (a)		1,659		17,353
Sciplay Corp., Class A (a)		2,917		43,259
Shenandoah Telecommunications Co.		645		31,792
TechTarget, Inc. (a)		1,394		41,862
Telephone & Data Systems, Inc.		1,379		27,415
The Marcus Corp.		1,501		19,918
United States Cellular Corp. (a)		782		24,140
WideOpenWest, Inc. (a)		4,701		24,774
Yelp, Inc. (a)		1,058		24,472
				371,738
Consumer Discretionary (17.2%):
Acushnet Holdings Corp.		1,997		69,476
Adtalem Global Education, Inc. (a)		1,045		32,552
American Eagle Outfitters, Inc. (b)		2,131		23,228
America's Car-Mart, Inc. (a)		332		29,173
Asbury Automotive Group, Inc. (a)		452		34,953
Big Lots, Inc.		1,134		47,628
BJ's Restaurants, Inc.		793		16,605
Bloomin' Brands, Inc.		1,980		21,107
Boot Barn Holdings, Inc. (a)		869		18,736
Boyd Gaming Corp.		1,362		28,466
Brinker International, Inc.		1,112		26,688
Carriage Services, Inc.		1,452		26,310
Cavco Industries, Inc. (a)		178		34,327
Century Communities, Inc. (a)		1,041		31,917
Collectors Universe, Inc.		1,300		44,564
Conn's, Inc. (a)		2,291		23,116
Cooper Tire & Rubber Co.		1,489		41,111
Core-Mark Holding Co., Inc.		1,349		33,664
Crocs, Inc. (a)		980		36,083
Dave & Buster's Entertainment, Inc. (b)		940		12,530
Denny's Corp. (a)		2,980		30,098
Dine Brands Global, Inc.		468		19,703
Dorman Products, Inc. (a)		543		36,419
El Pollo Loco Holdings, Inc. (a)		2,010		29,668
Fox Factory Holding Corp. (a)		544		44,940
Garrett Motion, Inc. (a)		3,303		18,299
Genesco, Inc. (a)		625		13,538
Gentherm, Inc. (a)		1,044		40,612
G-III Apparel Group Ltd. (a)		999		13,277
Graham Holdings Co. Class B		132		45,232
Green Brick Partners, Inc. (a)		3,901		46,227
Group 1 Automotive, Inc.		390		25,728

See notes to financial statements.

47

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June 30, 2020

Security Description	Shares		Value
Haverty Furniture Cos., Inc.		2,028	$	32,448
Hilton Grand Vacations, Inc. (a)		1,404		27,448
Hooker Furniture Corp.		2,206		42,907
Installed Building Products, Inc. (a)		479		32,946
iRobot Corp. (a) (b)		518		43,460
Jack in the Box, Inc.		564		41,786
Johnson Outdoors, Inc., Class A		569		51,790
KB Home		1,209		37,092
Kontoor Brands, Inc.		819		14,586
La-Z-Boy, Inc.		1,320		35,719
LCI Industries		396		45,532
LGI Homes, Inc. (a)		428		37,677
Lithia Motors, Inc., Class A		265		40,102
M/I Homes, Inc. (a)		1,078		37,126
Malibu Boats, Inc., Class A (a)		630		32,729
MarineMax, Inc. (a)		1,412		31,615
MDC Holdings, Inc.		950		33,915
Meritage Homes Corp. (a)		568		43,236
Monarch Casino & Resort, Inc. (a)		1,059		36,091
Monro, Inc.		642		35,271
Movado Group, Inc.		1,724		18,688
Murphy USA, Inc. (a)		337		37,943
National Vision Holdings, Inc. (a)		720		21,974
Oxford Industries, Inc.		652		28,695
PetMed Express, Inc.		802		28,583
Rent-A-Center, Inc.		1,676		46,626
Rocky Brands, Inc.		1,478		30,388
Ruth's Hospitality Group, Inc.		1,716		14,003
Sally Beauty Holdings, Inc. (a) (b)		1,870		23,431
Shoe Carnival, Inc.		959		28,070
Shutterstock, Inc.		1,063		37,173
Skyline Champion Corp. (a)		1,052		25,606
Sleep Number Corp. (a)		625		26,025
Sonic Automotive, Inc., Class A		1,103		35,197
Stamps.com, Inc. (a)		88		16,165
Standard Motor Products, Inc.		985		40,582
Steven Madden Ltd.		1,067		26,344
Stoneridge, Inc. (a)		1,759		36,341
Sturm Ruger & Co., Inc.		780		59,280
The Buckle, Inc. (b)		1,069		16,762
The Cheesecake Factory, Inc. (b)		1,116		25,579
The Children's Place, Inc.		385		14,407
The Michaels Cos., Inc. (a)		3,314		23,430
Tilly's, Inc., Class A		3,308		18,756
TRI Pointe Group, Inc. (a)		3,012		44,246
Tupperware Brands Corp.		4,690		22,278
Twin River Worldwide Holdings, Inc.		1,335		29,757
Urban Outfitters, Inc. (a)		1,140		17,351
Visteon Corp. (a)		398		27,263
Wingstop, Inc.		445		61,841

See notes to financial statements.

48

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June 30, 2020

Security Description	Shares		Value
Winmark Corp.		337	$	57,708
Winnebago Industries, Inc.		561		37,374
XPEL, Inc. (a)		1,249		19,534
YETI Holdings, Inc. (a)		810		34,611
Zumiez, Inc. (a)		1,020		27,928
				2,789,390
Consumer Staples (5.8%):
B&G Foods, Inc. (b)		1,746		42,567
BJ's Wholesale Club Holdings, Inc. (a)		1,756		65,446
elf Beauty, Inc. (a)		1,694		32,305
Hostess Brands, Inc. (a)		5,223		63,825
Ingles Markets, Inc., Class A		1,148		49,444
Inter Parfums, Inc.		727		35,005
John B Sanfilippo & Son, Inc.		591		50,430
Lifevantage Corp. (a)		2,531		34,219
Medifast, Inc. (b)		276		38,301
MGP Ingredients, Inc. (b)		715		26,244
National Beverage Corp. (a)		654		39,907
Nu Skin Enterprises, Inc., Class A		1,107		42,320
PriceSmart, Inc.		601		36,258
Sprouts Farmers Market, Inc. (a)		2,338		59,829
The Chefs' Warehouse, Inc. (a)		1,225		16,636
Tootsie Roll Industries, Inc. (b)		1,913		65,559
Universal Corp.		1,018		43,276
USANA Health Sciences, Inc. (a)		375		27,536
Vector Group Ltd.		2,572		25,874
WD-40 Co.		355		70,397
Weis Markets, Inc.		1,404		70,369
				935,747
Energy (1.8%):
Archrock, Inc.		4,542		29,477
Cactus, Inc., Class A		1,141		23,539
CONSOL Energy, Inc. (a)		3,466		17,573
Core Laboratories NV		884		17,963
CVR Energy, Inc.		1,385		27,852
Delek U.S. Holdings, Inc.		1,343		23,382
Falcon Minerals Corp.		6,462		20,678
Helix Energy Solutions Group, Inc. (a)		3,840		13,325
Magnolia Oil & Gas Corp., Class A (a)		4,042		24,495
ProPetro Holding Corp. (a)		1,950		10,023
Solaris Oilfield Infrastructure, Inc., Class A		2,592		19,233
Southwestern Energy Co. (a)		12,230		31,309
World Fuel Services Corp.		1,300		33,487
				292,336
Financials (22.2%):
American National Insurance Co.		635		45,764
Ameris Bancorp		1,438		33,922
AMERISAFE, Inc.		720		44,035

See notes to financial statements.

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Security Description	Shares		Value
Artisan Partners Asset Management, Inc., Class A		1,516	$	49,269
Associated Bancorp		3,101		42,422
Atlantic Union Bankshares Corp.		1,676		38,816
Axos Financial, Inc. (a)		1,544		34,092
B. Riley Financial, Inc.		1,402		30,508
BancFirst Corp.		1,085		44,018
BancorpSouth Bank		2,236		50,847
Bank of Hawaii Corp.		829		50,909
BankUnited, Inc.		1,683		34,081
Banner Corp.		1,073		40,774
Berkshire Hills Bancorp, Inc.		1,975		21,765
Cadence Bancorp		2,042		18,092
Cannae Holdings, Inc. (a)		994		40,853
Capitol Federal Financial, Inc.		5,989		65,939
Cathay General Bancorp		1,732		45,552
CNO Financial Group, Inc.		2,720		42,350
Cohen & Steers, Inc.		675		45,934
Columbia Banking System, Inc.		1,642		46,542
Columbia Financial, Inc. (a)		5,124		71,504
CVB Financial Corp.		3,157		59,162
Eagle Bancorp, Inc.		815		26,691
Employers Holdings, Inc.		1,511		45,557
Evercore, Inc.		589		34,704
Federated Hermes, Inc.		1,720		40,764
First Bancorp, Inc.		5,756		32,176
First Busey Corp.		2,791		52,052
First Financial Bancorp		2,364		32,836
First Interstate BancSystem, Inc., Class A		1,772		54,861
First Merchants Corp.		1,454		40,087
First Midwest Bancorp, Inc.		2,900		38,715
Flagstar Bancorp, Inc.		1,883		55,417
Fulton Financial Corp.		4,116		43,341
Goosehead Insurance, Inc., Class A (a)		557		41,864
Great Western Bancorp, Inc.		1,734		23,860
Hancock Whitney Corp.		1,334		28,281
Heartland Financial USA, Inc.		1,119		37,419
Hilltop Holdings, Inc.		2,572		47,453
Home BancShares, Inc.		2,829		43,510
Hope Bancorp, Inc.		4,252		39,203
Horace Mann Educators Corp.		1,381		50,724
Independent Bank Corp.		731		49,043
Independent Bank Group, Inc.		1,068		43,275
International Bancshares Corp.		1,487		47,614
Investors Bancorp, Inc.		6,021		51,179
Kinsale Capital Group, Inc.		304		47,184
Mercury General Corp.		1,044		42,543
Moelis & Co. Class A		1,172		36,520
National General Holdings Corp.		2,610		56,403
Navient Corp.		3,140		22,074
NBT Bancorp, Inc.		1,781		54,784

See notes to financial statements.

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Security Description	Shares		Value
Nelnet, Inc., Class A		1,140	$	54,424
NMI Holdings, Inc., Class A (a)		1,372		22,062
Northwest Bancshares, Inc.		5,015		51,278
Oceanfirst Financial Corp.		2,881		50,792
Old National Bancorp		3,873		53,292
Pacific Premier Bancorp, Inc.		1,791		38,829
Park National Corp.		669		47,084
Pennymac Financial Services		1,288		53,826
PRA Group, Inc. (a)		1,071		41,405
Provident Financial Services, Inc.		3,648		52,714
Renasant Corp.		1,854		46,165
S&T Bancorp, Inc.		1,812		42,491
Safety Insurance Group, Inc.		719		54,831
Seacoast Banking Corp. of Florida (a)		1,903		38,821
ServisFirst Bancshares, Inc.		1,233		44,092
Simmons First National Corp., Class A		2,132		36,479
South State Corp.		788		37,556
Towne Bank		2,644		49,813
Trustmark Corp.		2,071		50,781
UMB Financial Corp.		922		47,529
United Bankshares, Inc.		1,869		51,697
United Community Banks, Inc.		2,020		40,642
Veritex Holdings, Inc.		2,087		36,940
Victory Capital Holdings, Inc., Class A (c)		1,610		27,676
Walker & Dunlop, Inc.		647		32,874
Washington Federal, Inc.		2,198		58,994
WesBanco, Inc.		1,809		36,741
Westamerica Bancorp		1,103		63,334
WSFS Financial Corp.		1,521		43,653
				3,564,099
Health Care (8.3%):
Addus HomeCare Corp. (a)		496		45,910
Amphastar Pharmaceuticals, Inc. (a)		2,684		60,283
Anika Therapeutics, Inc. (a)		474		17,884
Atrion Corp.		81		51,598
BioLife Solutions, Inc. (a)		1,589		25,980
BioSpecifics Technologies Corp. (a)		733		44,919
BioTelemetry, Inc. (a)		765		34,570
Computer Programs & Systems, Inc.		1,134		25,844
CONMED Corp.		561		40,386
Corcept Therapeutics, Inc. (a)		2,198		36,970
CorVel Corp. (a)		701		49,694
Enanta Pharmaceuticals, Inc. (a)		626		31,431
HealthStream, Inc. (a)		2,096		46,384
HMS Holdings Corp. (a)		1,351		43,759
Innoviva, Inc. (a)		2,894		40,458
Integer Holdings Corp. (a)		512		37,402
iRadimed Corp. (a)		899		20,866
Lantheus Holdings, Inc. (a)		1,620		23,166
LeMaitre Vascular, Inc.		1,199		31,654

See notes to financial statements.

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Security Description	Shares		Value
Magellan Health, Inc. (a)		637	$	46,488
Meridian Bioscience, Inc. (a)		3,076		71,639
National Healthcare Corp.		867		55,003
National Research Corp.		773		44,996
Nextgen Healthcare, Inc. (a)		2,164		23,761
Phibro Animal Health Corp., Class A		956		25,114
Simulations Plus, Inc.		830		49,651
STAAR Surgical Co. (a)		747		45,970
Supernus Pharmaceuticals, Inc. (a)		1,199		28,476
Surmodics, Inc. (a)		865		37,403
Tactile Systems Technology, Inc. (a)		619		25,645
The Ensign Group, Inc.		839		35,112
The Joint Corp. (a)		2,111		32,235
Triple-S Management Corp., Class B (a)		1,627		30,946
U.S. Physical Therapy, Inc.		310		25,116
Zynex, Inc. (a)		1,233		30,665
				1,317,378
Industrials (22.9%):
AAON, Inc.		708		38,437
ABM Industries, Inc.		1,513		54,921
Alamo Group, Inc.		308		31,613
Albany International Corp.		653		38,338
Allegiant Travel Co.		333		36,368
Allied Motion Technologies, Inc.		796		28,099
Altra Industrial Motion Corp.		955		30,426
Ameresco, Inc., Class A (a)		1,754		48,726
American Woodmark Corp. (a)		428		32,378
Applied Industrial Technologies, Inc.		798		49,786
Arcosa, Inc.		923		38,951
ASGN, Inc. (a)		812		54,143
Atkore International Group, Inc. (a)		1,099		30,058
AZZ, Inc.		887		30,442
Barnes Group, Inc.		663		26,228
BMC Stock Holdings, Inc. (a)		1,650		41,481
Brady Corp., Class A		1,148		53,749
Builders FirstSource, Inc. (a)		1,562		32,333
Chart Industries, Inc. (a)		529		25,651
Columbus McKinnon Corp.		1,087		36,360
Comfort Systems USA, Inc.		766		31,215
Construction Partners, Inc., Class A (a)		1,611		28,611
CSW Industrials, Inc.		808		55,842
Ducommun, Inc. (a)		446		15,552
DXP Enterprise, Inc. (a)		1,108		22,060
Echo Global Logistics, Inc. (a)		1,826		39,478
Encore Wire Corp.		865		42,229
EnerSys		573		36,890
Ennis, Inc.		2,744		49,776
ESCO Technologies, Inc.		584		49,365
Evoqua Water Technologies Corp. (a)		1,406		26,152
Federal Signal Corp.		1,449		43,079

See notes to financial statements.

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Security Description	Shares		Value
Forward Air Corp.		893	$	44,489
Foundation Building Materials, Inc. (a)		1,956		30,533
Franklin Electric Co., Inc.		926		48,634
GATX Corp.		623		37,991
Gibraltar Industries, Inc. (a)		874		41,961
GMS, Inc. (a)		1,256		30,885
GrafTech International Ltd. (b)		3,146		25,105
Great Lakes Dredge & Dock Corp. (a)		3,436		31,817
H&E Equipment Services, Inc.		1,236		22,841
Hawaiian Holdings, Inc.		1,460		20,498
Healthcare Services Group		1,019		24,925
Heartland Express, Inc.		2,794		58,171
Heidrick & Struggles International, Inc.		1,574		34,030
Helios Technologies, Inc. (b)		672		25,032
Herman Miller, Inc.		1,019		24,059
HNI Corp.		1,369		41,850
Hub Group, Inc., Class A (a)		824		39,437
Huron Consulting Group, Inc. (a)		701		31,019
Hyster-Yale Materials Handling, Inc.		632		24,433
ICF International, Inc.		667		43,242
Insperity, Inc.		300		19,419
Interface, Inc.		2,211		17,998
JELD-WEN Holding, Inc. (a)		1,555		25,051
Kadant, Inc. (b)		412		41,060
Kaman Corp.		848		35,277
KAR Auction Services, Inc.		1,784		24,548
Kimball International, Inc., Class B		2,992		34,588
Knoll, Inc.		2,218		27,037
Korn Ferry		998		30,669
Kratos Defense & Security Solutions, Inc. (a)		1,473		23,023
Marten Transport Ltd.		1,881		47,326
Matson, Inc.		1,161		33,785
McGrath RentCorp		664		35,863
Meritor, Inc. (a)		1,252		24,790
Mesa Air Group, Inc. (a)		3,300		11,352
Moog, Inc., Class A		533		28,238
Mueller Industries, Inc.		1,383		36,760
Mueller Water Products, Inc., Class A		4,324		40,775
MYR Group, Inc. (a)		1,369		43,685
National Presto Industries, Inc.		548		47,890
NV5 Global, Inc. (a)		469		23,839
Patrick Industries, Inc.		523		32,034
PGT Innovations, Inc. (a)		2,055		32,222
Powell Industries, Inc.		1,061		29,061
Primoris Services Corp.		2,088		37,083
Proto Labs, Inc. (a)		342		38,465
Raven Industries, Inc.		1,460		31,405
Resources Connection, Inc.		3,805		45,546
Rush Enterprises, Inc., Class A		962		39,885

See notes to financial statements.

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Security Description	Shares		Value
Saia, Inc. (a)		362	$	40,247
SkyWest, Inc.		860		28,053
SP Plus Corp. (a)		1,083		22,429
Spirit Airlines, Inc. (a) (b)		919		16,358
SPX Corp. (a)		996		40,985
Standex International Corp.		476		27,394
Steelcase, Inc., Class A		2,144		25,857
Sterling Construction Co., Inc. (a)		2,617		27,400
Tennant Co.		528		34,325
The Gorman-Rupp Co.		1,444		44,880
The Greenbrier Cos., Inc.		1,164		26,481
The Shyft Group, Inc.		1,823		30,699
Thermon Group Holdings, Inc. (a)		2,165		31,544
TriMas Corp. (a)		1,955		46,822
Trinity Industries, Inc.		1,592		33,894
Triton International Ltd.		1,366		41,308
TrueBlue, Inc. (a)		1,982		30,265
UFP Industries, Inc.		642		31,785
Valmont Industries, Inc.		362		41,130
Vectrus, Inc. (a)		701		34,440
Vicor Corp. (a)		692		49,789
Wabash National Corp.		3,461		36,756
Werner Enterprises, Inc.		1,506		65,556
WESCO International, Inc. (a)		960		33,706
				3,660,466
Information Technology (10.0%):
ACM Research, Inc., Class A (a)		420		26,191
Advanced Energy Industries, Inc. (a)		542		36,742
Alarm.com Holdings, Inc. (a)		811		52,561
American Software, Inc., Class A		1,924		30,322
Axcelis Technologies, Inc. (a)		1,262		35,147
Badger Meter, Inc.		684		43,037
Brooks Automation, Inc.		797		35,259
Cass Information Systems, Inc.		1,159		45,236
Comtech Telecommunications Corp.		1,036		17,498
CSG Systems International, Inc.		1,034		42,797
CTS Corp.		1,329		26,633
Digi International, Inc. (a)		2,516		29,311
Diodes, Inc. (a)		824		41,777
Ebix, Inc.		982		21,958
ePlus, Inc. (a)		375		26,505
EVERTEC, Inc.		1,350		37,935
ExlService Holdings, Inc. (a)		816		51,734
Fabrinet (a)		563		35,142
FormFactor, Inc. (a)		1,651		48,424
GlobalSCAPE, Inc.		2,074		20,222
GreenSky, Inc., Class A (a)		2,271		11,128
Ichor Holdings Ltd. (a)		751		19,962
Insight Enterprises, Inc. (a)		761		37,441
Intelligent Systems Corp. (a)		578		19,698

See notes to financial statements.

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Security Description	Shares		Value
Lattice Semiconductor Corp. (a)		1,340	$	38,043
Methode Electronics, Inc.		1,142		35,699
MTS Systems Corp.		762		13,404
Napco Security Technologies, Inc. (a)		1,023		23,928
NIC, Inc.		1,596		36,644
OSI Systems, Inc. (a)		697		52,024
Paysign, Inc. (a)		1,924		18,682
PC Connection, Inc.		570		26,425
Perficient, Inc. (a)		938		33,562
Photronics, Inc. (a)		2,040		22,705
Plexus Corp. (a)		649		45,793
Power Integrations, Inc.		429		50,678
Sanmina Corp. (a)		1,591		39,839
ScanSource, Inc. (a)		1,423		34,280
Semtech Corp. (a)		824		43,029
SMART Global Holdings, Inc. (a)		797		21,662
Smith Micro Software, Inc. (a)		2,277		10,155
SPS Commerce, Inc. (a)		788		59,194
Sykes Enterprises, Inc. (a)		1,268		35,073
The Hackett Group, Inc.		2,341		31,697
TTEC Holdings, Inc.		1,003		46,700
Verra Mobility Corp. (a)		3,135		32,228
Virtusa Corp. (a)		684		22,209
Vishay Intertechnology, Inc.		2,026		30,937
Vishay Precision Group, Inc. (a)		1,482		36,428
				1,633,678
Materials (6.4%):
Allegheny Technologies, Inc. (a)		1,640		16,712
American Vanguard Corp.		2,200		30,272
Boise Cascade Co.		1,050		39,491
Cabot Corp.		1,013		37,532
Carpenter Technology Corp.		885		21,488
Chase Corp.		431		44,177
Commercial Metals Co.		1,952		39,821
Futurefuel Corp.		3,366		40,224
GCP Applied Technologies, Inc. (a)		1,805		33,537
Gold Resource Corp.		4,928		20,254
Greif, Inc., Class A		945		32,517
H.B. Fuller Co.		1,156		51,557
Haynes International, Inc.		1,574		36,769
Ingevity Corp. (a)		656		34,486
Innospec, Inc.		524		40,479
Koppers Holdings, Inc. (a)		984		18,539
Kronos Worldwide, Inc.		3,341		34,780
Materion Corp.		890		54,725
Minerals Technologies, Inc.		788		36,981
Myers Industries, Inc.		3,137		45,644
Neenah, Inc.		669		33,089
PolyOne Corp.		1,340		35,148
PQ Group Holdings, Inc. (a)		3,325		44,023

See notes to financial statements.

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Security Description	Shares		Value
Ryerson Holding Corp. (a)		3,333	$	18,765
Schweitzer-Mauduit International, Inc.		1,218		40,693
Stepan Co.		598		58,065
Tredegar Corp.		2,582		39,763
Trinseo SA		1,137		25,196
Warrior Met Coal, Inc.		1,475		22,700
				1,027,427
Real Estate (0.2%):
Marcus & Millichap, Inc. (a)		1,359		39,221
Utilities (2.5%):
American States Water Co.		795		62,511
Chesapeake Utilities Corp.		764		64,176
MGE Energy, Inc.		884		57,027
Middlesex Water Co.		861		57,842
Otter Tail Corp.		1,239		48,061
The York Water Co.		1,305		62,588
Unitil Corp.		1,196		53,650
				405,855
Total Common Stocks (Cost $18,486,592)				16,037,335
Collateral for Securities Loaned^ (2.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		5,491		5,491
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		166,153		166,153
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		38,176		38,176
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		21,845		21,845
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		98,221		98,221
Total Collateral for Securities Loaned (Cost $329,886)				329,886
Total Investments (Cost $18,816,478) — 101.7%				16,367,221
Liabilities in excess of other assets — (1.7)%				(277,810	)
NET ASSETS — 100.00%			$	16,089,411

^  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)  Affiliated security (See Note 8).

(d)  Rate disclosed is the daily yield on June 30, 2020.

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Future		1	9/18/20	$	69,064	$	71,880	$	2,816
	Total unrealized appreciation							$	2,816
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	2,816

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.2%)
Australia (6.0%):
Communication Services (0.4%):
REA Group Ltd.		2,276	$	169,394
Telstra Corp. Ltd.		83,379		180,047
				349,441
Consumer Discretionary (0.2%):
Aristocrat Leisure Ltd.		7,868		138,417
Consumer Staples (0.8%):
Coles Group Ltd.		17,919		212,260
Wesfarmers Ltd.		7,217		223,208
Woolworths Group Ltd.		8,027		206,450
				641,918
Energy (0.3%):
Origin Energy Ltd.		36,687		147,812
Santos Ltd.		32,528		118,937
				266,749
Financials (2.0%):
ASX Ltd.		3,890		229,135
Australia & New Zealand Banking Group Ltd.		15,151		194,837
Commonwealth Bank of Australia		4,201		201,197
Insurance Australia Group Ltd.		46,635		185,640
Macquarie Group Ltd.		2,406		196,864
National Australia Bank Ltd.		14,100		177,236
QBE Insurance Group Ltd.		21,853		133,576
Suncorp Group Ltd.		28,206		179,609
Westpac Banking Corp.		15,673		194,089
				1,692,183
Health Care (0.9%):
Cochlear Ltd.		976		127,214
CSL Ltd.		823		162,955
Ramsay Health Care Ltd.		4,014		184,210
Sonic Healthcare Ltd.		11,120		233,449
				707,828
Industrials (0.2%):
Brambles Ltd.		22,190		166,407
Materials (1.0%):
BHP Group Ltd.		8,325		205,728
BHP Group PLC		7,904		162,003
Fortescue Metals Group Ltd.		14,999		143,317
Newcrest Mining Ltd.		6,691		145,546
Rio Tinto Ltd.		2,860		193,286
				849,880

See notes to financial statements.

58

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Security Description	Shares		Value
Utilities (0.2%):
AGL Energy Ltd.		16,095	$	189,322
				5,002,145
Austria (0.3%):
Energy (0.2%):
OMV AG (a)		4,136		138,277
Financials (0.1%):
Erste Group Bank AG (a)		4,748		111,746
				250,023
Belgium (0.7%):
Consumer Staples (0.2%):
Anheuser-Busch InBev SA/NV		2,296		113,143
Financials (0.2%):
KBC Group NV		2,355		135,085
Health Care (0.2%):
UCB SA		1,652		191,340
Materials (0.1%):
Umicore SA		2,251		105,982
				545,550
Bermuda (0.1%):
Industrials (0.1%):
Jardine Matheson Holdings Ltd.		2,700		112,698
Canada (11.0%):
Communication Services (1.1%):
BCE, Inc. (b)		6,095		254,235
Rogers Communications, Inc.		4,594		184,620
Shaw Communications, Inc., Class B (b)		13,590		221,661
TELUS Corp. (b) (c)		14,269		239,358
				899,874
Consumer Discretionary (0.4%):
Dollarama, Inc.		4,737		157,598
Restaurant Brands International, Inc. (c)		2,962		161,236
				318,834
Consumer Staples (1.1%):
Alimentation Couche-Tard, Inc., Class B		5,841		183,182
Loblaw Cos. Ltd.		5,665		275,905
Metro, Inc.		6,938		286,229
Saputo, Inc. (c)		8,161		194,616
				939,932
Energy (1.0%):
Canadian Natural Resources Ltd.		4,363		75,695
Cenovus Energy, Inc. (c)		14,030		65,633
Enbridge, Inc.		6,152		187,089

See notes to financial statements.

59

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June 30, 2020

Security Description	Shares		Value
Imperial Oil Ltd.		7,809	$	125,644
Pembina Pipeline Corp.		7,457		186,453
TC Energy Corp.		4,991		213,259
				853,773
Financials (3.7%):
Bank of Montreal		4,343		231,196
Brookfield Asset Management, Inc., Class A		5,788		190,517
Canadian Imperial Bank of Commerce (c)		3,652		244,130
Fairfax Financial Holdings Ltd.		517		159,750
Great-West Lifeco, Inc.		12,936		226,814
Intact Financial Corp.		2,627		250,062
Manulife Financial Corp.		10,793		146,859
National Bank of Canada		7,146		323,870
Power Corp. of Canada		9,335		164,226
Royal Bank of Canada		4,541		308,142
Sun Life Financial, Inc.		5,857		215,269
The Bank of Nova Scotia (c)		7,377		305,319
The Toronto-Dominion Bank		5,851		261,170
				3,027,324
Industrials (0.9%):
CAE, Inc.		6,732		109,208
Canadian National Railway Co.		2,604		230,416
Canadian Pacific Railway Ltd.		825		209,879
WSP Global, Inc. (c)		3,159		193,766
				743,269
Information Technology (0.7%):
CGI, Inc. (a)		3,110		195,962
Constellation Software, Inc.		171		193,107
Open Text Corp.		4,427		188,019
				577,088
Materials (0.5%):
Aginco Eagle Mines Ltd.		2,203		141,084
Barrick Gold Corp.		5,843		157,245
Kirkland Lake Gold Ltd. (b)		2,424		99,824
				398,153
Utilities (1.6%):
Algonquin Power & Utilities Corp. (c)		17,109		221,204
Canadian Utilities Ltd., Class A		10,226		254,633
Emera, Inc. (c)		7,114		279,969
Fortis, Inc.		8,056		306,418
Hydro One Ltd. (c) (d)		15,224		286,333
				1,348,557
				9,106,804

See notes to financial statements.

60

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June 30, 2020

Security Description	Shares		Value
Denmark (2.5%):
Consumer Staples (0.2%):
Carlsberg A/S, Class B		1,188	$	157,031
Financials (0.4%):
Danske Bank A/S		8,169		108,742
Tryg A/S		6,857		198,520
				307,262
Health Care (1.0%):
Coloplast A/S, Class B		1,296		200,894
Demant A/S (a) (c)		4,265		112,481
Genmab A/S (a)		656		219,597
GN Store Nord A/S		2,329		124,109
Novo Nordisk A/S, Class B		2,720		176,116
				833,197
Industrials (0.3%):
DSV PANALPINA A/S		1,374		167,777
Vestas Wind Systems A/S		1,274		129,748
				297,525
Materials (0.4%):
Christian Hansen Holding A/S		1,646		169,768
Novozymes A/S, B Shares		3,058		176,836
				346,604
Utilities (0.2%):
Orsted A/S (d)		1,417		163,541
				2,105,160
Finland (1.4%):
Communication Services (0.3%):
Elisa Oyj		3,467		210,867
Energy (0.1%):
Neste Oyj		3,216		125,764
Financials (0.2%):
Sampo Oyj, Class A		5,149		177,119
Industrials (0.3%):
Kone Oyj, Class B		3,508		241,263
Materials (0.3%):
Stora Enso Oyj, Class R		9,530		113,806
UPM-Kymmene Oyj		4,301		124,273
				238,079
Utilities (0.2%):
Fortum Oyj (c)		8,802		167,160
				1,160,252

See notes to financial statements.

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Security Description	Shares		Value
France (8.6%):
Communication Services (0.8%):
Iliad SA (a)		717	$	139,872
Orange SA		16,841		201,396
Publicis Groupe SA (c)		3,360		108,748
Vivendi SA		8,628		221,382
				671,398
Consumer Discretionary (1.1%):
Accor SA (a)		4,403		119,751
Cie Generale des Etablissements Michelin SCA (a)		1,334		138,383
Hermes International		272		227,280
Kering SA		235		127,842
LVMH Moet Hennessy Louis Vuitton SE		362		158,806
Sodexo SA		1,832		123,897
				895,959
Consumer Staples (0.7%):
Danone SA (a)		2,804		193,916
L'Oreal SA (a) (c)		633		203,166
Pernod Ricard SA		1,079		169,762
				566,844
Energy (0.2%):
TOTAL SA (c)		4,475		170,801
Financials (0.7%):
Amundi SA (d)		2,220		173,829
BNP Paribas SA (a)		3,212		127,628
CNP Assurances (a)		10,281		118,385
Natixis SA (a)		30,227		78,951
Societe Generale SA (a)		4,756		79,075
				577,868
Health Care (1.1%):
BioMerieux (a)		1,698		233,292
EssilorLuxottica SA (a)		1,285		164,929
Orpea		1,459		168,658
Sanofi		1,913		194,814
Sartorius Stedim Biotech		738		186,542
				948,235
Industrials (2.6%):
Aeroports de Paris		1,315		135,023
Alstom SA		3,030		140,956
Bollore SA		52,638		165,338
Bureau Veritas SA		7,359		155,257
Cie de Saint-Gobain		4,208		151,510
Edenred		3,421		149,615
Eiffage SA (a)		1,798		164,419
Getlink SE		11,174		161,180
Legrand SA		2,598		197,356

See notes to financial statements.

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Security Description	Shares		Value
Safran SA (a)		1,185	$	118,773
Schneider Electric SE		1,626		180,620
Teleperformance (a)		609		154,550
Thales SA		1,647		132,996
Vinci SA		1,824		168,026
				2,175,619
Information Technology (0.6%):
Atos SE (a)		1,716		146,317
Capgemini SE		1,281		146,715
Dassault Systemes SA		1,042		179,802
				472,834
Materials (0.4%):
Air Liquide SA		1,562		225,311
Arkema SA		1,395		133,427
				358,738
Utilities (0.4%):
Suez		11,257		131,963
Veolia Environnement SA		7,448		167,510
				299,473
				7,137,769
Germany (5.9%):
Communication Services (0.6%):
Deutsche Telekom AG		15,064		252,914
Scout24 AG (d)		3,139		243,496
				496,410
Consumer Discretionary (0.5%):
Adidas AG (a)		510		133,838
Bayerische Motoren Werke AG		2,712		173,112
Puma SE (a)		1,503		116,201
				423,151
Consumer Staples (0.3%):
Beiersdorf AG		2,152		244,416
Financials (1.2%):
Allianz SE		979		199,903
Deutsche Boerse AG		1,204		217,833
Hannover Rueck SE		1,253		215,930
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		885		230,061
Talanx AG		4,761		176,930
				1,040,657
Health Care (0.9%):
Bayer AG, Registered Shares		1,844		136,288
Carl Zeiss Meditec AG (a)		1,006		98,097
Fresenius Medical Care AG & Co. KGaA (a)		2,027		173,746

See notes to financial statements.

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Security Description	Shares		Value
Fresenius SE & Co. KGaA (a)		3,425	$	169,759
Merck KGaA		1,578		183,123
				761,013
Industrials (1.0%):
Brenntag AG		3,296		173,178
Deutsche Post AG, Registered Shares (a)		5,999		219,365
MTU Aero Engines AG (a)		629		108,926
Rational AG		273		152,854
Siemens AG, Registered Shares		1,685		198,304
				852,627
Information Technology (0.3%):
Infineon Technologies AG		4,824		113,128
Nemetschek SE		1,607		110,485
				223,613
Materials (0.6%):
Covestro AG (a) (d)		3,366		128,000
Evonik Industries AG		5,868		149,048
Symrise AG		2,020		234,871
				511,919
Real Estate (0.2%):
Deutsche Wohnen SE		3,946		177,097
Utilities (0.3%):
Uniper SE		6,511		209,926
				4,940,829
Hong Kong (3.5%):
Consumer Discretionary (0.3%):
Galaxy Entertainment Group Ltd.		18,000		122,511
Techtronic Industries Co. Ltd.		14,000		136,924
				259,435
Consumer Staples (0.3%):
Sun Art Retail Group Ltd.		85,500		146,061
WH Group Ltd. (d)		98,500		84,389
				230,450
Financials (0.4%):
AIA Group Ltd.		14,400		134,333
Hong Kong Exchanges and Clearing Ltd.		5,100		217,153
				351,486
Health Care (0.2%):
Sino Biopharmaceutical Ltd.		67,000		126,215
Industrials (0.3%):
CK Hutchison Holdings Ltd.		22,500		144,575
MTR Corp. Ltd. (c)		28,500		147,643
				292,218

See notes to financial statements.

64

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June 30, 2020

Security Description	Shares		Value
Real Estate (1.2%):
CK Asset Holdings Ltd.		23,703	$	141,295
Hang Lung Properties Ltd.		66,000		156,350
Henderson Land Development Co. Ltd.		33,840		128,369
New World Development Co. Ltd.		24,000		113,957
Shimao Group Holdings Ltd.		29,500		124,847
Sino Land Co. Ltd.		116,000		145,930
Sun Hung Kai Properties Ltd.		9,000		114,905
Swire Pacific Ltd., Class A		17,000		90,151
				1,015,804
Utilities (0.8%):
China Gas Holdings Ltd.		33,200		102,380
CK Infrastructure Holdings Ltd.		31,000		159,594
Hong Kong & China Gas Co. Ltd.		119,744		185,403
Power Assets Holdings Ltd. (b)		36,000		195,786
				643,163
				2,918,771
Ireland (1.5%):
Communication Services (0.1%):
WPP PLC		12,447		97,273
Consumer Discretionary (0.2%):
Flutter Entertainment PLC		1,192		156,463
Consumer Staples (0.2%):
Kerry Group PLC		1,305		161,705
Industrials (0.6%):
DCC PLC		2,432		202,775
Experian PLC		5,107		178,359
Kingspan Group PLC		2,136		137,617
				518,751
Materials (0.4%):
CRH PLC		4,993		171,080
Smurfit Kappa Group PLC		3,575		119,521
				290,601
				1,224,793
Israel (0.7%):
Financials (0.4%):
Bank Hapoalim BM		26,695		158,726
Bank Leumi Le-Israel BM		32,252		161,297
Isracard Ltd.		1		2
				320,025
Information Technology (0.2%):
Nice Ltd. (a)		1,007		187,627

See notes to financial statements.

65

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June 30, 2020

Security Description	Shares		Value
Real Estate (0.1%):
Azrieli Group Ltd.		2,052	$	92,901
				600,553
Italy (1.7%):
Consumer Discretionary (0.2%):
Moncler SpA		3,015		115,296
Consumer Staples (0.2%):
Davide Campari — Milano SpA (c)		20,587		173,457
Energy (0.2%):
Snam SpA		34,404		167,508
Financials (0.8%):
Assicurazioni Generali SpA		12,824		194,056
Intesa Sanpaolo SpA		67,896		129,942
Mediobanca Banca di Credito Finanziario SpA		19,165		137,577
Poste Italiane SpA (d)		13,037		113,359
UniCredit SpA		8,664		79,695
				654,629
Industrials (0.1%):
Atlantia SpA (a)		5,193		83,424
Utilities (0.2%):
Terna Rete Elettrica Nazionale SpA		25,966		178,464
				1,372,778
Japan (20.7%):
Communication Services (1.6%):
KDDI Corp.		6,700		200,702
Nexon Co. Ltd.		5,200		117,380
Nintendo Co. Ltd. (b)		400		177,881
Nippon Telegraph & Telephone Corp.		8,500		198,053
NTT DOCOMO, Inc.		9,200		245,595
Softbank Corp.		23,600		300,574
Z Holdings Corp.		22,100		107,675
				1,347,860
Consumer Discretionary (3.3%):
Aisin Seiki Co. Ltd.		3,600		104,705
Bandai Namco Holdings, Inc.		2,100		110,233
Bridgestone Corp. (c)		6,300		202,433
Denso Corp.		4,500		175,273
Fast Retailing Co. Ltd.		300		171,452
Nitori Holdings Co. Ltd.		1,200		234,809
Oriental Land Co. Ltd.		1,300		171,471
Pan Pacific International Holdings Corp.		6,900		151,409
Panasonic Corp.		13,700		119,234
Sekisui House Ltd.		10,000		190,117
Shimano, Inc.		1,000		192,201
Sony Corp.		2,600		177,829
Subaru Corp.		5,900		122,498

See notes to financial statements.

66

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Security Description	Shares		Value
Sumitomo Electric Industries Ltd.		13,600	$	156,143
Toyota Industries Corp.		3,200		169,248
Toyota Motor Corp.		3,400		212,957
Yamaha Corp.		2,700		126,797
				2,788,809
Consumer Staples (1.7%):
Asahi Group Holdings Ltd.		4,200		146,899
Japan Tobacco, Inc.		12,200		226,179
Kao Corp.		2,700		213,579
Kikkoman Corp.		3,000		144,220
Seven & i Holdings Co. Ltd.		4,700		153,242
Shiseido Co. Ltd.		2,300		145,614
Suntory Beverage & Food Ltd.		4,800		186,958
Unicharm Corp.		4,400		180,141
				1,396,832
Energy (0.2%):
ENEOS Holdings, Inc.		36,900		130,565
Inpex Corp.		13,400		82,776
				213,341
Financials (2.3%):
Dai-ichi Life Holdings, Inc.		10,800		128,348
Japan Exchange Group, Inc.		10,400		240,059
Japan Post Bank Co. Ltd.		27,900		207,260
Japan Post Holdings Co. Ltd.		24,400		173,282
MS&AD Insurance Group Holdings, Inc.		7,500		205,701
Nomura Holdings, Inc.		26,900		120,198
ORIX Corp.		11,200		137,821
Sompo Holdings, Inc.		4,700		161,383
Sumitomo Mitsui Financial Group, Inc.		7,700		216,250
Sumitomo Mitsui Trust Holdings, Inc.		5,700		159,712
Tokio Marine Holdings, Inc.		4,000		174,065
				1,924,079
Health Care (2.6%):
Astellas Pharma, Inc.		9,300		155,014
Chugai Pharmaceutical Co. Ltd.		4,500		240,297
Daiichi Sankyo Co. Ltd.		1,900		154,978
Eisai Co. Ltd.		1,400		110,823
Hoya Corp.		1,700		161,560
Kyowa Kirin Co. Ltd.		6,700		175,568
M3, Inc.		4,300		182,619
Olympus Corp.		5,700		109,581
Ono Pharmaceutical Co. Ltd.		7,300		212,116
Otsuka Holdings Co. Ltd.		3,200		139,281
Shionogi & Co. Ltd.		3,200		200,074
Sysmex Corp.		1,800		137,217
Terumo Corp.		3,900		147,424
				2,126,552

See notes to financial statements.

67

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Security Description	Shares		Value
Industrials (4.5%):
ANA Holdings, Inc.		8,000	$	181,623
Central Japan Railway Co.		1,100		170,054
Daikin Industries Ltd.		1,100		176,626
East Japan Railway Co.		3,200		221,534
FANUC Corp.		900		160,560
ITOCHU Corp.		9,800		210,733
Komatsu Ltd.		9,100		185,734
Kubota Corp.		11,200		166,817
Makita Corp.		3,100		112,417
Marubeni Corp.		24,700		111,534
Mitsubishi Corp.		8,700		182,929
Mitsubishi Electric Corp.		11,800		152,965
Mitsubishi Heavy Industries Ltd.		6,000		141,330
Mitsui & Co. Ltd.		11,800		174,278
Nidec Corp.		2,600		173,301
Recruit Holdings Co. Ltd.		4,400		150,063
Secom Co. Ltd.		2,700		235,662
SMC Corp.		300		153,335
Sumitomo Corp.		13,800		157,800
Tokyu Corp.		13,600		191,100
Toyota Tsusho Corp.		4,600		116,278
West Japan Railway Co.		3,200		179,207
				3,705,880
Information Technology (2.8%):
Advantest Corp.		1,800		102,038
Canon, Inc. (c)		7,700		152,238
FUJIFILM Holdings Corp.		3,100		132,373
Fujitsu Ltd.		1,400		163,653
Keyence Corp.		400		166,840
Kyocera Corp.		3,200		173,842
Murata Manufacturing Co. Ltd.		2,700		157,958
NEC Corp.		3,700		177,186
Nomura Research Institute Ltd.		5,878		159,364
NTT Data Corp.		11,800		131,050
Obic Co. Ltd.		1,000		174,787
Omron Corp.		2,500		167,192
Oracle Corp.		1,900		223,861
TDK Corp.		1,300		128,603
Tokyo Electron Ltd.		600		146,943
				2,357,928
Materials (0.6%):
Asahi Kasei Corp.		15,000		121,656
Nippon Paint Holdings Co. Ltd. (c)		2,800		203,335
Shin-Etsu Chemical Co. Ltd.		1,200		139,996
				464,987

See notes to financial statements.

68

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Security Description	Shares		Value
Real Estate (0.7%):
Daiwa House Industry Co. Ltd.		5,300	$	124,792
Mitsubishi Estate Co. Ltd.		10,000		148,435
Mitsui Fudosan Co. Ltd.		7,300		129,116
Sumitomo Realty & Development Co. Ltd.		6,200		170,161
				572,504
Utilities (0.4%):
Chubu Electric Power Co., Inc.		14,700		184,090
The Kansai Electric Power Co., Inc.		13,100		126,802
				310,892
				17,209,664
Korea, Republic Of (3.5%):
Communication Services (0.4%):
NAVER Corp.		760		168,706
NCSoft Corp.		254		188,156
				356,862
Consumer Discretionary (0.5%):
Hyundai Mobis Co. Ltd.		840		134,087
Hyundai Motor Co.		1,533		124,521
Kia Motors Corp.		5,059		134,803
				393,411
Consumer Staples (0.4%):
KT&G Corp.		3,606		234,444
LG Household & Health Care Ltd.		126		141,001
				375,445
Financials (0.8%):
Hana Financial Group, Inc.		6,070		136,257
KB Financial Group, Inc.		4,883		137,827
Samsung Fire & Marine Insurance Co. Ltd.		897		131,254
Samsung Life Insurance Co. Ltd.		3,750		139,362
Shinhan Financial Group Co. Ltd.		6,889		164,665
				709,365
Health Care (0.4%):
Celltrion Healthcare Co. Ltd. (a)		1,455		131,129
Celltrion, Inc. (a)		708		180,120
				311,249
Industrials (0.4%):
Samsung C&T Corp.		1,620		156,235
SK Holdings Co. Ltd.		807		195,242
				351,477
Information Technology (0.4%):
Samsung Electronics Co. Ltd.		3,494		153,378
Samsung SDS Co. Ltd.		1,143		160,123
				313,501

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.2%):
POSCO		941	$	136,127
				2,947,437
Luxembourg (0.5%):
Energy (0.1%):
Tenaris SA (c)		12,693		81,963
Health Care (0.2%):
Eurofins Scientific		257		161,276
Real Estate (0.2%):
Aroundtown SA		23,205		132,898
				376,137
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		26,000		101,983
Wynn Macau Ltd.		53,200		91,569
				193,552
Netherlands (3.3%):
Communication Services (0.3%):
Koninklijke KPN NV		79,684		211,262
Consumer Staples (0.9%):
Heineken Holding NV		2,223		181,930
Heineken NV		1,873		172,666
Koninklijke Ahold Delhaize NV		8,001		218,058
Unilever NV		4,039		214,394
				787,048
Financials (0.4%):
ABN AMRO Bank NV (d)		9,056		77,991
ING Groep NV		15,127		105,327
NN Group NV		4,369		146,754
				330,072
Health Care (0.2%):
Koninklijke Philips NV		3,628		169,224
Industrials (0.4%):
Randstad NV		2,948		131,346
Wolters Kluwer NV		2,639		206,104
				337,450
Information Technology (0.5%):
Adyen NV (a) (d)		164		238,681
ASML Holding NV		493		181,050
				419,731
Materials (0.5%):
Akzo Nobel NV		2,596		232,551
Koninklijke DSM NV		1,562		216,186
				448,737
				2,703,524

See notes to financial statements.

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Security Description	Shares		Value
New Zealand (0.4%):
Consumer Staples (0.2%):
a2 Milk Co. Ltd. (a)		10,592	$	137,956
Health Care (0.2%):
Fisher & Paykel Healthcare Corp. Ltd.		8,873		203,773
				341,729
Norway (0.9%):
Communication Services (0.1%):
Adevinta ASA (a)		11,380		114,615
Consumer Staples (0.3%):
Orkla ASA, Class A		25,966		227,514
Financials (0.3%):
DNB ASA (a)		8,678		114,641
Gjensidige Forsikring ASA (a)		10,175		187,296
				301,937
Materials (0.2%):
Yara International ASA		3,969		137,744
				781,810
Portugal (0.5%):
Consumer Staples (0.2%):
Jeronimo Martins SGPS SA (a)		9,899		173,314
Utilities (0.3%):
Energias de Portugal SA		44,515		212,536
				385,850
Russian Federation (0.3%):
Materials (0.3%):
Polymetal International PLC		10,373		207,609
Singapore (2.2%):
Consumer Discretionary (0.5%):
Genting Singapore Ltd.		417,200		227,569
Jardine Cycle & Carriage Ltd.		9,100		131,670
				359,239
Consumer Staples (0.2%):
Wilmar International Ltd.		59,500		174,661
Financials (0.8%):
DBS Group Holdings Ltd.		15,400		229,900
Oversea-Chinese Banking Corp. Ltd.		37,600		242,877
United Overseas Bank Ltd.		15,000		217,792
				690,569
Industrials (0.5%):
Keppel Corp. Ltd.		37,200		159,127
Singapore Airlines Ltd.		44,500		119,131
Singapore Technologies Engineering Ltd.		66,800		158,214
				436,472

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (0.2%):
CapitaLand Ltd. (a)		88,400	$	185,264
				1,846,205
Spain (1.9%):
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		5,586		147,910
Financials (0.2%):
Banco Santander SA		36,338		88,768
CaixaBank SA		43,484		92,840
				181,608
Health Care (0.2%):
Grifols SA		5,400		163,975
Industrials (0.4%):
ACS Actividades de Construccion y Servicios SA		4,647		117,147
Aena SME SA (a) (d)		1,295		172,686
				289,833
Information Technology (0.1%):
Amadeus IT Group SA		2,243		116,868
Utilities (0.8%):
Acciona SA		1,308		128,060
Iberdrola SA		17,955		208,162
Naturgy Energy Group SA		8,586		159,779
Red Electrica Corp. SA		10,281		191,783
				687,784
				1,587,978
Sweden (4.2%):
Communication Services (0.5%):
Tele2 AB, B Shares		12,880		170,833
Telia Co. AB		52,848		197,433
				368,266
Consumer Discretionary (0.1%):
Hennes & Mauritz AB, Class B (c)		6,720		97,390
Consumer Staples (0.7%):
Essity AB, Class B (a)		5,548		179,333
ICA Gruppen AB		4,102		194,551
Swedish Match AB		2,527		177,688
				551,572
Energy (0.1%):
Lundin Energy AB		4,012		96,735
Financials (1.0%):
Investor AB, Class B		4,262		224,971
L E Lundbergforetagen AB, Class B (a) (c)		4,830		219,227
Skandinaviska Enskilda Banken AB, Class A (a)		15,093		130,756

See notes to financial statements.

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Security Description	Shares		Value
Svenska Handelsbanken AB, Class A (a)		14,835	$	140,847
Swedbank AB, Class A (a)		9,193		117,835
				833,636
Industrials (1.5%):
Alfa Laval AB (a)		5,385		118,162
Assa Abloy AB, Class B		8,054		163,802
Atlas Copco AB, Class A (c)		3,876		164,192
Epiroc AB, Class A		12,339		153,789
Nibe Industrier AB, Class B (a)		9,768		215,911
Skanska AB, Class B (a)		8,368		170,233
SKF AB, Class B		7,357		136,753
Volvo AB, Class B		9,131		143,016
				1,265,858
Information Technology (0.2%):
Hexagon AB, Class B (a)		2,230		130,232
Real Estate (0.1%):
Fastighets AB Balder, Class B (a)		3,114		118,709
				3,462,398
Switzerland (7.5%):
Communication Services (0.3%):
Swisscom AG, Registered Shares		518		271,195
Consumer Discretionary (0.3%):
Cie Financiere Richemont SA, Registered Shares		2,156		137,573
The Swatch Group AG, B shares		668		133,360
				270,933
Consumer Staples (1.0%):
Barry Callebaut AG, Registered Shares		104		198,404
Chocoladefabriken Lindt & Spruengli AG		31		255,279
Coca-Cola HBC AG		5,201		130,674
Nestle SA, Registered Shares		2,316		256,100
				840,457
Financials (1.5%):
Baloise Holding AG, Registered Shares		1,395		209,279
Credit Suisse Group AG, Registered Shares		12,736		131,743
Julius Baer Group Ltd.		3,359		140,609
Partners Group Holding AG		238		215,939
Swiss Life Holding AG		515		190,841
UBS Group AG, Registered Shares		14,182		163,276
Zurich Insurance Group AG		579		204,288
				1,255,975
Health Care (1.4%):
Lonza Group AG, Registered Shares		422		222,851
Novartis AG, Registered Shares		2,540		221,016
Roche Holding AG		705		244,391
Sonova Holding AG (a)		806		160,953

See notes to financial statements.

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Security Description	Shares		Value
Straumann Holding AG, Class R		179	$	153,828
Vifor Pharma AG		892		134,243
				1,137,282
Industrials (1.4%):
ABB Ltd., Registered Shares		7,819		176,076
Adecco Group AG		3,201		150,250
Geberit AG, Registered Shares		447		223,783
Kuehne + Nagel International AG (a)		1,208		200,738
Schindler Holding AG		820		193,053
SGS SA, Registered Shares		80		195,524
				1,139,424
Information Technology (0.3%):
Stmicroelectronics NV		3,748		101,979
Temenos AG		746		115,893
				217,872
Materials (1.1%):
EMS-Chemie Holding AG		324		251,073
Givaudan SA, Registered Shares		75		279,350
LafargeHolcim Ltd.		4,599		201,546
Sika AG, Registered Shares		888		170,953
				902,922
Real Estate (0.2%):
Swiss Prime Site AG, Registered Shares		2,205		203,925
				6,239,985
United Kingdom (8.9%):
Communication Services (0.4%):
BT Group PLC		74,046		104,624
Informa PLC		18,759		109,323
Rightmove PLC		21,652		146,462
				360,409
Consumer Discretionary (1.1%):
Barratt Developments PLC		11,675		71,727
Berkeley Group Holdings PLC		2,021		104,284
Burberry Group PLC		5,145		101,954
Compass Group PLC		7,894		108,752
Intercontinental Hotels Group PLC		2,771		122,454
JD Sports Fashion PLC		12,423		95,762
Next PLC		1,675		101,558
Persimmon PLC		3,051		86,408
Taylor Wimpey PLC		41,990		74,182
				867,081
Consumer Staples (1.1%):
Associated British Foods PLC		5,400		128,114
British American Tobacco PLC		3,645		140,192
Diageo PLC		5,456		181,254

See notes to financial statements.

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Security Description	Shares		Value
Imperial Brands PLC		6,032	$	114,973
Tesco PLC		56,633		160,041
Unilever PLC		3,704		199,845
				924,419
Energy (0.2%):
Royal Dutch Shell PLC, Class A		8,479		135,194
Financials (1.7%):
3i Group PLC		11,822		121,945
Admiral Group PLC		7,576		215,781
Aviva PLC		37,587		127,406
Hargreaves Lansdown PLC		5,249		105,901
Legal & General Group PLC		39,521		108,158
Lloyds Banking Group PLC		194,153		74,987
London Stock Exchange Group PLC		1,214		125,706
Prudential PLC		7,585		114,503
RSA Insurance Group PLC		27,582		140,034
Schroders PLC		4,264		155,785
Standard Chartered PLC		21,677		118,191
				1,408,397
Health Care (0.6%):
AstraZeneca PLC		1,749		182,469
GlaxoSmithKline PLC (b)		10,043		203,630
Smith & Nephew PLC		6,904		128,770
				514,869
Industrials (1.8%):
Ashtead Group PLC		4,145		139,627
BAE Systems PLC		23,398		140,127
Bunzl PLC		7,257		194,738
Ferguson PLC		1,798		147,285
International Consolidated Airlines Group SA		15,045		41,416
Intertek Group PLC		2,454		165,390
RELX PLC		7,418		171,855
Rentokil Initial PLC		27,433		173,196
Smiths Group PLC		8,634		151,036
Spirax-Sarco Engineering PLC		1,486		183,658
				1,508,328
Information Technology (0.5%):
AVEVA Group PLC		2,559		129,730
Halma PLC		6,039		172,304
The Sage Group PLC		17,779		147,973
				450,007
Materials (0.9%):
Anglo American PLC		5,301		122,771
Antofagasta PLC		10,924		126,892
Croda International PLC		3,163		205,963
Mondi PLC		7,036		131,668
Rio Tinto PLC		3,052		172,003
				759,297

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.6%):
National Grid PLC		16,668	$	204,269
Severn Trent PLC		5,173		158,875
United Utilities Group PLC		12,267		138,328
				501,472
				7,429,473
United States (0.3%):
Industrials (0.3%):
Waste Connections, Inc.		2,362		221,322
Total Common Stocks (Cost $83,219,684)				82,412,798
Rights (0.0%) (e)
Spain (0.0%): (e)
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA, Expires 7/8/20 (a)		4,451		6,943
Total Rights (Cost $6,942)				6,943
Collateral for Securities Loaned^ (3.7%)
United States (3.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (f)		52,003		52,003
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (f)		1,573,907		1,573,907
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (f)		361,628		361,628
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (f)		206,934		206,934
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (f)		930,415		930,415
Total Collateral for Securities Loaned (Cost $3,124,887)				3,124,887
Total Investments (Cost $86,351,513) — 102.9%				85,544,628
Liabilities in excess of other assets — (2.9)%				(2,424,668)
NET ASSETS — 100.00%			$	83,119,960

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(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 June 30, 2020, the fair value of these securities was $1,682,305 and amounted to 2.0% of net assets.

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

(f)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		6	9/18/20	$	537,374	$	533,520	$	(3,854	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(3,854	)
	Total net unrealized appreciation (depreciation)							$	(3,854	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Brazil (5.9%):
Communication Services (0.2%):
TIM Participacoes SA		25,700	$	67,119
Consumer Discretionary (1.0%):
Arezzo Industria e Comercio SA		6,264		55,184
Cogna Educacao		25,061		30,467
Grendene SA		37,182		50,126
Guararapes Confeccoes SA		13,250		43,036
Lojas Renner SA		7,462		57,366
Magazine Luiza SA		5,200		68,524
Movida Participacoes SA		15,098		36,515
Mrv Engenharia E Participacoes SA		12,100		40,057
YDUQS Part		5,200		32,182
				413,457
Consumer Staples (0.9%):
Ambev SA		27,000		70,216
JBS SA		11,503		44,745
M Dias Branco SA		8,000		59,752
Marfrig Global Foods SA (a)		20,337		47,166
Natura & Co. Holding SA		6,627		48,631
Raia Drogasil SA		2,800		56,966
Sao Martinho SA		14,400		56,173
				383,649
Energy (0.1%):
Cosan SA		4,800		62,609
Financials (0.5%):
B3 SA- Brasil Bolsa Balcao		5,958		60,367
BB Seguridade Participacoes SA		13,146		65,933
IRB Brasil Resseguros SA		7,300		14,769
Porto Seguro SA		7,909		73,341
				214,410
Health Care (0.8%):
Fleury SA		13,200		59,698
Hapvida Participacoes E Investimentos SA (b)		5,600		64,032
Hypera SA		11,700		71,656
Notre Dame Intermedica Participacoes SA		5,100		63,792
Odontoprev SA		24,600		64,382
				323,560
Industrials (1.0%):
CCR SA		20,132		53,688
Cia de Locacao das Americas		15,407		47,973
Cosan Logistica SA (a)		20,850		73,013
JSL SA		8,423		35,909
Localiza Rent a Car SA		7,118		53,557

See notes to financial statements.

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Security Description	Shares		Value
Rumo SA (a)		17,500	$	72,386
WEG SA		7,320		68,135
				404,661
Information Technology (0.1%):
TOTVS SA		13,558		57,726
Materials (0.1%):
Duratex SA		18,488		43,727
Utilities (1.2%):
Centrais Eletricas Brasileiras SA		7,089		40,418
Cia de Saneamento Basico do Estado de Sao Paulo		5,800		61,550
Companhia de Saneamento de Minas Gerais		6,677		71,508
Energias do Brasil SA		23,600		75,611
Eneva SA (a)		8,526		70,532
Engie Brasil Energia SA		10,575		81,862
Equatorial Energia SA		16,700		71,319
Light SA (a)		16,400		50,009
				522,809
				2,493,727
Chile (1.4%):
Consumer Discretionary (0.1%):
SACI Falabella		20,643		65,382
Financials (0.6%):
Banco de Chile		945,070		83,466
Banco de Credito e Inversiones SA		2,136		72,599
Banco Santander Chile		2,138,367		87,525
				243,590
Utilities (0.7%):
Aguas Andinas SA, Class A		222,936		75,552
Colbun SA		627,201		100,089
Enel Americas SA		742,113		112,099
				287,740
				596,712
China (17.1%):
Communication Services (0.6%):
China Telecom Corp. Ltd., Class H		308,000		86,237
China Tower Corp. Ltd. (b)		344,000		60,808
Tencent Holdings Ltd.		2,000		128,666
				275,711
Consumer Discretionary (1.4%):
ANTA Sports Products Ltd.		8,000		70,604
BYD Co. Ltd.		9,500		73,362
Dongfeng Motor Group Co. Ltd., Class H		88,356		52,783
Fuyao Glass Industry Group Co. Ltd., Class H (a) (b)		27,937		66,542
Great Wall Motor Co. Ltd., Class H		105,000		65,572
Guangzhou Automobile Group Co. Ltd.		56,800		40,968

See notes to financial statements.

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Security Description	Shares		Value
Li Ning Co. Ltd.		19,500	$	61,894
Shenzhou International Group Holdings Ltd.		6,267		75,524
Zhongsheng Group Holdings Ltd.		20,028		110,860
				618,109
Consumer Staples (0.8%):
Anhui Gujing Distillery Co. Ltd., Class B (a)		8,800		94,560
China Mengniu Dairy Co. Ltd.		25,000		95,480
Want Want China Holdings Ltd.		114,000		86,048
Yihai International Holding Ltd.		8,000		82,010
				358,098
Energy (1.0%):
China Coal Energy Co. Ltd., Class H		334,835		76,037
China Oilfield Services Ltd., Class H		54,000		48,494
China Petroleum & Chemical Corp., Class H		236,000		98,355
China Shenhua Energy Co. Ltd., Class H		61,119		95,578
PetroChina Co. Ltd., Class H		269,084		89,228
				407,692
Financials (5.6%):
Agricultural Bank of China Ltd., Class H		398,000		160,221
Bank of China Ltd., Class H (a)		388,000		143,680
Bank of Communications Co. Ltd., Class H		177,000		109,165
China Cinda Asset Management Co. Ltd., Class H		419,000		82,175
China CITIC Bank Corp. Ltd., Class H		236,000		102,922
China Construction Bank Corp., Class H		149,000		120,541
China Everbright Bank Co. Ltd., Class H		239,315		89,855
China Galaxy Securities Co. Ltd., Class H (a)		132,000		71,362
China International Capital Corp. Ltd., Class H (a) (b)		37,200		73,053
China Merchants Bank Co. Ltd., Class H		19,000		87,397
China Minsheng Banking Corp. Ltd., Class H		177,000		121,497
China Pacific Insurance Group Co. Ltd., Class H		26,800		71,579
Chongqing Rural Commercial Bank Co. Ltd., Class H		249,581		98,218
Citic Securities Co. Ltd.		32,500		61,475
CSC Financial Co. Ltd., Class H (b) (c)		76,500		86,565
GF Securities Co. Ltd., Class H		58,400		62,542
Guotai Junan Securities Co. Ltd. (b)		41,084		56,826
Haitong Securities Co. Ltd.		67,200		54,278
Huatai Securities Co. Ltd., Class H (b)		40,400		64,325
Industrial & Commercial Bank of China Ltd., Class H		173,000		104,912
New China Life Insurance Co. Ltd., Class H		20,800		69,644
Orient Securities Co. Ltd., Class H (b)		144,611		79,860
People's Insurance Co. Group of China Ltd.		327,000		95,354
PICC Property & Casualty Co. Ltd., Class H		87,000		71,730
Ping An Insurance Group Co. of China Ltd.		11,000		109,996
Postal Savings Bank of China Co. Ltd., Class H (b)		219,000		125,744
				2,374,916
Health Care (0.9%):
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd.		20,000		50,475
Shanghai Fosun Pharmaceutical Group Co. Ltd.		28,000		93,570

See notes to financial statements.

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Security Description	Shares		Value
Shanghai Pharmaceuticals Holding Co. Ltd.		49,600	$	83,325
Sinopharm Group Co. Ltd., Class H		30,400		77,821
Wuxi Biologics Cayman, Inc. (a) (b)		4,623		84,583
				389,774
Industrials (2.6%):
Air China Ltd.		78,000		46,496
China Communications Construction Co. Ltd., Class H		130,435		73,546
China Conch Venture Holdings Ltd.		20,500		86,494
China Eastern Airlines Corp. Ltd., Class H (a) (c)		154,093		54,875
China Railway Construction Corp. Ltd.		75,000		58,933
China Railway Group Ltd., Class H		164,000		84,219
China Southern Airlines Co. Ltd., Class H (a)		121,225		53,650
Cosco Shipping Holdings Co. Ltd. (a) (c)		214,000		61,574
Country Garden Services Holdings Co. Ltd.		18,000		83,610
CRRC Corp. Ltd., Class H		146,000		61,600
Fosun International Ltd.		71,500		90,963
Jiangsu Expressway Co. Ltd.		94,000		110,127
Shanghai Electric Group Co. Ltd. (a)		400,000		113,544
Weichai Power Co. Ltd.		34,000		63,347
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H (a)		70,049		53,958
				1,096,936
Information Technology (1.5%):
AAC Technologies Holdings, Inc.		7,703		47,260
China Railway Signal & Communication Corp. Ltd., Class H (b)		136,604		58,693
Lenovo Group Ltd.		112,000		61,995
Semiconductor Manufacturing International Corp. (a)		26,500		92,319
Shanghai Baosight Software Co. Ltd., Class B		34,200		79,070
Silergy Corp.		1,000		65,096
Sunny Optical Technology Group Co. Ltd.		3,492		55,870
Xiaomi Corp. (a) (b)		39,800		65,937
Xinyi Solar Holdings Ltd.		74,000		70,083
ZTE Corp., Class H		12,200		37,307
				633,630
Materials (1.0%):
Anhui Conch Cement Co. Ltd., Class H		12,000		80,823
China Molybdenum Co. Ltd.		117,000		38,193
China National Building Material Co. Ltd., Class H		64,000		68,126
China Zhongwang Holdings Ltd.		185,695		34,981
Huaxin Cement Co. Ltd., Class B (a)		35,900		65,338
Shandong Gold Mining Co. Ltd., Class H (b)		28,700		60,953
Zijin Mining Group Co. Ltd., Class H		160,000		74,526
				422,940
Real Estate (1.1%):
China Vanke Co. Ltd.		24,300		76,816
CIFI Holdings Group Co. Ltd.		78,059		60,833
Country Garden Holdings Co. Ltd.		61,639		75,714
Logan Group Co. Ltd.		42,000		74,351
Longfor Group Holdings Ltd. (b)		18,000		85,584

See notes to financial statements.

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Security Description	Shares		Value
Seazen Group Ltd.		43,144	$	37,464
Sunac China Holdings Ltd.		12,000		50,243
				461,005
Utilities (0.6%):
CGN Power Co. Ltd., Class H (b)		487,862		100,716
China Resources Gas Group Ltd.		16,000		77,933
ENN Energy Holdings Ltd.		7,087		79,737
				258,386
				7,297,197
Colombia (0.3%):
Materials (0.1%):
Cementos Argos SA		63,046		57,089
Utilities (0.2%):
Interconexion Electrica SA ESP		15,111		75,661
				132,750
Czech Republic (0.7%):
Financials (0.2%):
Komercni Banka A/S (a)		4,571		106,268
Utilities (0.5%):
CEZ A/S		9,394		200,559
				306,827
Egypt (0.4%):
Financials (0.3%):
Commercial International Bank		24,153		96,882
Industrials (0.1%):
Elsewedy Electric Co.		130,491		53,770
				150,652
Hong Kong (2.6%):
Communication Services (0.2%):
China Mobile Ltd.		14,500		97,848
Consumer Discretionary (0.3%):
Geely Automobile Holdings Ltd.		37,000		58,243
Haier Electronics Group Co. Ltd.		26,000		78,668
				136,911
Consumer Staples (0.2%):
Hengan International Group Co. Ltd.		10,500		82,235
Energy (0.4%):
CNOOC Ltd.		60,000		66,733
Kunlun Energy Co. Ltd.		120,000		77,726
				144,459

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.4%):
BOC Hong Kong Holdings Ltd.		33,000	$	104,957
China Taiping Insurance Holdings Co. Ltd.		40,000		64,101
				169,058
Health Care (0.1%):
CSPC Pharmaceutical Group Ltd.		28,800		54,402
Materials (0.2%):
China Resources Cement Holdings Ltd.		78,000		95,509
Real Estate (0.5%):
China Jinmao Holdings Group Ltd.		102,725		72,236
China Overseas Land & Investment Ltd., Class H		26,000		78,668
China Resources Land Ltd.		16,000		60,591
				211,495
Utilities (0.3%):
Guangdong Investment Ltd.		70,000		120,124
				1,112,041
Hungary (0.4%):
Energy (0.2%):
MOL Hungarian Oil & Gas PLC (a)		14,483		85,548
Financials (0.2%):
OTP Bank Nyrt (a)		2,374		83,171
				168,719
India (10.4%):
Communication Services (0.2%):
Bharti Infratel Ltd.		14,893		43,694
Zee Entertainment Enterprises Ltd.		11,369		25,765
				69,459
Consumer Discretionary (1.1%):
Bajaj Auto Ltd.		2,555		95,638
Eicher Motors Ltd.		260		63,139
Mahindra & Mahindra Ltd.		11,006		74,449
Motherson Sumi Systems Ltd.		35,251		44,193
Page Industries Ltd.		213		56,184
Rajesh Exports Ltd.		11,161		68,889
The Indian Hotels Co. Ltd. (a)		38,669		40,923
Titan Co. Ltd.		4,107		51,670
				495,085
Consumer Staples (1.7%):
Britannia Industries Ltd.		2,195		104,774
Colgate-Palmolive India Ltd.		5,202		96,924
Dabur India Ltd.		16,819		103,801
Godrej Consumer Products Ltd.		11,224		102,698
Marico Ltd.		26,332		122,734
Nestle India Ltd.		472		107,371
Tata Consumer Products Ltd.		15,017		77,065
				715,367

See notes to financial statements.

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Security Description	Shares		Value
Energy (0.2%):
Reliance Industries Ltd.		4,586	$	103,512
Financials (0.8%):
Bajaj Finance Ltd.		1,105		41,434
Bajaj Finserv Ltd.		576		44,594
Bajaj Holdings & Investment Ltd.		1,768		59,551
ICICI Bank Ltd.		12,008		55,898
IndusInd Bank Ltd.		3,665		23,049
Kotak Mahindra Bank Ltd.		4,337		78,151
State Bank of India (a)		14,507		34,289
				336,966
Health Care (1.7%):
Ajanta Pharma Ltd.		3,593		67,442
Aurobindo Pharma Ltd.		6,408		65,499
Biocon Ltd.		18,389		95,016
Cadila Healthcare Ltd.		23,417		109,519
Cipla Ltd.		17,030		144,419
Natco Pharma Ltd.		10,662		89,132
Piramal Enterprises Ltd.		2,492		45,015
Sun Pharmaceutical Industries Ltd.		15,296		95,819
				711,861
Industrials (0.8%):
Adani Enterprises Ltd.		20,312		42,037
Adani Ports & Special Economic Zone Ltd.		18,532		84,414
Larsen & Toubro Ltd.		5,386		67,319
Siemens Ltd.		4,280		62,169
Voltas Ltd.		9,808		70,989
				326,928
Information Technology (1.6%):
HCL Technologies Ltd.		14,563		107,411
Hexaware Technologies Ltd.		16,559		73,102
Infosys Ltd.		7,379		71,929
Mindtree Ltd.		5,636		69,100
Mphasis Ltd.		7,495		87,236
Tata Consultancy Services Ltd.		3,775		104,109
Tech Mahindra Ltd.		9,831		70,759
Wipro Ltd.		38,457		111,884
				695,530
Materials (1.7%):
ACC Ltd.		4,541		80,131
Ambuja Cements Ltd.		26,045		66,787
Asian Paints Ltd.		4,063		90,811
Berger Paints India Ltd.		10,552		69,029
Castrol India Ltd.		31,758		52,875
Grasim Industries Ltd.		7,171		58,860
JSW Steel Ltd.		18,326		45,961
Pidilite Industries Ltd.		4,812		87,453
UltraTech Cement Ltd.		1,447		74,623

See notes to financial statements.

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Security Description	Shares		Value
UPL Ltd. (a)		9,341	$	52,607
Vedanta Ltd.		34,361		48,425
				727,562
Real Estate (0.1%):
DLF Ltd.		18,289		35,864
Utilities (0.5%):
Mahanagar Gas Ltd.		5,467		76,184
Tata Power Co. Ltd. (a)		104,865		62,295
Torrent Power Ltd.		18,240		77,008
				215,487
				4,433,621
Indonesia (3.3%):
Communication Services (0.6%):
PT Media Nusantara Citra Tbk		467,842		29,796
PT Telekomunikasi Indonesia (Persero) Tbk		439,286		94,287
PT Tower Bersama Infrastructure Tbk		778,023		60,501
PT XL Axiata Tbk		396,357		77,263
				261,847
Consumer Discretionary (0.3%):
PT ACE Hardware Indonesia Tbk (a)		650,251		69,098
PT Astra International Tbk		218,000		73,638
				142,736
Consumer Staples (0.5%):
PT Charoen Pokphand Indonesia Tbk (a)		109,800		43,078
PT Gudang Garam Tbk		17,770		58,994
PT Indofood Sukses Makmur Tbk (a)		208,800		95,877
				197,949
Energy (0.3%):
PT Bukit Asam Tbk		408,600		58,084
PT United Tractors Tbk		60,200		70,113
				128,197
Financials (0.8%):
PT Bank Central Asia Tbk		70,700		141,673
PT Bank Mandiri (Persero) Tbk		200,100		69,704
PT Bank Negara Indonesia (Persero) Tbk		188,800		60,852
PT Bank Rakyat Indonesia (Persero) Tbk		334,300		71,283
				343,512
Health Care (0.2%):
PT Kalbe Farma Tbk		959,500		98,583
Industrials (0.2%):
PT Jasa Marga (Persero) Tbk		223,800		69,298
Materials (0.4%):
PT Indah Kiat Pulp & Paper Corp. Tbk		99,700		41,922
PT Indocement Tunggal Prakarsa Tbk (a)		66,300		55,056

See notes to financial statements.

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Security Description	Shares		Value
PT Semen Indonesia (Persero) Tbk		105,100	$	71,188
				168,166
				1,410,288
Luxembourg (0.1%):
Communication Services (0.1%):
PLAY Communications SA (b)		8,230		63,191
Malaysia (8.5%):
Communication Services (0.1%):
Axiata Group Bhd		79,800		66,151
Consumer Discretionary (0.4%):
Genting Bhd		96,800		92,675
Genting Malaysia Bhd		130,100		76,860
				169,535
Consumer Staples (1.7%):
Fraser & Neave Holdings Bhd		17,800		135,002
IOI Corp. Bhd		129,200		130,935
Kuala Lumpur Kepong Bhd		26,300		136,336
PPB Group Bhd		42,860		177,945
QL Resources Bhd		72,800		163,194
				743,412
Energy (0.8%):
Dialog Group Bhd		195,600		164,884
Serba Dinamik Holdings Bhd		208,820		80,456
Yinson Holdings Bhd		56,100		77,289
				322,629
Financials (1.7%):
CIMB Group Holdings Bhd		126,100		104,826
Hong Leong Bank Bhd		39,500		129,868
Malayan Banking Bhd		117,600		206,229
Public Bank Bhd		37,000		142,557
RHB Bank Bhd		112,100		125,384
				708,864
Health Care (1.4%):
Hartalega Holdings Bhd		79,400		241,027
IHH Healthcare Bhd		83,600		107,367
Top Glove Corp. Bhd		70,800		266,172
				614,566
Industrials (1.4%):
Gamuda Bhd		92,200		78,367
IJM Corp. Bhd		182,100		76,965
Malaysia Airports Holdings Bhd		54,200		68,976
MISC Bhd		70,100		125,386
Sime Darby Bhd		239,300		120,139
Westports Holdings Bhd		129,800		115,176
				585,009

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.5%):
Petronas Chemicals Group Bhd		67,000	$	97,000
Press Metal Aluminium Holdings Bhd		105,000		111,068
				208,068
Utilities (0.5%):
Petronas Gas Bhd		27,900		109,971
Tenaga Nasional Bhd		42,800		116,132
				226,103
				3,644,337
Mexico (3.7%):
Communication Services (0.3%):
America Movil SAB de CV, Class L		127,227		81,665
Grupo Televisa SAB de CV (a)		35,462		37,238
				118,903
Consumer Discretionary (0.2%):
Alsea SAB de CV (a)		39,715		39,077
El Puerto de Liverpool Sab de CV		19,562		47,979
				87,056
Consumer Staples (1.5%):
Arca Continental SAB de CV		24,926		109,286
Gruma SAB de CV, Class B		11,647		125,725
Grupo Bimbo SAB de CV		55,309		92,594
Grupo Lala SAB de CV		111,840		59,134
Industrias Bachoco SAB de CV, Class B		28,453		83,059
Kimberly-Clark de Mexico SAB de CV, Series A		42,006		65,589
Wal-Mart de Mexico SAB de CV		35,803		85,928
				621,315
Financials (0.6%):
Grupo Elektra SAB de CV		2,585		141,780
Grupo Financiero Banorte SAB de CV, Class O (a)		14,530		50,408
Grupo Financiero Inbursa SAB de CV (a)		69,631		48,332
				240,520
Industrials (0.6%):
Alfa SAB de CV, Class A		108,497		61,144
Grupo Aeroportuario del Centro Norte SAB de CV (a)		13,359		62,118
Grupo Aeroportuario del Sureste SAB de CV (a)		5,535		61,819
Promotora y Operadora de Infraestructura SAB de CV (a)		11,433		82,373
				267,454
Materials (0.4%):
Grupo Cementos de Chihuahua SAB de CV		24,222		101,930
Grupo Mexico SAB de CV, Class B		29,138		67,751
				169,681
Utilities (0.1%):
Infraestructura Energetica Nova SAB de CV, Class N		20,442		59,007
				1,563,936

See notes to financial statements.

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Security Description	Shares		Value
Morocco (0.3%):
Financials (0.3%):
Attijariwafa Bank (a)		3,018	$	110,729
Philippines (2.8%):
Communication Services (0.5%):
Globe Telecom, Inc.		2,540		105,547
PLDT, Inc.		4,450		111,663
				217,210
Consumer Discretionary (0.1%):
Jollibee Foods Corp.		19,780		55,590
Consumer Staples (0.2%):
Universal Robina Corp.		25,580		66,755
Financials (0.9%):
Ayala Corp.		7,665		119,556
Bank of the Philippine Islands		57,496		83,102
BDO Unibank, Inc.		30,460		59,923
Metro Pacific Investments Co.		824,700		61,254
Metropolitan Bank & Trust Co.		81,552		60,573
				384,408
Industrials (0.6%):
Alliance Global Group, Inc. (a)		400,300		54,643
DMCI Holdings, Inc.		549,000		45,185
JG Summit Holdings, Inc.		51,810		67,447
SM Investments Corp. (a)		5,162		97,302
				264,577
Real Estate (0.3%):
Ayala Land, Inc.		106,300		72,126
SM Prime Holdings, Inc.		117,900		75,381
				147,507
Utilities (0.2%):
Manila Electric Co.		13,400		72,091
				1,208,138
Poland (2.1%):
Communication Services (0.5%):
CD Projekt SA (a)		1,125		112,355
Cyfrowy Polsat SA		14,317		95,227
				207,582
Consumer Staples (0.2%):
Dino Polska SA (a) (b)		1,692		85,839
Energy (0.6%):
Grupa Lotos SA		4,787		72,639
Polski Koncern Naftowy ORLEN SA		5,093		80,656
Polskie Gornictwo Naftowe i Gazownictwo SA		85,602		98,394
				251,689

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.6%):
Bank Pekao SA		4,433	$	60,361
Powszechna Kasa Oszczednosci Bank Polski SA		11,540		66,892
Powszechny Zaklad Ubezpieczen SA		11,665		85,346
Santander Bank Polska SA (a)		1,177		52,211
				264,810
Materials (0.2%):
KGHM Polska Miedz SA (a)		3,669		84,346
				894,266
Romania (0.2%):
Real Estate (0.2%):
NEPI Rockcastle PLC		19,858		101,625
Russian Federation (2.3%):
Communication Services (0.3%):
Mobile TeleSystems PJSC		27,878		129,841
Consumer Staples (0.5%):
Magnit PJSC		2,035		115,174
X5 Retail Group NV, GDR		2,607		92,288
				207,462
Energy (0.2%):
Tatneft PJSC		10,586		82,136
Materials (1.0%):
Alrosa PJSC		86,752		78,626
MMC Norilsk Nickel PJSC		337		88,580
PhosAgro PJSC, GDR		11,754		145,045
Severstal PJSC		9,457		114,876
				427,127
Utilities (0.3%):
Federal Grid Co. Unified Energy System PJSC		24,940,000		65,533
Inter RAO UES PJSC		869,000		59,241
				124,774
				971,340
South Africa (4.6%):
Communication Services (0.4%):
MTN Group Ltd.		19,702		60,012
Vodacom Group Ltd.		15,031		106,552
				166,564
Consumer Discretionary (0.4%):
Mr. Price Group Ltd.		6,706		55,290
Pepkor Holdings Ltd. (b)		96,594		61,261
The Foschini Group Ltd.		9,694		35,877
				152,428

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.2%):
AVI Ltd.		20,018	$	81,415
Bid Corp. Ltd.		5,396		88,200
Clicks Group Ltd.		5,337		64,730
Pick n Pay Stores Ltd.		21,309		62,658
Shoprite Holdings Ltd.		9,636		59,252
The SPAR Group Ltd.		8,515		84,246
Tiger Brands Ltd.		9,181		94,435
				534,936
Energy (0.2%):
Exxaro Resources Ltd.		9,947		74,808
Financials (1.3%):
Absa Group Ltd.		9,790		48,148
Capitec Bank Holdings Ltd.		1,521		75,304
FirstRand Ltd.		26,369		57,864
Nedbank Group Ltd.		8,053		47,150
Old Mutual Ltd.		94,137		65,348
RMB Holdings Ltd.		1,188,597		112,389
Sanlam Ltd.		24,146		82,054
Standard Bank Group Ltd.		9,087		54,750
				543,007
Health Care (0.3%):
Life Healthcare Group Holdings Ltd.		58,410		56,813
Netcare Ltd.		67,297		52,924
				109,737
Industrials (0.1%):
The Bidvest Group Ltd.		7,309		59,857
Materials (0.7%):
African Rainbow Minerals Ltd.		6,862		66,922
Anglo American Platinum Ltd.		789		57,049
AngloGold Ashanti Ltd.		2,537		73,955
Gold Fields Ltd.		7,145		66,827
Northam Platinum Ltd. (a)		7,211		48,311
				313,064
				1,954,401
Taiwan (21.9%):
Communication Services (1.5%):
Chunghwa Telecom Co. Ltd.		67,000		265,774
Far EasTone Telecommunications Co. Ltd.		86,000		198,271
Taiwan Mobile Co. Ltd.		52,000		194,812
				658,857
Consumer Discretionary (2.3%):
Cheng Shin Rubber Industry Co. Ltd.		96,000		109,849
Eclat Textile Co. Ltd.		9,000		104,357
Feng TAY Enterprise Co. Ltd.		17,600		99,352
Formosa Taffeta Co. Ltd.		135,000		166,604

See notes to financial statements.

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Security Description	Shares		Value
Giant Manufacturing Co. Ltd.		14,373	$	128,648
Hotai Motor Co. Ltd.		3,000		71,504
Merida Industry Co. Ltd.		18,000		122,665
Nien Made Enterprise Co. Ltd.		8,215		80,075
Pou Chen Corp.		109,000		106,432
				989,486
Consumer Staples (1.0%):
President Chain Store Corp.		16,000		160,841
Standard Foods Corp.		53,000		113,206
Uni-President Enterprises Corp.		59,000		142,624
				416,671
Financials (4.3%):
Chailease Holding Co. Ltd.		24,960		105,781
Chang Hwa Commercial Bank Ltd.		239,795		157,316
CTBC Financial Holding Co. Ltd.		233,800		161,310
E.Sun Financial Holding Co. Ltd.		186,931		176,189
First Financial Holding Co. Ltd.		237,730		182,559
Hua Nan Financial Holdings Co. Ltd.		276,330		187,374
Mega Financial Holding Co. Ltd.		152,000		159,240
Sinopac Financial Holdings Co. Ltd.		370,792		136,399
Taishin Financial Holding Co. Ltd.		487,793		220,784
Taiwan Cooperative Financial Holding Co. Ltd.		333,556		234,660
Yuanta Financial Holding Co. Ltd.		196,000		115,959
				1,837,571
Industrials (2.0%):
Airtac International Group		3,000		52,484
Eva Airways Corp.		308,085		116,988
Far Eastern New Century Corp.		143,000		135,267
Hiwin Technologies Corp.		7,121		70,860
Taiwan High Speed Rail Corp.		99,000		122,512
Teco Electric & Machinery Co. Ltd.		155,000		142,151
Voltronic Power Technology Corp.		4,000		114,731
Walsin Lihwa Corp.		230,000		113,460
				868,453
Information Technology (8.5%):
Accton Technology Corp.		12,000		92,761
Acer, Inc.		208,000		126,232
Advantech Co. Ltd.		11,000		110,205
ASE Technology Holding Co. Ltd.		33,895		77,684
ASMedia Technology, Inc.		2,053		99,883
Catcher Technology Co. Ltd.		9,000		67,740
Chicony Electronics Co. Ltd.		33,000		95,325
Chroma ATE, Inc.		12,000		61,638
Compal Electronics, Inc.		279,000		182,090
Compeq Manufacturing Co. Ltd.		41,095		66,460
Delta Electronics, Inc.		21,000		119,257
Foxconn Technology Co. Ltd.		58,100		111,295
Genius Electronic Optical Co. Ltd.		3,078		73,050

See notes to financial statements.

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Security Description	Shares		Value
Hon Hai Precision Industry Co. Ltd.		36,400	$	106,503
Inventec Corp.		167,000		142,116
ITEQ Corp.		10,272		51,369
Lite-On Technology Corp.		62,650		98,345
Macronix International		49,000		51,500
MediaTek, Inc.		6,000		117,783
Micro-Star International Co. Ltd.		33,000		120,275
Nanya Technology Corp.		24,000		49,636
Novatek Microelectronics Corp.		9,000		69,571
Pegatron Corp.		42,000		91,134
Powertech Technology, Inc.		21,580		78,286
Quanta Computer, Inc.		60,000		144,431
Radiant Opto-Electronics Corp.		23,627		94,925
Realtek Semiconductor Corp.		9,000		91,236
Synnex Technology International Corp.		133,531		188,560
Taiwan Semiconductor Manufacturing Co. Ltd.		10,000		106,120
Tripod Technology Corp.		19,000		84,387
Unimicron Technology Corp.		38,000		64,546
United Microelectronics Corp.		177,698		95,792
Walsin Technology Corp.		7,000		42,482
Wistron Corp.		118,000		143,224
WPG Holdings Ltd.		136,000		180,980
Yageo Corp.		3,198		41,310
Zhen Ding Technology Holding Ltd.		15,000		65,350
				3,603,481
Materials (2.3%):
Asia Cement Corp.		73,000		107,910
China Steel Corp.		280,000		196,508
Formosa Chemicals & Fibre		52,000		133,460
Formosa Plastics Corp.		38,004		112,871
Nan Ya Plastics Corp.		63,000		137,983
Taiwan Cement Corp.		88,974		128,959
Taiwan Fertilizer Co. Ltd.		98,000		165,299
				982,990
				9,357,509
Thailand (7.4%):
Communication Services (1.0%):
Advanced Info Service PCL		13,500		80,815
Intouch Holdings PCL		49,100		89,369
Jasmine International PCL		273,000		31,625
Total Access Communication PCL		56,600		71,886
True Corp. PCL		627,200		69,003
VGI PCL		338,200		82,077
				424,775
Consumer Discretionary (0.6%):
Home Product Center PCL		212,000		105,644
Minor International PCL (a)		85,300		56,031
Siam Global House PCL		198,413		106,577
				268,252

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.3%):
Berli Jucker PCL		76,000	$	97,140
Carabao Group PCL		29,700		99,948
Charoen Pokphand Foods PCL		90,200		92,669
CP ALL PCL		54,900		120,356
Osotspa PCL		53,500		65,784
Thai Union Group PCL		146,800		61,278
				537,175
Energy (0.4%):
PTT Exploration & Production PCL		26,500		78,675
PTT PCL		86,300		105,418
				184,093
Financials (0.7%):
Bangkok Bank PCL		22,500		77,903
Kasikornbank PCL		18,800		56,727
Krung Thai Bank PCL		282,100		94,021
The Siam Commercial Bank PCL		27,200		63,810
				292,461
Health Care (0.3%):
Bangkok Dusit Medical Services PCL		149,000		108,481
Industrials (0.7%):
Airports of Thailand PCL		51,100		100,037
Bangkok Expressway & Metro PCL		321,800		98,923
BTS Group Holdings PCL		261,500		95,617
				294,577
Information Technology (0.1%):
Delta Electronics Thailand PCL		33,700		58,613
Materials (0.7%):
PTT Global Chemical PCL		51,700		77,373
The Siam Cement PCL		10,850		129,200
TOA Paint Thailand PCL		67,400		79,604
				286,177
Real Estate (0.2%):
Central Pattana PCL		47,700		75,245
Utilities (1.4%):
B Grimm Power PCL		42,100		72,882
Electricity Generating PCL		12,400		99,107
Energy Absolute PCL		54,300		68,964
Global Power Synergy PCL		26,900		63,977
Gulf Energy Development PCL		60,400		73,780
Ratch Group PCL		48,929		98,558
TTW PCL		313,300		133,820
				611,088
				3,140,937

See notes to financial statements.

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Security Description	Shares		Value
Turkey (3.0%):
Communication Services (0.2%):
Turkcell Iletisim Hizmetleri A/S		37,151	$	89,247
Consumer Discretionary (0.5%):
Arcelik A/S (a)		24,985		72,653
Ford Otomotiv Sanayi A/S		6,840		70,864
Tofas Turk Otomobil Fabrikasi A/S		18,862		73,039
				216,556
Consumer Staples (0.3%):
BIM Birlesik Magazalar A/S		13,631		135,444
Financials (0.4%):
Akbank TAS (a)		62,177		55,240
Turkiye Garanti Bankasi A/S (a)		42,415		52,434
Turkiye Is Bankasi A/S (a)		78,363		63,895
				171,569
Industrials (0.8%):
Aselsan Elektronik Sanayi Ve Ticaret A/S		14,899		70,712
Enka Insaat ve Sanayi A/S		108,155		97,353
KOC Holding A/S		31,877		83,844
Turkiye Sise ve Cam Fabrikalari A/S		95,655		77,575
				329,484
Materials (0.6%):
Eregli Demir ve Celik Fabrikalari TAS (a)		63,393		79,479
Koza Altin Isletmeleri A/S (a)		6,131		74,672
Petkim Petrokimya Holding A/S (a) (c)		156,435		97,607
				251,758
Utilities (0.2%):
Enerjisa Enerji A/S (b)		64,639		81,230
				1,275,288
Total Common Stocks (Cost $44,935,580)				42,388,231
Preferred Stocks (0.2%)
Brazil (0.2%):
Energy (0.2%):
Petroleo Brasileiro SA		14,300		56,677
Total Preferred Stocks (Cost $90,613)				56,677
Rights (0.0%) (d)
Thailand (0.0%): (d)
Consumer Discretionary (0.0%): (d)
Minor International PCL, Expires 7/24/20 (a) (e) (f)		10,402		471
Total Rights (Cost $—)				471

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.6%)
United States (0.6%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (g)		4,654	$	4,654
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (g)		140,855		140,855
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (g)		32,363		32,363
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (g)		18,519		18,519
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (g)		83,266		83,266
Total Collateral for Securities Loaned (Cost $279,657)				279,657
Total Investments (Cost $45,305,850) — 100.2%				42,725,036
Liabilities in excess of other assets — (0.2)%				(86,609)
NET ASSETS — 100.00%			$	42,638,427

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(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 June 30, 2020, the fair value of these securities was $1,425,742 and amounted to 3.3% of net assets.

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

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

(e)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(f)  Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of the Fund's net assets as of June 30, 2020. (See Note 2)

(g)  Rate disclosed is the daily yield on June 30, 2020.

GDR — Global Depositary Receipt

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 Future		1	9/18/20	$	49,204	$	49,285	$	81
	Total unrealized appreciation							$	81
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	81

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.3%)
Communication Services (4.1%):
AT&T, Inc.		77,510	$	2,343,127
Omnicom Group, Inc.		37,762		2,061,805
Verizon Communications, Inc.		62,883		3,466,740
				7,871,672
Consumer Discretionary (5.4%):
Darden Restaurants, Inc.		21,204		1,606,628
Genuine Parts Co.		26,643		2,316,875
Hasbro, Inc.		17,995		1,348,725
Kohl's Corp. (a)		28,784		597,844
Las Vegas Sands Corp. (a)		28,510		1,298,345
Royal Caribbean Cruises Ltd. (b)		18,484		929,745
Tapestry, Inc.		45,749		607,547
Whirlpool Corp. (b)		13,212		1,711,350
				10,417,059
Consumer Staples (14.4%):
Archer-Daniels-Midland Co.		59,397		2,369,940
Campbell Soup Co.		62,777		3,115,623
Conagra Brands, Inc.		48,428		1,703,213
General Mills, Inc.		53,851		3,319,915
Ingredion, Inc.		24,264		2,013,912
Kellogg Co.		34,655		2,289,309
Kimberly-Clark Corp.		19,731		2,788,977
Philip Morris International, Inc.		23,691		1,659,791
The Coca-Cola Co.		54,891		2,452,530
The J.M. Smucker Co. (b)		22,677		2,399,453
The Kraft Heinz Co.		62,787		2,002,277
Walgreens Boots Alliance, Inc.		41,403		1,755,073
				27,870,013
Energy (6.7%):
ConocoPhillips		31,717		1,332,748
Exxon Mobil Corp.		41,702		1,864,913
HollyFrontier Corp.		41,053		1,198,748
Kinder Morgan, Inc.		139,909		2,122,420
ONEOK, Inc.		34,237		1,137,353
Phillips 66		25,950		1,865,805
The Williams Cos., Inc.		108,338		2,060,589
Valero Energy Corp.		23,885		1,404,916
				12,987,492
Financials (21.3%):
American International Group, Inc.		48,747		1,519,931
Ares Management Corp., Class A		45,293		1,798,132
Citigroup, Inc.		30,723		1,569,945
Citizens Financial Group, Inc.		57,451		1,450,063
Comerica, Inc.		33,299		1,268,692
Fidelity National Financial, Inc.		72,492		2,222,606

See notes to financial statements.

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Security Description	Shares		Value
Fifth Third Bancorp		78,866	$	1,520,536
Franklin Resources, Inc. (b)		79,417		1,665,374
Huntington Bancshares, Inc.		170,355		1,539,157
Invesco Ltd.		112,765		1,213,351
KeyCorp		113,980		1,388,276
MetLife, Inc.		53,124		1,940,088
Old Republic International Corp.		122,945		2,005,233
People's United Financial, Inc. (b)		150,438		1,740,568
Principal Financial Group, Inc.		42,450		1,763,373
Prudential Financial, Inc.		25,168		1,532,731
Regions Financial Corp.		137,471		1,528,678
Santander Consumer USA Holdings, Inc. (b)		79,397		1,461,699
TCF Financial Corp.		50,947		1,498,861
The Blackstone Group, Inc., Class A		33,381		1,891,368
The PNC Financial Services Group, Inc.		17,765		1,869,056
Truist Financial Corp.		47,343		1,777,730
U.S. Bancorp		55,916		2,058,826
Wells Fargo & Co.		53,907		1,380,019
Zions Bancorp NA		46,069		1,566,346
				41,170,639
Health Care (4.6%):
AbbVie, Inc.		19,060		1,871,311
Amgen, Inc.		10,501		2,476,766
CVS Health Corp.		32,853		2,134,459
Merck & Co., Inc.		33,110		2,560,396
				9,042,932
Industrials (7.5%):
3M Co.		13,679		2,133,787
Caterpillar, Inc.		15,532		1,964,798
Cummins, Inc.		13,377		2,317,699
Delta Air Lines, Inc.		44,070		1,236,164
Eaton Corp. PLC		22,280		1,949,055
Emerson Electric Co.		32,260		2,001,088
Watsco, Inc.		17,180		3,052,886
				14,655,477
Information Technology (11.7%):
Broadcom, Inc.		6,119		1,931,218
Cisco Systems, Inc.		45,851		2,138,491
Corning, Inc.		73,358		1,899,972
International Business Machines Corp.		16,912		2,042,462
Juniper Networks, Inc.		98,630		2,254,681
Maxim Integrated Products, Inc.		32,395		1,963,461
NetApp, Inc.		26,947		1,195,639
Paychex, Inc.		34,980		2,649,736
QUALCOMM, Inc.		20,521		1,871,720
Seagate Technology PLC		36,793		1,781,149
The Western Union Co.		92,999		2,010,638
Xerox Holdings Corp.		47,604		727,865
				22,467,032

See notes to financial statements.

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Security Description	Shares		Value
Materials (6.8%):
CF Industries Holdings, Inc.		44,215	$	1,244,210
Eastman Chemical Co.		26,416		1,839,610
International Paper Co.		49,739		1,751,310
LyondellBasell Industries NV, Class A		22,244		1,461,876
Nucor Corp.		44,610		1,847,300
Packaging Corp. of America		22,881		2,283,524
Steel Dynamics, Inc.		55,277		1,442,177
Westrock Co.		43,642		1,233,323
				13,103,330
Utilities (16.8%):
American Electric Power Co., Inc. (a)		35,955		2,863,456
CenterPoint Energy, Inc.		98,312		1,835,485
Consolidated Edison, Inc. (a)		39,053		2,809,082
DTE Energy Co.		26,989		2,901,318
Duke Energy Corp. (a)		37,637		3,006,821
Edison International		28,219		1,532,574
Entergy Corp.		27,908		2,618,049
Exelon Corp.		63,786		2,314,794
OGE Energy Corp.		82,031		2,490,461
Pinnacle West Capital Corp.		33,027		2,420,549
PPL Corp.		85,086		2,198,622
Public Service Enterprise Group, Inc.		62,222		3,058,833
The Southern Co. (a)		48,614		2,520,636
				32,570,680
Total Common Stocks (Cost $217,921,459)				192,156,326
Collateral for Securities Loaned^ (1.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (c)		48,897		48,897
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (c)		1,479,895		1,479,895
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (c)		340,028		340,028
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (c)		194,574		194,574
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (c)		874,841		874,841
Total Collateral for Securities Loaned (Cost $2,938,235)				2,938,235
Total Investments (Cost $220,859,694) — 100.8%				195,094,561
Liabilities in excess of other assets — (0.8)%				(1,459,260	)
NET ASSETS — 100.00%			$	193,635,301

^  Purchased with cash collateral from securities on loan.

(a)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(c)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

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		7	9/18/20	$	1,083,718	$	1,081,570	$	(2,148	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(2,148	)
	Total net unrealized appreciation (depreciation)							$	(2,148	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.0%):
John Wiley & Sons, Inc., Class A		27,034	$	1,054,326
Telephone & Data Systems, Inc.		25,480		506,542
The Marcus Corp.		27,690		367,446
				1,928,314
Consumer Discretionary (19.8%):
Acushnet Holdings Corp. (a)		36,859		1,282,325
American Eagle Outfitters, Inc. (a)		39,322		428,610
Big Lots, Inc.		20,960		880,320
Bloomin' Brands, Inc.		36,542		389,538
Brinker International, Inc.		20,498		491,952
Collectors Universe, Inc.		24,030		823,748
Dine Brands Global, Inc.		8,663		364,712
Haverty Furniture Cos., Inc. (a)		37,417		598,672
Hooker Furniture Corp. (a)		40,772		793,015
Jack in the Box, Inc. (a)		10,423		772,240
Kontoor Brands, Inc.		15,131		269,483
LCI Industries		7,326		842,343
MDC Holdings, Inc.		17,560		626,892
Movado Group, Inc.		31,875		345,525
Oxford Industries, Inc.		12,047		530,188
PetMed Express, Inc.		14,827		528,434
Rent-A-Center, Inc.		30,970		861,586
Rocky Brands, Inc.		27,276		560,795
Ruth's Hospitality Group, Inc.		31,722		258,852
The Buckle, Inc. (a)		19,771		310,009
The Cheesecake Factory, Inc. (a)		20,562		471,281
The Children's Place, Inc. (a)		7,108		265,981
Tupperware Brands Corp. (a)		86,620		411,445
				13,107,946
Consumer Staples (8.8%):
B&G Foods, Inc. (a)		32,266		786,645
John B Sanfilippo & Son, Inc.		10,933		932,913
Medifast, Inc. (a)		5,099		707,588
Nu Skin Enterprises, Inc., Class A		20,452		781,880
Universal Corp.		18,810		799,613
Vector Group Ltd.		47,479		477,639
Weis Markets, Inc.		25,954		1,300,814
				5,787,092
Energy (3.9%):
Archrock, Inc.		83,851		544,193
Core Laboratories NV		16,326		331,744
CVR Energy, Inc.		25,537		513,549
Delek U.S. Holdings, Inc.		24,768		431,211
Falcon Minerals Corp.		119,327		381,846
Solaris Oilfield Infrastructure, Inc., Class A (a)		47,855		355,084
				2,557,627

See notes to financial statements.

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Security Description	Shares		Value
Financials (20.9%):
Artisan Partners Asset Management, Inc., Class A		28,015	$	910,488
Associated Bancorp		57,255		783,248
Cadence Bancorp		37,674		333,792
Cathay General Bancorp		32,019		842,100
Columbia Banking System, Inc.		30,284		858,400
First Financial Bancorp		43,619		605,868
Great Western Bancorp, Inc.		32,055		441,077
Hope Bancorp, Inc.		78,502		723,788
Investors Bancorp, Inc.		111,204		945,235
Mercury General Corp.		19,285		785,864
Moelis & Co. Class A		21,676		675,424
Navient Corp.		57,978		407,585
Northwest Bancshares, Inc.		92,618		947,019
Park National Corp. (a)		12,367		870,389
Provident Financial Services, Inc.		67,367		973,453
Safety Insurance Group, Inc.		13,301		1,014,334
United Bankshares, Inc.		34,505		954,409
WesBanco, Inc.		33,429		678,943
				13,751,416
Health Care (3.5%):
Meridian Bioscience, Inc. (b)		56,790		1,322,639
National Healthcare Corp.		15,977		1,013,581
				2,336,220
Industrials (21.2%):
ABM Industries, Inc.		27,900		1,012,771
Altra Industrial Motion Corp.		17,649		562,297
Ennis, Inc.		50,657		918,918
GATX Corp. (a)		11,523		702,672
GrafTech International Ltd. (a)		58,076		463,446
H&E Equipment Services, Inc.		22,833		421,954
Hawaiian Holdings, Inc.		26,986		378,883
Healthcare Services Group		18,828		460,533
Heidrick & Struggles International, Inc.		29,096		629,056
Herman Miller, Inc.		18,824		444,435
HNI Corp.		25,246		771,770
Hyster-Yale Materials Handling, Inc.		11,683		451,665
KAR Auction Services, Inc.		32,915		452,910
Knoll, Inc.		40,928		498,912
Matson, Inc.		21,457		624,399
National Presto Industries, Inc.		10,134		885,610
Powell Industries, Inc.		19,612		537,173
Resources Connection, Inc.		70,277		841,215
Steelcase, Inc., Class A		39,579		477,323
The Greenbrier Cos., Inc.		21,449		487,965
Trinity Industries, Inc. (a)		29,383		625,564
Triton International Ltd.		25,254		763,681
Wabash National Corp.		63,920		678,831
				14,091,983

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (3.3%):
American Software, Inc., Class A		35,506	$	559,575
Cass Information Systems, Inc.		21,424		836,179
MTS Systems Corp.		14,074		247,562
The Hackett Group, Inc.		43,208		585,036
				2,228,352
Materials (12.3%):
Cabot Corp.		18,724		693,724
Commercial Metals Co.		36,014		734,685
Futurefuel Corp.		62,143		742,610
Greif, Inc., Class A		17,406		598,940
Haynes International, Inc.		29,099		679,753
Kronos Worldwide, Inc.		61,681		642,099
Myers Industries, Inc.		57,926		842,824
Neenah, Inc.		12,377		612,166
PolyOne Corp.		24,714		648,248
Schweitzer-Mauduit International, Inc.		22,468		750,656
Tredegar Corp.		47,682		734,303
Trinseo SA		21,013		465,648
				8,145,656
Utilities (2.8%):
Otter Tail Corp.		22,903		888,407
Unitil Corp.		22,135		992,091
				1,880,498
Total Common Stocks (Cost $75,507,881)				65,815,104
Collateral for Securities Loaned^ (4.8%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (c)		52,861		52,861
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (c)		1,599,862		1,599,862
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (c)		367,592		367,592
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (c)		210,346		210,346
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (c)		945,759		945,759
Total Collateral for Securities Loaned (Cost $3,176,420)				3,176,420
Total Investments (Cost $78,684,301) — 104.3%				68,991,524
Liabilities in excess of other assets — (4.3)%				(2,849,782	)
NET ASSETS — 100.00%			$	66,141,742

^  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)  Rate disclosed is the daily yield on June 30, 2020.

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		4	9/18/20	$	280,806	$	287,520	$	6,714
	Total unrealized appreciation							$	6,714
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	6,714

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.9%)
Australia (10.7%):
Communication Services (1.2%):
Telstra Corp. Ltd.		336,961	$	727,627
Financials (4.8%):
Australia & New Zealand Banking Group Ltd.		61,239		787,515
National Australia Bank Ltd.		56,983		716,273
Suncorp Group Ltd.		114,013		726,007
Westpac Banking Corp.		63,353		784,542
				3,014,337
Materials (3.5%):
BHP Group Ltd.		33,650		831,564
Fortescue Metals Group Ltd.		60,605		579,086
Rio Tinto Ltd.		11,552		780,712
				2,191,362
Utilities (1.2%):
AGL Energy Ltd.		65,051		765,179
				6,698,505
Austria (0.9%):
Energy (0.9%):
OMV AG (a)		16,724		559,126
Canada (7.1%):
Communication Services (4.7%):
BCE, Inc. (b)		24,632		1,027,453
Shaw Communications, Inc., Class B (b)		54,795		893,739
TELUS Corp. (b) (c)		57,669		967,381
				2,888,573
Energy (2.4%):
Enbridge, Inc.		24,886		756,810
Pembina Pipeline Corp.		30,143		753,686
				1,510,496
				4,399,069
Denmark (0.7%):
Financials (0.7%):
Danske Bank A/S		33,007		439,377
Finland (3.8%):
Financials (1.2%):
Sampo Oyj, Class A		20,800		715,493
Materials (1.5%):
Stora Enso Oyj, Class R		38,495		459,700
UPM-Kymmene Oyj (c)		17,374		502,004
				961,704

See notes to financial statements.

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Security Description	Shares		Value
Utilities (1.1%):
Fortum Oyj (c)		35,564	$	675,403
				2,352,600
France (7.5%):
Communication Services (2.0%):
Orange SA		68,061		813,918
Publicis Groupe SA (c)		13,578		439,457
				1,253,375
Energy (1.1%):
TOTAL SA (c)		18,087		690,340
Financials (2.6%):
BNP Paribas SA (a)		12,977		515,639
CNP Assurances (a)		41,544		478,376
Natixis SA (a)		122,141		319,022
Societe Generale SA (a)		19,220		319,560
				1,632,597
Industrials (0.9%):
Alstom SA		12,243		569,547
Utilities (0.9%):
Suez		45,485		533,209
				4,679,068
Germany (4.6%):
Communication Services (1.7%):
Deutsche Telekom AG		60,930		1,022,972
Consumer Discretionary (1.1%):
Bayerische Motoren Werke AG		10,958		699,470
Materials (1.8%):
Covestro AG (a) (d)		13,603		517,286
Evonik Industries AG		23,710		602,239
				1,119,525
				2,841,967
Hong Kong (3.8%):
Industrials (0.9%):
CK Hutchison Holdings Ltd.		91,000		584,725
Real Estate (0.6%):
Swire Pacific Ltd., Class A		68,500		363,257
Utilities (2.3%):
CK Infrastructure Holdings Ltd.		122,000		628,079
Power Assets Holdings Ltd. (b)		148,000		804,898
				1,432,977
				2,380,959

See notes to financial statements.

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Security Description	Shares		Value
Italy (3.2%):
Energy (1.1%):
Snam SpA		139,024	$	676,886
Financials (1.6%):
Intesa Sanpaolo SpA		274,349		525,059
Poste Italiane SpA (d)		52,683		458,087
				983,146
Industrials (0.5%):
Atlantia SpA (a)		20,979		337,021
				1,997,053
Japan (12.8%):
Communication Services (2.0%):
Softbank Corp.		96,100		1,223,949
Consumer Discretionary (2.1%):
Bridgestone Corp. (c)		25,800		829,013
Subaru Corp.		24,300		504,524
				1,333,537
Consumer Staples (1.5%):
Japan Tobacco, Inc.		50,000		926,964
Energy (0.9%):
ENEOS Holdings, Inc.		149,700		529,690
Industrials (5.3%):
Komatsu Ltd.		36,700		749,059
Marubeni Corp.		99,800		450,653
Mitsubishi Corp.		35,900		754,845
Mitsui & Co. Ltd.		48,000		708,929
Sumitomo Corp.		56,400		644,922
				3,308,408
Information Technology (1.0%):
Canon, Inc. (c)		31,500		622,793
				7,945,341
Korea, Republic Of (3.3%):
Consumer Staples (1.5%):
KT&G Corp.		14,581		947,983
Financials (0.9%):
Hana Financial Group, Inc.		24,535		550,753
Materials (0.9%):
POSCO		3,813		551,598
				2,050,334
Luxembourg (0.6%):
Energy (0.6%):
Tenaris SA		53,549		345,784
Macau (1.3%):

See notes to financial statements.

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Security Description	Shares		Value
Consumer Discretionary (1.3%):
Sands China Ltd.		106,800	$	418,915
Wynn Macau Ltd.		214,000		368,342
				787,257
Netherlands (5.8%):
Communication Services (1.4%):
Koninklijke KPN NV		322,048		853,826
Consumer Staples (1.4%):
Koninklijke Ahold Delhaize NV		32,324		880,953
Financials (2.1%):
ABN AMRO Bank NV (d)		36,615		315,329
ING Groep NV		61,115		425,536
NN Group NV		17,662		593,264
				1,334,129
Industrials (0.9%):
Randstad NV		11,913		530,775
				3,599,683
Portugal (1.4%):
Utilities (1.4%):
Energias de Portugal SA		180,034		859,568
Singapore (2.4%):
Consumer Discretionary (0.9%):
Jardine Cycle & Carriage Ltd.		37,500		542,597
Financials (1.5%):
DBS Group Holdings Ltd.		62,600		934,529
				1,477,126
Spain (3.7%):
Financials (0.6%):
CaixaBank SA		175,692		375,109
Industrials (0.8%):
ACS Actividades de Construccion y Servicios SA		18,779		473,404
Utilities (2.3%):
Naturgy Energy Group SA		34,694		645,628
Red Electrica Corp. SA		41,546		775,006
				1,420,634
				2,269,147
Sweden (5.1%):
Communication Services (1.3%):
Telia Co. AB		213,555		797,814
Consumer Discretionary (0.7%):
Hennes & Mauritz AB, Class B		27,161		393,633
Energy (0.6%):

See notes to financial statements.

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Security Description	Shares		Value
Lundin Energy AB		16,230	$	391,328
Financials (1.6%):
Skandinaviska Enskilda Banken AB, Class A (a) (c)		60,990		528,378
Swedbank AB, Class A (a)		37,152		476,210
				1,004,588
Industrials (0.9%):
Volvo AB, Class B		36,904		578,018
				3,165,381
Switzerland (3.4%):
Financials (1.1%):
UBS Group AG, Registered Shares		57,309		659,792
Industrials (1.0%):
Adecco Group AG		12,941		607,429
Materials (1.3%):
LafargeHolcim Ltd.		18,593		814,818
				2,082,039
United Kingdom (17.0%):
Communication Services (1.3%):
BT Group PLC		299,218		422,783
WPP PLC		50,294		393,046
				815,829
Consumer Discretionary (1.0%):
Barratt Developments PLC		47,172		289,810
Persimmon PLC		12,334		349,313
				639,123
Consumer Staples (1.7%):
British American Tobacco PLC		14,728		566,461
Imperial Brands PLC		24,375		464,598
				1,031,059
Energy (0.9%):
Royal Dutch Shell PLC, Class A		34,267		546,374
Financials (3.4%):
Admiral Group PLC		30,641		872,724
Aviva PLC		151,886		514,836
Legal & General Group PLC		159,701		437,057
Lloyds Banking Group PLC		784,552		303,015
				2,127,632
Health Care (1.3%):
GlaxoSmithKline PLC (b)		40,584		822,872
Industrials (0.3%):
International Consolidated Airlines Group SA		60,789		167,342
Materials (4.7%):

See notes to financial statements.

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Security Description	Shares		Value
Anglo American PLC		21,418	$	496,039
Antofagasta PLC		44,141		512,737
BHP Group PLC		31,937		654,590
Mondi PLC		28,433		532,082
Rio Tinto PLC		12,333		695,056
				2,890,504
Utilities (2.2%):
National Grid PLC		67,356		825,459
United Utilities Group PLC		49,611		559,435
				1,384,894
				10,425,629
Total Common Stocks (Cost $70,151,445)				61,355,013
Rights (0.0%) (e)
Spain (0.0%): (e)
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA, Expires 7/8/20 (a)		18,779		29,292
Total Rights (Cost $29,289)				29,292
Collateral for Securities Loaned^ (5.8%)
United States (5.8%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (f)		59,378		59,378
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (f)		1,797,119		1,797,119
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (f)		412,914		412,914
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (f)		236,281		236,281
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (f)		1,062,367		1,062,367
Total Collateral for Securities Loaned (Cost $3,568,059)				3,568,059
Total Investments (Cost $73,748,793) — 104.7%				64,952,364
Liabilities in excess of other assets — (4.7)%				(2,910,333	)
NET ASSETS — 100.00%			$	62,042,031

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(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 June 30, 2020, the fair value of these securities was $1,290,702 and amounted to 2.1% of net assets.

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

(f)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		4	9/18/20	$	355,941	$	355,680	$	(261	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(261	)
	Total net unrealized appreciation (depreciation)							$	(261	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.7%)
Brazil (1.3%):
Financials (0.7%):
BB Seguridade Participacoes SA		31,647	$	158,724
Industrials (0.6%):
CCR SA		48,666		129,783
				288,507
Chile (2.0%):
Utilities (2.0%):
Aguas Andinas SA, Class A		538,206		182,396
Colbun SA		1,514,191		241,636
				424,032
China (17.4%):
Consumer Discretionary (1.4%):
Dongfeng Motor Group Co. Ltd., Class H		216,097		129,096
Fuyao Glass Industry Group Co. Ltd., Class H (a) (b)		67,298		160,293
				289,389
Energy (3.2%):
China Petroleum & Chemical Corp., Class H		572,000		238,386
China Shenhua Energy Co. Ltd., Class H		148,194		231,747
PetroChina Co. Ltd., Class H		648,240		214,956
				685,089
Financials (10.1%):
Agricultural Bank of China Ltd., Class H		962,000		387,267
Bank of China Ltd., Class H (a)		937,000		346,979
Bank of Communications Co. Ltd., Class H		429,000		264,586
China Cinda Asset Management Co. Ltd., Class H		1,011,000		198,279
China CITIC Bank Corp. Ltd., Class H		571,000		249,020
China Everbright Bank Co. Ltd., Class H		578,470		217,198
China Minsheng Banking Corp. Ltd., Class H		428,000		293,790
Chongqing Rural Commercial Bank Co. Ltd., Class H		602,351		237,045
				2,194,164
Industrials (0.8%):
China Communications Construction Co. Ltd., Class H		314,566		177,368
Materials (1.1%):
China Zhongwang Holdings Ltd.		447,838		84,364
Huaxin Cement Co. Ltd., Class B (a)		86,720		157,830
				242,194
Real Estate (0.8%):
Logan Group Co. Ltd.		102,000		180,566
				3,768,770

See notes to financial statements.

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Security Description	Shares		Value
Colombia (0.7%):
Materials (0.7%):
Cementos Argos SA		152,202	$	137,822
Czech Republic (3.4%):
Financials (1.2%):
Komercni Banka A/S (a)		11,033		256,499
Utilities (2.2%):
CEZ A/S		22,680		484,211
				740,710
Egypt (0.6%):
Industrials (0.6%):
Elsewedy Electric Co.		315,018		129,805
Hong Kong (0.8%):
Energy (0.8%):
CNOOC Ltd.		147,000		163,496
India (1.9%):
Communication Services (0.5%):
Bharti Infratel Ltd.		35,954		105,483
Materials (0.5%):
Vedanta Ltd.		82,954		116,907
Utilities (0.9%):
Torrent Power Ltd.		44,035		185,912
				408,302
Indonesia (3.2%):
Communication Services (1.1%):
PT Telekomunikasi Indonesia (Persero) Tbk		1,060,414		227,605
Consumer Staples (0.7%):
PT Gudang Garam Tbk		43,057		142,942
Energy (1.4%):
PT Bukit Asam Tbk		986,500		140,234
PT United Tractors Tbk		145,400		169,344
				309,578
				680,125
Luxembourg (0.7%):
Communication Services (0.7%):
PLAY Communications SA (b)		19,867		152,541
Malaysia (4.7%):
Financials (2.3%):
Malayan Banking Bhd		283,900		497,861
Industrials (1.3%):
Sime Darby Bhd		577,700		290,031

See notes to financial statements.

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Security Description	Shares		Value
Materials (1.1%):
Petronas Chemicals Group Bhd		161,800	$	234,246
				1,022,138
Mexico (1.4%):
Industrials (0.7%):
Alfa SAB de CV, Class A		261,592		147,422
Materials (0.7%):
Grupo Mexico SAB de CV, Class B		70,340		163,551
				310,973
Philippines (3.7%):
Communication Services (2.4%):
Globe Telecom, Inc.		6,135		254,932
PLDT, Inc.		10,755		269,874
				524,806
Industrials (0.5%):
DMCI Holdings, Inc.		1,323,000		108,889
Utilities (0.8%):
Manila Electric Co.		32,350		174,040
				807,735
Poland (5.0%):
Energy (2.8%):
Grupa Lotos SA		11,558		175,383
Polski Koncern Naftowy ORLEN SA		12,296		194,728
Polskie Gornictwo Naftowe i Gazownictwo SA		206,658		237,541
				607,652
Financials (2.2%):
Bank Pekao SA		10,702		145,721
Powszechny Zaklad Ubezpieczen SA		28,161		206,038
Santander Bank Polska SA (a)		2,838		125,891
				477,650
				1,085,302
Romania (1.1%):
Real Estate (1.1%):
NEPI Rockcastle PLC		47,943		245,351
Russian Federation (9.1%):
Communication Services (1.4%):
Mobile TeleSystems PJSC		67,300		313,448
Consumer Staples (1.3%):
Magnit PJSC		4,913		278,059
Energy (0.9%):
Tatneft PJSC		25,554		198,272

See notes to financial statements.

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Security Description	Shares		Value
Materials (4.8%):
Alrosa PJSC		209,431	$	189,814
MMC Norilsk Nickel PJSC		814		213,958
PhosAgro PJSC, GDR		28,379		350,197
Severstal PJSC		22,855		277,625
				1,031,594
Utilities (0.7%):
Federal Grid Co. Unified Energy System PJSC		60,170,000		158,105
				1,979,478
South Africa (9.4%):
Communication Services (1.9%):
MTN Group Ltd.		47,567		144,888
Vodacom Group Ltd.		36,289		257,246
				402,134
Consumer Discretionary (1.0%):
Mr. Price Group Ltd.		16,190		133,484
The Foschini Group Ltd.		23,406		86,624
				220,108
Consumer Staples (2.0%):
AVI Ltd.		48,328		196,553
Tiger Brands Ltd.		22,165		227,986
				424,539
Energy (0.8%):
Exxaro Resources Ltd.		24,015		180,609
Financials (2.4%):
Absa Group Ltd.		23,636		116,244
Nedbank Group Ltd.		19,443		113,838
Old Mutual Ltd.		227,268		157,765
Standard Bank Group Ltd.		21,937		132,172
				520,019
Health Care (0.6%):
Netcare Ltd.		162,469		127,771
Materials (0.7%):
African Rainbow Minerals Ltd.		16,567		161,570
				2,036,750
Taiwan (21.7%):
Consumer Discretionary (1.8%):
Formosa Taffeta Co. Ltd.		325,000		401,085
Industrials (2.8%):
Far Eastern New Century Corp.		345,000		326,343
Walsin Lihwa Corp.		555,000		273,784
				600,127

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (10.2%):
Compal Electronics, Inc.		674,000	$	439,888
Inventec Corp.		405,000		344,652
Lite-On Technology Corp.		151,059		237,126
Nanya Technology Corp.		57,000		117,884
Powertech Technology, Inc.		53,551		194,269
Radiant Opto-Electronics Corp.		57,356		230,435
Walsin Technology Corp.		18,000		109,239
WPG Holdings Ltd.		328,000		436,481
Yageo Corp.		8,000		103,339
				2,213,313
Materials (6.9%):
Asia Cement Corp.		177,000		261,644
Formosa Chemicals & Fibre		124,000		318,251
Formosa Plastics Corp.		91,773		272,565
Nan Ya Plastics Corp.		151,000		330,721
Taiwan Cement Corp.		216,000		313,070
				1,496,251
				4,710,776
Thailand (7.2%):
Communication Services (2.1%):
Intouch Holdings PCL		118,600		215,870
Jasmine International PCL		658,700		76,306
Total Access Communication PCL		136,900		173,871
				466,047
Energy (2.1%):
PTT Exploration & Production PCL		64,100		190,305
PTT PCL		208,600		254,810
				445,115
Financials (0.7%):
The Siam Commercial Bank PCL		65,700		154,130
Materials (2.3%):
PTT Global Chemical PCL		124,900		186,922
The Siam Cement PCL		26,300		313,176
				500,098
				1,565,390
Turkey (3.4%):
Consumer Discretionary (1.6%):
Ford Otomotiv Sanayi A/S		16,512		171,067
Tofas Turk Otomobil Fabrikasi A/S		45,535		176,325
				347,392
Materials (0.9%):
Eregli Demir ve Celik Fabrikalari TAS (a)		153,044		191,878

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.9%):
Enerjisa Enerji A/S (b)		156,053	$	196,107
				735,377
Total Common Stocks (Cost $25,064,619)				21,393,380
Total Investments (Cost $25,064,619) — 98.7%				21,393,380
Other assets in excess of liabilities — 1.3%				285,794
NET ASSETS — 100.00%			$	21,679,174

(a)  Non-income producing security.

(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 June 30, 2020, the fair value of these securities was $508,941 and amounted to 2.3% of net assets.

GDR — Global Depositary Receipt

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		2	9/18/20	$	97,218	$	98,570	$	1,352
	Total unrealized appreciation							$	1,352
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	1,352

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.8%)
Consumer Discretionary (15.9%):
Gentex Corp.		193,857	$	4,995,695
Lowe's Cos., Inc.		28,141		3,802,412
McDonald's Corp.		33,980		6,268,291
Nike, Inc., Class B		43,356		4,251,055
Pool Corp.		16,735		4,549,744
Ross Stores, Inc.		16,749		1,427,685
Target Corp.		65,087		7,805,884
The TJX Cos., Inc.		41,640		2,105,318
VF Corp.		36,523		2,225,712
				37,431,796
Consumer Staples (16.3%):
Archer-Daniels-Midland Co.		80,279		3,203,132
Brown-Forman Corp., Class B		38,680		2,462,368
Colgate-Palmolive Co.		57,467		4,210,032
Costco Wholesale Corp.		12,062		3,657,319
Hormel Foods Corp. (a)		37,123		1,791,927
Kimberly-Clark Corp.		19,117		2,702,188
Lancaster Colony Corp.		26,295		4,075,463
McCormick & Co., Inc.		10,879		1,951,801
PepsiCo, Inc.		15,483		2,047,782
Sysco Corp.		50,466		2,758,472
The Clorox Co.		12,741		2,794,993
The Coca-Cola Co.		35,597		1,590,474
The Procter & Gamble Co.		21,682		2,592,517
Walmart, Inc.		21,290		2,550,116
				38,388,584
Energy (0.6%):
Exxon Mobil Corp.		33,517		1,498,880
Financials (13.6%):
Aflac, Inc.		67,933		2,447,626
American Financial Group, Inc.		51,012		3,237,222
Brown & Brown, Inc.		43,405		1,769,188
Cincinnati Financial Corp.		9,603		614,880
CME Group, Inc.		16,916		2,749,527
Commerce Bancshares, Inc., Class C		45,993		2,735,204
Old Republic International Corp.		40,909		667,226
RLI Corp.		24,277		1,993,142
S&P Global, Inc.		3,373		1,111,336
SEI Investments Co.		36,632		2,014,027
T. Rowe Price Group, Inc.		16,111		1,989,709
The Allstate Corp.		36,867		3,575,730
W.R. Berkley Corp. (a)		124,651		7,141,255
				32,046,072
Health Care (9.3%):
Chemed Corp.		5,856		2,641,466

See notes to financial statements.

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Security Description	Shares		Value
Humana, Inc.		12,318	$	4,776,304
Johnson & Johnson		11,992		1,686,435
Medtronic PLC		37,621		3,449,845
Merck & Co., Inc.		37,195		2,876,289
UnitedHealth Group, Inc.		15,365		4,531,907
West Pharmaceutical Services, Inc.		8,215		1,866,202
				21,828,448
Industrials (21.6%):
3M Co.		49,268		7,685,315
Carlisle Cos., Inc.		12,910		1,544,940
Cintas Corp.		6,504		1,732,405
CSX Corp.		39,355		2,744,618
Dover Corp.		41,476		4,004,923
Emerson Electric Co.		79,043		4,903,037
General Dynamics Corp.		10,277		1,536,000
IDEX Corp.		27,382		4,327,451
Illinois Tool Works, Inc.		20,290		3,547,707
L3Harris Technologies, Inc.		22,738		3,857,957
Nordson Corp.		16,757		3,178,970
Republic Services, Inc.		41,146		3,376,030
Roper Technologies, Inc.		3,222		1,250,974
W.W. Grainger, Inc.		13,829		4,344,519
Waste Management, Inc.		24,332		2,577,002
				50,611,848
Information Technology (12.5%):
Automatic Data Processing, Inc.		19,073		2,839,779
Intuit, Inc.		18,191		5,387,992
Jack Henry & Associates, Inc.		20,524		3,777,032
Mastercard, Inc., Class A		14,256		4,215,499
Maxim Integrated Products, Inc.		46,248		2,803,091
Microsoft Corp.		20,269		4,124,944
Texas Instruments, Inc.		29,845		3,789,420
Visa, Inc., Class A		13,822		2,669,996
				29,607,753
Materials (5.7%):
Air Products & Chemicals, Inc.		13,548		3,271,300
Ecolab, Inc.		9,615		1,912,904
Nucor Corp.		20,626		854,123
PPG Industries, Inc.		22,979		2,437,153
Sonoco Products Co.		61,630		3,222,633
The Sherwin-Williams Co.		2,692		1,555,572
				13,253,685
Utilities (4.3%):
Consolidated Edison, Inc.		51,682		3,717,486
Xcel Energy, Inc.		99,778		6,236,125
				9,953,611
Total Common Stocks (Cost $229,998,049)				234,620,677

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (b)		5,276	$	5,276
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (b)		159,692		159,692
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (b)		36,692		36,692
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (b)		20,996		20,996
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (b)		94,402		94,402
Total Collateral for Securities Loaned (Cost $317,058)				317,058
Total Investments (Cost $230,315,107) — 99.9%				234,937,735
Other assets in excess of liabilities — 0.1%				338,874
NET ASSETS — 100.00%			$	235,276,609

^  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 June 30, 2020.

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	9/18/20	$	458,075	$	463,530	$	5,455
	Total unrealized appreciation							$	5,455
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	5,455

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (3.5%):
AT&T, Inc.		181,603	$	5,489,859
Consumer Discretionary (16.0%):
AutoZone, Inc. (a)		2,888		3,258,011
Best Buy Co., Inc.		5,899		514,806
Booking Holdings, Inc. (a)		274		436,301
BorgWarner, Inc. (b)		58,769		2,074,546
eBay, Inc.		116,244		6,096,998
Foot Locker, Inc.		15,250		444,690
Hanesbrands, Inc. (b)		46,144		520,966
Lear Corp.		4,469		487,210
O'Reilly Automotive, Inc. (a)		1,117		471,005
Ross Stores, Inc.		40,323		3,437,132
Target Corp. (c)		46,100		5,528,773
Texas Roadhouse, Inc.		13,481		708,696
Williams-Sonoma, Inc.		7,908		648,535
				24,627,669
Consumer Staples (17.3%):
Ingredion, Inc.		18,171		1,508,193
Kimberly-Clark Corp.		30,412		4,298,736
The Clorox Co.		20,031		4,394,200
The Kroger Co.		137,960		4,669,946
The Procter & Gamble Co.		51,468		6,154,029
Walgreens Boots Alliance, Inc.		12,511		530,341
Walmart, Inc.		42,849		5,132,454
				26,687,899
Energy (0.7%):
Chevron Corp.		7,615		679,487
Valero Energy Corp.		8,005		470,854
				1,150,341
Financials (10.5%):
Athene Holding Ltd., Class A (a)		14,632		456,372
Everest Re Group Ltd.		8,313		1,714,141
Fidelity National Financial, Inc.		71,566		2,194,214
First American Financial Corp.		17,800		854,756
OneMain Holdings, Inc.		18,980		465,769
Synchrony Financial		22,569		500,129
The Allstate Corp.		45,645		4,427,108
The Hanover Insurance Group, Inc.		5,626		570,083
The Hartford Financial Services Group, Inc.		10,305		397,258
The Travelers Cos., Inc.		41,910		4,779,835
				16,359,665
Health Care (16.2%):
Biogen, Inc. (a)		11,523		3,082,979
Cardinal Health, Inc.		39,520		2,062,549
Cerner Corp.		54,940		3,766,137

See notes to financial statements.

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Security Description	Shares		Value
Johnson & Johnson (c)		46,411	$	6,526,779
Merck & Co., Inc.		66,713		5,158,916
Quest Diagnostics, Inc.		37,941		4,323,756
Universal Health Services, Inc., Class B		3,665		340,442
				25,261,558
Industrials (13.7%):
3M Co.		27,798		4,336,210
C.H. Robinson Worldwide, Inc. (b)		38,028		3,006,494
Fortune Brands Home & Security, Inc.		8,396		536,756
Lockheed Martin Corp.		13,442		4,905,255
Republic Services, Inc. (c)		54,676		4,486,165
Waste Management, Inc.		37,559		3,977,874
				21,248,754
Information Technology (20.1%):
Cisco Systems, Inc.		126,357		5,893,290
Citrix Systems, Inc.		29,118		4,306,843
F5 Networks, Inc. (a)		3,406		475,069
International Business Machines Corp. (b)		31,849		3,846,403
Microsoft Corp. (c)		43,394		8,831,112
NetApp, Inc.		8,710		386,463
Oracle Corp.		76,447		4,225,226
QUALCOMM, Inc.		6,105		556,837
Science Applications International Corp.		4,866		377,991
Texas Instruments, Inc.		3,634		461,409
The Western Union Co. (b)		87,864		1,899,620
				31,260,263
Real Estate (1.6%):
Brixmor Property Group, Inc.		44,517		570,708
Equity Commonwealth		32,491		1,046,210
VICI Properties, Inc.		39,524		797,990
				2,414,908
Total Common Stocks (Cost $148,873,144)				154,500,916
Collateral for Securities Loaned^ (0.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		13,938		13,938
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		421,833		421,833
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		96,922		96,922
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		55,462		55,462
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		249,367		249,367
Total Collateral for Securities Loaned (Cost $837,522)				837,522
Total Investments (Cost $149,710,666) — 100.1%				155,338,438
Liabilities in excess of other assets — (0.1)%				(156,124	)
NET ASSETS — 100.00%			$	155,182,314

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)  All or a portion of this security has been segregated as collateral for derivative instruments.

(d)  Rate disclosed is the daily yield on June 30, 2020.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		4	9/18/20	$	625,889	$	618,040	$	(7,849	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(7,849	)
	Total net unrealized appreciation (depreciation)							$	(7,849	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (54.0%)
Communication Services (2.4%):
Activision Blizzard, Inc.		9,993	$	758,469
Alphabet, Inc., Class A (a)		516		731,714
AT&T, Inc.		25,327		765,635
Cable One, Inc.		456		809,332
Charter Communications, Inc., Class A (a)		1,765		900,220
Comcast Corp., Class A		19,317		752,977
Discovery, Inc., Class A (a) (b)		20,496		432,466
DISH Network Corp., Class A (a)		15,233		525,691
Electronic Arts, Inc. (a)		6,583		869,285
Facebook, Inc., Class A (a)		3,327		755,462
Fox Corp., Class A		20,932		561,396
GCI Liberty, Inc., Class A (a)		11,395		810,412
Netflix, Inc. (a)		1,279		581,996
Omnicom Group, Inc.		12,340		673,764
Sirius XM Holdings, Inc. (b)		138,539		813,224
Take-Two Interactive Software, Inc. (a)		4,918		686,405
The New York Times Co. Class A		12,966		544,961
The Walt Disney Co.		5,823		649,323
T-Mobile U.S., Inc. (a)		7,166		746,339
Twitter, Inc. (a)		11,229		334,512
Verizon Communications, Inc.		20,548		1,132,811
				14,836,394
Consumer Discretionary (6.0%):
Advance Auto Parts, Inc. (b)		4,392		625,640
Amazon.com, Inc. (a)		395		1,089,733
Aptiv PLC		6,566		511,623
Aramark		17,994		406,125
AutoZone, Inc. (a)		760		857,371
Best Buy Co., Inc.		6,160		537,583
Booking Holdings, Inc. (a)		387		616,236
BorgWarner, Inc.		15,373		542,667
Bright Horizons Family Solutions, Inc. (a)		4,967		582,132
Burlington Stores, Inc. (a)		2,229		438,957
CarMax, Inc. (a) (b)		7,148		640,103
Chipotle Mexican Grill, Inc. (a)		775		815,579
Columbia Sportswear Co. (b)		8,004		644,962
D.R. Horton, Inc.		12,444		690,019
Darden Restaurants, Inc.		6,928		524,935
Dollar General Corp.		4,996		951,788
Dollar Tree, Inc. (a)		6,496		602,049
Domino's Pizza, Inc.		1,174		433,723
Dunkin' Brands Group, Inc.		12,261		799,785
eBay, Inc.		17,244		904,448
Etsy, Inc. (a) (b)		5,866		623,145
Garmin Ltd.		8,018		781,755
Gentex Corp.		24,197		623,557
Genuine Parts Co.		8,706		757,074

See notes to financial statements.

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Security Description	Shares		Value
Hasbro, Inc.		5,880	$	440,706
Hilton Worldwide Holdings, Inc.		7,291		535,524
Hyatt Hotels Corp., Class A (b)		8,994		452,308
Kohl's Corp. (c)		9,406		195,363
Las Vegas Sands Corp. (c)		9,317		424,296
Lear Corp.		4,411		480,887
Lennar Corp., Class A		10,669		657,424
Levi Strauss & Co. Class A (b)		26,238		351,589
LKQ Corp. (a)		18,695		489,809
Lowe's Cos., Inc.		6,093		823,286
Marriott International, Inc., Class A		5,076		435,165
McDonald's Corp.		4,852		895,047
Mohawk Industries, Inc. (a)		3,661		372,543
Nike, Inc., Class B		8,244		808,325
Norwegian Cruise Line Holdings Ltd. (a)		13,027		214,034
NVR, Inc. (a)		168		547,470
O'Reilly Automotive, Inc. (a)		1,951		822,678
Planet Fitness, Inc., Class A (a)		7,394		447,855
Pool Corp.		3,341		908,317
PulteGroup, Inc.		15,729		535,258
Ralph Lauren Corp.		4,046		293,416
Ross Stores, Inc.		6,740		574,518
Royal Caribbean Cruises Ltd. (b)		6,041		303,862
Service Corp. International		19,224		747,622
Starbucks Corp.		9,469		696,824
Tapestry, Inc.		14,950		198,536
Target Corp. (c)		4,286		514,020
The Home Depot, Inc.		3,796		950,936
The TJX Cos., Inc.		11,408		576,788
Tractor Supply Co.		7,515		990,403
Ulta Beauty, Inc. (a)		1,304		265,260
VF Corp. (b)		8,145		496,356
Whirlpool Corp. (b)		4,318		559,311
Yum China Holdings, Inc.		11,496		552,613
Yum! Brands, Inc.		9,518		827,209
				35,386,547
Consumer Staples (4.1%):
Archer-Daniels-Midland Co.		19,409		774,419
Brown-Forman Corp., Class B		13,364		850,752
Campbell Soup Co.		20,513		1,018,060
Casey's General Stores, Inc.		4,517		675,382
Church & Dwight Co., Inc.		12,008		928,218
Colgate-Palmolive Co.		12,101		886,519
Conagra Brands, Inc.		15,824		556,530
Costco Wholesale Corp.		3,260		988,465
General Mills, Inc.		17,596		1,084,794
Hormel Foods Corp. (b)		20,516		990,307
Ingredion, Inc.		7,930		658,190
Kellogg Co.		11,325		748,130
Kimberly-Clark Corp.		6,447		911,283

See notes to financial statements.

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Security Description	Shares		Value
Lamb Weston Holdings, Inc.		7,427	$	474,808
McCormick & Co., Inc.		5,490		984,961
Mondelez International, Inc., Class A		16,455		841,344
Monster Beverage Corp. (a)		11,774		816,174
PepsiCo, Inc.		8,086		1,069,455
Philip Morris International, Inc.		7,742		542,405
Sysco Corp.		13,674		747,421
The Clorox Co.		5,518		1,210,485
The Coca-Cola Co.		17,936		801,380
The Estee Lauder Cos., Inc., Class A		3,176		599,248
The Hershey Co.		5,737		743,630
The J.M. Smucker Co.		7,411		784,158
The Kraft Heinz Co.		20,517		654,287
The Kroger Co.		20,421		691,251
Tyson Foods, Inc., Class A		8,564		511,356
U.S. Foods Holding Corp. (a)		22,210		437,981
Walgreens Boots Alliance, Inc.		13,530		573,537
Walmart, Inc.		9,798		1,173,603
				24,728,533
Energy (0.9%):
Cabot Oil & Gas Corp.		33,367		573,245
ConocoPhillips		10,363		435,453
Continental Resources, Inc.		14,880		260,846
EOG Resources, Inc.		6,800		344,488
Exxon Mobil Corp.		13,627		609,399
HollyFrontier Corp.		13,414		391,689
Kinder Morgan, Inc.		45,719		693,558
ONEOK, Inc.		11,188		371,665
Phillips 66		8,480		609,712
The Williams Cos., Inc.		35,402		673,347
Valero Energy Corp.		7,805		459,090
				5,422,492
Financials (9.0%):
Aflac, Inc.		19,718		710,440
Alleghany Corp.		1,129		552,239
Ally Financial, Inc.		21,179		419,980
American Express Co.		6,879		654,881
American Financial Group, Inc.		9,546		605,789
American International Group, Inc.		15,929		496,666
Ameriprise Financial, Inc.		3,916		587,557
Arch Capital Group Ltd. (a)		20,195		578,587
Ares Management Corp., Class A		14,800		587,560
Arthur J. Gallagher & Co.		9,471		923,327
Athene Holding Ltd., Class A (a)		14,933		465,760
Bank of America Corp.		23,823		565,796
Berkshire Hathaway, Inc., Class B (a)		5,334		952,172
BlackRock, Inc., Class A		1,512		822,663
Brown & Brown, Inc.		18,622		759,033
Capital One Financial Corp.		7,331		458,847

See notes to financial statements.

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Security Description	Shares		Value
Cboe Global Markets, Inc.		6,633	$	618,726
Chubb Ltd.		5,443		689,193
Cincinnati Financial Corp.		8,505		544,575
Citigroup, Inc.		10,039		512,993
Citizens Financial Group, Inc.		18,773		473,831
CME Group, Inc.		3,581		582,056
Comerica, Inc.		10,880		414,528
Commerce Bancshares, Inc., Class C		13,990		831,986
Credit Acceptance Corp. (a) (b)		1,572		658,683
Discover Financial Services		8,991		450,359
East West Bancorp, Inc.		11,825		428,538
Erie Indemnity Co. Class A		3,799		729,028
Everest Re Group Ltd.		3,488		719,226
FactSet Research Systems, Inc.		2,492		818,547
Fidelity National Financial, Inc.		23,688		726,274
Fifth Third Bancorp		25,771		496,865
First American Financial Corp.		15,035		721,981
First Republic Bank		6,991		740,976
Franklin Resources, Inc. (b)		25,950		544,172
Globe Life, Inc.		9,447		701,251
Huntington Bancshares, Inc.		55,666		502,942
Intercontinental Exchange, Inc.		8,801		806,172
Invesco Ltd.		36,849		396,495
Jefferies Financial Group, Inc.		28,936		449,955
JPMorgan Chase & Co.		6,649		625,405
KeyCorp		37,245		453,644
KKR & Co., Inc.		19,780		610,806
Loews Corp.		17,209		590,097
LPL Financial Holdings, Inc.		7,103		556,875
M&T Bank Corp.		4,696		488,243
Markel Corp. (a)		761		702,532
MarketAxess Holdings, Inc.		1,467		734,850
Marsh & McLennan Cos., Inc.		8,565		919,623
MetLife, Inc.		17,360		633,987
Moody's Corp.		2,917		801,387
Morgan Stanley		14,262		688,855
Morningstar, Inc.		5,235		737,978
MSCI, Inc.		1,969		657,292
Nasdaq, Inc.		7,478		893,396
Northern Trust Corp.		7,172		569,026
Old Republic International Corp.		40,175		655,254
People's United Financial, Inc.		49,158		568,758
Principal Financial Group, Inc. (b)		13,872		576,243
Prosperity Bancshares, Inc.		10,310		612,208
Prudential Financial, Inc.		8,225		500,903
Raymond James Financial, Inc.		7,517		517,395
Regions Financial Corp.		44,921		499,522
Reinsurance Group of America, Inc.		6,131		480,916
RenaissanceRe Holdings Ltd.		4,598		786,396
S&P Global, Inc.		2,722		896,844

See notes to financial statements.

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Security Description	Shares		Value
Santander Consumer USA Holdings, Inc. (b)		25,944	$	477,629
SEI Investments Co.		12,204		670,976
Signature Bank		5,539		592,230
State Street Corp.		7,848		498,740
SVB Financial Group (a)		2,095		451,535
Synchrony Financial		22,754		504,229
T. Rowe Price Group, Inc.		5,961		736,184
TCF Financial Corp.		16,648		489,784
The Allstate Corp.		7,915		767,676
The Bank of New York Mellon Corp.		16,587		641,088
The Blackstone Group, Inc., Class A		10,907		617,991
The Charles Schwab Corp.		12,114		408,726
The Goldman Sachs Group, Inc.		3,561		703,725
The Hartford Financial Services Group, Inc.		17,151		661,171
The PNC Financial Services Group, Inc.		5,806		610,849
The Progressive Corp.		9,180		735,410
The Travelers Cos., Inc.		6,679		761,740
Tradeweb Markets, Inc., Class A		10,997		639,366
Truist Financial Corp.		15,471		580,936
U.S. Bancorp		18,272		672,775
Voya Financial, Inc.		12,225		570,296
W.R. Berkley Corp.		11,707		670,694
Wells Fargo & Co.		17,615		450,944
Zions Bancorp NA		15,054		511,836
				55,885,614
Health Care (7.5%):
Abbott Laboratories		10,691		977,478
AbbVie, Inc.		6,228		611,465
ABIOMED, Inc. (a)		1,874		452,683
Agilent Technologies, Inc.		9,307		822,460
Alexion Pharmaceuticals, Inc. (a)		4,472		501,937
Align Technology, Inc. (a) (b)		1,507		413,581
Amedisys, Inc. (a)		3,049		605,348
AmerisourceBergen Corp.		6,812		686,445
Amgen, Inc.		3,431		809,236
Anthem, Inc.		2,131		560,410
Baxter International, Inc.		8,605		740,891
Biogen, Inc. (a)		1,176		314,639
Bio-Techne Corp.		3,660		966,495
Boston Scientific Corp. (a)		17,635		619,165
Bruker Corp.		11,959		486,492
Centene Corp. (a)		8,530		542,082
Cerner Corp.		11,964		820,133
Charles River Laboratories International, Inc. (a) (b)		3,971		692,344
Chemed Corp.		1,861		839,441
Cigna Corp.		2,740		514,161
CVS Health Corp.		10,735		697,453
Danaher Corp.		5,352		946,394
DaVita, Inc. (a)		6,831		540,605
DENTSPLY SIRONA, Inc.		16,025		706,062

See notes to financial statements.

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Security Description	Shares		Value
Edwards Lifesciences Corp. (a)		8,758	$	605,265
Eli Lilly & Co.		6,017		987,870
Encompass Health Corp.		8,115		502,562
Exelixis, Inc. (a)		21,223		503,834
HCA Healthcare, Inc.		4,758		461,811
Henry Schein, Inc. (a)		11,781		687,893
Hill-Rom Holdings, Inc.		8,231		903,599
Humana, Inc.		1,674		649,094
IDEXX Laboratories, Inc. (a)		2,402		793,044
Illumina, Inc. (a)		1,768		654,779
Incyte Corp. (a)		6,837		710,843
Insulet Corp. (a)		2,016		391,628
Intuitive Surgical, Inc. (a)		1,181		672,969
IQVIA Holdings, Inc. (a)		4,842		686,983
Jazz Pharmaceuticals PLC (a)		5,229		576,968
Johnson & Johnson(c)		6,747		948,831
Laboratory Corp. of America Holdings (a)		4,838		803,640
Masimo Corp. (a)		4,356		993,124
Medtronic PLC		9,297		852,535
Merck & Co., Inc.		10,820		836,711
Mettler-Toledo International, Inc. (a)		947		762,856
Molina Healthcare, Inc. (a)		3,550		631,829
Penumbra, Inc. (a)		2,730		488,179
PerkinElmer, Inc.		7,789		764,023
PRA Health Sciences, Inc. (a)		6,209		604,074
Quest Diagnostics, Inc.		9,008		1,026,552
Regeneron Pharmaceuticals, Inc. (a)		1,181		736,531
ResMed, Inc.		4,052		777,984
Stryker Corp.		4,084		735,896
Teleflex, Inc.		2,039		742,155
The Cooper Cos., Inc.		2,614		741,435
Thermo Fisher Scientific, Inc.		2,376		860,920
UnitedHealth Group, Inc.		2,282		673,076
Universal Health Services, Inc., Class B		5,446		505,879
Varian Medical Systems, Inc. (a)		4,873		597,040
Veeva Systems, Inc., Class A (a)		3,496		819,532
Vertex Pharmaceuticals, Inc. (a)		2,826		820,415
Waters Corp. (a)		3,706		668,562
West Pharmaceutical Services, Inc.		4,735		1,075,651
Zimmer Biomet Holdings, Inc.		5,131		612,436
Zoetis, Inc.		5,728		784,965
				45,521,373
Industrials (8.4%):
3M Co.		4,469		697,119
Alaska Air Group, Inc.		12,165		441,103
Allegion PLC		6,454		659,728
AMERCO, Inc. (b)		1,922		580,809
American Airlines Group, Inc. (b)		20,524		268,249
AMETEK, Inc.		9,243		826,047
AO Smith Corp.		15,831		745,957

See notes to financial statements.

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Security Description	Shares		Value
C.H. Robinson Worldwide, Inc.		8,116	$	641,651
Carlisle Cos., Inc.		4,653		556,825
Caterpillar, Inc.		5,075		641,988
Cintas Corp.		2,636		702,125
Copart, Inc. (a)		8,757		729,195
CoStar Group, Inc. (a) (c)		842		598,384
CSX Corp.		9,488		661,693
Cummins, Inc.		4,371		757,319
Deere & Co.		3,883		610,213
Delta Air Lines, Inc.		14,400		403,920
Donaldson Co., Inc.		14,706		684,123
Dover Corp.		6,843		660,760
Eaton Corp. PLC		7,280		636,854
Emerson Electric Co.		10,541		653,858
Enphase Energy, Inc. (a) (b)		3,532		168,017
Expeditors International of Washington, Inc.		9,893		752,264
Fastenal Co.		14,456		619,295
Fortive Corp.		9,834		665,368
Fortune Brands Home & Security, Inc.		10,329		660,333
Generac Holdings, Inc. (a)		4,851		591,482
General Dynamics Corp.		5,273		788,103
Graco, Inc.		14,250		683,858
HD Supply Holdings, Inc. (a)		20,373		705,924
HEICO Corp.		5,272		525,355
Honeywell International, Inc.		4,909		709,792
Hubbell, Inc.		5,738		719,316
Huntington Ingalls Industries, Inc.		3,122		544,758
IDEX Corp.		5,244		828,762
Illinois Tool Works, Inc.		4,197		733,845
Ingersoll Rand, Inc. (a) (c)		16,188		455,207
J.B. Hunt Transport Services, Inc.		6,426		773,305
Kansas City Southern		4,450		664,341
Knight-Swift Transportation Holdings, Inc.		14,166		590,864
L3Harris Technologies, Inc.		3,570		605,722
Lennox International, Inc.		3,052		711,085
Lockheed Martin Corp.		2,464		899,162
Masco Corp.		15,339		770,172
Nordson Corp.		4,697		891,068
Norfolk Southern Corp.		3,395		596,060
Old Dominion Freight Line, Inc.		5,021		851,511
Owens Corning, Inc.		9,817		547,396
PACCAR, Inc.		10,085		754,862
Parker-Hannifin Corp.		3,006		550,910
Quanta Services, Inc.		16,180		634,741
Raytheon Technologies Corp.		6,149		378,901
Republic Services, Inc. (c)		12,120		994,446
Robert Half International, Inc.		12,704		671,152
Rockwell Automation, Inc.		3,020		643,260
Rollins, Inc. (b)		18,166		770,057
Roper Technologies, Inc.		2,293		890,280

See notes to financial statements.

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Security Description	Shares		Value
Snap-on, Inc.		5,162	$	714,989
Southwest Airlines Co.		15,116		516,665
Spirit AeroSystems Holdings, Inc., Class A		9,637		230,710
Stanley Black & Decker, Inc.		3,684		513,476
Teledyne Technologies, Inc. (a)		2,141		665,744
Textron, Inc.		12,415		408,578
The Middleby Corp. (a)		5,465		431,407
The Toro Co.		11,614		770,473
Trane Technologies PLC		8,102		720,916
TransDigm Group, Inc.		1,027		453,985
TransUnion		7,775		676,736
Trex Co., Inc. (a) (b)		4,461		580,242
Union Pacific Corp.		3,963		670,024
United Airlines Holdings, Inc. (a)		9,445		326,891
United Rentals, Inc. (a)		3,131		466,644
Verisk Analytics, Inc.		5,999		1,021,030
W.W. Grainger, Inc.		2,156		677,329
Waste Management, Inc.		8,813		933,385
Watsco, Inc.		5,614		997,608
Woodward, Inc. (b)		6,613		512,838
XPO Logistics, Inc. (a)		5,064		391,194
Xylem, Inc.		8,340		541,766
				50,721,524
Information Technology (9.0%):
Accenture PLC, Class A		4,716		1,012,620
Adobe, Inc. (a)		1,964		854,949
Advanced Micro Devices, Inc. (a)		7,670		403,519
Akamai Technologies, Inc. (a)		8,088		866,144
Amphenol Corp., Class A		7,848		751,918
Analog Devices, Inc.		5,069		621,662
ANSYS, Inc. (a)		2,480		723,490
Apple, Inc.		2,306		841,229
Applied Materials, Inc.		7,749		468,427
Arista Networks, Inc. (a)		1,963		412,289
Aspen Technology, Inc. (a)		4,314		446,974
Automatic Data Processing, Inc.		5,155		767,528
Black Knight, Inc. (a)		11,719		850,331
Booz Allen Hamilton Holdings Corp.		10,051		781,867
Broadcom, Inc.		1,999		630,904
Broadridge Financial Solutions, Inc.		6,770		854,306
CACI International, Inc., Class A (a)		2,764		599,456
Cadence Design Systems, Inc. (a)		8,629		828,039
CDW Corp.		5,136		596,700
Ciena Corp. (a)		11,294		611,683
Cisco Systems, Inc.		14,982		698,760
Citrix Systems, Inc.		8,233		1,217,742
Cognex Corp.		10,042		599,708
Cognizant Technology Solutions Corp., Class A		11,694		664,453
Corning, Inc.		23,971		620,849
Dell Technologies, Inc., Class C (a) (b)		11,097		609,669

See notes to financial statements.

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Security Description	Shares			Value
Dolby Laboratories, Inc., Class A		9,774		$	643,813
Entegris, Inc.		10,132			598,295
EPAM Systems, Inc. (a)		2,367			596,508
Euronet Worldwide, Inc. (a)		4,846			464,344
F5 Networks, Inc. (a)		5,005			698,097
Fair Isaac Corp. (a)		1,324			553,485
Fiserv, Inc. (a)		6,504			634,920
FleetCor Technologies, Inc. (a)		2,331			586,316
FLIR Systems, Inc.		11,644			472,397
Fortinet, Inc. (a)		5,134			704,744
Gartner, Inc. (a)		3,914	��		474,886
Genpact Ltd.		18,625			680,185
Global Payments, Inc.		4,019			681,703
Intel Corp.		10,358			619,719
International Business Machines Corp.		5,527			667,496
Jack Henry & Associates, Inc.		5,427			998,731
Juniper Networks, Inc.		32,229			736,756
Keysight Technologies, Inc. (a)		4,857			489,488
KLA Corp.		3,044			591,997
Lam Research Corp.		1,505			486,807
Leidos Holdings, Inc.		6,095			570,919
Mastercard, Inc., Class A		2,315			684,546
Maxim Integrated Products, Inc.		10,586			641,617
Microchip Technology, Inc. (b)		5,183			545,822
Micron Technology, Inc. (a)		7,036			362,495
Microsoft Corp. (c)		4,533			922,511
MKS Instruments, Inc.		3,784			428,500
Monolithic Power Systems, Inc.		3,142			744,655
Motorola Solutions, Inc.		4,554			638,152
NetApp, Inc.		8,806			390,722
NortonLifeLock, Inc.		14,019			277,997
NVIDIA Corp.		1,512			574,424
Oracle Corp.		14,762			815,896
Paychex, Inc.		11,431			865,898
Paycom Software, Inc. (a)		1,483			459,330
Paylocity Holding Corp. (a)		3,338			486,981
PayPal Holdings, Inc. (a)		5,562			969,067
Qorvo, Inc. (a)		4,081			451,073
QUALCOMM, Inc.		6,706			611,654
RealPage, Inc. (a)		7,785			506,103
Seagate Technology PLC		12,023			582,033
Skyworks Solutions, Inc.		4,757			608,230
SS&C Technologies Holdings, Inc.		8,593			485,333
SYNNEX Corp.		3,277			392,486
Synopsys, Inc. (a)		4,317			841,815
TE Connectivity Ltd.		8,560			698,068
Teradyne, Inc.		7,002			591,739
Texas Instruments, Inc.		5,042			640,183
The Trade Desk, Inc., Class A (a) (b)		1,035			420,728
The Western Union Co.		30,389			657,010
Trimble, Inc. (a)		15,239			658,173

See notes to financial statements.

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Security Description	Shares		Value
Tyler Technologies, Inc. (a)		2,660	$	922,700
Ubiquiti, Inc.		2,196		383,334
Universal Display Corp.		2,401		359,238
VeriSign, Inc. (a)		3,907		808,085
Visa, Inc., Class A		4,191		809,575
VMware, Inc., Class A (a) (b)		3,742		579,486
WEX, Inc. (a)		2,808		463,348
Xerox Holdings Corp.		15,556		237,851
Xilinx, Inc.		5,414		532,683
Zebra Technologies Corp. (a)		1,965		502,942
Zoom Video Communications, Inc., Class A (a) (b)		3,015		764,423
				55,603,728
Materials (2.5%):
Air Products & Chemicals, Inc.		3,351		809,132
Albemarle Corp. (b)		4,824		372,461
AptarGroup, Inc.		9,232		1,033,800
Axalta Coating Systems Ltd. (a)		23,000		518,650
Ball Corp.		8,824		613,180
Celanese Corp.		6,878		593,847
CF Industries Holdings, Inc.		14,447		406,539
Crown Holdings, Inc. (a)		8,996		585,909
Eastman Chemical Co.		8,632		601,132
Ecolab, Inc.		4,436		882,542
International Flavors & Fragrances, Inc.		3,920		480,043
International Paper Co.		16,254		572,303
LyondellBasell Industries NV, Class A		7,269		477,719
Martin Marietta Materials, Inc. (b)		3,045		629,006
Nucor Corp.		14,577		603,634
Packaging Corp. of America		7,477		746,205
PPG Industries, Inc.		7,518		797,359
Reliance Steel & Aluminum Co.		5,436		516,039
Royal Gold, Inc.		5,439		676,176
RPM International, Inc.		12,118		909,577
Steel Dynamics, Inc.		18,063		471,264
The Sherwin-Williams Co.		1,405		811,879
Vulcan Materials Co.		6,647		770,055
Westlake Chemical Corp.		7,524		403,663
Westrock Co.		14,262		403,044
				15,685,158
Real Estate (0.2%):
CBRE Group, Inc., Class A (a)		12,448		562,899
Jones Lang LaSalle, Inc.		4,061		420,151
				983,050
Utilities (4.0%):
Alliant Energy Corp.		20,415		976,654
Ameren Corp.		14,096		991,794
American Electric Power Co., Inc. (c)		11,748		935,611
American Water Works Co., Inc.		7,881		1,013,970
Atmos Energy Corp.		10,163		1,012,032

See notes to financial statements.

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Security Description	Shares		Value
CenterPoint Energy, Inc.		32,125	$	599,774
CMS Energy Corp.		16,606		970,123
Consolidated Edison, Inc. (c)		12,761		917,899
DTE Energy Co.		8,819		948,043
Duke Energy Corp. (c)		12,298		982,487
Edison International		9,220		500,738
Entergy Corp.		9,119		855,453
Essential Utilities, Inc. (b)		17,922		757,025
Evergy, Inc. (c)		17,579		1,042,259
Eversource Energy(c)		12,643		1,052,783
Exelon Corp.		20,843		756,392
MDU Resources Group, Inc.		34,149		757,425
NextEra Energy, Inc. (c)		4,000		960,680
NRG Energy, Inc.		20,843		678,648
OGE Energy Corp.		26,805		813,800
Pinnacle West Capital Corp.		10,793		791,019
PPL Corp.		27,803		718,430
Public Service Enterprise Group, Inc.		20,333		999,569
Sempra Energy		7,151		838,312
The Southern Co. (c)		15,886		823,689
Vistra Corp.		33,584		625,334
WEC Energy Group, Inc. (c)		11,125		975,106
Xcel Energy, Inc. (b) (c)		15,960		997,500
				24,292,549
Total Common Stocks (Cost $283,215,289)				329,066,962
Rights (0.0%) (d)
Communication Services (0.0%): (d)
T-Mobile U.S., Inc., Expires 7/28/20 (a)		7,166		1,204
Total Rights (Cost $—)				1,204
Investment Companies (45.9%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.20% (e) (f)		280,075,188		280,075,188
Total Investment Companies (Cost $280,075,188)				280,075,188
Collateral for Securities Loaned^ (1.8%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (e)		183,266		183,266
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (e)		5,546,684		5,546,684
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (e)		1,274,431		1,274,431
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (e)		729,266		729,266
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (e)		3,278,921		3,278,921
Total Collateral for Securities Loaned (Cost $11,012,568)				11,012,568
Total Investments (Cost $574,303,045) — 101.7%				620,155,922
Liabilities in excess of other assets — (1.7)%				(10,542,684	)
NET ASSETS — 100.00%			$	609,613,238

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)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(e)  Rate disclosed is the daily yield on June 30, 2020.

(f)  Represents an investment greater than 25% of the Fund's net assets. Performance of the Fund may be adversely impacted by concentrated investments in securities. The financial statements and portfolio holdings for these securities can be found at www.sec.gov.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		15	9/18/20	$	2,345,123	$	2,317,650	$	(27,473	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(27,473	)
	Total net unrealized appreciation (depreciation)							$	(27,473	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (76.7%)
Communication Services (3.1%):
AT&T, Inc.		175,096	$	5,293,152
Omnicom Group, Inc. (a)		85,296		4,657,162
Verizon Communications, Inc.		141,995		7,828,184
				17,778,498
Consumer Discretionary (4.0%):
Darden Restaurants, Inc.		47,804		3,622,109
Genuine Parts Co.		60,189		5,234,035
Hasbro, Inc.		40,571		3,040,796
Kohl's Corp. (b)		65,017		1,350,403
Las Vegas Sands Corp. (b)		64,277		2,927,175
Royal Caribbean Cruises Ltd. (a)		41,674		2,096,202
Tapestry, Inc.		103,352		1,372,515
Whirlpool Corp. (a)		29,842		3,865,434
				23,508,669
Consumer Staples (11.2%):
Archer-Daniels-Midland Co.		134,182		5,353,862
Campbell Soup Co.		141,530		7,024,134
Conagra Brands, Inc.		109,388		3,847,176
General Mills, Inc.		121,625		7,498,181
Ingredion, Inc.		54,706		4,540,598
Kellogg Co.		78,133		5,161,466
Kimberly-Clark Corp.		44,564		6,299,121
Philip Morris International, Inc.		53,520		3,749,611
The Coca-Cola Co.		123,984		5,539,605
The J.M. Smucker Co. (a)		51,225		5,420,117
The Kraft Heinz Co.		141,557		4,514,253
Walgreens Boots Alliance, Inc.		93,508		3,963,804
				62,911,928
Energy (5.2%):
ConocoPhillips		71,508		3,004,766
Exxon Mobil Corp.		94,195		4,212,400
HollyFrontier Corp. (a)		92,717		2,707,336
Kinder Morgan, Inc.		315,999		4,793,706
ONEOK, Inc. (a)		77,329		2,568,869
Phillips 66		58,606		4,213,771
The Williams Cos., Inc.		244,252		4,645,673
Valero Energy Corp.		53,952		3,173,457
				29,319,978
Financials (16.4%):
American International Group, Inc.		109,902		3,426,744
Ares Management Corp., Class A		102,115		4,053,966
Citigroup, Inc.		69,265		3,539,442
Citizens Financial Group, Inc.		129,782		3,275,698
Comerica, Inc.		75,211		2,865,539
Fidelity National Financial, Inc.		163,437		5,010,978

See notes to financial statements.

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Security Description	Shares		Value
Fifth Third Bancorp		178,160	$	3,434,925
Franklin Resources, Inc. (a)		179,409		3,762,207
Huntington Bancshares, Inc.		384,789		3,476,569
Invesco Ltd.		254,747		2,741,078
KeyCorp		257,486		3,136,179
MetLife, Inc.		120,011		4,382,802
Old Republic International Corp.		277,187		4,520,920
People's United Financial, Inc. (a)		339,852		3,932,088
Principal Financial Group, Inc. (a)		95,877		3,982,731
Prudential Financial, Inc.		56,858		3,462,652
Regions Financial Corp.		310,515		3,452,927
Santander Consumer USA Holdings, Inc. (a)		179,354		3,301,907
TCF Financial Corp.		115,066		3,385,242
The Blackstone Group, Inc., Class A		75,259		4,264,174
The PNC Financial Services Group, Inc.		40,053		4,213,976
Truist Financial Corp.		106,952		4,016,048
U.S. Bancorp		126,066		4,641,749
Wells Fargo & Co.		121,776		3,117,466
Zions Bancorp NA		104,074		3,538,516
				92,936,523
Health Care (3.6%):
AbbVie, Inc.		42,970		4,218,795
Amgen, Inc.		23,676		5,584,221
CVS Health Corp.		74,067		4,812,133
Merck & Co., Inc.		74,649		5,772,607
				20,387,756
Industrials (5.9%):
3M Co.		30,896		4,819,467
Caterpillar, Inc.		35,088		4,438,632
Cummins, Inc.		30,219		5,235,744
Delta Air Lines, Inc.		99,360		2,787,048
Eaton Corp. PLC		50,332		4,403,043
Emerson Electric Co.		72,878		4,520,622
Watsco, Inc. (a)		38,797		6,894,227
				33,098,783
Information Technology (9.1%):
Broadcom, Inc.		13,821		4,362,046
Cisco Systems, Inc.		103,565		4,830,272
Corning, Inc.		165,391		4,283,627
International Business Machines Corp.		38,206		4,614,139
Juniper Networks, Inc.		222,793		5,093,048
Maxim Integrated Products, Inc.		73,185		4,435,742
NetApp, Inc.		60,877		2,701,112
Paychex, Inc.		79,023		5,985,992
QUALCOMM, Inc.		46,265		4,219,831
Seagate Technology PLC		83,093		4,022,532
The Western Union Co. (a)		210,093		4,542,211
Xerox Holdings Corp.		107,541		1,644,302
				50,734,854

See notes to financial statements.

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Security Description	Shares		Value
Materials (5.2%):
CF Industries Holdings, Inc.		99,685	$	2,805,136
Eastman Chemical Co.		59,678		4,155,976
International Paper Co.		112,358		3,956,125
LyondellBasell Industries NV, Class A		50,251		3,302,496
Nucor Corp.		100,761		4,172,513
Packaging Corp. of America		51,674		5,157,065
Steel Dynamics, Inc.		124,876		3,258,015
Westrock Co.		98,591		2,786,182
				29,593,508
Utilities (13.0%):
American Electric Power Co., Inc. (b)		81,225		6,468,759
CenterPoint Energy, Inc.		222,096		4,146,532
Consolidated Edison, Inc. (b)		88,220		6,345,665
DTE Energy Co.		60,847		6,541,053
Duke Energy Corp. (b)		85,026		6,792,728
Edison International		63,621		3,455,257
Entergy Corp.		62,921		5,902,619
Exelon Corp.		144,099		5,229,353
OGE Energy Corp.		185,285		5,625,253
Pinnacle West Capital Corp.		74,611		5,468,240
PPL Corp.		192,216		4,966,861
Public Service Enterprise Group, Inc.		140,530		6,908,454
The Southern Co. (b)		109,824		5,694,374
				73,545,148
Total Common Stocks (Cost $398,663,479)				433,815,645
Investment Companies (23.1%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.20% (c)		130,782,399		130,782,399
Total Investment Companies (Cost $130,782,399)				130,782,399
Collateral for Securities Loaned^ (4.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (c)		423,381		423,381
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (c)		12,813,901		12,813,901
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (c)		2,944,179		2,944,179
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (c)		1,684,744		1,684,744
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (c)		7,574,935		7,574,935
Total Collateral for Securities Loaned (Cost $25,441,140)				25,441,140
Total Investments (Cost $554,887,018) — 104.3%				590,039,184
Liabilities in excess of other assets — (4.3)%				(24,147,158	)
NET ASSETS — 100.00%			$	565,892,026

^  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)  All or a portion of this security has been segregated as collateral for derivative instruments.

(c)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		16	9/18/20	$	2,486,904	$	2,472,160	$	(14,744	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(14,744	)
	Total net unrealized appreciation (depreciation)							$	(14,744	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (78.1%)
Communication Services (1.8%):
Cargurus, Inc. (a)		1,844	$	46,745
Cumulus Media, Inc., Class A (a) (b)		4,045		15,978
John Wiley & Sons, Inc., Class A		2,650		103,350
MSG Networks, Inc., Class A (a) (b)		4,533		45,103
QuinStreet, Inc. (a)		3,011		31,495
Sciplay Corp., Class A (a)		5,268		78,124
Shenandoah Telecommunications Co.		1,172		57,768
TechTarget, Inc. (a)		2,527		75,886
Telephone & Data Systems, Inc.		2,502		49,740
The Marcus Corp.		2,718		36,068
United States Cellular Corp. (a)		1,414		43,650
WideOpenWest, Inc. (a)		8,527		44,937
Yelp, Inc. (a)		1,920		44,410
				673,254
Consumer Discretionary (13.6%):
Acushnet Holdings Corp. (b)		3,619		125,904
Adtalem Global Education, Inc. (a)		1,889		58,842
American Eagle Outfitters, Inc. (b)		3,859		42,063
America's Car-Mart, Inc. (a)		601		52,810
Asbury Automotive Group, Inc. (a)		821		63,488
Big Lots, Inc.		2,049		86,058
BJ's Restaurants, Inc.		1,439		30,133
Bloomin' Brands, Inc.		3,588		38,248
Boot Barn Holdings, Inc. (a)		1,577		34,000
Boyd Gaming Corp.		2,471		51,644
Brinker International, Inc.		2,012		48,288
Carriage Services, Inc.		2,625		47,565
Cavco Industries, Inc. (a)		323		62,291
Century Communities, Inc. (a)		1,890		57,947
Collectors Universe, Inc.		2,349		80,524
Conn's, Inc. (a) (b)		4,144		41,813
Cooper Tire & Rubber Co.		2,685		74,133
Core-Mark Holding Co., Inc.		2,446		61,040
Crocs, Inc. (a)		1,773		65,281
Dave & Buster's Entertainment, Inc. (b)		1,705		22,728
Denny's Corp. (a)		5,399		54,530
Dine Brands Global, Inc.		851		35,827
Dorman Products, Inc. (a)		986		66,131
El Pollo Loco Holdings, Inc. (a)		3,626		53,520
Fox Factory Holding Corp. (a)		988		81,619
Garrett Motion, Inc. (a)		5,984		33,151
Genesco, Inc. (a)		1,130		24,476
Gentherm, Inc. (a)		1,886		73,365
G-III Apparel Group Ltd. (a)		1,814		24,108
Graham Holdings Co. Class B		237		81,213
Green Brick Partners, Inc. (a)		7,043		83,459
Group 1 Automotive, Inc.		709		46,773

See notes to financial statements.

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Security Description	Shares		Value
Haverty Furniture Cos., Inc.		3,673	$	58,768
Hilton Grand Vacations, Inc. (a)		2,545		49,755
Hooker Furniture Corp.		3,999		77,781
Installed Building Products, Inc. (a)		870		59,839
iRobot Corp. (a)		940		78,866
Jack in the Box, Inc.		1,023		75,794
Johnson Outdoors, Inc., Class A		1,028		93,569
KB Home		2,194		67,312
Kontoor Brands, Inc.		1,479		26,341
La-Z-Boy, Inc.		2,394		64,782
LCI Industries		719		82,671
LGI Homes, Inc. (a)		777		68,399
Lithia Motors, Inc., Class A		479		72,487
M/I Homes, Inc. (a)		1,957		67,399
Malibu Boats, Inc., Class A (a)		1,144		59,431
MarineMax, Inc. (a)		2,563		57,386
MDC Holdings, Inc.		1,724		61,547
Meritage Homes Corp. (a)		1,030		78,404
Monarch Casino & Resort, Inc. (a)		1,922		65,502
Monro, Inc.		1,165		64,005
Movado Group, Inc.		3,125		33,875
Murphy USA, Inc. (a)		611		68,792
National Vision Holdings, Inc. (a)		1,301		39,707
Oxford Industries, Inc.		1,183		52,064
PetMed Express, Inc.		1,456		51,892
Rent-A-Center, Inc.		3,038		84,516
Rocky Brands, Inc.		2,668		54,854
Ruth's Hospitality Group, Inc.		3,115		25,418
Sally Beauty Holdings, Inc. (a) (b)		3,391		42,489
Shoe Carnival, Inc. (b)		1,739		50,901
Shutterstock, Inc. (b)		1,929		67,457
Skyline Champion Corp. (a)		1,903		46,319
Sleep Number Corp. (a)		1,134		47,220
Sonic Automotive, Inc., Class A		2,001		63,852
Stamps.com, Inc. (a)		159		29,207
Standard Motor Products, Inc.		1,787		73,624
Steven Madden Ltd.		1,937		47,825
Stoneridge, Inc. (a)		3,186		65,823
Sturm Ruger & Co., Inc.		1,417		107,692
The Buckle, Inc.		1,942		30,451
The Cheesecake Factory, Inc. (b)		2,019		46,275
The Children's Place, Inc.		697		26,082
The Michaels Cos., Inc. (a)		6,008		42,477
Tilly's, Inc., Class A		5,994		33,986
TRI Pointe Group, Inc. (a)		5,462		80,236
Tupperware Brands Corp.		8,483		40,294
Twin River Worldwide Holdings, Inc.		2,409		53,697
Urban Outfitters, Inc. (a)		2,068		31,475
Visteon Corp. (a)		722		49,457
Wingstop, Inc.		808		112,287

See notes to financial statements.

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Security Description	Shares		Value
Winmark Corp.		609	$	104,284
Winnebago Industries, Inc.		1,018		67,819
XPEL, Inc. (a)		2,256		35,284
YETI Holdings, Inc. (a)		1,470		62,813
Zumiez, Inc. (a)		1,852		50,708
				5,054,162
Consumer Staples (4.5%):
B&G Foods, Inc.		3,168		77,236
BJ's Wholesale Club Holdings, Inc. (a)		3,173		118,258
elf Beauty, Inc. (a)		3,072		58,583
Hostess Brands, Inc. (a)		9,463		115,638
Ingles Markets, Inc., Class A		2,083		89,715
Inter Parfums, Inc.		1,320		63,558
John B Sanfilippo & Son, Inc.		1,073		91,559
Lifevantage Corp. (a)		4,583		61,962
Medifast, Inc. (b)		501		69,524
MGP Ingredients, Inc. (b)		1,296		47,570
National Beverage Corp. (a)		1,187		72,430
Nu Skin Enterprises, Inc., Class A		2,000		76,460
PriceSmart, Inc.		1,091		65,820
Sprouts Farmers Market, Inc. (a)		4,243		108,578
The Chefs' Warehouse, Inc. (a) (b)		2,216		30,093
Tootsie Roll Industries, Inc. (b)		3,467		118,814
Universal Corp.		1,846		78,473
USANA Health Sciences, Inc. (a)		681		50,006
Vector Group Ltd.		4,663		46,910
WD-40 Co.		643		127,507
Weis Markets, Inc.		2,549		127,756
				1,696,450
Energy (1.5%):
Archrock, Inc.		8,222		53,361
Cactus, Inc., Class A		2,072		42,745
CONSOL Energy, Inc. (a)		6,274		31,809
Core Laboratories NV		1,603		32,573
CVR Energy, Inc.		2,497		50,215
Delek U.S. Holdings, Inc.		2,428		42,271
Falcon Minerals Corp.		11,706		37,459
Helix Energy Solutions Group, Inc. (a)		6,932		24,054
Magnolia Oil & Gas Corp., Class A (a)		7,323		44,377
ProPetro Holding Corp. (a)		3,535		18,170
Solaris Oilfield Infrastructure, Inc., Class A (b)		4,695		34,837
Southwestern Energy Co. (a)		22,090		56,550
World Fuel Services Corp.		2,352		60,589
				529,010
Financials (17.5%):
American National Insurance Co.		1,148		82,736
Ameris Bancorp		2,608		61,523
AMERISAFE, Inc.		1,307		79,936

See notes to financial statements.

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Security Description	Shares			Value
Artisan Partners Asset Management, Inc., Class A		2,751		$	89,408
Associated Bancorp		5,598			76,581
Atlantic Union Bankshares Corp.		3,031			70,198
Axos Financial, Inc. (a)		2,801			61,846
B. Riley Financial, Inc.		2,534			55,140
BancFirst Corp.		1,969			79,882
BancorpSouth Bank		4,050			92,097
Bank of Hawaii Corp.		1,499			92,054
BankUnited, Inc.		3,035			61,459
Banner Corp.		1,945			73,910
Berkshire Hills Bancorp, Inc.		3,581			39,463
Cadence Bancorp		3,699			32,773
Cannae Holdings, Inc. (a)		1,798			73,898
Capitol Federal Financial, Inc.		10,856			119,525
Cathay General Bancorp		3,143			82,661
CNO Financial Group, Inc.		4,910			76,449
Cohen & Steers, Inc.		1,224			83,293
Columbia Banking System, Inc.		2,972			84,241
Columbia Financial, Inc. (a)		9,288			129,615
CVB Financial Corp.		5,720			107,194
Eagle Bancorp, Inc.		1,479			48,437
Employers Holdings, Inc.		2,741			82,641
Evercore, Inc.		1,065			62,750
Federated Hermes, Inc.		3,103			73,541
First Bancorp, Inc.		10,431	��		58,309
First Busey Corp.		5,055			94,276
First Financial Bancorp		4,281			59,463
First Interstate BancSystem, Inc., Class A		3,209			99,351
First Merchants Corp.		2,637			72,702
First Midwest Bancorp, Inc.		5,252			70,114
Flagstar Bancorp, Inc.		3,408			100,297
Fulton Financial Corp.		7,457			78,522
Goosehead Insurance, Inc., Class A (a)		1,012			76,062
Great Western Bancorp, Inc.		3,146			43,289
Hancock Whitney Corp.		2,405			50,986
Heartland Financial USA, Inc.		2,031			67,917
Hilltop Holdings, Inc.		4,657			85,922
Home BancShares, Inc.		5,126			78,838
Hope Bancorp, Inc.		7,702			71,012
Horace Mann Educators Corp.		2,497			91,715
Independent Bank Corp.		1,326			88,961
Independent Bank Group, Inc.		1,937			78,487
International Bancshares Corp.		2,692			86,198
Investors Bancorp, Inc.		10,874			92,429
Kinsale Capital Group, Inc.		552			85,676
Mercury General Corp.		1,886			76,855
Moelis & Co. Class A		2,128			66,308
National General Holdings Corp.		4,728			102,172
Navient Corp.		5,692			40,015
NBT Bancorp, Inc.		3,228			99,293

See notes to financial statements.

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Security Description	Shares			Value
Nelnet, Inc., Class A		2,063		$	98,487
NMI Holdings, Inc., Class A (a)		2,490			40,039
Northwest Bancshares, Inc.		9,091			92,955
Oceanfirst Financial Corp.		5,223			92,081
Old National Bancorp		7,019			96,581
Pacific Premier Bancorp, Inc.		3,247			70,395
Park National Corp.		1,214			85,441
Pennymac Financial Services		2,338			97,705
PRA Group, Inc. (a)		1,944			75,155
Provident Financial Services, Inc.		6,606			95,457
Renasant Corp.		3,358			83,614
S&T Bancorp, Inc.		3,281			76,939
Safety Insurance Group, Inc.		1,305			99,519
Seacoast Banking Corp. of Florida (a)		3,453			70,441
ServisFirst Bancshares, Inc.		2,237			79,995
Simmons First National Corp., Class A		3,862			66,079
South State Corp.		1,429			68,106
Towne Bank		4,788			90,206
Trustmark Corp.		3,752			91,999
UMB Financial Corp.		1,666			85,882
United Bankshares, Inc.		3,373			93,297
United Community Banks, Inc.		3,660			73,639
Veritex Holdings, Inc.		3,783			66,959
Victory Capital Holdings, Inc., Class A (c)		2,921			50,212
Walker & Dunlop, Inc.		1,174			59,651
Washington Federal, Inc.		3,981			106,850
WesBanco, Inc.		3,280			66,617
Westamerica Bancorp		2,002			114,956
WSFS Financial Corp.		2,754			79,040
					6,456,717
Health Care (6.4%):
Addus HomeCare Corp. (a)		900			83,304
Amphastar Pharmaceuticals, Inc. (a)		4,855			109,044
Anika Therapeutics, Inc. (a)		860			32,448
Atrion Corp.		147			93,640
BioLife Solutions, Inc. (a) (b)		2,879			47,072
BioSpecifics Technologies Corp. (a)		1,330			81,503
BioTelemetry, Inc. (a)		1,389			62,769
Computer Programs & Systems, Inc.		2,059			46,925
CONMED Corp.		1,017			73,214
Corcept Therapeutics, Inc. (a)		3,981			66,960
CorVel Corp. (a)		1,272			90,172
Enanta Pharmaceuticals, Inc. (a)		1,134			56,938
HealthStream, Inc. (a)		3,799			84,072
HMS Holdings Corp. (a)		2,436			78,902
Innoviva, Inc. (a)		5,247			73,353
Integer Holdings Corp. (a)		930			67,937
iRadimed Corp. (a)		1,631			37,856
Lantheus Holdings, Inc. (a)		2,938			42,013
LeMaitre Vascular, Inc.		2,174	��		57,394

See notes to financial statements.

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Security Description	Shares		Value
Magellan Health, Inc. (a)		1,152	$	84,073
Meridian Bioscience, Inc. (a)		5,576		129,865
National Healthcare Corp.		1,568		99,475
National Research Corp.		1,397		81,319
Nextgen Healthcare, Inc. (a)		3,926		43,107
Phibro Animal Health Corp., Class A		1,732		45,500
Simulations Plus, Inc.		1,506		90,089
STAAR Surgical Co. (a)		1,356		83,448
Supernus Pharmaceuticals, Inc. (a)		2,175		51,656
Surmodics, Inc. (a)		1,564		67,627
Tactile Systems Technology, Inc. (a)		1,122		46,484
The Ensign Group, Inc.		1,524		63,779
The Joint Corp. (a)		3,809		58,163
Triple-S Management Corp., Class B (a)		2,939		55,900
U.S. Physical Therapy, Inc.		563		45,614
Zynex, Inc. (a) (b)		2,224		55,311
				2,386,926
Industrials (17.8%):
AAON, Inc.		1,284		69,708
ABM Industries, Inc.		2,736		99,317
Alamo Group, Inc.		559		57,376
Albany International Corp.		1,186		69,630
Allegiant Travel Co.		604		65,963
Allied Motion Technologies, Inc.		1,439		50,797
Altra Industrial Motion Corp.		1,726		54,990
Ameresco, Inc., Class A (a)		3,177		88,256
American Woodmark Corp. (a)		775		58,629
Applied Industrial Technologies, Inc.		1,450		90,466
Arcosa, Inc.		1,668		70,390
ASGN, Inc. (a)		1,468		97,887
Atkore International Group, Inc. (a)		1,994		54,536
AZZ, Inc.		1,605		55,084
Barnes Group, Inc.		1,204		47,630
BMC Stock Holdings, Inc. (a)		2,989		75,143
Brady Corp., Class A		2,084		97,573
Builders FirstSource, Inc. (a)		2,828		58,540
Chart Industries, Inc. (a)		960		46,550
Columbus McKinnon Corp.		1,959		65,529
Comfort Systems USA, Inc.		1,391		56,683
Construction Partners, Inc., Class A (a)		2,905		51,593
CSW Industrials, Inc.		1,460		100,900
Ducommun, Inc. (a)		807		28,140
DXP Enterprise, Inc. (a)		2,006		39,939
Echo Global Logistics, Inc. (a)		3,314		71,649
Encore Wire Corp.		1,569		76,599
EnerSys		1,041		67,020
Ennis, Inc.		4,974		90,228
ESCO Technologies, Inc.		1,060		89,601
Evoqua Water Technologies Corp. (a)		2,541		47,263
Federal Signal Corp.		2,624		78,012

See notes to financial statements.

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Security Description	Shares		Value
Forward Air Corp.		1,615	$	80,459
Foundation Building Materials, Inc. (a)		3,534		55,166
Franklin Electric Co., Inc.		1,681		88,286
GATX Corp. (b)		1,131		68,968
Gibraltar Industries, Inc. (a)		1,586		76,144
GMS, Inc. (a)		2,271		55,844
GrafTech International Ltd. (b)		5,679		45,318
Great Lakes Dredge & Dock Corp. (a)		6,202		57,431
H&E Equipment Services, Inc.		2,242		41,432
Hawaiian Holdings, Inc.		2,648		37,178
Healthcare Services Group		1,849		45,227
Heartland Express, Inc.		5,063		105,412
Heidrick & Struggles International, Inc.		2,853		61,682
Helios Technologies, Inc. (b)		1,220		45,445
Herman Miller, Inc.		1,849		43,655
HNI Corp.		2,479		75,783
Hub Group, Inc., Class A (a)		1,495		71,551
Huron Consulting Group, Inc. (a)		1,273		56,330
Hyster-Yale Materials Handling, Inc.		1,143		44,188
ICF International, Inc.		1,210		78,444
Insperity, Inc.		543		35,148
Interface, Inc.		4,006		32,609
JELD-WEN Holding, Inc. (a)		2,821		45,446
Kadant, Inc.		747		74,446
Kaman Corp.		1,540		64,064
KAR Auction Services, Inc.		3,219		44,293
Kimball International, Inc., Class B		5,419		62,644
Knoll, Inc.		4,018		48,979
Korn Ferry		1,804		55,437
Kratos Defense & Security Solutions, Inc. (a) (b)		2,668		41,701
Marten Transport Ltd.		3,408		85,745
Matson, Inc.		2,107		61,314
McGrath RentCorp		1,206		65,136
Meritor, Inc. (a)		2,271		44,966
Mesa Air Group, Inc. (a)		5,980		20,571
Moog, Inc., Class A		967		51,232
Mueller Industries, Inc.		2,511		66,742
Mueller Water Products, Inc., Class A		7,808		73,629
MYR Group, Inc. (a)		2,482		79,201
National Presto Industries, Inc.		995		86,953
NV5 Global, Inc. (a)		850		43,206
Patrick Industries, Inc.		949		58,126
PGT Innovations, Inc. (a)		3,725		58,408
Powell Industries, Inc.		1,918		52,534
Primoris Services Corp.		3,786		67,239
Proto Labs, Inc. (a) (b)		621		69,844
Raven Industries, Inc.		2,645		56,894
Resources Connection, Inc.		6,889		82,462
Rush Enterprises, Inc., Class A		1,745		72,348
Saia, Inc. (a)		657		73,045

See notes to financial statements.

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Security Description	Shares		Value
SkyWest, Inc.		1,560	$	50,887
SP Plus Corp. (a)		1,966		40,716
Spirit Airlines, Inc. (a) (b)		1,667		29,673
SPX Corp. (a)		1,807		74,358
Standex International Corp.		863		49,666
Steelcase, Inc., Class A		3,886		46,865
Sterling Construction Co., Inc. (a)		4,725		49,471
Tennant Co.		959		62,345
The Gorman-Rupp Co.		2,622		81,492
The Greenbrier Cos., Inc.		2,106		47,912
The Shyft Group, Inc.		3,291		55,420
Thermon Group Holdings, Inc. (a)		3,924		57,173
TriMas Corp. (a)		3,543		84,855
Trinity Industries, Inc.		2,885		61,422
Triton International Ltd.		2,479		74,965
TrueBlue, Inc. (a)		3,598		54,941
UFP Industries, Inc.		1,166		57,729
Valmont Industries, Inc.		657		74,648
Vectrus, Inc. (a)		1,272		62,493
Vicor Corp. (a)		1,257		90,440
Wabash National Corp.		6,273		66,619
Werner Enterprises, Inc.		2,730		118,837
WESCO International, Inc. (a)		1,742		61,162
				6,634,015
Information Technology (7.8%):
ACM Research, Inc., Class A (a)		759		47,331
Advanced Energy Industries, Inc. (a)		984		66,705
Alarm.com Holdings, Inc. (a)		1,465		94,946
American Software, Inc., Class A		3,472		54,718
Axcelis Technologies, Inc. (a)		2,291		63,804
Badger Meter, Inc.		1,241		78,084
Brooks Automation, Inc.		1,448		64,060
Cass Information Systems, Inc.		2,103		82,080
Comtech Telecommunications Corp. (b)		1,880		31,753
CSG Systems International, Inc.		1,875		77,606
CTS Corp.		2,412		48,336
Digi International, Inc. (a)		4,560		53,124
Diodes, Inc. (a)		1,495		75,797
Ebix, Inc.		1,782		39,846
ePlus, Inc. (a)		681		48,133
EVERTEC, Inc.		2,443		68,648
ExlService Holdings, Inc. (a)		1,481		93,895
Fabrinet (a)		1,020		63,668
FormFactor, Inc. (a)		2,995		87,843
GlobalSCAPE, Inc.		3,742		36,485
GreenSky, Inc., Class A (a)		4,116		20,168
Ichor Holdings Ltd. (a)		1,362		36,202
Insight Enterprises, Inc. (a)		1,381		67,945
Intelligent Systems Corp. (a)		1,046		35,648
Lattice Semiconductor Corp. (a)		2,417		68,619

See notes to financial statements.

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Security Description	Shares		Value
Methode Electronics, Inc.		2,073	$	64,802
MTS Systems Corp.		1,382		24,309
Napco Security Technologies, Inc. (a)		1,853		43,342
NIC, Inc.		2,891		66,377
OSI Systems, Inc. (a)		1,262		94,197
Paysign, Inc. (a)		3,483		33,820
PC Connection, Inc.		1,035		47,983
Perficient, Inc. (a)		1,702		60,898
Photronics, Inc. (a)		3,698		41,159
Plexus Corp. (a)		1,177		83,049
Power Integrations, Inc.		780		92,141
Sanmina Corp. (a)		2,884		72,215
ScanSource, Inc. (a)		2,583		62,224
Semtech Corp. (a)		1,494		78,017
SMART Global Holdings, Inc. (a)		1,447		39,329
Smith Micro Software, Inc. (a)		4,112		18,340
SPS Commerce, Inc. (a)		1,430		107,421
Sykes Enterprises, Inc. (a)		2,301		63,646
The Hackett Group, Inc.		4,225		57,207
TTEC Holdings, Inc.		1,814		84,460
Verra Mobility Corp. (a)		5,661		58,195
Virtusa Corp. (a)		1,243		40,360
Vishay Intertechnology, Inc.		3,676		56,133
Vishay Precision Group, Inc. (a)		2,678		65,825
				2,960,893
Materials (5.0%):
Allegheny Technologies, Inc. (a)		2,976		30,325
American Vanguard Corp.		3,986		54,847
Boise Cascade Co.		1,897		71,346
Cabot Corp.		1,838		68,098
Carpenter Technology Corp.		1,605		38,969
Chase Corp.		782		80,155
Commercial Metals Co.		3,536		72,134
Futurefuel Corp.		6,102		72,919
GCP Applied Technologies, Inc. (a)		3,271		60,775
Gold Resource Corp.		8,899		36,575
Greif, Inc., Class A		1,708		58,772
H.B. Fuller Co.		2,091		93,258
Haynes International, Inc.		2,845		66,459
Ingevity Corp. (a)		1,186		62,348
Innospec, Inc.		950		73,388
Koppers Holdings, Inc. (a)		1,778		33,498
Kronos Worldwide, Inc.		6,054		63,022
Materion Corp.		1,609		98,938
Minerals Technologies, Inc.		1,430		67,110
Myers Industries, Inc.		5,664		82,411
Neenah, Inc.		1,215		60,094
PolyOne Corp.		2,426		63,634
PQ Group Holdings, Inc. (a)		6,028		79,811
Ryerson Holding Corp. (a)		6,044		34,028

See notes to financial statements.

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Security Description	Shares		Value
Schweitzer-Mauduit International, Inc. (b)		2,205	$	73,669
Stepan Co.		1,085		105,353
Tredegar Corp.		4,663		71,810
Trinseo SA		2,055		45,539
Warrior Met Coal, Inc.		2,676		41,184
				1,860,469
Real Estate (0.2%):
Marcus & Millichap, Inc. (a)		2,464		71,111
Utilities (2.0%):
American States Water Co.		1,437		112,991
Chesapeake Utilities Corp.		1,386		116,424
MGE Energy, Inc.		1,603		103,409
Middlesex Water Co.		1,562		104,935
Otter Tail Corp.		2,249		87,239
The York Water Co.		2,359		113,138
Unitil Corp.		2,173		97,394
				735,530
Total Common Stocks (Cost $25,128,509)				29,058,537
Investment Companies (21.7%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.20% (d)		8,057,856		8,057,856
Total Investment Companies (Cost $8,057,856)				8,057,856
Collateral for Securities Loaned^ (1.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		11,821		11,821
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		357,768		357,768
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		82,202		82,202
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		47,039		47,039
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		211,494		211,494
Total Collateral for Securities Loaned (Cost $710,324)				710,324
Total Investments (Cost $33,896,689) — 101.7%				37,826,717
Liabilities in excess of other assets — (1.7)%				(624,090	)
NET ASSETS — 100.00%			$	37,202,627

^  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)  Affiliated security (See Note 8).

(d)  Rate disclosed is the daily yield on June 30, 2020.

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		2	9/18/20	$	136,948	$	143,760	$	6,812
	Total unrealized appreciation							$	6,812
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	6,812

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (52.3%)
Australia (3.2%):
Communication Services (0.2%):
REA Group Ltd.		694	$	51,652
Telstra Corp. Ltd.		25,715		55,528
				107,180
Consumer Discretionary (0.1%):
Aristocrat Leisure Ltd.		2,418		42,539
Consumer Staples (0.4%):
Coles Group Ltd.		5,525		65,447
Wesfarmers Ltd.		2,219		68,629
Woolworths Group Ltd.		2,469		63,501
				197,577
Energy (0.2%):
Origin Energy Ltd.		11,312		45,576
Santos Ltd.		10,027		36,663
				82,239
Financials (1.1%):
ASX Ltd. (a)		1,192		70,213
Australia & New Zealand Banking Group Ltd.		4,666		60,003
Commonwealth Bank of Australia		1,287		61,638
Insurance Australia Group Ltd.		14,381		57,247
Macquarie Group Ltd.		735		60,139
National Australia Bank Ltd.		4,342		54,579
QBE Insurance Group Ltd.		6,733		41,155
Suncorp Group Ltd.		8,696		55,374
Westpac Banking Corp.		4,829		59,801
				520,149
Health Care (0.5%):
Cochlear Ltd.		293		38,191
CSL Ltd.		255		50,490
Ramsay Health Care Ltd.		1,230		56,447
Sonic Healthcare Ltd.		3,423		71,861
				216,989
Industrials (0.1%):
Brambles Ltd.		6,836		51,265
Materials (0.4%):
BHP Group Ltd.		2,560		63,263
Fortescue Metals Group Ltd.		4,619		44,135
Newcrest Mining Ltd.		2,057		44,745
Rio Tinto Ltd.		874		59,067
				211,210

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.1%):
AGL Energy Ltd.		4,957	$	58,308
				1,487,456
Austria (0.2%):
Energy (0.1%):
OMV AG (b)		1,269		42,426
Financials (0.1%):
Erste Group Bank AG (b)		1,457		34,291
				76,717
Belgium (0.3%):
Consumer Staples (0.1%):
Anheuser-Busch InBev SA/NV		699		34,445
Financials (0.1%):
KBC Group NV		719		41,243
Health Care (0.1%):
UCB SA		503		58,259
Materials (0.0%): (c)
Umicore SA		686		32,298
				166,245
Bermuda (0.1%):
Industrials (0.1%):
Jardine Matheson Holdings Ltd.		794		33,142
Canada (5.9%):
Communication Services (0.6%):
BCE, Inc. (d)		1,872		78,085
Rogers Communications, Inc.		1,410		56,664
Shaw Communications, Inc., Class B (d)		4,175		68,096
TELUS Corp. (a) (d)		4,395		73,725
				276,570
Consumer Discretionary (0.2%):
Dollarama, Inc.		1,454		48,374
Restaurant Brands International, Inc. (a)		906		49,318
				97,692
Consumer Staples (0.6%):
Alimentation Couche-Tard, Inc., Class B		1,793		56,231
Loblaw Cos. Ltd.		1,740		84,744
Metro, Inc.		2,133		87,998
Saputo, Inc. (a)		2,511		59,880
				288,853
Energy (0.5%):
Canadian Natural Resources Ltd. (a)		1,338		23,213
Cenovus Energy, Inc. (a)		4,322		20,219
Enbridge, Inc.		1,892		57,538

See notes to financial statements.

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Security Description	Shares		Value
Imperial Oil Ltd.		2,401	$	38,631
Pembina Pipeline Corp.		2,293		57,333
TC Energy Corp.		1,533		65,503
				262,437
Financials (1.9%):
Bank of Montreal		1,332		70,908
Brookfield Asset Management, Inc., Class A (a)		1,777		58,491
Canadian Imperial Bank of Commerce (a)		1,119		74,803
Fairfax Financial Holdings Ltd.		160		49,439
Great-West Lifeco, Inc. (a)		3,983		69,836
Intact Financial Corp.		803		76,437
Manulife Financial Corp.		3,322		45,202
National Bank of Canada (a)		2,197		99,572
Power Corp. of Canada		2,871		50,508
Royal Bank of Canada		1,394		94,594
Sun Life Financial, Inc.		1,799		66,121
The Bank of Nova Scotia		2,268		93,868
The Toronto-Dominion Bank		1,798		80,257
				930,036
Industrials (0.6%):
CAE, Inc.		2,070		33,580
Canadian National Railway Co.		795		70,346
Canadian Pacific Railway Ltd.		246		62,582
WSP Global, Inc. (a)		968		59,375
Waste Connections, Inc.		721		67,559
				293,442
Information Technology (0.4%):
CGI, Inc. (b)		928		58,473
Constellation Software, Inc.		53		59,852
Open Text Corp.		1,358		57,676
				176,001
Materials (0.2%):
Aginco Eagle Mines Ltd.		671		42,972
Barrick Gold Corp.		1,795		48,307
Kirkland Lake Gold Ltd. (d)		773		31,833
				123,112
Utilities (0.9%):
Algonquin Power & Utilities Corp. (a)		5,274		68,188
Canadian Utilities Ltd., Class A		3,156		78,586
Emera, Inc. (a)		2,187		86,069
Fortis, Inc.		2,478		94,253
Hydro One Ltd. (a) (e)		4,693		88,266
				415,362
				2,863,505

See notes to financial statements.

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Security Description	Shares		Value
Denmark (1.3%):
Consumer Staples (0.1%):
Carlsberg A/S, Class B		358	$	47,321
Financials (0.2%):
Danske Bank A/S (a)		2,512		33,439
Tryg A/S (a)		2,108		61,029
				94,468
Health Care (0.5%):
Coloplast A/S, Class B		401		62,159
Demant A/S (a) (b)		1,308		34,496
Genmab A/S (b)		203		67,954
GN Store Nord A/S		711		37,888
Novo Nordisk A/S, Class B		832		53,871
				256,368
Industrials (0.2%):
DSV PANALPINA A/S		416		50,797
Vestas Wind Systems A/S		385		39,210
				90,007
Materials (0.2%):
Christian Hansen Holding A/S		499		51,467
Novozymes A/S, B Shares		936		54,126
				105,593
Utilities (0.1%):
Orsted A/S (a) (e)		430		49,628
				643,385
Finland (0.7%):
Communication Services (0.1%):
Elisa Oyj		1,062		64,592
Energy (0.1%):
Neste Oyj		984		38,480
Financials (0.1%):
Sampo Oyj, Class A (a)		1,580		54,350
Industrials (0.2%):
Kone Oyj, Class B		1,075		73,933
Materials (0.1%):
Stora Enso Oyj, Class R (a)		2,931		35,002
UPM-Kymmene Oyj		1,319		38,111
				73,113
Utilities (0.1%):
Fortum Oyj (a)		2,707		51,409
				355,877

See notes to financial statements.

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Security Description	Shares		Value
France (4.5%):
Communication Services (0.4%):
Iliad SA (b)		213	$	41,552
Orange SA		5,188		62,041
Publicis Groupe SA (a)		1,029		33,304
Vivendi SA		2,657		68,175
				205,072
Consumer Discretionary (0.6%):
Accor SA (b)		1,349		36,690
Cie Generale des Etablissements Michelin SCA (b)		404		41,909
Hermes International		84		70,189
Kering SA		73		39,713
LVMH Moet Hennessy Louis Vuitton SE		112		49,133
Sodexo SA		558		37,737
				275,371
Consumer Staples (0.3%):
Danone SA (b)		858		59,337
L'Oreal SA (a) (b)		196		62,907
Pernod Ricard SA		334		52,549
				174,793
Energy (0.1%):
TOTAL SA (a)		1,373		52,404
Financials (0.4%):
Amundi SA (e)		677		53,010
BNP Paribas SA (b)		982		39,020
CNP Assurances (b)		3,163		36,422
Natixis SA (b)		9,316		24,333
Societe Generale SA (b)		1,460		24,274
				177,059
Health Care (0.6%):
BioMerieux (b)		516		70,895
EssilorLuxottica SA (b)		389		49,928
Orpea		443		51,210
Sanofi		583		59,371
Sartorius Stedim Biotech		229		57,883
				289,287
Industrials (1.4%):
Aeroports de Paris		397		40,764
Alstom SA		926		43,078
Bollore SA		16,232		50,985
Bureau Veritas SA		2,262		47,723
Cie de Saint-Gobain		1,290		46,447
Edenred		1,048		45,833
Eiffage SA (b)		548		50,112
Getlink SE		3,440		49,620
Legrand SA		794		60,316
Safran SA (b)		358		35,883

See notes to financial statements.

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Security Description	Shares		Value
Schneider Electric SE		494	$	54,875
Teleperformance (b)		188		47,710
Thales SA		500		40,375
Vinci SA		555		51,126
				664,847
Information Technology (0.3%):
Atos SE (b)		521		44,424
Capgemini SE		387		44,324
Dassault Systemes SA		314		54,182
				142,930
Materials (0.2%):
Air Liquide SA (a)		474		68,372
Arkema SA		422		40,363
				108,735
Utilities (0.2%):
Suez		3,465		40,619
Veolia Environnement SA		2,290		51,504
				92,123
				2,182,621
Germany (3.1%):
Communication Services (0.3%):
Deutsche Telekom AG		4,644		77,970
Scout24 AG (e)		962		74,623
				152,593
Consumer Discretionary (0.3%):
Adidas AG (b)		158		41,464
Bayerische Motoren Werke AG		828		52,853
Puma SE (b)		456		35,255
				129,572
Consumer Staples (0.2%):
Beiersdorf AG		656		74,506
Financials (0.7%):
Allianz SE		294		60,032
Deutsche Boerse AG		364		65,857
Hannover Rueck SE		379		65,313
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		274		71,228
Talanx AG		1,461		54,294
				316,724
Health Care (0.5%):
Bayer AG, Registered Shares		561		41,463
Carl Zeiss Meditec AG (b)		301		29,351
Fresenius Medical Care AG & Co. KGaA (b)		617		52,887
Fresenius SE & Co. KGaA (b)		1,049		51,993
Merck KGaA		480		55,703
				231,397

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.5%):
Brenntag AG		1,008	$	52,962
Deutsche Post AG, Registered Shares (b)		1,843		67,393
MTU Aero Engines AG (b)		194		33,595
Rational AG		84		47,032
Siemens AG, Registered Shares		513		60,374
				261,356
Information Technology (0.1%):
Infineon Technologies AG		1,480		34,708
Nemetschek SE		489		33,620
				68,328
Materials (0.3%):
Covestro AG (b) (e)		1,031		39,206
Evonik Industries AG		1,802		45,771
Symrise AG		616		71,624
				156,601
Real Estate (0.1%):
Deutsche Wohnen SE		1,210		54,305
Utilities (0.1%):
Uniper SE		2,003		64,580
				1,509,962
Hong Kong (1.9%):
Consumer Discretionary (0.2%):
Galaxy Entertainment Group Ltd.		4,636		31,553
Techtronic Industries Co. Ltd.		4,352		42,564
				74,117
Consumer Staples (0.1%):
Sun Art Retail Group Ltd.		26,412		45,120
WH Group Ltd. (e)		30,366		26,016
				71,136
Financials (0.2%):
AIA Group Ltd.		4,470		41,699
Hong Kong Exchanges and Clearing Ltd.		1,548		65,912
				107,611
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		21,500		40,502
Industrials (0.2%):
CK Hutchison Holdings Ltd.		7,186		46,174
MTR Corp. Ltd.		8,638		44,749
				90,923
Real Estate (0.7%):
CK Asset Holdings Ltd.		7,260		43,277
Hang Lung Properties Ltd.		20,338		48,180
Henderson Land Development Co. Ltd.		10,748		40,771

See notes to financial statements.

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Security Description	Shares		Value
New World Development Co. Ltd.		7,412	$	35,194
Shimao Group Holdings Ltd.		9,000		38,089
Sino Land Co. Ltd.		36,080		45,389
Sun Hung Kai Properties Ltd.		3,144		40,140
Swire Pacific Ltd., Class A		5,368		28,467
				319,507
Utilities (0.4%):
China Common Rich Renewable Energy INV Ltd. (b) (f) (g)		26,000		671
China Gas Holdings Ltd.		9,992		30,813
CK Infrastructure Holdings Ltd.		9,370		48,238
Hong Kong & China Gas Co. Ltd.		36,986		57,266
Power Assets Holdings Ltd. (d)		11,536		62,739
				199,727
				903,523
Ireland (0.7%):
Consumer Discretionary (0.1%):
Flutter Entertainment PLC		369		48,435
Consumer Staples (0.1%):
Kerry Group PLC		395		48,945
Industrials (0.3%):
DCC PLC		743		61,950
Experian PLC		1,568		54,761
Kingspan Group PLC		651		41,942
				158,653
Materials (0.2%):
CRH PLC		1,533		52,527
Smurfit Kappa Group PLC		1,096		36,642
				89,169
				345,202
Israel (0.4%):
Financials (0.2%):
Bank Hapoalim BM		8,224		48,899
Bank Leumi Le-Israel BM		9,939		49,707
				98,606
Information Technology (0.1%):
Nice Ltd. (b)		303		56,456
Real Estate (0.1%):
Azrieli Group Ltd.		625		28,296
				183,358
Italy (0.9%):
Consumer Discretionary (0.1%):
Moncler SpA		923		35,296

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (0.1%):
Davide Campari — Milano SpA (a)		6,344	$	53,452
Energy (0.1%):
Snam SpA		10,605		51,634
Financials (0.4%):
Assicurazioni Generali SpA		3,948		59,742
Intesa Sanpaolo SpA		20,935		40,066
Mediobanca Banca di Credito Finanziario SpA		5,909		42,418
Poste Italiane SpA (e)		4,014		34,903
UniCredit SpA		2,667		24,532
				201,661
Industrials (0.1%):
Atlantia SpA (b)		1,593		25,591
Utilities (0.1%):
Terna Rete Elettrica Nazionale SpA		8,003		55,005
				422,639
Japan (11.0%):
Communication Services (0.9%):
KDDI Corp.		2,108		63,147
Nexon Co. Ltd.		1,600		36,117
Nintendo Co. Ltd. (d)		100		44,470
Nippon Telegraph & Telephone Corp.		2,728		63,563
NTT DOCOMO, Inc.		2,892		77,202
Softbank Corp.		7,400		94,248
Z Holdings Corp.		6,930		33,764
				412,511
Consumer Discretionary (1.8%):
Aisin Seiki Co. Ltd.		1,110		32,284
Bandai Namco Holdings, Inc.		600		31,495
Bridgestone Corp. (a)		1,960		62,979
Denso Corp.		1,430		55,698
Fast Retailing Co. Ltd.		100		57,151
Nitori Holdings Co. Ltd.		430		84,140
Oriental Land Co. Ltd.		408		53,816
Pan Pacific International Holdings Corp.		2,200		48,275
Panasonic Corp.		4,300		37,424
Sekisui House Ltd.		3,072		58,404
Shimano, Inc.		340		65,348
Sony Corp.		800		54,717
Subaru Corp.		1,900		39,448
Sumitomo Electric Industries Ltd.		4,294		49,300
Toyota Industries Corp.		908		48,024
Toyota Motor Corp.		1,024		64,138
Yamaha Corp.		800		37,569
				880,210

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (0.9%):
Asahi Group Holdings Ltd.		1,260	$	44,070
Japan Tobacco, Inc.		3,844		71,265
Kao Corp.		818		64,707
Kikkoman Corp.		900		43,266
Seven & i Holdings Co. Ltd.		1,400		45,646
Shiseido Co. Ltd.		700		44,317
Suntory Beverage & Food Ltd.		1,500		58,424
Unicharm Corp.		1,394		57,072
				428,767
Energy (0.1%):
ENEOS Holdings, Inc.		11,500		40,691
Inpex Corp.		4,200		25,945
				66,636
Financials (1.2%):
Dai-ichi Life Holdings, Inc.		3,388		40,263
Japan Exchange Group, Inc.		3,200		73,864
Japan Post Bank Co. Ltd.		8,712		64,719
Japan Post Holdings Co. Ltd.		7,600		53,973
MS&AD Insurance Group Holdings, Inc.		2,400		65,824
Nomura Holdings, Inc.		8,400		37,534
ORIX Corp.		3,468		42,676
Sompo Holdings, Inc.		1,500		51,505
Sumitomo Mitsui Financial Group, Inc.		2,384		66,954
Sumitomo Mitsui Trust Holdings, Inc.		1,800		50,435
Tokio Marine Holdings, Inc.		1,200		52,219
				599,966
Health Care (1.3%):
Astellas Pharma, Inc.		2,952		49,205
Chugai Pharmaceutical Co. Ltd.		1,590		84,905
Daiichi Sankyo Co. Ltd.		600		48,940
Eisai Co. Ltd.		354		28,022
Hoya Corp.		518		49,228
Kyowa Kirin Co. Ltd.		2,100		55,029
M3, Inc.		1,300		55,210
Olympus Corp.		1,800		34,605
Ono Pharmaceutical Co. Ltd.		2,284		66,366
Otsuka Holdings Co. Ltd.		1,000		43,525
Shionogi & Co. Ltd.		928		58,022
Sysmex Corp.		474		36,134
Terumo Corp.		1,200		45,361
				654,552
Industrials (2.4%):
ANA Holdings, Inc.		2,500		56,757
Central Japan Railway Co.		354		54,726
Daikin Industries Ltd.		366		58,768
East Japan Railway Co.		986		68,260

See notes to financial statements.

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Security Description	Shares		Value
FANUC Corp.		230	$	41,032
ITOCHU Corp.		3,100		66,660
Komatsu Ltd.		2,788		56,904
Kubota Corp.		3,504		52,190
Makita Corp.		978		35,466
Marubeni Corp.		7,674		34,652
Mitsubishi Corp.		2,792		58,706
Mitsubishi Electric Corp.		3,652		47,341
Mitsubishi Heavy Industries Ltd.		1,900		44,755
Mitsui & Co. Ltd.		3,686		54,440
Nidec Corp.		754		50,257
Recruit Holdings Co. Ltd.		1,320		45,019
Secom Co. Ltd.		810		70,699
SMC Corp.		114		58,267
Sumitomo Corp.		4,298		49,147
Tokyu Corp.		4,300		60,421
Toyota Tsusho Corp.		1,380		34,884
West Japan Railway Co.		1,000		56,002
				1,155,353
Information Technology (1.5%):
Advantest Corp.		500		28,344
Canon, Inc. (a)		2,414		47,728
FUJIFILM Holdings Corp.		960		40,993
Fujitsu Ltd.		400		46,758
Keyence Corp.		128		53,389
Kyocera Corp.		1,000		54,326
Murata Manufacturing Co. Ltd.		802		46,919
NEC Corp.		1,100		52,677
Nomura Research Institute Ltd.		1,874		50,808
NTT Data Corp.		3,708		41,181
Obic Co. Ltd.		300		52,436
Omron Corp.		700		46,813
Oracle Corp.		600		70,693
TDK Corp.		400		39,570
Tokyo Electron Ltd.		226		55,348
				727,983
Materials (0.3%):
Asahi Kasei Corp.		4,668		37,859
Nippon Paint Holdings Co. Ltd. (a)		838		60,855
Shin-Etsu Chemical Co. Ltd.		370		43,166
				141,880
Real Estate (0.4%):
Daiwa House Industry Co. Ltd.		1,700		40,028
Mitsubishi Estate Co. Ltd.		3,152		46,787
Mitsui Fudosan Co. Ltd.		2,278		40,291
Sumitomo Realty & Development Co. Ltd.		1,900		52,146
				179,252

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.2%):
Chubu Electric Power Co., Inc.		4,600	$	57,607
The Kansai Electric Power Co., Inc.		4,100		39,686
				97,293
				5,344,403
Korea, Republic Of (1.9%):
Communication Services (0.2%):
NAVER Corp.		235		52,166
NCSoft Corp.		78		57,780
				109,946
Consumer Discretionary (0.3%):
Hyundai Mobis Co. Ltd.		252		40,226
Hyundai Motor Co.		466		37,852
Kia Motors Corp.		1,554		41,408
				119,486
Consumer Staples (0.2%):
KT&G Corp.		1,106		71,907
LG Household & Health Care Ltd.		39		43,643
				115,550
Financials (0.5%):
Hana Financial Group, Inc.		1,865		41,865
KB Financial Group, Inc.		1,499		42,310
Samsung Fire & Marine Insurance Co. Ltd.		278		40,678
Samsung Life Insurance Co. Ltd.		1,150		42,738
Shinhan Financial Group Co. Ltd.		2,119		50,650
				218,241
Health Care (0.2%):
Celltrion Healthcare Co. Ltd. (b)		441		39,744
Celltrion, Inc. (b)		210		53,426
				93,170
Industrials (0.2%):
Samsung C&T Corp.		492		47,449
SK Holdings Co. Ltd.		250		60,484
				107,933
Information Technology (0.2%):
Samsung Electronics Co. Ltd.		1,071		47,014
Samsung SDS Co. Ltd.		345		48,331
				95,345
Materials (0.1%):
POSCO		292		42,241
				901,912
Luxembourg (0.2%):
Energy (0.0%): (c)
Tenaris SA		4,080		26,346

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.1%):
Eurofins Scientific		79	$	49,575
Real Estate (0.1%):
Aroundtown SA		7,464		42,747
				118,668
Macau (0.1%):
Consumer Discretionary (0.1%):
Sands China Ltd.		8,000		31,380
Wynn Macau Ltd.		16,400		28,228
				59,608
Netherlands (1.7%):
Communication Services (0.1%):
Koninklijke KPN NV		24,576		65,157
Consumer Staples (0.5%):
Heineken Holding NV		678		55,488
Heineken NV		570		52,546
Koninklijke Ahold Delhaize NV (a)		2,460		67,044
Unilever NV		1,239		65,767
				240,845
Financials (0.2%):
ABN AMRO Bank NV (e)		2,786		23,993
ING Groep NV		4,658		32,433
NN Group NV		1,341		45,044
				101,470
Health Care (0.1%):
Koninklijke Philips NV		1,111		51,821
Industrials (0.2%):
Randstad NV		902		40,188
Wolters Kluwer NV		806		62,948
				103,136
Information Technology (0.3%):
Adyen NV (b) (e)		51		74,224
ASML Holding NV		152		55,821
				130,045
Materials (0.3%):
Akzo Nobel NV		792		70,948
Koninklijke DSM NV		474		65,603
				136,551
				829,025
New Zealand (0.2%):
Consumer Staples (0.1%):
a2 Milk Co. Ltd. (b)		3,262		42,486

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.1%):
Fisher & Paykel Healthcare Corp. Ltd.		2,732	$	62,742
				105,228
Norway (0.5%):
Communication Services (0.1%):
Adevinta ASA (b)		3,504		35,291
Consumer Staples (0.1%):
Orkla ASA, Class A		8,004		70,131
Financials (0.2%):
DNB ASA (b)		2,670		35,272
Gjensidige Forsikring ASA (b)		3,132		57,652
				92,924
Materials (0.1%):
Yara International ASA		1,216		42,201
				240,547
Portugal (0.2%):
Consumer Staples (0.1%):
Jeronimo Martins SGPS SA (b)		3,046		53,330
Utilities (0.1%):
Energias de Portugal SA		13,736		65,582
				118,912
Russian Federation (0.1%):
Materials (0.1%):
Polymetal International PLC		3,195		63,946
Singapore (1.2%):
Consumer Discretionary (0.2%):
Genting Singapore Ltd.		127,970		69,804
Jardine Cycle & Carriage Ltd.		2,884		41,729
				111,533
Consumer Staples (0.1%):
Wilmar International Ltd.		18,462		54,195
Financials (0.5%):
DBS Group Holdings Ltd.		4,778		71,329
Oversea-Chinese Banking Corp. Ltd.		11,638		75,176
United Overseas Bank Ltd.		4,692		68,125
				214,630
Industrials (0.3%):
Keppel Corp. Ltd.		11,500		49,193
Singapore Airlines Ltd.		13,800		36,944
Singapore Technologies Engineering Ltd.		20,700		49,027
				135,164

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (0.1%):
CapitaLand Ltd. (b)		27,336	$	57,289
				572,811
Spain (1.0%):
Consumer Discretionary (0.1%):
Industria de Diseno Textil SA		1,715		45,411
Financials (0.1%):
Banco Santander SA		11,199		27,357
CaixaBank SA		13,403		28,616
				55,973
Health Care (0.1%):
Grifols SA		1,659		50,377
Industrials (0.2%):
ACS Actividades de Construccion y Servicios SA		1,425		35,923
Aena SME SA (b) (e)		391		52,139
				88,062
Information Technology (0.1%):
Amadeus IT Group SA		683		35,587
Utilities (0.4%):
Acciona SA		396		38,770
Iberdrola SA		5,531		64,124
Naturgy Energy Group SA		2,641		49,147
Red Electrica Corp. SA		3,164		59,022
				211,063
				486,473
Sweden (2.2%):
Communication Services (0.2%):
Tele2 AB, B Shares		3,969		52,643
Telia Co. AB		16,294		60,872
				113,515
Consumer Discretionary (0.1%):
Hennes & Mauritz AB, Class B		2,066		29,942
Consumer Staples (0.3%):
Essity AB, Class B (b)		1,704		55,080
ICA Gruppen AB		1,258		59,665
Swedish Match AB		773		54,354
				169,099
Energy (0.1%):
Lundin Energy AB (a)		1,231		29,681
Financials (0.5%):
Investor AB, Class B		1,308		69,043
L E Lundbergforetagen AB, Class B (a) (b)		1,483		67,312
Skandinaviska Enskilda Banken AB, Class A (b)		4,648		40,267

See notes to financial statements.

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Security Description	Shares		Value
Svenska Handelsbanken AB, Class A (b)		4,569	$	43,379
Swedbank AB, Class A (b)		2,829		36,262
				256,263
Industrials (0.8%):
Alfa Laval AB (b)		1,653		36,272
Assa Abloy AB, Class B		2,476		50,357
Atlas Copco AB, Class A		1,187		50,283
Epiroc AB, Class A		3,799		47,349
Nibe Industrier AB, Class B (a) (b)		3,008		66,488
Skanska AB, Class B (b)		2,574		52,364
SKF AB, Class B		2,264		42,083
Volvo AB, Class B		2,810		44,012
				389,208
Information Technology (0.1%):
Hexagon AB, Class B (b)		680		39,712
Real Estate (0.1%):
Fastighets AB Balder, Class B (b)		954		36,367
				1,063,787
Switzerland (4.0%):
Communication Services (0.2%):
Swisscom AG, Registered Shares		161		84,290
Consumer Discretionary (0.2%):
Cie Financiere Richemont SA, Registered Shares		657		41,922
The Swatch Group AG, B shares		207		41,326
				83,248
Consumer Staples (0.5%):
Barry Callebaut AG, Registered Shares		32		61,048
Chocoladefabriken Lindt & Spruengli AG		9		74,113
Coca-Cola HBC AG		1,596		40,099
Nestle SA, Registered Shares		707		78,179
				253,439
Financials (0.8%):
Baloise Holding AG, Registered Shares		422		63,309
Credit Suisse Group AG, Registered Shares		3,920		40,549
Julius Baer Group Ltd.		1,029		43,074
Partners Group Holding AG		74		67,141
Swiss Life Holding AG		160		59,291
UBS Group AG, Registered Shares		4,367		50,277
Zurich Insurance Group AG		179		63,156
				386,797
Health Care (0.7%):
Lonza Group AG, Registered Shares		131		69,179
Novartis AG, Registered Shares		776		67,523
Roche Holding AG		210		72,797
Sonova Holding AG (b)		249		49,724

See notes to financial statements.

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Security Description	Shares		Value
Straumann Holding AG, Class R (a)		55	$	47,265
Vifor Pharma AG		276		41,537
				348,025
Industrials (0.7%):
ABB Ltd., Registered Shares		2,403		54,113
Adecco Group AG		979		45,953
Geberit AG, Registered Shares		139		69,588
Kuehne + Nagel International AG (b)		365		60,654
Schindler Holding AG		254		59,799
SGS SA, Registered Shares		25		61,101
				351,208
Information Technology (0.2%):
Stmicroelectronics NV		1,149		31,263
Temenos AG		222		34,488
				65,751
Materials (0.6%):
EMS-Chemie Holding AG		101		78,267
Givaudan SA, Registered Shares		23		85,667
LafargeHolcim Ltd.		1,412		61,879
Sika AG, Registered Shares		275		52,942
				278,755
Real Estate (0.1%):
Swiss Prime Site AG, Registered Shares		674		62,334
				1,913,847
United Kingdom (4.9%):
Communication Services (0.3%):
BT Group PLC		22,832		32,261
Informa PLC		5,779		33,678
Rightmove PLC		6,677		45,166
WPP PLC		3,832		29,947
				141,052
Consumer Discretionary (0.5%):
Barratt Developments PLC		3,592		22,068
Berkeley Group Holdings PLC		615		31,734
Burberry Group PLC		1,578		31,270
Compass Group PLC		2,428		33,449
Intercontinental Hotels Group PLC		847		37,430
JD Sports Fashion PLC		3,827		29,500
Next PLC		509		30,862
Persimmon PLC		934		26,452
Taylor Wimpey PLC		12,956		22,889
				265,654
Consumer Staples (0.6%):
Associated British Foods PLC		1,657		39,312
British American Tobacco PLC		1,116		42,923

See notes to financial statements.

166

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June 30, 2020

Security Description	Shares		Value
Diageo PLC		1,676	$	55,679
Imperial Brands PLC		1,853		35,319
Tesco PLC		17,462		49,346
Unilever PLC		1,136		61,292
				283,871
Energy (0.1%):
Royal Dutch Shell PLC, Class A		2,608		41,584
Financials (0.9%):
3i Group PLC		3,635		37,495
Admiral Group PLC		2,331		66,392
Aviva PLC		11,586		39,272
Hargreaves Lansdown PLC		1,611		32,503
Legal & General Group PLC		12,183		33,341
Lloyds Banking Group PLC		59,881		23,128
London Stock Exchange Group PLC		375		38,830
Prudential PLC		2,332		35,204
RSA Insurance Group PLC		8,508		43,195
Schroders PLC		1,308		47,788
Standard Chartered PLC		6,685		36,449
				433,597
Health Care (0.3%):
AstraZeneca PLC		532		55,502
GlaxoSmithKline PLC (d)		3,091		62,672
Smith & Nephew PLC		2,122		39,579
				157,753
Industrials (1.0%):
Ashtead Group PLC		1,270		42,781
BAE Systems PLC		7,209		43,173
Bunzl PLC		2,231		59,868
Ferguson PLC		547		44,808
International Consolidated Airlines Group SA		4,633		12,754
Intertek Group PLC		749		50,480
RELX PLC		2,281		52,845
Rentokil Initial PLC		8,462		53,424
Smiths Group PLC		2,655		46,444
Spirax-Sarco Engineering PLC		452		55,864
				462,441
Information Technology (0.3%):
AVEVA Group PLC		781		39,593
Halma PLC		1,856		52,955
The Sage Group PLC		5,477		45,585
				138,133
Materials (0.6%):
Anglo American PLC		1,626		37,658
Antofagasta PLC		3,361		39,041
BHP Group PLC		2,429		49,785
Croda International PLC		969		63,098
Mondi PLC		2,163		40,477

See notes to financial statements.

167

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June 30, 2020

Security Description	Shares		Value
Rio Tinto PLC		934	$	52,638
				282,697
Utilities (0.3%):
National Grid PLC		5,134		62,918
Severn Trent PLC		1,590		48,832
United Utilities Group PLC		3,780		42,625
				154,375
				2,361,157
Total Common Stocks (Cost $26,010,545)				25,353,956
Rights (0.0%) (c)
Spain (0.0%): (c)
Industrials (0.0%): (c)
ACS Actividades de Construccion y Servicios SA, Expires 7/8/20 (b)		1,425		2,223
Total Rights (Cost $2,222)				2,223
Investment Companies (46.7%)
United States (46.7%):
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.20% (h) (i)		22,622,863		22,622,863
Total Investment Companies (Cost $22,622,863)				22,622,863
Collateral for Securities Loaned^ (3.7%)
United States (3.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (h)		29,381		29,381
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (h)		889,241		889,241
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (h)		204,316		204,316
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (h)		116,915		116,915
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (h)		525,675		525,675
Total Collateral for Securities Loaned (Cost $1,765,528)				1,765,528
Total Investments (Cost $50,401,158) — 102.7%				49,744,570
Liabilities in excess of other assets — (2.7)%				(1,289,383	)
NET ASSETS — 100.00%			$	48,455,187

^  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)  Amount represents less than 0.05% of net assets.

(d)  All or a portion of this security has been segregated as collateral for derivative instruments.

(e)  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 June 30, 2020, the fair value of these securities was $516,008 and amounted to 1.1% of net assets.

See notes to financial statements.

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June 30, 2020

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(g)  Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of the Fund's net assets as of June 30, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(h)  Rate disclosed is the daily yield on June 30, 2020.

(i)  Represents an investment greater than 25% of the Fund's net assets. Performance of the Fund may be adversely impacted by concentrated investments in securities. The financial statements and portfolio holdings for these securities can be found at www.sec.gov.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		2	9/18/20	$	178,213	$	177,840	$	(373	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(373	)
	Total net unrealized appreciation (depreciation)							$	(373	)

See notes to financial statements.

169

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
ASSETS:
Affiliated investments, at value (Cost $—, $27,815 and $—)	$	—		$	27,676		$	—
Investments, at value (Cost $669,933,558, $18,788,663 and $86,351,513)		694,607,681	(a)		16,339,545	(b)		85,544,628	(c)
Foreign currency, at value (Cost $—, $— and $190,591)		—			—			191,544
Cash and cash equivalents		3,440,830			22,847			187,108
Deposits with brokers for futures contracts		425,995			32,168			162,085
Receivables:
Interest and dividends		607,638			12,111			133,163
Capital shares issued		—			—			3,463,334
Investments sold		8,065			—			—
Variation margin on open futures contracts		28,474			720			—
Reclaims		—			—			80,687
From Adviser		—			1,929			19,800
Prepaid expenses		2,865			97			311
Total Assets		699,121,548			16,437,093			89,782,660
LIABILITIES:
Payables:
Collateral received on loaned securities		27,242,704			329,886			3,124,887
Investments purchased		1,598,058			—			3,459,056
Variation margin on open futures contracts		—			—			1,020
Accrued expenses and other payables:
Investment advisory fees		179,363			3,947			26,391
Administration fees		8,545			131			1,212
Custodian fees		5,159			429			19,192
Compliance fees		499			12			60
Trustees' fees		969			13			38
Other accrued expenses		81,384			13,264			30,844
Total Liabilities		29,116,681			347,682			6,662,700
NET ASSETS:
Capital		703,226,556			26,121,634			90,552,812
Total distributable earnings/(loss)		(33,221,689	)		(10,032,223	)		(7,432,852	)
Net Assets	$	670,004,867		$	16,089,411		$	83,119,960
Shares Outstanding (unlimited shares authorized, no par value):		13,250,000			400,000			2,400,000
Net asset value:	$	50.57		$	40.22		$	34.63

(a)  Includes $26,908,197 of securities on loan.

(b)  Includes $320,304 of securities on loan.

(c)  Includes $2,984,647 of securities on loan.

See notes to financial statements.

170

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	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 $45,305,850, $220,859,694 and $78,684,301)	$	42,725,036	(a)	$	195,094,561	(b)	$	68,991,524	(c)
Foreign currency, at value (Cost $16,794, $— and $—)		16,898			—			—
Cash and cash equivalents		—			821,386			231,819
Deposits with brokers for futures contracts		39,534			312,976			44,599
Receivables:
Interest and dividends		240,647			439,674			94,404
Investments sold		55,357			1,935,361			1,828,198
Variation margin on open futures contracts		81			14,875			2,151
From Adviser		31,777			—			2,978
Prepaid expenses		164			1,277			348
Total Assets		43,109,494			198,620,110			71,196,021
LIABILITIES:
Payables:
Collateral received on loaned securities		279,657			2,938,235			3,176,420
Payable to custodian		83,795			—			—
Capital shares redeemed		—			1,950,403			1,837,270
Accrued expenses and other payables:
Investment advisory fees		15,815			53,797			17,971
Administration fees		665			2,568			1,014
Custodian fees		36,089			2,348			808
Compliance fees		32			147			53
Trustees' fees		22			426			36
Other accrued expenses		54,992			36,885			20,707
Total Liabilities		471,067			4,984,809			5,054,279
NET ASSETS:
Capital		49,427,401			258,564,369			96,084,922
Total distributable earnings/(loss)		(6,788,974	)		(64,929,068	)		(29,943,180	)
Net Assets	$	42,638,427		$	193,635,301		$	66,141,742
Shares Outstanding (unlimited shares authorized, no par value):		1,900,000			4,900,000			1,800,000
Net asset value:	$	22.44		$	39.52		$	36.75

(a)  Includes $264,949 of securities on loan.

(b)  Includes $2,870,867 of securities on loan.

(c)  Includes $3,083,315 of securities on loan.

See notes to financial statements.

171

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
ASSETS:
Investments, at value (Cost $73,748,793, $25,064,619 and $230,315,107)	$	64,952,364	(a)	$	21,393,380		$	234,937,735	(b)
Foreign currency, at value (Cost $124,672, $6,764 and $—)		125,485			6,740			—
Cash and cash equivalents		98,884			74,531			436,430
Deposits with brokers for futures contracts		152,548			31,022			52,657
Receivables:
Interest and dividends		245,877			202,750			252,567
Variation margin on open futures contracts		—			—			6,375
Reclaims		80,041			2,369			—
From Adviser		4,187			11,769			6,813
Prepaid expenses		320			157			533
Total Assets		65,659,706			21,722,718			235,693,110
LIABILITIES:
Payables:
Collateral received on loaned securities		3,568,059			—			317,058
Variation margin on open futures contracts		680			420			—
Accrued expenses and other payables:
Investment advisory fees		20,803			8,307			56,370
Administration fees		884			124			3,548
Custodian fees		5,590			11,508			1,874
Compliance fees		47			16			165
Trustees' fees		33			15			83
Other accrued expenses		21,579			23,154			37,403
Total Liabilities		3,617,675			43,544			416,501
NET ASSETS:
Capital		83,655,007			30,252,508			239,396,381
Total distributable earnings/(loss)		(21,612,976	)		(8,573,334	)		(4,119,772	)
Net Assets	$	62,042,031		$	21,679,174		$	235,276,609
Shares Outstanding (unlimited shares authorized, no par value):		2,450,000			1,100,000			7,100,000
Net asset value:	$	25.32		$	19.71		$	33.14

(a)  Includes $3,386,164 of securities on loan.

(b)  Includes $309,830 of securities on loan.

See notes to financial statements.

172

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	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 $149,710,666, $574,303,045 and $554,887,018)	$	155,338,438	(a)	$	620,155,922	(b)	$	590,039,184	(c)
Cash and cash equivalents		369,819			3,075			16,562
Deposits with brokers for futures contracts		192,783			331,995			478,424
Receivables:
Interest and dividends		179,100			338,089			1,000,174
Variation margin on open futures contracts		6,794			31,875			32,294
From Adviser		2,823			—			—
Prepaid expenses		567			2,590			2,405
Total Assets		156,090,324			620,863,546			591,569,043
LIABILITIES:
Payables
Collateral received on loaned securities		837,522			11,012,568			25,441,140
Investments purchased		—			—			16,562
Accrued expenses and other payables:
Investment advisory fees		38,243			157,204			152,797
Administration fees		2,470			6,092			6,984
Custodian fees		1,378			4,634			3,988
Compliance fees		114			450			421
Trustees' fees		63			271			257
Other accrued expenses		28,220			69,089			54,868
Total Liabilities		908,010			11,250,308			25,677,017
NET ASSETS:
Capital		160,486,818			638,628,391			634,087,574
Total distributable earnings/(loss)		(5,304,504	)		(29,015,153	)		(68,195,548	)
Net Assets	$	155,182,314		$	609,613,238		$	565,892,026
Shares Outstanding (unlimited shares authorized, no par value):		5,050,000			11,750,000			12,150,000
Net asset value:	$	30.73		$	51.88		$	46.58

(a)  Includes $828,516 of securities on loan.

(b)  Includes $10,872,227 of securities on loan.

(c)  Includes $25,133,586 of securities on loan.

See notes to financial statements.

173

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
ASSETS:
Affiliated investments, at value (Cost $46,093 and $—)	$	50,212		$	—
Investments, at value (Cost $33,850,596 and $50,401,158)		37,776,505	(a)		49,744,570	(b)
Foreign currency, at value (Cost $— and $129,481)		—			130,890
Cash and cash equivalents		—			289
Deposits with brokers for futures contracts		88,483			119,713
Receivables:
Interest and dividends		23,597			46,982
Investments sold		—			430
Variation margin on open futures contracts		1,440			—
Reclaims		—			216,318
From Adviser		—			35,945
Prepaid expenses		218			334
Total Assets		37,940,455			50,295,471
LIABILITIES:
Payables
Collateral received on loaned securities		710,324			1,765,528
Variation margin on open futures contracts		—			494
Accrued expenses and other payables:
Investment advisory fees		9,745			15,975
Administration fees		199			205
Custodian fees		564			28,150
Compliance fees		28			37
Trustees' fees		23			31
Other accrued expenses		16,945			29,864
Total Liabilities		737,828			1,840,284
NET ASSETS:
Capital		70,597,254			75,706,014
Total distributable earnings/(loss)		(33,394,627	)		(27,250,827	)
Net Assets	$	37,202,627		$	48,455,187
Shares Outstanding (unlimited shares authorized, no par value):		950,000			1,800,000
Net asset value:	$	39.16		$	26.92

(a)  Includes $690,371 of securities on loan.

(b)  Includes $1,691,885 of securities on loan.

See notes to financial statements.

174

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
Investment Income:
Dividends	$	13,998,655		$	402,109		$	2,345,100
Income distributed from affiliated investments		—			350			—
Interest		35,097			1,569			2,913
Securities lending (net of fees)		91,132			6,280			28,453
Foreign tax withholding		(911	)		(319	)		(299,794	)
Total Income		14,123,973			409,989			2,076,672
Expenses:
Investment advisory fees		2,312,314			72,791			323,048
Administration fees		460,228			14,447			48,292
Sub-Administration fees		15,528			15,528			15,528
Custodian fees		34,432			3,422			72,687
Servicing fees		4,276			4,191			4,190
Trustees' fees		64,524			3,645			7,324
Compliance fees		6,129			205			625
Legal and audit fees		63,449			9,291			15,177
Printing fees		87,249			5,168			4,847
Other expenses		26,129			4,416			22,903
Total Expenses		3,074,258			133,104			514,621
Expenses waived/reimbursed by Adviser		(381,032	)		(48,451	)		(150,724	)
Net Expenses		2,693,226			84,653			363,897
Net Investment Income (Loss)		11,430,747			325,336			1,712,775
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities and foreign currency translations		(30,077,362	)		(2,667,314	)		(5,386,654	)
Net realized gains (losses) from affiliated securities		—			(3,321	)		—
Foreign refunds (taxes) on realized gains		—			—			(1	)
Net realized gains (losses) from futures contracts		183,748			(12,140	)		(6,898	)
Net realized gains (losses) from in-kind redemptions on unaffiliated securities		21,787,463			(280,971	)		804,660
Net realized gains (losses) from in-kind redemptions on affiliated securities		—			755			—
Net change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations		(37,032,782	)		(730,368	)		(3,651,556	)
Net change in unrealized appreciation/depreciation on affiliated securities		—			(139	)		—
Net change in unrealized appreciation/depreciation on futures contracts		15,329			915			(8,836	)
Net realized/unrealized losses on investments		(45,123,604	)		(3,692,583	)		(8,249,285	)
Change in net assets resulting from operations	$	(33,692,857	)	$	(3,367,247	)	$	(6,536,510	)

See notes to financial statements.

175

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

	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	$	1,411,027		$	11,484,936		$	3,461,782
Interest		1,055			17,423			4,836
Securities lending (net of fees)		3,595			11,436			55,628
Foreign tax withholding		(172,096	)		—			(2,955	)
Total Income		1,243,581			11,513,795			3,519,291
Expenses:
Investment advisory fees		196,030			907,844			261,516
Administration fees		26,036			180,083			51,985
Sub-Administration fees		18,027			15,528			15,528
Custodian fees		120,924			13,450			6,021
Servicing fees		4,192			4,191			4,191
Trustees' fees		4,490			28,101			8,327
Compliance fees		333			2,445			684
Legal and audit fees		49,720			26,244			14,220
Printing fees		4,188			42,370			13,403
Other expenses		23,231			10,728			5,940
Total Expenses		447,171			1,230,984			381,815
Expenses waived/reimbursed by Adviser		(228,013	)		(174,846	)		(77,172	)
Net Expenses		219,158			1,056,138			304,643
Net Investment Income (Loss)		1,024,423			10,457,657			3,214,648
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(4,105,597	)		(23,308,949	)		(13,833,392	)
Foreign refunds (taxes) on realized gains		(6,661	)		—			—
Net realized gains (losses) from futures contracts		(4,410	)		158,651			(69,216	)
Net realized gains (losses) from in-kind redemptions		(178,626	)		(4,448,476	)		2,604,780
Net change in unrealized appreciation/ depreciation on investment securities		(3,711,082	)		(42,183,432	)		(8,244,271	)
Net change in unrealized appreciation/ depreciation on futures contracts		(3,907	)		(15,777	)		2,148
Net realized/unrealized losses on investments		(8,010,283	)		(69,797,983	)		(19,539,951	)
Change in net assets resulting from operations	$	(6,985,860	)	$	(59,340,326	)	$	(16,325,303	)

See notes to financial statements.

176

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
Investment Income:
Dividends	$	3,396,794		$	2,061,007		$	3,280,642
Interest		4,328			1,635			5,561
Securities lending (net of fees)		26,310			1,604			6,013
Foreign tax withholding		(465,621	)		(283,982	)		—
Total Income		2,961,811			1,780,264			3,292,216
Expenses:
Investment advisory fees		304,289			169,284			493,381
Administration fees		45,379			22,377			98,882
Sub-Administration fees		15,528			17,192			15,859
Custodian fees		23,174			59,832			9,430
Servicing fees		4,190			4,082			4,078
Trustees' fees		7,294			4,573			11,011
Compliance fees		592			299			1,198
Legal and audit fees		14,141			19,962			24,049
Printing fees		8,463			10,630			15,049
Other expenses		9,981			11,229			16,468
Total Expenses		433,031			319,460			689,405
Expenses waived/reimbursed by Adviser		(90,955	)		(130,932	)		(112,345	)
Net Expenses		342,076			188,528			577,060
Net Investment Income (Loss)		2,619,735			1,591,736			2,715,156
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(10,547,861	)		(3,658,327	)		(8,725,296	)
Foreign refund (taxes) on realized gains		(2	)		(59,795	)		—
Net realized gains (losses) from futures contracts		38,709			19,404			44,878
Net realized gains (losses) from in-kind redemptions		(678,392	)		(2,380,717	)		2,964,152
Net change in unrealized appreciation/ depreciation on investment securities		(7,486,789	)		(3,445,489	)		3,430,311
Net change in unrealized appreciation/ depreciation on futures contracts		(502	)		990			5,455
Net realized/unrealized losses on investments		(18,674,837	)		(9,523,934	)		(2,280,500	)
Change in net assets resulting from operations	$	(16,055,102	)	$	(7,932,198	)	$	434,656

See notes to financial statements.

177

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

	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	$	3,814,730		$	10,731,068		$	21,286,335
Interest		6,496			2,673			3,323
Securities lending (net of fees)		2,248			55,002			34,807
Foreign tax withholding		—			(907	)		—
Total Income		3,823,474			10,787,836			21,324,465
Expenses:
Investment advisory fees		443,648			2,086,617			1,904,133
Administration fees		88,501			415,409			379,181
Sub-Administration fees		15,859			15,528			15,528
Custodian fees		8,811			27,246			25,582
Servicing fees		4,091			4,278			4,276
Trustees' fees		11,473			60,943			54,481
Compliance fees		1,111			5,665			5,116
Legal and audit fees		20,418			62,741			46,465
Printing fees		13,796			69,422			67,921
Other expenses		11,918			25,562			21,967
Total Expenses		619,626			2,773,411			2,524,650
Expenses waived/reimbursed by Adviser		(101,672	)		(344,809	)		(307,700	)
Net Expenses		517,954			2,428,602			2,216,950
Net Investment Income (Loss)		3,305,520			8,359,234			19,107,515
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(10,670,845	)		30,674,067			(82,046	)
Net realized gains (losses) from futures contracts		95,914			(432,691	)		563,975
Net realized gains (losses) from in-kind redemptions		4,009,231			24,037,302			6,441,900
Net change in unrealized appreciation/ depreciation on investment securities		2,895,163			(16,370,585	)		454,830
Net change in unrealized appreciation/ depreciation on futures contracts		(10,805	)		(65,269	)		(46,751	)
Net realized/unrealized gains (losses) on investments		(3,681,342	)		37,842,824			7,331,908
Change in net assets resulting from operations	$	(375,822	)	$	46,202,058		$	26,439,423

See notes to financial statements.

178

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2020

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	857,122		$	2,006,756
Income distributed from affiliated investments		496			—
Interest		616			(178	)
Securities lending (net of fees)		6,043			20,052
Foreign tax withholding		(732	)		(279,091	)
Total Income		863,545			1,747,539
Expenses:
Investment advisory fees		169,312			327,159
Administration fees		33,636			48,651
Sub-Administration fees		15,521			15,528
Custodian fees		4,165			73,889
Servicing fees		4,227			4,191
Trustees' fees		7,047			9,237
Compliance Fees		489			691
Legal and audit fees		11,221			15,597
Printing fees		11,370			13,747
Other expenses		5,459			20,571
Total Expenses		262,447			529,261
Expenses waived/reimbursed by Adviser		(65,785	)		(162,383	)
Net Expenses		196,662			366,878
Net Investment Income (Loss)		666,883			1,380,661
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities and foreign currency translations		(6,390,586	)		(10,066,729	)
Net realized gains (losses) from affiliated securities		13,418			—
Foreign refund (taxes) on realized gains		—			(2	)
Net realized gains (losses) from futures contracts		(30,561	)		(23,882	)
Net realized gains (losses) from in-kind redemptions on unaffiliated securities		4,865,271			(1,652,321	)
Net realized gains (losses) from in-kind redemptions on affiliated securities		8,201			—
Net change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations		1,631,496			(2,319,341	)
Net change in unrealized appreciation/depreciation on affiliated securities		4,119			—
Net change in unrealized appreciation/depreciation on futures contracts		(3,078	)		(13,381	)
Net realized/unrealized gains/losses on investments		98,280			(14,075,656	)
Change in net assets resulting from operations	$	765,163		$	(12,694,995	)

See notes to financial statements.

179

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
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	11,430,747		$	9,786,765		$	325,336		$	512,416		$	1,712,775		$	951,107
Net realized gains (losses) from investments		(8,106,151	)		14,597,943			(2,962,991	)		1,410,095			(4,588,893	)		(851,910	)
Net change in unrealized appreciation (depreciation) on investments		(37,017,453	)		26,244,251			(729,592	)		(4,291,184	)		(3,660,392	)		1,911,634
Change in net assets resulting from operations		(33,692,857	)		50,628,959			(3,367,247	)		(2,368,673	)		(6,536,510	)		2,010,831
Change in net assets resulting from distributions to shareholders		(11,639,455	)		(9,387,343	)		(333,395	)		(530,031	)		(1,636,991	)		(942,198	)
Change in net assets resulting from capital transactions		(16,437,793	)		123,163,001			(10,023,892	)		(8,548,089	)		55,078,264			13,649,150
Change in net assets		(61,770,105	)		164,404,617			(13,724,534	)		(11,446,793	)		46,904,763			14,717,783
Net Assets:
Beginning of period		731,774,972			567,370,355			29,813,945			41,260,738			36,215,197			21,497,414
End of period	$	670,004,867		$	731,774,972		$	16,089,411		$	29,813,945		$	83,119,960		$	36,215,197
Capital Transactions:
Proceeds from shares issued		176,174,573			298,196,716			4,863,773			28,692,604			63,002,989			22,981,655
Cost of shares redeemed		(192,612,366	)		(175,033,715	)		(14,887,665	)		(37,240,693	)		(7,924,725	)		(9,332,505	)
Change in net assets resulting from capital transactions		(16,437,793	)		123,163,001			(10,023,892	)		(8,548,089	)		55,078,264			13,649,150
Share Transactions:
Issued		3,300,000			5,950,000			100,000			600,000			1,700,000			650,000
Redeemed		(4,000,000	)		(3,500,000	)		(350,000	)		(800,000	)		(250,000	)		(250,000	)
Change in Shares		(700,000	)		2,450,000			(250,000	)		(200,000	)		1,450,000			400,000

See notes to financial statements.

180

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
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	1,024,423		$	443,633		$	10,457,657		$	7,392,266		$	3,214,648		$	1,783,745
Net realized gains (losses) from investments		(4,295,294	)		(284,780	)		(27,598,774	)		6,361,260			(11,297,828	)		2,592,926
Net change in unrealized appreciation (depreciation) on investments		(3,714,989	)		583,493			(42,199,209	)		11,581,665			(8,242,123	)		(3,986,579	)
Change in net assets resulting from operations		(6,985,860	)		742,346			(59,340,326	)		25,335,191			(16,325,303	)		390,092
Change in net assets resulting from distributions to shareholders		(831,383	)		(1,357,525	)		(10,982,914	)		(6,679,386	)		(3,347,836	)		(1,707,481	)
Change in net assets resulting from capital transactions		32,121,357			—			(67,568,336	)		168,683,788			10,537,591			32,929,668
Change in net assets		24,304,114			(615,179	)		(137,891,576	)		187,339,593			(9,135,548	)		31,612,279
Net Assets:
Beginning of period		18,334,313			18,949,492			331,526,877			144,187,284			75,277,290			43,665,011
End of period	$	42,638,427		$	18,334,313		$	193,635,301		$	331,526,877		$	66,141,742		$	75,277,290
Capital Transactions:
Proceeds from shares issued		35,201,851			—			175,033,492			290,937,852			61,100,744			72,072,068
Cost of shares redeemed		(3,080,494	)		—			(242,601,828	)		(122,254,064	)		(50,563,153	)		(39,142,400	)
Change in net assets resulting from capital transactions		32,121,357			—			(67,568,336	)		168,683,788			10,537,591			32,929,668
Share Transactions:
Issued		1,350,000			—			3,700,000			6,500,000			1,400,000			1,600,000
Redeemed		(150,000	)		—			(5,850,000	)		(2,650,000	)		(1,300,000	)		(850,000	)
Change in Shares		1,200,000			—			(2,150,000	)		3,850,000			100,000			750,000

See notes to financial statements.

181

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
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	2,619,735		$	2,198,521		$	1,591,736		$	1,478,279		$	2,715,156		$	161,589
Net realized gains (losses) from investments		(11,187,546	)		(1,809,806	)		(6,079,435	)		(1,626,872	)		(5,716,266	)		802,071
Net change in unrealized appreciation (depreciation) on investments		(7,487,291	)		(231,935	)		(3,444,499	)		1,898,159			3,435,766			838,524
Change in net assets resulting from operations		(16,055,102	)		156,780			(7,932,198	)		1,749,566			434,656			1,802,184
Change in net assets resulting from distributions to shareholders		(2,460,188	)		(2,195,385	)		(1,690,396	)		(1,289,328	)		(2,413,888	)		(154,436	)
Change in net assets resulting from capital transactions		40,017,292			(3,245,348	)		(8,949,498	)		18,258,598			220,806,252			7,699,980
Change in net assets		21,502,002			(5,283,953	)		(18,572,092	)		18,718,836			218,827,020			9,347,728
Net Assets:
Beginning of period		40,540,029			45,823,982			40,251,266			21,532,430			16,449,589			7,101,861
End of period	$	62,042,031		$	40,540,029		$	21,679,174		$	40,251,266		$	235,276,609		$	16,449,589
Capital Transactions:
Proceeds from shares issued		51,700,753			4,686,683			5,939,593			21,602,286			239,360,512			14,036,615
Cost of shares redeemed		(11,683,461	)		(7,932,031	)		(14,889,091	)		(3,343,688	)		(18,554,260	)		(6,336,635	)
Change in net assets resulting from capital transactions		40,017,292			(3,245,348	)		(8,949,498	)		18,258,598			220,806,252			7,699,980
Share Transactions:
Issued		1,600,000			150,000			250,000			900,000			7,150,000			450,000
Redeemed		(400,000	)		(250,000	)		(800,000	)		(150,000	)		(550,000	)		(200,000	)
Change in Shares		1,200,000			(100,000	)		(550,000	)		750,000			6,600,000			250,000

See notes to financial statements.

182

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
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	3,305,520		$	709,028		$	8,359,234		$	14,678,710		$	19,107,515		$	24,684,836
Net realized gains (losses) from investments		(6,565,700	)		(913,635	)		54,278,678			(38,902,043	)		6,923,829			(40,002,717	)
Net change in unrealized appreciation (depreciation) on investments		2,884,358			2,562,254			(16,435,854	)		5,869,999			408,079			15,472,173
Change in net assets resulting from operations		(375,822	)		2,357,647			46,202,058			(18,353,334	)		26,439,423			154,292
Change in net assets resulting from distributions to shareholders		(3,232,593	)		(627,227	)		(9,141,838	)		(14,515,692	)		(19,790,977	)		(24,059,137	)
Change in net assets resulting from capital transactions		115,578,154			33,208,682			(256,176,351	)		(89,812,663	)		(137,570,641	)		(17,541,016	)
Change in net assets		111,969,739			34,939,102			(219,116,131	)		(122,681,689	)		(130,922,195	)		(41,445,861	)
Net Assets:
Beginning of period		43,212,575			8,273,473			828,729,369			951,411,058			696,814,221			738,260,082
End of period	$	155,182,314		$	43,212,575		$	609,613,238		$	828,729,369		$	565,892,026		$	696,814,221
Capital Transactions:
Proceeds from shares issued		153,857,553			66,623,191			2,604,112			506,703,403			39,877,087			361,365,589
Cost of shares redeemed		(38,279,399	)		(33,414,509	)		(258,780,463	)		(596,516,066	)		(177,447,728	)		(378,906,605	)
Change in net assets resulting from capital transactions		115,578,154			33,208,682			(256,176,351	)		(89,812,663	)		(137,570,641	)		(17,541,016	)
Share Transactions:
Issued		4,900,000			2,300,000			50,000			10,250,000			900,000			7,650,000
Redeemed		(1,250,000	)		(1,200,000	)		(5,250,000	)		(12,600,000	)		(4,050,000	)		(8,300,000	)
Change in Shares		3,650,000			1,100,000			(5,200,000	)		(2,350,000	)		(3,150,000	)		(650,000	)

See notes to financial statements.

183

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Discovery Enhanced Volatility Wtd ETF						VictoryShares Developed Enhanced Volatility Wtd ETF
	Year Ended June 30, 2020			Year Ended June 30, 2019			Year Ended June 30, 2020			Year Ended June 30, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	666,883		$	1,700,133		$	1,380,661		$	3,919,389
Net realized gains (losses) from investments		(1,534,257	)		(19,092,889	)		(11,742,934	)		(6,788,532	)
Net change in unrealized appreciation (depreciation) on investments		1,632,537			(7,773,182	)		(2,332,722	)		(2,618,922	)
Change in net assets resulting from operations		765,163			(25,165,938	)		(12,694,995	)		(5,488,065	)
Change in net assets resulting from distributions to shareholders		(764,303	)		(1,699,060	)		(1,518,775	)		(4,201,929	)
Change in net assets resulting from capital transactions		(55,411,980	)		3,321,549			(48,077,018	)		(58,667,327	)
Change in net assets		(55,411,120	)		(23,543,449	)		(62,290,788	)		(68,357,321	)
Net Assets:
Beginning of period		92,613,747			116,157,196			110,745,975			179,103,296
End of period	$	37,202,627		$	92,613,747		$	48,455,187		$	110,745,975
Capital Transactions:
Proceeds from shares issued		6,387,747			73,395,864			—			1,668,844
Cost of shares redeemed		(61,799,727	)		(70,074,315	)		(48,077,018	)		(60,336,171	)
Change in net assets resulting from capital transactions		(55,411,980	)		3,321,549			(48,077,018	)		(58,667,327	)
Share Transactions:
Issued		200,000			1,600,000			—			50,000
Redeemed		(1,700,000	)		(1,600,000	)		(1,650,000	)		(1,900,000	)
Change in Shares		(1,500,000	)		—			(1,650,000	)		(1,850,000	)

See notes to financial statements.

184

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185

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US 500 Volatility Wtd ETF
Year Ended 6/30/20	$	52.46		0.77		(1.88	)		(1.11	)		(0.78	)		—
Year Ended 6/30/19	$	49.34		0.73		3.09			3.82			(0.70	)		—
Year Ended 6/30/18	$	44.05		0.63		5.26			5.89			(0.60	)		—
Year Ended 6/30/17	$	37.24		0.60		6.71			7.31			(0.50	)		—
Year Ended 6/30/16	$	36.78		0.57		0.42			0.99			(0.51	)		(0.02	)
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended 6/30/20	$	45.87		0.59		(5.62	)		(5.03	)		(0.62	)		—
Year Ended 6/30/19	$	48.54		0.63		(2.62	)		(1.99	)		(0.68	)		—
Year Ended 6/30/18	$	42.40		0.50		6.14			6.64			(0.50	)		—
Year Ended 6/30/17	$	34.35		0.50		8.01			8.51			(0.46	)		—
7/7/15(e) through 6/30/16	$	35.00		0.41		(0.72	)		(0.31	)		(0.34	)		—
VictoryShares International Volatility Wtd ETF
Year Ended 6/30/20	$	38.12		0.77		(3.51	)		(2.74	)		(0.75	)		—
Year Ended 6/30/19	$	39.09		1.17		(1.07	)(f)		0.10			(1.07	)		—
Year Ended 6/30/18	$	37.20		1.04		1.81			2.85			(0.96	)		—
Year Ended 6/30/17	$	32.11		0.76		5.10			5.86			(0.77	)		—
8/19/15(e) through 6/30/16	$	35.00		0.85		(3.15	)		(2.30	)		(0.59	)		—

(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)  Excludes impact of in-kind transaction.

(e)  Commencement of operations.

(f)  The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

See notes to financial statements.

186

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares US 500 Volatility Wtd ETF
Year Ended 6/30/20		(0.78	)	$	50.57		(2.12	)%		0.35	%		1.49	%		0.40	%	$	670,005		28	%
Year Ended 6/30/19		(0.70	)	$	52.46		7.86	%		0.35	%		1.48	%		0.40	%	$	731,775		46	%
Year Ended 6/30/18		(0.60	)	$	49.34		13.42	%		0.35	%		1.32	%		0.41	%	$	567,370		36	%
Year Ended 6/30/17		(0.50	)	$	44.05		19.72	%		0.35	%		1.43	%		0.47	%	$	292,921		26	%
Year Ended 6/30/16		(0.53	)	$	37.24		2.78	%		0.35	%		1.59	%		0.74	%	$	44,689		31	%
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended 6/30/20		(0.62	)	$	40.22		(11.00	)%		0.35	%		1.35	%		0.55	%	$	16,089		50	%
Year Ended 6/30/19		(0.68	)	$	45.87		(4.07	)%		0.35	%		1.36	%		0.46	%	$	29,814		62	%
Year Ended 6/30/18		(0.50	)	$	48.54		15.75	%		0.35	%		1.10	%		0.47	%	$	41,261		47	%
Year Ended 6/30/17		(0.46	)	$	42.40		24.86	%		0.35	%		1.25	%		0.68	%	$	25,438		47	%
7/7/15(e) through 6/30/16		(0.34	)	$	34.35		(0.86	)%		0.35	%		1.28	%		1.44	%	$	10,304		50	%
VictoryShares International Volatility Wtd ETF
Year Ended 6/30/20		(0.75	)	$	34.63		(7.23	)%		0.45	%		2.12	%		0.64	%	$	83,120		41	%
Year Ended 6/30/19		(1.07	)	$	38.12		0.33	%		0.45	%		3.14	%		0.73	%	$	36,215		53	%
Year Ended 6/30/18		(0.96	)	$	39.09		7.62	%		0.45	%		2.61	%		0.98	%	$	21,497		37	%
Year Ended 6/30/17		(0.77	)	$	37.20		18.44	%		0.45	%		2.25	%		1.54	%	$	13,021		46	%
8/19/15(e) through 6/30/16		(0.59	)	$	32.11		(6.58	)%		0.45	%		2.99	%		2.31	%	$	12,844		31	%

See notes to financial statements.

187

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares Emerging Market Volatility Wtd ETF
Year Ended 6/30/20	$	26.19		0.56		(3.76	)		(3.20	)		(0.55	)		—
Year Ended 6/30/19	$	27.07		0.63		0.43			1.06			(0.53	)		(1.41	)
Year Ended 6/30/18	$	27.83		0.64		0.29			0.93			(0.60	)		(1.09	)
Year Ended 6/30/17	$	25.28		0.55		2.64			3.19			(0.52	)		(0.12	)
3/22/16(e) through 6/30/16	$	25.00		0.25		0.13			0.38			(0.10	)		—
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended 6/30/20	$	47.03		1.58		(7.44	)		(5.86	)		(1.65	)		—
Year Ended 6/30/19	$	45.06		1.51		1.83			3.34			(1.37	)		—
Year Ended 6/30/18	$	42.17		1.34		2.92			4.26			(1.37	)		—
Year Ended 6/30/17	$	37.58		1.24		4.46			5.70			(1.11	)		—
7/7/15(e) through 6/30/16	$	35.00		1.28		2.35			3.63			(1.05	)		—
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended 6/30/20	$	44.28		1.53		(7.47	)		(5.94	)		(1.59	)		—
Year Ended 6/30/19	$	45.96		1.38		(1.74	)		(0.36	)		(1.32	)		—
Year Ended 6/30/18	$	40.41		1.39		5.61			7.00			(1.45	)		—
Year Ended 6/30/17	$	35.40		1.43		4.93			6.36			(1.35	)		—
7/7/15(e) through 6/30/16	$	35.00		1.18		0.21			1.39			(0.99	)		—

(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)  Excludes impact of in-kind transaction.

(e)  Commencement of operations.

See notes to financial statements.

188

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares Emerging Market Volatility Wtd ETF
Year Ended 6/30/20		(0.55	)	$	22.44		(12.35	)%		0.50	%		2.35	%		1.03	%	$	42,638		47	%
Year Ended 6/30/19		(1.94	)	$	26.19		4.46	%		0.50	%		2.44	%		1.41	%	$	18,334		60	%
Year Ended 6/30/18		(1.69	)	$	27.07		3.09	%		0.50	%		2.19	%		1.23	%	$	18,949		53	%
Year Ended 6/30/17		(0.64	)	$	27.83		12.76	%		0.50	%		2.11	%		1.91	%	$	33,393		38	%
3/22/16(e) through 6/30/16		(0.10	)	$	25.28		1.56	%		0.50	%		3.70	%		6.26	%	$	12,642		1	%
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended 6/30/20		(1.65	)	$	39.52		(12.78	)%		0.35	%		3.47	%		0.41	%	$	193,635		56	%
Year Ended 6/30/19		(1.37	)	$	47.03		7.59	%		0.35	%		3.33	%		0.42	%	$	331,527		66	%
Year Ended 6/30/18		(1.37	)	$	45.06		10.23	%		0.35	%		3.04	%		0.42	%	$	144,187		52	%
Year Ended 6/30/17		(1.11	)	$	42.17		15.37	%		0.35	%		3.05	%		0.45	%	$	120,181		48	%
7/7/15(e) through 6/30/16		(1.05	)	$	37.58		10.62	%		0.35	%		3.69	%		0.72	%	$	41,333		46	%
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended 6/30/20		(1.59	)	$	36.75		(13.61	)%		0.35	%		3.69	%		0.44	%	$	66,142		68	%
Year Ended 6/30/19		(1.32	)	$	44.28		(0.70	)%		0.35	%		3.10	%		0.44	%	$	75,277		83	%
Year Ended 6/30/18		(1.45	)	$	45.96		17.64	%		0.35	%		3.23	%		0.45	%	$	43,665		68	%
Year Ended 6/30/17		(1.35	)	$	40.41		18.07	%		0.35	%		3.65	%		0.55	%	$	32,325		65	%
7/7/15(e) through 6/30/16		(0.99	)	$	35.40		4.15	%		0.35	%		3.59	%		0.92	%	$	14,160		78	%

See notes to financial statements.

189

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares International High Div Volatility Wtd ETF
Year Ended 6/30/20	$	32.43		1.02		(7.13	)		(6.11	)		(1.00	)		—
Year Ended 6/30/19	$	33.94		1.63		(1.48	)		0.15			(1.66	)		—
Year Ended 6/30/18	$	34.25		1.47		(0.41	)		1.06			(1.37	)		—
Year Ended 6/30/17	$	30.65		1.40		3.47			4.87			(1.27	)		—
8/19/15(e) through 6/30/16	$	35.00		1.37		(4.71	)		(3.34	)		(1.01	)		—
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended 6/30/20	$	24.39		0.94		(4.63	)		(3.69	)		(0.99	)		—
Year Ended 6/30/19	$	23.92		1.31		0.35			1.66			(1.05	)		(0.14	)
10/26/17(e) through 6/30/18	$	24.95		0.78		(1.29	)		(0.51	)		(0.52	)		—
VictoryShares Dividend Accelerator ETF
Year Ended 6/30/20	$	32.90		0.55		0.19	(g)		0.74			(0.50	)		—
Year Ended 6/30/19	$	28.41		0.48		4.47			4.95			(0.46	)		—
Year Ended 6/30/18	$	25.95		0.48		2.45			2.93			(0.47	)		—
4/18/17(e) through 6/30/17	$	25.26		0.12		0.65			0.77			(0.08	)		—

(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)  Excludes impact of in-kind transaction.

(e)  Commencement of operations.

(f)  During the period the Fund paid interest fees. Excluding these fees, the ratio of net expense to average net assets for the year was 0.50%.

(g)  The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

See notes to financial statements.

190

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares International High Div Volatility Wtd ETF
Year Ended 6/30/20		(1.00	)	$	25.32		(19.22	)%		0.45	%		3.45	%		0.57	%	$	62,042		71	%
Year Ended 6/30/19		(1.66	)	$	32.43		0.58	%		0.45	%		5.06	%		0.59	%	$	40,540		76	%
Year Ended 6/30/18		(1.37	)	$	33.94		3.00	%		0.45	%		4.14	%		0.60	%	$	45,824		58	%
Year Ended 6/30/17		(1.27	)	$	34.25		16.16	%		0.45	%		4.32	%		0.77	%	$	32,541		69	%
8/19/15(e) through 6/30/16		(1.01	)	$	30.65		(9.63	)%		0.45	%		4.98	%		1.17	%	$	16,855		53	%
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended 6/30/20		(0.99	)	$	19.71		(15.55	)%		0.50	%		4.24	%		0.85	%	$	21,679		86	%
Year Ended 6/30/19		(1.19	)	$	24.39		7.30	%		0.51	%(f)		5.52	%		0.88	%	$	40,251		103	%
10/26/17(e) through 6/30/18		(0.52	)	$	23.92		(2.17	)%		0.50	%		4.44	%		1.05	%	$	21,532		52	%
VictoryShares Dividend Accelerator ETF
Year Ended 6/30/20		(0.50	)	$	33.14		2.23	%		0.35	%		1.65	%		0.42	%	$	235,277		74	%
Year Ended 6/30/19		(0.46	)	$	32.90		17.60	%		0.35	%		1.57	%		0.59	%	$	16,450		62	%
Year Ended 6/30/18		(0.47	)	$	28.41		11.33	%		0.35	%		1.75	%		0.67	%	$	7,102		43	%
4/18/17(e) through 6/30/17		(0.08	)	$	25.95		3.05	%		0.35	%		2.31	%		1.92	%	$	3,893		—	%

See notes to financial statements.

191

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Total Distributions			Net Asset Value, End of Period		Total Return(b)
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended 6/30/20	$	30.87		0.70		(0.14	)(d)		0.56			(0.70	)		(0.70	)	$	30.73		1.82	%
Year Ended 6/30/19	$	27.58		0.73		3.20			3.93			(0.64	)		(0.64	)	$	30.87		14.47	%
Year Ended 6/30/18	$	24.83		0.63		2.69			3.32			(0.57	)		(0.57	)	$	27.58		13.41	%
6/22/17(f) through 6/30/17	$	24.97		0.02		(0.16	)		(0.14	)		—			—		$	24.83		(0.54	)%
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended 6/30/20	$	48.89		0.60		3.04			3.64			(0.65	)		(0.65	)	$	51.88		7.49	%
Year Ended 6/30/19	$	49.30		0.73		(0.42	)		0.31			(0.72	)		(0.72	)	$	48.89		0.69	%
Year Ended 6/30/18	$	44.00		0.64		5.25			5.89			(0.59	)		(0.59	)	$	49.30		13.42	%
Year Ended 6/30/17	$	37.23		0.58		6.71			7.29			(0.52	)		(0.52	)	$	44.00		19.72	%
Year Ended 6/30/16	$	36.76		0.56		0.45			1.01			(0.54	)		(0.54	)	$	37.23		2.79	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended 6/30/20	$	45.54		1.39		1.09			2.48			(1.44	)		(1.44	)	$	46.58		5.49	%
Year Ended 6/30/19	$	46.29		1.46		(0.80	)		0.66			(1.41	)		(1.41	)	$	45.54		1.52	%
Year Ended 6/30/18	$	43.30		1.39		2.99			4.38			(1.39	)		(1.39	)	$	46.29		10.23	%
Year Ended 6/30/17	$	38.59		1.28		4.58			5.86			(1.15	)		(1.15	)	$	43.30		15.35	%
Year Ended 6/30/16	$	35.38		1.27		3.18			4.45			(1.24	)		(1.24	)	$	38.59		12.89	%

(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)  The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

(e)  Excludes impact of in-kind transaction.

(f)  Commencement of operations.

(g)  Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

192

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Ratios to Average Net Assets									Supplemental Data
	Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(e)
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended 6/30/20		0.35	%		2.23	%		0.42	%	$	155,182		69	%
Year Ended 6/30/19		0.35	%		2.50	%		0.48	%	$	43,213		34	%
Year Ended 6/30/18		0.35	%		2.33	%		0.74	%	$	8,273		26	%
6/22/17(f) through 6/30/17		0.35	%		3.20	%		7.21	%	$	2,483		—	%
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended 6/30/20		0.35	%		1.20	%		0.40	%	$	609,613		56	%
Year Ended 6/30/19		0.35	%		1.51	%		0.40	%	$	828,729		116	%(g)
Year Ended 6/30/18		0.35	%		1.32	%		0.41	%	$	951,411		37	%
Year Ended 6/30/17		0.35	%		1.42	%		0.45	%	$	415,847		26	%
Year Ended 6/30/16		0.35	%		1.56	%		0.58	%	$	141,470		36	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended 6/30/20		0.35	%		3.02	%		0.40	%	$	565,892		116	%
Year Ended 6/30/19		0.35	%		3.22	%		0.40	%	$	696,814		143	%(g)
Year Ended 6/30/18		0.35	%		3.06	%		0.41	%	$	738,260		52	%
Year Ended 6/30/17		0.35	%		3.06	%		0.43	%	$	471,927		49	%
Year Ended 6/30/16		0.35	%		3.51	%		0.56	%	$	156,278		52	%

See notes to financial statements.

193

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Total Distributions			Net Asset Value, End of Period		Total Return
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Year Ended 6/30/20	$	37.80		0.44		1.42	(c)		1.86			(0.50	)		(0.50	)	$	39.16		5.00	%
Year Ended 6/30/19	$	47.41		0.64		(9.61	)		(8.97	)		(0.64	)		(0.64	)	$	37.80		(19.04	)%
Year Ended 6/30/18	$	41.41		0.50		5.98			6.48			(0.48	)		(0.48	)	$	47.41		15.75	%
Year Ended 6/30/17	$	33.55		0.49		7.84			8.33			(0.47	)		(0.47	)	$	41.41		24.91	%
Year Ended 6/30/16	$	39.23		0.34		(5.71	)(e)		(5.37	)		(0.31	)		(0.31	)	$	33.55		(13.70	)%
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended 6/30/20	$	32.10		0.52		(5.14	)		(4.62	)		(0.56	)		(0.56	)	$	26.92		(14.55	)%
Year Ended 6/30/19	$	33.79		0.85		(1.59	)		(0.74	)		(0.95	)		(0.95	)	$	32.10		(2.16	)%
Year Ended 6/30/18	$	32.22		0.94		1.45			2.39			(0.82	)		(0.82	)	$	33.79		7.41	%
Year Ended 6/30/17	$	29.00		0.78		2.90	(e)		3.68			(0.46	)		(0.46	)	$	32.22		12.79	%(f)
Year Ended 6/30/16	$	35.19		0.67		(6.27	)		(5.60	)		(0.59	)		(0.59	)	$	29.00		(15.96	)%

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

(b)  Excludes impact of in-kind transaction.

(c)  The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

(d)  Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

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

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

See notes to financial statements.

194

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Ratios to Average Net Assets									Supplemental Data
	Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Year Ended 6/30/20		0.35	%		1.19	%		0.47	%	$	37,203		232	%
Year Ended 6/30/19		0.35	%		1.48	%		0.42	%	$	92,614		398	%(d)
Year Ended 6/30/18		0.35	%		1.13	%		0.43	%	$	116,157		47	%
Year Ended 6/30/17		0.35	%		1.25	%		0.55	%	$	57,971		50	%
Year Ended 6/30/16		0.35	%		1.00	%		0.80	%	$	26,838		221	%
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended 6/30/20		0.45	%		1.69	%		0.65	%	$	48,455		33	%
Year Ended 6/30/19		0.45	%		2.63	%		0.56	%	$	110,746		154	%(d)
Year Ended 6/30/18		0.45	%		2.73	%		0.58	%	$	179,103		38	%
Year Ended 6/30/17		0.45	%		2.59	%		0.86	%	$	82,150		164	%
Year Ended 6/30/16		0.45	%		2.16	%		1.36	%	$	34,797		211	%

See notes to financial statements.

195

Victory Portfolios II Notes to Financial Statements
June 30, 2020

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust as a successor to a company named "Compass EMP Funds 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 24 funds, 22 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 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. (the "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. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance

196

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 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 generally accepted accounting principles 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)

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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, 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.

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 (the "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 June 30, 2020, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments.

	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
US 500 Volatility Wtd ETF
Common Stocks	$	667,362,523	$	—	$	—	$	667,362,523
Rights		2,454		—		—		2,454
Collateral for Securities Loaned		27,242,704		—		—		27,242,704
Total	$	694,607,681	$	—	$	—	$	694,607,681
Other Financial Investments^:
Assets:
Futures Contracts	$	47,777	$	—	$	—	$	47,777
Total	$	47,777	$	—	$	—	$	47,777
US Small Cap Volatility Wtd ETF
Common Stocks	$	16,037,335	$	—	$	—	$	16,037,335
Collateral for Securities Loaned		329,886		—		—		329,886
Total	$	16,367,221	$	—	$	—	$	16,367,221
Other Financial Investments^:
Assets:
Futures Contracts	$	2,816	$	—	$	—	$	2,816
Total	$	2,816	$	—	$	—	$	2,816
International Volatility Wtd ETF
Common Stocks	$	82,412,798	$	—	$	—	$	82,412,798
Rights		6,943		—		—		6,943
Collateral for Securities Loaned		3,124,887		—		—		3,124,887
Total	$	85,544,628	$	—	$	—	$	85,544,628

198

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(3,854	)	$	—	$	—	$	(3,854	)
Total	$	(3,854	)	$	—	$	—	$	(3,854	)
Emerging Market Volatility Wtd ETF
Common Stocks	$	42,388,231		$	—	$	—	$	42,388,231
Preferred Stocks		56,677			—		—		56,677
Rights		—			471		—		471
Collateral for Securities Loaned		279,657			—		—		279,657
Total	$	42,724,565		$	471	$	—	$	42,725,036
Other Financial Investments^:
Assets:
Futures Contracts	$	81		$	—	$	—	$	81
Total	$	81		$	—	$	—	$	81
US Large Cap High Div Volatility Wtd ETF
Common Stocks	$	192,156,326		$	—	$	—	$	192,156,326
Collateral for Securities Loaned		2,938,235			—		—		2,938,235
Total	$	195,094,561		$	—	$	—	$	195,094,561
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(2,148	)	$	—	$	—	$	(2,148	)
Total	$	(2,148	)	$	—	$	—	$	(2,148	)
US Small Cap High Div Volatility Wtd ETF
Common Stocks	$	65,815,104		$	—	$	—	$	65,815,104
Collateral for Securities Loaned		3,176,420			—		—		3,176,420
Total	$	68,991,524		$	—	$	—	$	68,991,524
Other Financial Investments^:
Assets:
Futures Contracts	$	6,714		$	—	$	—	$	6,714
Total	$	6,714		$	—	$	—	$	6,714
International High Div Volatility Wtd ETF
Common Stocks	$	61,355,013		$	—	$	—	$	61,355,013
Rights		29,292			—		—		29,292
Collateral for Securities Loaned		3,568,059			—		—		3,568,059
Total	$	64,952,364		$	—	$	—	$	64,952,364
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(261	)	$	—	$	—	$	(261	)
Total	$	(261	)	$	—	$	—	$	(261	)
Emerging Market High Div Volatility Wtd ETF
Common Stocks	$	21,393,380		$	—	$	—	$	21,393,380
Total	$	21,393,380		$	—	$	—	$	21,393,380

199

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Other Financial Investments^:
Assets:
Futures Contracts	$	1,352		$	—	$	—	$	1,352
Total	$	1,352		$	—	$	—	$	1,352
Dividend Accelerator ETF
Common Stocks	$	234,620,677		$	—	$	—	$	234,620,677
Collateral for Securities Loaned		317,058			—		—		317,058
Total	$	234,937,735		$	—	$	—	$	234,937,735
Other Financial Investments^:
Assets:
Futures Contracts	$	5,455		$	—	$	—	$	5,455
Total	$	5,455		$	—	$	—	$	5,455
US Multi-Factor Minimum Volatility ETF
Common Stocks	$	154,500,916		$	—	$	—	$	154,500,916
Collateral for Securities Loaned		837,522			—		—		837,522
Total	$	155,338,438		$	—	$	—	$	155,338,438
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(7,849	)	$	—	$	—	$	(7,849	)
Total	$	(7,849	)	$	—	$	—	$	(7,849	)
US 500 Enhanced Volatility Wtd ETF
Common Stocks	$	329,066,962		$	—	$	—	$	329,066,962
Rights		1,204			—		—		1,204
Investment Companies		280,075,188			—		—		280,075,188
Collateral for Securities Loaned		11,012,568			—		—		11,012,568
Total	$	620,155,922		$	—	$	—	$	620,155,922
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(27,473	)	$	—	$	—	$	(27,473	)
Total	$	(27,473	)	$	—	$	—	$	(27,473	)
US EQ Income Enhanced Volatility Wtd ETF
Common Stocks	$	433,815,645		$	—	$	—	$	433,815,645
Investment Companies		130,782,399			—		—		130,782,399
Collateral for Securities Loaned		25,441,140			—		—		25,441,140
Total	$	590,039,184		$	—	$	—	$	590,039,184
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(14,744	)	$	—	$	—	$	(14,744	)
Total	$	(14,744	)	$	—	$	—	$	(14,744	)
US Discovery Enhanced Volatility Wtd ETF
Common Stocks	$	29,058,537		$	—	$	—	$	29,058,537
Investment Companies		8,057,856			—		—		8,057,856
Collateral for Securities Loaned		710,324			—		—		710,324
Total	$	37,826,717		$	—	$	—	$	37,826,717

200

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
Other Financial Investments^:
Assets:
Futures Contracts	$	6,812		$	—	$	—	$	6,812
Total	$	6,812		$	—	$	—	$	6,812
Developed Enhanced Volatility Wtd ETF
Common Stocks	$	25,353,285		$	—	$	671	$	25,353,956
Rights		2,223			—		—		2,223
Investment Companies		22,622,863			—		—		22,622,863
Collateral for Securities Loaned		1,765,528			—		—		1,765,528
Total	$	49,743,899		$	—	$	671	$	49,744,570
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(373	)	$	—	$	—	$	(373	)
Total	$	(373	)	$	—	$	—	$	(373	)

^  Futures Contracts are valued at the unrealized appreciation (depreciation) on the investment.

For the year ended June 30, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

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 and Emerging Market 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 Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, Emerging Market Volatility Wtd ETF and International High Div Volatility Wtd ETF enter into

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 June 30, 2020, 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 Deposits with broker for futures contracts.

As of June 30, 2020, 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 June 30, 2020, discloses both gross information and net information about instruments and transactions eligible for offset on 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.

	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	$	28,474	$	—	$	28,474	$	—		$	28,474
US Small Cap Volatility Wtd ETF
Futures Goldman Sachs & Co		720		—		720		—			720
Emerging Market Volatility Wtd ETF
Futures Goldman Sachs & Co		81		—		81		—			81
US Large Cap High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		14,875		—		14,875		—			14,875
US Small Cap High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		2,151		—		2,151		—			2,151
Dividend Accelerator ETF
Futures Goldman Sachs & Co		6,375		—		6,375		—			6,375
US Multi-Factor Minimum Volatility ETF
Futures Goldman Sachs & Co		6,794		—		6,794		—			6,794
US 500 Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		31,875		—		31,875		—			31,875
US EQ Income Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		32,294		—		32,294		—			32,294
US Discovery Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		1,440		—		1,440		—			1,440
	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
International Volatility Wtd ETF
Futures Goldman Sachs & Co	$	1,020	$	—	$	1,020	$	(1,020	)	$	—
International High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		680		—		680		(680	)		—
Emerging Market High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		420		—		420		(420	)		—
Developed Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		494		—		494		(494	)		—

*  Cash collateral pledged may be in excess of the amounts shown in the table. The total cash collateral pledged by each Fund is disclosed on the Statements of Assets and Liabilities.

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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 June 30, 2020:

	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Equity Risk Exposure:
US 500 Volatility Wtd ETF	$	47,777	$	—
US Small Cap Volatility Wtd ETF		2,816		—
International Volatility Wtd ETF		—		3,854
Emerging Market Volatility Wtd ETF		81		—
US Large Cap High Div Volatility Wtd ETF		—		2,148
US Small Cap High Div Volatility Wtd ETF		6,714		—
International High Div Volatility Wtd ETF		—		261
Emerging Market High Div Volatility Wtd ETF		1,352		—
Dividend Accelerator ETF		5,455		—
US Multi-Factor Minimum Volatility ETF		—		7,849
US 500 Enhanced Volatility Wtd ETF		—		27,473
US EQ Income Enhanced Volatility Wtd ETF		—		14,744
US Discovery Enhanced Volatility Wtd ETF		6,812		—
Developed Enhanced Volatility Wtd ETF		—		373

*  Includes cumulative appreciation/depreciation of futures contracts a as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts are 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 year ended June 30, 2020:

	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
	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation/Depreciation on Futures Contracts
Equity Risk Exposure:
US 500 Volatility Wtd ETF	$	183,748		$	15,329
US Small Cap Volatility Wtd ETF		(12,140	)		915
International Volatility Wtd ETF		(6,898	)		(8,836	)
Emerging Market Volatility Wtd ETF		(4,410	)		(3,907	)
US Large Cap High Div Volatility Wtd ETF		158,651			(15,777	)
US Small Cap High Div Volatility Wtd ETF		(69,216	)		2,148
International High Div Volatility Wtd ETF		38,709			(502	)
Emerging Market High Div Volatility Wtd ETF		19,404			990
Dividend Accelerator ETF		44,878			5,455
US Multi-Factor Minimum Volatility ETF		95,914			(10,805	)
US 500 Enhanced Volatility Wtd ETF		(432,691	)		(65,269	)
US EQ Income Enhanced Volatility Wtd ETF		563,975			(46,751	)
US Discovery Enhanced Volatility Wtd ETF		(30,561	)		(3,078	)
Developed Enhanced Volatility Wtd ETF		(23,882	)		(13,381	)

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

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 determined on the basis of coupon interest accrued using the effective interest method which adjusts, 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 recorded on the identified cost basis.

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, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay the Agent various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) 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 June 30, 2020. 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
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
US 500 Volatility Wtd ETF	$	26,908,197	$	26,908,197	$	—	$	—	$	—	$	—
US Small Cap Volatility Wtd ETF		320,304		320,304		—		—		—		—

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	Gross Amount of Recognized Assets (Value of		Value of Cash		Value of Non-cash Collateral Received by Maturity
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
International Volatility Wtd ETF	$	2,984,647	$	2,984,647	$	—	$	—	$	—	$	—
Emerging Market Volatility Wtd ETF		264,949		264,949		—		—		—		—
US Large Cap High Div Volatility Wtd ETF		2,870,867		2,870,867		—		—		—		—
US Small Cap High Div Volatility Wtd ETF		3,083,315		3,083,315		—		—		—		—
International High Div Volatility Wtd ETF		3,386,164		3,386,164		—		—		—		—
Dividend Accelerator ETF		309,830		309,830		—		—		—		—
US Multi-Factor Minimum Volatility ETF		828,516		828,516		—		—		—		—
US 500 Enhanced Volatility Wtd ETF		10,872,227		10,872,227		—		—		—		—
US EQ Income Enhanced Volatility Wtd ETF		25,133,586		25,133,586		—		—		—		—
US Discovery Enhanced Volatility Wtd ETF		690,371		690,371		—		—		—		—
Developed Enhanced Volatility Wtd ETF		1,691,885		1,691,885		—		—		—		—

*  Collateral received in excess of the market value of securities on loan is not presented in this table.

The total cash collateral received by each Fund is disclosed in the Statements of Assets and Liabilities.

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 investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations, including foreign currency arising from in-kind redemptions, are disclosed as Net realized gains (losses) from investment securities 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.

Distributions 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 (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which

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may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), 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.

As of June 30, 2020, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:

	Total Distributable Earnings/(Loss)			Capital
US 500 Volatility Wtd ETF	$	(21,775,991	)	$	21,775,991
US Small Cap Volatility Wtd ETF		274,117			(274,117	)
International Volatility Wtd ETF		(787,460	)		787,460
Emerging Market Volatility Wtd ETF		175,350			(175,350	)
US Large Cap High Div Volatility Wtd ETF		4,351,626			(4,351,626	)
US Small Cap High Div Volatility Wtd ETF		(2,566,050	)		2,566,050
International High Div Volatility Wtd ETF		699,666			(699,666	)
Emerging Market High Div Volatility Wtd ETF		2,420,130			(2,420,130	)
Dividend Accelerator ETF		(2,964,088	)		2,964,088
US Multi-Factor Minimum Volatility ETF		(3,978,124	)		3,978,124
US 500 Enhanced Volatility Wtd ETF		(12,656,600	)		12,656,600
US EQ Income Enhanced Volatility Wtd ETF		(553,267	)		553,267
US Discovery Enhanced Volatility Wtd ETF		2,586,391			(2,586,391	)
Developed Enhanced Volatility Wtd ETF		1,756,427			(1,756,427	)

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 years, which includes the current fiscal tax year end). 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.

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and in-kind transactions associated with purchases and sales for the year ended June 30, 2020 were as follows:

	Excluding in-kind transactions				Associated with in-kind transactions
	Purchases		Sales		Purchases		Sales
US 500 Volatility Wtd ETF	$	220,154,903	$	216,092,188	$	175,305,087	$	191,868,048
US Small Cap Volatility Wtd ETF		11,872,220		11,904,054		4,833,288		14,807,112
International Volatility Wtd ETF		37,558,870		32,461,424		57,266,128		7,538,180

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	Excluding in-kind transactions				Associated with in-kind transactions
	Purchases		Sales		Purchases		Sales
Emerging Market Volatility Wtd ETF	$	41,656,171	$	19,964,610	$	12,168,342	$	1,607,772
US Large Cap High Div Volatility Wtd ETF		166,749,339		166,076,789		173,638,818		241,565,494
US Small Cap High Div Volatility Wtd ETF		58,277,413		58,141,568		60,726,527		50,308,219
International High Div Volatility Wtd ETF		54,564,335		53,082,704		49,680,957		11,275,792
Emerging Market High Div Volatility Wtd ETF		31,258,179		33,184,358		2,642,811		9,659,561
Dividend Accelerator ETF		119,979,826		119,166,757		238,227,987		18,484,436
US Multi-Factor Minimum Volatility ETF		99,965,615		99,432,570		153,192,562		38,348,173
US 500 Enhanced Volatility Wtd ETF		329,417,771		653,445,846		1,414,953		208,082,505
US EQ Income Enhanced Volatility Wtd ETF		653,991,749		835,958,223		23,305,580		106,735,874
US Discovery Enhanced Volatility Wtd ETF		151,458,459		101,013,590		1,205,408		46,622,499
Developed Enhanced Volatility Wtd ETF		24,463,085		51,898,282		—		42,739,383

For the year ended June 30, 2020, 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.

Under the terms of the Investment Advisory Agreement, 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.

	Flat 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 Wtd 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

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Portfolios (collectively, the "Victory Funds Complex"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Victory Funds Complex and 0.04% of the average daily net assets over $30 billion of the Victory Funds Complex.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, 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 Funds reimburse VCM and Citi for reasonable out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds under the Fund Administration, Servicing, and Accounting Agreement. Amounts paid by the Funds to reimburse VCM for expenses incurred during the year ended June 30, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank acts as the custodian of the Funds' assets pursuant to the Global Custodial Services Agreement (the "Custody Agreement"). Citibank's responsibilities include safeguarding and controlling the Funds' cash and securities, handling the receipt and delivery of securities, and collecting interest and dividends on the Funds' investments. Pursuant to the Custody Agreement, Citibank also maintains original entry documents and books of record and general ledgers; posts cash receipts and disbursements; and records purchases and sales based upon communications from the Adviser. Citibank may, with the approval of a Fund and at its own expense, open and maintain a sub-custody account or accounts on behalf of a Fund, provided that it shall remain liable for the performance of all of its duties under the Custody Agreement.

Citibank 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 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. The Funds in the Victory Funds Complex, in 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 on the Statements of Operations.

Sidley Austin LLP provides legal services to the Trust.

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 Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts 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 June 30, 2020, the expense limits (excluding voluntary waivers) are as follows:

	In effect November 1, 2019 until October 31, 2020
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	%

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	In effect November 1, 2019 until October 31, 2020
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 June 30, 2020, the following amounts are available to be repaid to the Adviser:

	Expires June 30, 2021		Expires June 30, 2022		Expires June 30, 2023		Total
US 500 Volatility Wtd ETF	$	149,989	$	180,818	$	99,179	$	429,986
US Small Cap Volatility Wtd ETF		29,566		29,837		39,631		99,034
International Volatility Wtd ETF		91,734		76,477		121,119		289,330
Emerging Market Volatility Wtd ETF		194,086		159,736		212,048		565,870
US Large Cap High Div Volatility Wtd ETF		59,758		85,683		64,858		210,299
US Small Cap High Div Volatility Wtd ETF		29,681		35,161		45,375		110,217
International High Div Volatility Wtd ETF		47,955		48,516		63,200		159,671
Emerging Market High Div Volatility Wtd ETF		47,982		93,761		117,270		259,013
Dividend Accelerator ETF		20,087		21,708		51,403		93,198
US Multi-Factor Minimum Volatility ETF		16,990		28,089		47,372		92,451
US 500 Enhanced Volatility Wtd ETF		219,577		226,258		90,547		536,382
US EQ Income Enhanced Volatility Wtd ETF		178,795		183,343		75,542		437,680
US Discovery Enhanced Volatility Wtd ETF		48,147		50,577		45,253		143,977
Developed Enhanced Volatility Wtd ETF		140,353		126,154		132,700		399,207

The Adviser voluntarily waived the following administration fees for the year ended June 30, 2020, 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.

US 500 Volatility Wtd ETF	$	281,853
US Small Cap Volatility Wtd ETF		8,818
International Volatility Wtd ETF		29,605
Emerging Market Volatility Wtd ETF		15,965
US Large Cap High Div Volatility Wtd ETF		109,988
US Small Cap High Div Volatility Wtd ETF		31,797
International High Div Volatility Wtd ETF		27,755
Emerging Market High Div Volatility Wtd ETF		13,662
Dividend Accelerator ETF		60,942
US Multi-Factor Minimum Volatility ETF		54,300
US 500 Enhanced Volatility Wtd ETF		254,262
US EQ Income Enhanced Volatility Wtd ETF		232,158
US Discovery Enhanced Volatility Wtd ETF		20,532
Developed Enhanced Volatility Wtd ETF		29,683

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

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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 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.

An outbreak of respiratory disease called COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in international, national and local border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and consumer activity, significant challenges in healthcare service preparation and delivery, quarantines and general concern and uncertainty. These negative impacts have caused significant volatility and declines in global financial markets, which have caused losses for Fund investors during and subsequent to period end. The impact of the COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. Public health crises may exacerbate other pre-existing political, social, economic, market and financial risks. The extent of the impact to the financial performance of the Funds' investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted.

211

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

6. Borrowing:

Line of Credit:

For the year ended June 30, 2020, the Victory Funds Complex and the USAA Mutual Funds Complex (another series of mutual funds managed by the Adviser) participated in a short-term demand note "Line of Credit" with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2020 with a termination date of June 28, 2021. Under the agreement with Citibank, the Victory Funds Complex and USAA Mutual Funds Complex, combined, may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund (herein, the "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. For the year ended June 30, 2020, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest (one month LIBOR plus one percent) on amounts borrowed. Effective June 29, 2020, under an amended Line of Credit agreement, Citibank will also receive an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex will pay a pro-rata portion of the upfront fee. Interest charged to each Fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The average loans under the line of credit agreement with Citibank for the days outstanding and average interest rate for each Fund during the year ended June 30, 2020 were as follows:

	Amount Outstanding at June 30, 2020		Average Borrowing*		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
International Volatility Wtd ETF	$	—	$	1,400,000		1		3.32	%	$	1,400,000
Emerging Market Volatility Wtd ETF		—		4,423,500		4		2.49	%		10,000,000
	Amount Outstanding at June 30, 2020		Average Borrowing*		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
US Small Cap High Div Volatility Wtd ETF	$	—	$	925,000		1		3.13	%	$	925,000
Emerging Market High Div Volatility Wtd ETF		—		3,639,000		4		2.39	%		4,778,000

*  For the year ended June 30, 2020, based on the number of days borrowings were outstanding.

212

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

7. Federal Income Tax Information:

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

	Year Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Total Distributions Paid
US 500 Volatility Wtd ETF	$	11,639,455	$	11,639,455
US Small Cap Volatility Wtd ETF		333,395		333,395
International Volatility Wtd ETF		1,636,991		1,636,991
Emerging Market Volatility Wtd ETF		831,383		831,383
US Large Cap High Div Volatility Wtd ETF		10,982,914		10,982,914
US Small Cap High Div Volatility Wtd ETF		3,347,836		3,347,836
International High Div Volatility Wtd ETF		2,460,188		2,460,188
Emerging Market High Div Volatility Wtd ETF		1,690,396		1,690,396
Dividend Accelerator ETF		2,413,888		2,413,888
US Multi-Factor Minimum Volatility ETF		3,232,593		3,232,593
US 500 Enhanced Volatility Wtd ETF		9,141,838		9,141,838
US EQ Income Enhanced Volatility Wtd ETF		19,790,977		19,790,977
US Discovery Enhanced Volatility Wtd ETF		764,303		764,303
Developed Enhanced Volatility Wtd ETF		1,518,775		1,518,775

	Year Ended June 30, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Volatility Wtd ETF	$	9,387,343	$	—	$	9,387,343	$	9,387,343
US Small Cap Volatility Wtd ETF		530,031		—		530,031		530,031
International Volatility Wtd ETF		942,198		—		942,198		942,198
Emerging Market Volatility Wtd ETF		773,465		584,060		1,357,525		1,357,525
US Large Cap High Div Volatility Wtd ETF		6,679,386		—		6,679,386		6,679,386
US Small Cap High Div Volatility Wtd ETF		1,707,481		—		1,707,481		1,707,481
International High Div Volatility Wtd ETF		2,195,385		—		2,195,385		2,195,385
Emerging Market High Div Volatility Wtd ETF		1,289,328		—		1,289,328		1,289,328
Dividend Accelerator ETF		154,436		—		154,436		154,436
US Multi-Factor Minimum Volatility ETF		627,227		—		627,227		627,227
US 500 Enhanced Volatility Wtd ETF		14,515,692		—		14,515,692		14,515,692
US EQ Income Enhanced Volatility Wtd ETF		24,059,137		—		24,059,137		24,059,137
US Discovery Enhanced Volatility Wtd ETF		1,699,060		—		1,699,060		1,699,060
Developed Enhanced Volatility Wtd ETF		4,201,929		—		4,201,929		4,201,929

213

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

As of June 30, 2020, the components of accumulated earnings (deficit) on a tax basis were as follows:

	Undistributed Ordinary Income		Accumulated Earnings		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)**			Total Accumulated Earnings (Deficit)
US 500 Volatility Wtd ETF	$	661,242	$	661,242	$	(58,437,323	)	$	24,554,392		$	(33,221,689	)
US Small Cap Volatility Wtd ETF		24,078		24,078		(7,601,626	)		(2,454,674	)		(10,032,222	)
International Volatility Wtd ETF		210,594		210,594		(6,594,258	)		(1,049,187	)		(7,432,851	)
Emerging Market Volatility Wtd ETF		246,500		246,500		(4,068,835	)		(2,966,639	)		(6,788,974	)
US Large Cap High Div Volatility Wtd ETF		318,185		318,185		(39,429,514	)		(25,817,739	)		(64,929,068	)
US Small Cap High Div Volatility Wtd ETF		484,756		484,756		(20,724,553	)		(9,703,383	)		(29,943,180	)
International High Div Volatility Wtd ETF		308,956		308,956		(13,071,588	)		(8,850,344	)		(21,612,976	)
Emerging Market High Div Volatility Wtd ETF		157,914		157,914		(4,865,219	)		(3,866,029	)		(8,573,334	)
Dividend Accelerator ETF		316,742		316,742		(9,029,819	)		4,593,306			(4,119,771	)
US Multi-Factor Minimum Volatility ETF		167,436		167,436		(11,059,491	)		5,587,551			(5,304,504	)
US 500 Enhanced Volatility Wtd ETF		185,516		185,516		(53,373,108	)		24,172,438			(29,015,154	)
US EQ Income Enhanced Volatility Wtd ETF		782,711		782,711		(62,738,076	)		(6,240,183	)		(68,195,548	)
US Discovery Enhanced Volatility Wtd ETF		35,328		35,328		(32,768,149	)		(661,807	)		(33,394,628	)
Developed Enhanced Volatility Wtd ETF		15,025		15,025		(26,526,331	)		(739,522	)		(27,250,828	)

*  Under the current tax law, net investment losses realized after 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.

During the year ended June 30, 2020, the VictoryShares US 500 Enhanced Volatility Wtd ETF and VictoryShares US EQ Income Enhanced Volatility Wtd ETF utilized $11,537,964 and $19,516,943 of short-term capital loss carryforwards, respectively.

214

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

As of the tax year ended June 30, 2020, the following Funds had net capital loss carryforwards as summarized in the tables below.

	Short-Term Amount		Long-Term Amount		Total
US 500 Volatility Wtd ETF	$	32,958,055	$	25,479,268	$	58,437,323
US Small Cap Volatility Wtd ETF		4,443,491		3,158,135		7,601,626
International Volatility Wtd ETF		4,186,566		2,407,692		6,594,258
Emerging Market Volatility Wtd ETF		2,791,319		1,277,516		4,068,835
US Large Cap High Div Volatility Wtd ETF		22,487,331		16,942,183		39,429,514
US Small Cap High Div Volatility Wtd ETF		16,058,099		4,666,454		20,724,553
International High Div Volatility Wtd ETF		8,712,930		4,358,658		13,071,588
Emerging Market High Div Volatility Wtd ETF		2,831,466		2,033,753		4,865,219
Dividend Accelerator ETF		8,938,322		91,497		9,029,819
US Multi-Factor Minimum Volatility ETF		10,848,711		210,780		11,059,491
US 500 Enhanced Volatility Wtd ETF		38,875,453		14,497,655		53,373,108
US EQ Income Enhanced Volatility Wtd ETF		32,133,200		30,604,876		62,738,076
US Discovery Enhanced Volatility Wtd ETF		30,433,081		2,335,068		32,768,149
Developed Enhanced Volatility Wtd ETF		16,934,183		9,592,148		26,526,331

As of June 30, 2020, 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	$	670,053,289	$	85,790,164	$	(61,235,772	)	$	24,554,392
US Small Cap Volatility Wtd ETF		18,821,895		1,251,059		(3,705,733	)		(2,454,674	)
International Volatility Wtd ETF		86,596,909		6,936,481		(7,988,762	)		(1,052,281	)
Emerging Market Volatility Wtd ETF		45,690,415		3,677,785		(6,643,164	)		(2,965,379	)
US Large Cap High Div Volatility Wtd ETF		220,912,300		7,352,245		(33,169,984	)		(25,817,739	)
US Small Cap High Div Volatility Wtd ETF		78,694,907		5,193,892		(14,897,275	)		(9,703,383	)
International High Div Volatility Wtd ETF		73,806,035		2,346,087		(11,199,758	)		(8,853,671	)
Emerging Market High Div Volatility Wtd ETF		25,257,819		986,438		(4,850,877	)		(3,864,439	)
Dividend Accelerator ETF		230,344,429		14,066,606		(9,473,300	)		4,593,306
US Multi-Factor Minimum Volatility ETF		149,750,887		12,570,870		(6,983,319	)		5,587,551
US 500 Enhanced Volatility Wtd ETF		595,983,484		49,389,684		(25,217,246	)		24,172,438
US EQ Income Enhanced Volatility Wtd ETF		596,279,367		39,046,902		(45,287,085	)		(6,240,183	)
US Discovery Enhanced Volatility Wtd ETF		38,488,524		4,432,852		(5,094,659	)		(661,807	)
Developed Enhanced Volatility Wtd ETF		50,486,870		2,272,322		(3,014,622	)		(742,300	)

215

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

During the year ended June 30, 2020, the Funds realized the following net capital gains (losses) resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Fund rather than for cash. Because such gains (losses) are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains (losses) to capital.

	Short Term			Long Term			Total
US 500 Volatility Wtd ETF	$	(1,259,228	)	$	23,035,218		$	21,775,990
US Small Cap Volatility Wtd ETF		(336,586	)		62,468			(274,118	)
International Volatility Wtd ETF		17,939			769,521			787,460
Emerging Market Volatility Wtd ETF		(207,793	)		26,226			(181,567	)
US Large Cap High Div Volatility Wtd ETF		(4,465,174	)		113,549			(4,351,625	)
US Small Cap High Div Volatility Wtd ETF		1,913,809			652,241			2,566,050
International High Div Volatility Wtd ETF		(624,369	)		(71,396	)		(695,765	)
Emerging Market High Div Volatility Wtd ETF		(1,823,021	)		(597,110	)		(2,420,131	)
Dividend Accelerator ETF		1,970,870			993,218			2,964,088
US Multi-Factor Minimum Volatility ETF		3,425,245			554,552			3,979,797
US 500 Enhanced Volatility Wtd ETF		5,982,428			6,674,172			12,656,600
US EQ Income Enhanced Volatility Wtd ETF		(809,490	)		1,362,758			553,268
US Discovery Enhanced Volatility Wtd ETF		(2,450,849	)		(135,540	)		(2,586,389	)
Developed Enhanced Volatility ETF		(159,348	)		(1,597,078	)		(1,756,426	)

8. Affiliated Securities:

An affiliated security is a security in which the Fund has ownership of at least 5% of the security's outstanding voting shares, an investment company managed by VCM or an issuer under common control with a Fund under VCM. The Fund does not invest in affiliated securities for the purpose of exercising management or control. These securities are noted as affiliated on the Fund's Schedule of Portfolio Investments. Transactions in affiliated securities during the year ended June 30, 2020, were as follows:

US Small Cap Volatility Wtd ETF	Fair Value 6/30/19		Purchases at Cost		Proceeds from Sales			Realized Gain (Loss)			Capital Gain Distribution		Change in Unrealized Appreciation (Depreciation)			Fair Value 6/30/20		Dividend Income
Victory Capital Holdings, Inc	$	—	$	61,355	$	(30,974	)	$	(2,566	)	$	—	$	(139	)	$	27,676	$	350
US Discovery Enhanced Volatility Wtd ETF	Fair Value 6/30/19		Purchases at Cost		Proceeds from Sales			Realized Gain (Loss)			Capital Gain Distribution		Change in Unrealized Appreciation (Depreciation)			Fair Value 6/30/20		Dividend Income
Victory Capital Holdings, Inc	$	—	$	170,608	$	(146,134	)	$	21,619		$	—	$	4,119		$	50,212	$	496

216

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory Portfolios II, comprising the Funds listed below (the "Funds"), as of June 30, 2020, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods listed below, including the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2020, the results of their operations, the changes in their net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

Fund Name	Statements of Operations	Statements of Changes in Net Assets	Financial Highlights
VictoryShares US 500 Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and 2016
VictoryShares US 500 Enhanced Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and 2016
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and 2016
VictoryShares US Discovery Enhanced Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and 2016
VictoryShares Developed Enhanced Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and 2016
VictoryShares US Small Cap Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from July 7, 2015 (commencement of operations) through June 30, 2016
VictoryShares US Large Cap High Div Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from July 7, 2015 (commencement of operations) through June 30, 2016

217

Fund Name	Statements of Operations	Statements of Changes in Net Assets	Financial Highlights
VictoryShares US Small Cap High Div Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from July 7, 2015 (commencement of operations) through June 30, 2016
VictoryShares International Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from August 19, 2015 (commencement of operations) through June 30, 2016
VictoryShares International High Div Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from August 19, 2015 (commencement of operations) through June 30, 2016
VictoryShares Emerging Market Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018, 2017 and for the period from March 22, 2016 (commencement of operations) through June 30, 2016
VictoryShares Emerging Market High Div Volatility Wtd ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019 and for the period from October 26, 2017 (commencement of operations) through June 30, 2018
VictoryShares Dividend Accelerator ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018 and for the period from April 18, 2017 (commencement of operations) through June 30, 2017
VictoryShares US Multi-Factor Minimum Volatility ETF	For the year ended June 30, 2020	For the years ended June 30, 2020 and 2019	For the years ended June 30, 2020, 2019, 2018 and for the period from June 22, 2017 (commencement of operations) through June 30, 2017

218

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers or counterparties were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 25, 2020

219

Victory Portfolios II Supplemental Information
June 30, 2020

  (Unaudited)

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 nine Trustees, eight 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 date of birth, 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 24 portfolios in the Trust, 42 portfolios in Victory Portfolios and 9 portfolios in Victory Variable Insurance Funds, 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 Date of Birth	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, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	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).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015).	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

220

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	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.	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, * Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	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, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown, ** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

*  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.

221

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Officers:

The officers of the Trust, their date of births, 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 Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	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, Born March 1984	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 Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	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, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

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

222

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

Information regarding the policies and procedures 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 files 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. Forms N-PORT are available on the SEC's web site at www.sec.gov.

Expense Examples

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management 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 January 1, 2020 through June 30, 2020.

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 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
US 500 Volatility Wtd ETF	$	1,000.00	$	901.80	$	1,023.12	$	1.65	$	1.76		0.35	%
US Small Cap Volatility Wtd ETF		1,000.00		817.40		1,023.12		1.58		1.76		0.35	%
International Volatility Wtd ETF		1,000.00		875.60		1,022.63		2.10		2.26		0.45	%
Emerging Market Volatility Wtd ETF		1,000.00		849.50		1,022.33		2.35		2.56		0.51	%

223

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

	Beginning Account Value 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
US Large Cap High Div Volatility Wtd ETF	$	1,000.00	$	794.50	$	1,023.12	$	1.56	$	1.76		0.35	%
US Small Cap High Div Volatility Wtd ETF		1,000.00		795.90		1,023.12		1.56		1.76		0.35	%
International High Div Volatility Wtd ETF		1,000.00		756.90		1,022.63		1.97		2.26		0.45	%
Emerging Market High Div Volatility Wtd ETF		1,000.00		826.70		1,022.33		2.32		2.56		0.51	%
Dividend Accelerator ETF		1,000.00		932.00		1,023.12		1.68		1.76		0.35	%
US Multi-Factor Minimum Volatility ETF		1,000.00		939.50		1,023.12		1.69		1.76		0.35	%
US 500 Enhanced Volatility Wtd ETF		1,000.00		990.30		1,023.12		1.73		1.76		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		1,000.00		960.90		1,023.12		1.71		1.76		0.35	%
US Discovery Enhanced Volatility Wtd ETF		1,000.00		994.30		1,023.12		1.74		1.76		0.35	%
Developed Enhanced Volatility Wtd ETF		1,000.00		808.00		1,022.63		2.02		2.26		0.45	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

224

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2020, the Funds paid qualified dividend income for the purposes of reduce individual federal income tax rates of:

	Amount
VictoryShares US 500 Volatility WTD ETF		100	%
VictoryShares US Small Cap Volatility Wtd ETF		100	%
VictoryShares International Volatility Wtd ETF		84	%
VictoryShares Emerging Market Volatility Wtd ETF		58	%
VictoryShares US Large Cap High Div Volatility Wtd ETF		100	%
VictoryShares US Small Cap High Div Volatility Wtd ETF		90	%
VictoryShares International High Div Volatility Wtd ET		84	%
VictoryShares Emerging Market High Div Volatility Wtd ETF		44	%
VictoryShares Dividend Accelerator ETF		100	%
VictoryShares US Multi-Factor Minimum Volatility ETF		100	%
VictoryShares US 500 Enhanced Volatility Wtd ETF		100	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		100	%
VictoryShares US Discovery Enhanced Volatility Wtd ETF		94	%
VictoryShares Developed Enhanced Volatility Wtd ETF		94	%

Dividends qualified for corporate dividends received deductions of:

	Amount
VictoryShares US 500 Volatility WTD ETF		100	%
VictoryShares US Small Cap Volatility Wtd ETF		100	%
VictoryShares US Large Cap High Div Volatility Wtd ETF		100	%
VictoryShares US Small Cap High Div Volatility Wtd ETF		91	%
VictoryShares Dividend Accelerator ETF		100	%
VictoryShares US Multi-Factor Minimum Volatility ETF		100	%
VictoryShares US 500 Enhanced Volatility Wtd ETF		100	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF		100	%
VictoryShares US Discovery Enhanced Volatility Wtd ETF		94	%

The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2020, were as follows:

	Foreign Source Income		Foreign Tax Expense
VictoryShares International Volatility Wtd ETF		0.74		0.07
VictoryShares Emerging Market Volatility Wtd ETF		0.74		0.09
VictoryShares International High Div Volatility Wtd ET		1.09		0.09
VictoryShares Emerging Market High Div Volatility Wtd ETF		1.84		0.31
VictoryShares Developed Enhanced Volatility Wtd ETF		0.83		0.08

225

Victory Portfolios II Supplemental Information — continued
June 30, 2020

  (Unaudited)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Act. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Board approved the appointment of VCM as the administrator of the LRMP. At an in-person meeting held on February 20, 2020, VCM provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year.

VCM manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every fund investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of Fund investments, VCM has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by VCM. VCM reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.

The report from VCM concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable VCM to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments reasonably expected to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a Highly Liquid Investment Minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, VCM indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

226

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-AR (6/20)

June 30, 2020

Annual Report

VictoryShares USAA Core Short-Term Bond ETF

VictoryShares USAA Core Intermediate-Term Bond ETF

Beginning 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 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.

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

Shareholder Letter (Unaudited)	3
Fund Review and Commentary (Unaudited)	5
Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares USAA Core Short-Term Bond ETF
Schedule of Portfolio Investments	11
Statements of Assets and Liabilities	34
Statements of Operations	35
Statements of Changes in Net Assets	36
Financial Highlights	38
VictoryShares USAA Core Intermediate-Term Bond ETF
Schedule of Portfolio Investments	20
Statements of Assets and Liabilities	34
Statements of Operations	35
Statements of Changes in Net Assets	37
Financial Highlights	38
Notes to Financial Statements	40
Report of Independent Registered Public Accounting Firm	53
Supplemental Information (Unaudited)
Trustee and Officer Information	54
Proxy Voting and Portfolio Holdings Information	57
Expense Examples	57
Liquidity Risk Management Program	58
Privacy Policy (inside back cover)

1

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 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.

This report is for the information of the shareholders and others who have received a copy of the currently effective prospectus of the Funds, managed by Victory Capital Management Inc. It may be used as sales literature only when preceded or accompanied by a current prospectus, which provides further details about the Funds.

IRA DISTRIBUTION WITHHOLDING DISCLOSURE

We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call (800) 235-8396.

If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.

For more specific information, please consult your tax adviser.

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

Call Victory at:

866-376-7890

Visit our website at:

www.vcm.com

2

Victory Funds Letter to Shareholders

Dear Shareholder,

What a difference a year makes. Not long ago, we were marveling at the longest-ever bull market in equities. Although the current market environment appears constructive and relatively calm (as of this writing), what has transpired over the past year has been nothing short of astounding.

In fact, the annual period ended June 30, 2020, has been the most unusual period for investors since the Global Financial Crisis or, perhaps, the Great Depression. We entered this year with mundane concerns of interest rates and global trade talks, but that all changed quickly in early 2020. The spread of COVID-19 throughout the United States was an unprecedented event that rendered virtually any economic forecast unreliable. In March, and seemingly overnight, the sentiment pendulum swung from risk-on to risk-off.

The global economy came to an all-stop and equities sold off sharply. Meanwhile, liquidity evaporated in many segments of the fixed-income market, especially higher-yielding credits and anything perceived to be higher risk, which caused credit spreads to widen and depressed prices.

Fortunately, the U.S. Federal Reserve (the "Fed") and other monetary authorities worldwide leapt into action — slashing interest rates, (re)starting quantitative easing and, in the case of the Fed, launching an array of programs to provide liquidity to stabilize fixed-income markets.

The U.S. government also stepped up to provide $2 trillion of fiscal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act), which aims help toward corporations, small businesses, and individuals that have been affected by the abrupt economic stoppage.

All those steps ended the market's freefall, spurred a significant rally in equities, and helped tighten credit spreads across much of the fixed-income universe. In fact, by June 30, 2020, sentiment was nothing less than bullish and the broad market indexes had largely recovered losses from the first quarter. Through all this turmoil and volatility, the S&P 500^® Index managed to deliver an annual return of approximately 7.5% for the 12-month period ended June 30, 2020. Meanwhile, the yield on 10-year U.S. Treasuries declined 144 basis points, reflecting both the Fed intervention and the uncertainties, ending June 30 at approximately 0.66%.

Looking ahead, the economy and markets remain unpredictable. For equities, investors should expect continued bouts of elevated volatility, which will likely be driven by reports on the virus, a possible vaccine, and the economic data. On the whole, however, the tenor of the market is much improved from the depths of the crisis even as earnings estimates remain vague at best.

Credit markets, too, remain unpredictable, though they have stabilized markedly. A wide range of outcomes are conceivable over the next year, but continued monetary intervention and fiscal stimulus, coupled with a regional approach to economic shutdowns, may well prevent credit spreads from returning to the elevated levels of March.

3

Regardless, whatever is in store for markets, you can be certain that the investment philosophies and resolve of Victory Capital's various independent investment franchises remain steadfast. We believe that our collective investment talent and their actively managed portfolios will be able to manage risks and excel in an environment that often creates short-term pricing dislocations that benefit astute investors.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. If you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

4

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF

Portfolio Review
June 30, 2020 (Unaudited)

Portfolio Holdings:

As a Percentage of Total Investments

What were the market conditions during the year ended June 30, 2020?

Seems like eons ago, but just a year and a half ago, the U.S. Federal Reserve (the "Fed") had actually increased the Fed Funds rate to a range of 2.25%-2.50%. This turned out to be the highest the Fed Funds rate would go. The Fed began lowering rates, bringing Fed Funds rate down to a range of 2.00%-2.50%, in July 2019. The Fed also stopped shrinking its balance sheet, all in an effort to keep the economy humming, as the effects of the trade war with China were starting to be felt here in the United States. While real Gross Domestic Product ("GDP") was somewhat weak in the second quarter of 2019 at 1.50%, the rest of the year posted a respectable growth rate of 2.50%. However, the world was about to change in a way almost no one imagined.

Sometime in late 2019, reports were surfacing of a virus in Wuhan, China. The virus, a coronavirus that causes the disease known as COVID-19, started spreading rapidly in Wuhan, and was soon beginning to show up in other countries. Ultimately, COVID-19 became a pandemic, and many countries around the world, including the United States, began "locking down" their economies in an effort to contain the virus. In the United States, the lockdowns began in earnest in March, and significantly affected almost every area of the economy.

"Unprecedented" became an everyday word, as life in the United States became unlike anything we have ever seen. With many businesses being forced to temporarily close, many people were put out of work. Monthly payrolls, which had been growing at an average of roughly 216 thousand per month since August 2019, plummeted to a loss of 1.4 million jobs in March, and an unprecedented loss of 21 million jobs in April. The unemployment rate, which was at a record low of 3.5% in February, jumped to 14.7% in April. Real GDP fell 5% in the first quarter of 2020, and a record 32.9% in the second quarter, thus officially marking the economy as being in recession. Due to demand dropping precipitously from people not driving, coupled with a strong supply, the price of West Texas Intermediate ("WTI") crude oil actually went negative in April. This was due to investors in WTI futures contracts, which requires physical settlement, having to pay to not take delivery, forcing the price into unprecedented negative territory.

In response, federal and state governments stepped up stimulus efforts to help those out of work. Congress passed an unprecedented $1 trillion stimulus package, with unemployment benefits to temporarily supplement state payments, as well as grants/loans to businesses. The Fed significantly increased its balance sheet again, and in an unprecedented move, increased the types of bonds it can buy to include corporate bonds.

Although U.S. Treasury rates had already begun to fall by August 2019, in response to worries over the trade war with China and the economy beginning to slow, the unprecedented

5

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF (continued)

worldwide economic shutdown drove rates much lower, as investors bought U.S. Treasuries in a flight to quality. Given the Fed moving the Fed Funds rate to effectively zero and the economy only slowly beginning to reopen, U.S. Treasury rates remain at their lows. Although rates were already low, year-over-year decreases were dramatic. The two-year U.S. Treasury yield dropped 161 basis points, while 10-year and 30-year U.S. Treasury yields dropped 135 and 112 basis points, respectively.

Given the pandemic, credit spreads (yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity) significantly increased. Although they did not increase as much as in 2008, they increased much more rapidly. From a relatively low level in mid-February, spreads peaked in late March; a very rapid increase. AAA, AA, A and BBB spreads widened by 12, 26, 28, and 47 basis points, respectively. High-yield spreads widened by 249 basis points. (Spreads are generally considered an indication of risk; the wider the spread, the greater the perceived risk.) Although spreads have continued to fall, they remain higher than pre-COVID-19 levels.

How did VictoryShares USAA Core Short-Term Bond ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned 4.05%, slightly underperforming its benchmark, Bloomberg Barclays 1-3 Yr Credit Index (the "Index"), which returned 4.32% for the year ended June 30, 2020.

What strategies did you employ during the year ended June 30, 2020?

The Fund earned a positive total return during the reporting period, driven primarily by coupon income and the decline in U.S. Treasury yields, but underperformed the Index. Reflecting the portfolio's diversification, the Fund's results were spread among a variety of sectors. Within corporate bonds, the Fund benefited from investments in Metals & Mining, Integrated Energy, Midstream Energy, Consumer Non-Cyclical and Capital Goods. Certain other market segments weighed on relative performance, although they generally produced positive returns. These included Independent Exploration and Production, Airlines, Finance Companies, Asset-Backed Securities, and Commercial Mortgage-Backed Securities. In addition, the Fund's cash position was a drag on performance as bond prices rose during the reporting period. We continued to adhere to our disciplined investment approach, which is to maintain an attractive yield with an acceptable level of risk. From a credit risk perspective, investment-grade bonds outperformed for the period, with high yield bonds underperforming. From a credit perspective, investment-grade bonds contributed most to performance, while high-yield bonds dampened returns.

To identify attractive investment opportunities, we worked with our in-house team of credit analysts, continuing to build the portfolio bond-by-bond, through fundamental bottom-up analysis. We seek ideas where our fundamental understanding of the credit risk is different than the market. This approach, we believe, will generate total returns that may outperform our Lipper peers over the long run, with less volatility. Our credit analysts review all securities considered for purchase and assign their own independent credit rating. As always, they continuously monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.

6

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			Bloomberg Barclays 1-3 Yr Credit Index1
One Year		4.05	%		4.35	%		4.32	%
Three Year		N/A			N/A			N/A
Five Year		N/A			N/A			N/A
Ten Year		N/A			N/A			N/A
Since Inception		3.34	%		3.48	%		N/A

Expense Ratios

Gross	0.34	%
With Applicable Waivers	0.34	%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The Bloomberg Barclays 1-3 Yr Credit Index measures the performance of investment-grade corporate debt and sovereign, supranational, local authority, and non-U.S. agency bonds that have a remaining maturity of at least one year and less than three years. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

7

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF

Portfolio Review
June 30, 2020 (Unaudited)

Portfolio Holdings:

As a Percentage of Total Investments

What were the market conditions during the year ended June 30, 2020?

Seems like eons ago, but just a year and a half ago, the U.S. Federal Reserve (the "Fed") had actually increased the Fed Funds rate to a range of 2.25%-2.50%. This turned out to be the highest the Fed Funds rate would go. The Fed began lowering rates, bringing Fed Funds rate down to a range of 2.00%-2.50%, in July 2019. The Fed also stopped shrinking its balance sheet, all in an effort to keep the economy humming, as the effects of the trade war with China were starting to be felt here in the United States. While real Gross Domestic Product ("GDP") was somewhat weak in the second quarter of 2019 at 1.50%, the rest of the year posted a respectable growth rate of 2.50%. However, the world was about to change in a way almost no one imagined.

Sometime in late 2019, reports were surfacing of a virus in Wuhan, China. The virus, a coronavirus that causes the disease known as COVID-19, started spreading rapidly in Wuhan, and was soon beginning to show up in other countries. Ultimately, COVID-19 became a pandemic, and many countries around the world, including the United States, began "locking down" their economies in an effort to contain the virus. In the United States, the lockdowns began in earnest in March, and significantly affected almost every area of the economy.

"Unprecedented" became an everyday word, as life in the United States became unlike anything we have ever seen. With many businesses being forced to temporarily close, many people were put out of work. Monthly payrolls, which had been growing at an average of roughly 216 thousand per month since August 2019, plummeted to a loss of 1.4 million jobs in March, and an unprecedented loss of 21 million jobs in April. The unemployment rate, which was at a record low of 3.5% in February, jumped to 14.7% in April. Real GDP fell 5% in the first quarter of 2020, and a record 32.9% in the second quarter, thus officially marking the economy as being in recession. Due to demand dropping precipitously from people not driving, coupled with a strong supply, the price of West Texas Intermediate ("WTI") crude oil actually went negative in April. This was due to investors in WTI futures contracts, which requires physical settlement, having to pay to not take delivery, forcing the price into unprecedented negative territory.

In response, federal and state governments stepped up stimulus efforts to help those out of work. Congress passed an unprecedented $1 trillion stimulus package, with unemployment benefits to temporarily supplement state payments, as well as grants/loans to businesses. The Fed significantly increased its balance sheet again, and in an unprecedented move, increased the types of bonds it can buy to include corporate bonds.

Although U.S. Treasury rates had already begun to fall by August 2019, in response to worries over the trade war with China and the economy beginning to slow, the unprecedented

8

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF (continued)

worldwide economic shutdown drove rates much lower, as investors bought U.S. Treasuries in a flight to quality. Given the Fed moving the Fed Funds rate to effectively zero and the economy only slowly beginning to reopen, U.S. Treasury rates remain at their lows. Although rates were already low, year-over-year decreases were dramatic. The two-year U.S. Treasury yield dropped 161 basis points, while 10-year and 30-year U.S. Treasury yields dropped 135 and 112 basis points, respectively.

Given the pandemic, credit spreads (yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity) significantly increased. Although they did not increase as much as in 2008, they increased much more rapidly. From a relatively low level in mid-February, spreads peaked in late March; a very rapid increase. AAA, AA, A and BBB spreads widened by 12, 26, 28, and 47 basis points, respectively. High-yield spreads widened by 249 basis points. (Spreads are generally considered an indication of risk; the wider the spread, the greater the perceived risk.) Although spreads have continued to fall, they remain higher than pre-COVID-19 levels.

How did VictoryShares USAA Core Intermediate-Term Bond ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned 7.69%, underperforming its benchmark, Bloomberg Barclays U.S. Aggregate Bond Index (the "Index"), which returned 8.74% for the year ended June 30, 2020.

What strategies did you employ during the year ended June 30, 2020?

The Fund produced a positive total return but underperformed the Index, as bond prices appreciated during the reporting period and spreads widened. Relative to the Index, the Fund was helped by its allocation to, and security selection within, corporate bonds. The Fund benefited from overweight positions in financial sectors such as Banking and Insurance. The Fund also benefited from its allocations to, and security selection within, Midstream Energy, Metals & Mining, Food & Beverage, Utilities and Manufacturing. The Fund's holdings of Agency Commercial Mortgage-Backed Securities and Asset-Backed Securities also added to performance. An underweight in U.S. Treasury securities, which generated greater returns than the Index, hindered relative performance. We were also underweight Agency Residential Mortgage-Backed Securities, which detracted from performance. From a credit risk perspective, investment-grade bonds outperformed for the period, with high-yield bonds underperforming. For the Fund, investment-grade bonds contributed most to performance, while high-yield bonds dampened overall returns.

In keeping with our investment process, we continued to build the portfolio bond-by-bond. We work with our team of analysts to seek ideas where our fundamental understanding of the credit risk is different than that of the market. During the year, we found a number of attractive opportunities as we continued to seek relative values across the fixed income market. We took advantage of periods of volatility to add or reduce select investments in Corporate Credit, Commercial Mortgage-Backed Securities, Asset-Backed Securities and Taxable Municipals.

Our analysts continued to analyze and monitor every holding in the portfolio. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers.

9

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			Bloomberg Barclays US Aggregate Bond Index1
One Year		7.69	%		7.95	%		8.74	%
Three Year		N/A			N/A			N/A
Five Year		N/A			N/A			N/A
Ten Year		N/A			N/A			N/A
Since Inception		5.70	%		5.83	%		N/A

Expense Ratios

Gross	0.38	%
With Applicable Waivers	0.38	%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The Bloomberg Barclays US Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. This includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and collateralized mortgage-backed securities. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

10

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments
June 30, 2020

Security Description	Principal Amount		Value
Asset-Backed Securities (12.0%)
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 1/18/22 @ 100	$	820,000	$	840,044
AmeriCredit Automobile Receivables Trust, Series 2017-4, Class C, 2.60%, 9/18/23, Callable 5/18/22 @ 100		500,000		510,728
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 2/15/22 @ 100 (a)		500,000		510,371
Bank of The West Auto Trust, Series 2018-1, Class C, 3.98%, 5/15/24, Callable 4/15/22 @ 100 (a)		400,000		411,284
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 1/19/22 @ 100 (a)		500,000		517,687
CARS LP, Series 2020-1A, Class A1, 2.69%, 2/15/50 (a)		640,573		644,476
Centre Point Funding LLC, Series 2012-2A, Class 1, 2.61%, 8/20/21 (a)		1,871		1,869
CNH Equipment Trust, Series 2017-B, Class B, 2.47%, 12/16/24, Callable 10/15/21 @ 100		500,000		504,933
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class B, 3.60%, 4/15/27, Callable 6/15/21 @ 100 (a)		500,000		510,616
Drive Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26, Callable 2/15/24 @ 100		750,000		756,462
Drive Auto Receivables Trust, Series 2018-4, Class C, 3.66%, 11/15/24, Callable 9/15/22 @ 100		423,808		428,439
Evergreen Credit Card Trust, Series 2019-2, Class B, 2.27%, 9/15/24 (a)		750,000		754,175
Exeter Automobile Receivables Trust, Series 2018-3A, Class B, 3.46%, 10/17/22, Callable 11/15/22 @ 100 (a)		122,221		122,508
GM Financial Automobile Leasing Trust, Series 2020-1, Class B, 1.84%, 12/20/23, Callable 9/20/22 @ 100		489,000		494,742
GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A3, 3.02%, 5/16/23, Callable 5/16/22 @ 100		441,052		450,183
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A4, 2.83%, 6/17/24, Callable 11/15/21 @ 100 (a)		500,000		509,239
Kubota Credit Owner Trust, Series 2020-1A, Class A2, 1.92%, 12/15/22, Callable 10/15/23 @ 100 (a)		1,000,000		1,011,289
MMAF Equipment Finance LLC, Series 2016-A, Class A4, 1.76%, 1/17/23, Callable 7/15/25 @ 100 (a)		65,737		66,096
OSCAR US Funding Trust LLC, Series 2017-1A, Class A4, 3.30%, 5/10/24 (a)		437,690		442,966
PSNH Funding LLC, Series 2018-1, Class A1, 3.09%, 2/1/26		343,288		356,663
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25, Callable 4/15/23 @ 100		750,000		756,213
Santander Drive Auto Receivables Trust, Series 2018-5, Class B, 3.52%, 12/15/22, Callable 8/15/22 @ 100		125,175		125,549
SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23, Callable 7/20/20 @ 100 (a)		75,333		75,528
SCF Equipment Leasing LLC, Series 2017-1, Class A, 3.77%, 1/20/23, Callable 11/20/20 @ 100 (a)		191,590		192,846
SCF Equipment Leasing LLC, Series 2019-2A, Class A2, 2.47%, 4/20/26, Callable 3/20/25 @ 100 (a)		750,000		747,599

See notes to financial statements.

11

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Synchrony Card Issuance Trust, Series 2018-A1, Class A, 3.38%, 9/15/24	$	370,000	$	380,839
Westlake Automobile Receivables Trust, Series 2019-2A, Class C, 2.84%, 7/15/24, Callable 12/15/22 @ 100 (a)		500,000		505,564
Total Asset-Backed Securities (Cost $12,466,339)				12,628,908
Collateralized Mortgage Obligations (5.5%)
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class B, 4.38%, 1/10/36 (a)		500,000		527,420
FREMF Mortgage Trust, Series 2011-K12, Class B, 4.49%, 1/25/46 (a) (b)		500,000		506,382
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A5, 3.14%, 12/15/47		981,542		1,019,404
Madison Park Funding Ltd., Series 2013-11A, Class AR, 2.20% (LIBOR03M+116bps), 7/23/29, Callable 7/23/20 @ 100 (a) (c)		500,000		489,350
Oaktree EIF Ltd., Series 2016-IIIA, Class B, 3.14% (LIBOR03M+200bps), 10/20/27, Callable 7/20/20 @ 100 (a) (c)		500,000		490,050
Palmer Square Loan Funding Ltd., Series 2020-1A, Class A1, 1.18% (LIBOR03M+80bps), 2/20/28, Callable 2/20/21 @ 100 (a) (c)		492,083		485,531
Palmer Square Loan Funding Ltd., Series 2018-2A, Class A1, 1.87% (LIBOR03M+65bps), 7/15/26, Callable 7/15/20 @ 100 (a) (c)		224,875		221,209
Palmer Square Loan Funding Ltd., Series 2018-2A, Class A2, 2.27% (LIBOR03M+105bps), 7/15/26, Callable 7/15/20 @ 100 (a) (c)		500,000		482,150
WFRBS Commercial Mortgage Trust, Series 2012-C9, Class ASB, 2.45%, 11/15/45		292,504		295,673
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AS, 4.09%, 6/15/45 (b)		225,017		231,316
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44		981,484		999,264
Total Collateralized Mortgage Obligations (Cost $5,765,853)				5,747,749
Corporate Bonds (60.8%)
Communication Services (0.7%):
Pearson Funding Four PLC, 3.75%, 5/8/22 (a) (d)		750,000		775,229
Sprint Spectrum, 3.36%, 3/20/23 (a)		125,000		126,706
				901,935
Consumer Discretionary (9.6%):
Association of American Medical Colleges, 2.12%, 10/1/24		750,000		753,706
Booking Holdings, Inc., 4.10%, 4/13/25, Callable 3/13/25 @ 100		750,000		841,958
Carnival Corp., 3.95%, 10/15/20 (d)		500,000		493,210
Expedia Group, Inc., 6.25%, 5/1/25, Callable 2/1/25 @ 100 (a)		1,000,000		1,062,400
General Motors Co., 1.27% (LIBOR03M+80bps), 8/7/20 (c)		500,000		499,595
Howard University 2.64%, 10/1/21		500,000		510,070
2.74%, 10/1/22		500,000		517,615
International Game Technology PLC, 6.25%, 2/15/22, Callable 8/15/21 @ 100 (a)		431,000		435,293
Lennar Corp., 2.95%, 11/29/20, Callable 9/29/20 @ 100		300,000		300,243
Macys Retail Holdings, Inc., 3.45%, 1/15/21, Callable 12/15/20 @ 100 (d)		999,000		959,659

See notes to financial statements.

12

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Marriott International, Inc., 3.38%, 10/15/20, Callable 7/30/20 @ 100	$	500,000	$	500,465
Meritage Homes Corp., 7.00%, 4/1/22		733,000		776,056
Newell Brands, Inc., 3.65%, 4/1/21, Callable 3/1/21 @ 100 (e)		750,000		749,565
Nissan Motor Acceptance Corp., 2.15%, 7/13/20 (a)		500,000		499,785
QVC, Inc., 4.38%, 3/15/23		500,000		500,775
Toll Brothers Finance Corp., 5.88%, 2/15/22, Callable 11/15/21 @ 100		544,000		566,375
				9,966,770
Consumer Staples (3.5%):
Alimentation Couche-Tard, Inc., 2.70%, 7/26/22, Callable 6/26/22 @ 100 (a)		500,000		512,765
Altria Group, Inc., 4.75%, 5/5/21		500,000		517,980
Avon International Capital PLC, 6.50%, 8/15/22, Callable 8/6/20 @ 103.94 (a)		500,000		494,635
Reckitt Benckiser Treasury Services PLC, 2.38%, 6/24/22, Callable 5/24/22 @ 100 (a)		400,000		411,768
Unilever Capital Corp., 2.60%, 5/5/24, Callable 3/5/24 @ 100		750,000		801,720
Walmart, Inc., 3.55%, 6/26/25, Callable 4/26/25 @ 100		750,000		849,443
				3,588,311
Energy (8.1%):
Apache Corp., 3.63%, 2/1/21, Callable 11/1/20 @ 100		750,000		739,575
Buckeye Partners LP, 4.88%, 2/1/21, Callable 11/1/20 @ 100		500,000		496,005
EQM Midstream Partners LP 4.75%, 7/15/23, Callable 6/15/23 @ 100		400,000		403,048
4.00%, 8/1/24, Callable 5/1/24 @ 100		250,000		236,988
Exxon Mobil Corp., 2.99%, 3/19/25, Callable 2/19/25 @ 100		750,000		814,725
Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100		1,000,000		1,077,869
Midwest Connector Capital Co. LLC, 3.63%, 4/1/22, Callable 3/1/22 @ 100 (a)		500,000		512,295
MPLX LP, 3.50%, 12/1/22, Callable 11/1/22 @ 100		271,000		282,230
NuStar Logistics LP, 4.80%, 9/1/20		500,000		499,295
Occidental Petroleum Corp., 2.70%, 8/15/22		750,000		698,273
Texas Eastern Transmission LP, 4.13%, 12/1/20, Callable 9/1/20 @ 100 (a)		1,000,000		1,004,740
USX Corp., 8.13%, 7/15/23		400,000		443,896
Valero Energy Corp., 2.70%, 4/15/23		698,000		724,384
Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100		632,000		601,120
				8,534,443
Financials (17.6%):
Ares Capital Corp., 3.25%, 7/15/25, Callable 6/15/25 @ 100		750,000		728,003
Associated Bank NA, 3.50%, 8/13/21, Callable 7/13/21 @ 100		500,000		510,110
Assurant, Inc., 1.53% (LIBOR03M+125bps), 3/26/21, Callable 7/22/20 @ 100 (c)		66,000		65,875
Athene Global Funding, 2.80%, 5/26/23 (a)		750,000		765,007
BBVA Bancomer SA, 6.50%, 3/10/21 (a)		250,000		256,613
Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (c)		500,000		418,870

See notes to financial statements.

13

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Citigroup, Inc., 3.14% (LIBOR03M+72bps), 1/24/23, Callable 1/24/22 @ 100 (c)	$	400,000	$	413,752
DAE Funding LLC, 4.00%, 8/1/20 (a)		750,000		745,215
First Citizens Bancshare, Inc., 3.37% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (c)		806,000		787,736
First Horizon National Corp., 3.55%, 5/26/23, Callable 4/26/23 @ 100		750,000		772,268
Flagstar Bancorp, Inc., 6.13%, 7/15/21, Callable 6/15/21 @ 100		500,000		500,140
FNB Corp., 2.20%, 2/24/23, Callable 1/24/23 @ 100		476,000		471,735
Ford Motor Credit Co. LLC, 3.20%, 1/15/21		500,000		493,110
Fulton Financial Corp., 3.25% (SOFR+230bps), 3/15/30, Callable 3/15/25 @ 100 (c)		1,000,000		980,539
HSBC Finance Corp., 6.68%, 1/15/21		500,000		513,300
Infinity Property & Casualty Corp., 5.00%, 9/19/22		500,000		529,405
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.88%, 8/1/21, Callable 8/6/20 @ 100 (a)		885,000		876,230
Main Street Capital Corp., 5.20%, 5/1/24		500,000		512,725
ORIX Corp., 2.95%, 7/23/20, MTN		400,000		400,372
Park Aerospace Holdings Ltd., 3.63%, 3/15/21, Callable 2/15/21 @ 100 (a)		500,000		479,860
Primerica, Inc., 4.75%, 7/15/22		400,000		423,748
Protective Life Global Funding, 3.10%, 4/15/24 (a)		500,000		538,410
Reliance Standard Life Global Funding II, 2.75%, 5/7/25 (a)		750,000		764,018
Santander Holdings USA, Inc. 3.40%, 1/18/23, Callable 12/18/22 @ 100		250,000		260,593
3.45%, 6/2/25, Callable 5/2/25 @ 100		314,000		327,213
Santander UK Group Holdings PLC, 3.37% (LIBOR03M+108bps), 1/5/24, Callable 1/5/23 @ 100 (c)		250,000		262,173
Silversea Cruise Finance Ltd., 7.25%, 2/1/25, Callable 7/17/20 @ 105.44 (a)		750,000		706,853
Synovus Bank, 2.29% (SOFR+95bps), 2/10/23, Callable 2/10/22 @ 100 (c)		358,000		360,979
TCF National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (c)		750,000		776,250
TIAA FSB Holdings, Inc., 6.00% (LIBOR03M+470bps), 3/15/26, Callable 3/15/21 @ 100 (c)		750,000		733,905
Truist Bank, 1.25%, 3/9/23, Callable 2/9/23 @ 100		1,000,000		1,014,329
US Bank NA, 2.85%, 1/23/23, Callable 12/23/22 @ 100		500,000		528,450
Zions Bancorp NA, 3.35%, 3/4/22, Callable 2/4/22 @ 100		500,000		515,325
				18,433,111
Health Care (1.7%):
Centene Corp., 4.75%, 1/15/25, Callable 8/6/20 @ 103.56		70,000		71,587
Fresenius Medical Care U.S. Finance, Inc., 5.75%, 2/15/21 (a)		750,000		770,880
Perrigo Finance Unlimited Co., 3.50%, 3/15/21		432,000		440,009
SSM Health Care Corp., 3.69%, 6/1/23, Callable 3/1/23 @ 100		500,000		536,800
				1,819,276
Industrials (10.2%):
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.63%, 10/30/20		500,000		502,175
Air Lease Corp. 2.50%, 3/1/21		263,000		262,958
3.50%, 1/15/22		500,000		503,679
2.25%, 1/15/23		250,000		246,783

See notes to financial statements.

14

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100	$	500,000	$	456,550
Carrier Global Corp., 1.92%, 2/15/23, Callable 1/15/23 @ 100 (a)		750,000		764,723
CK Hutchison International Ltd., 2.75%, 3/29/23 (a)		750,000		776,017
Delta Air Lines Pass Through Trust, 2.00%, 12/10/29		1,000,000		953,660
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		475,000		487,782
Howmet Aerospace, Inc., 6.88%, 5/1/25, Callable 4/1/25 @ 100		1,000,000		1,085,060
PACCAR Financial Corp., 2.65%, 4/6/23, MTN		750,000		791,467
Ryder System, Inc., 2.25%, 9/1/21, MTN, Callable 8/1/21 @ 100		500,000		506,690
Smiths Group PLC, 3.63%, 10/12/22 (a)		500,000		514,270
Southwest Airlines Co. 2.65%, 11/5/20, Callable 10/5/20 @ 100		500,000		501,180
4.75%, 5/4/23		500,000		513,620
5.25%, 5/4/25, Callable 4/4/25 @ 100		750,000		789,818
United Airlines Holdings, Inc., 6.00%, 12/1/20 (d)		500,000		497,080
Wabtec Corp., 1.61% (LIBOR03M+105bps), 9/15/21 (c)		500,000		500,000
Westinghouse Air Brake Technologies Corp., 3.20%, 6/15/25, Callable 5/15/25 @ 100		42,000		42,798
				10,696,310
Information Technology (3.2%):
Broadcom, Inc., 3.13%, 4/15/21 (a)		500,000		508,240
Leidos Holdings, Inc., 4.45%, 12/1/20, Callable 9/1/20 @ 100		750,000		751,935
Leidos, Inc., 2.95%, 5/15/23, Callable 4/15/23 @ 100 (a)		698,000		732,719
Marble II Pte Ltd., 5.30%, 6/20/22, Callable 6/20/21 @ 100		200,000		198,436
Microchip Technology, Inc., 3.92%, 6/1/21		600,000		611,598
Oracle Corp., 2.50%, 4/1/25, Callable 3/1/25 @ 100		500,000		536,025
				3,338,953
Materials (0.9%):
Methanex Corp., 5.25%, 3/1/22		500,000		495,775
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		400,000		428,076
				923,851
Real Estate (2.7%):
Boston Properties LP, 4.13%, 5/15/21, Callable 2/15/21 @ 100		750,000		764,632
SBA Tower Trust, 2.84%, 1/15/25 (a)		750,000		749,670
Scentre Group Trust 1/Scentre Group Trust 2, 2.38%, 4/28/21, Callable 3/29/21 @ 100 (a)		500,000		502,095
Senior Housing Properties Trust, 6.75%, 12/15/21, Callable 6/15/21 @ 100		500,000		504,500
VICI Properties LP/VICI Note Co., Inc., 3.50%, 2/15/25, Callable 2/15/22 @ 101.75 (a)		364,000		342,353
				2,863,250
Utilities (2.6%):
Dominion Energy, Inc. 2.58%, 7/1/20 (e)		660,000		660,000
2.72%, 8/15/21 (e) (f)		500,000		510,455
National Fuel Gas Co., 4.90%, 12/1/21, Callable 9/1/21 @ 100		500,000		514,235

See notes to financial statements.

15

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June 30, 2020

Security Description	Principal Amount		Value
Public Service Electric & Gas Co., 3.25%, 9/1/23, MTN, Callable 8/1/23 @ 100	$	500,000	$	540,340
Sierra Pacific Power Co., 3.38%, 8/15/23, Callable 5/15/23 @ 100 (d)		500,000		538,450
				2,763,480
Total Corporate Bonds (Cost $63,120,646)				63,829,690
Municipal Bonds (18.2%)
California (2.2%):
City of Montebello Revenue (INS — Assured Guaranty Corp.), 1.94%, 6/1/21		1,000,000		1,004,369
County of Riverside Revenue, 2.17%, 2/15/21		1,000,000		1,004,230
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 2.63%, 8/1/22		250,000		259,318
				2,267,917
Colorado (2.8%):
City of Loveland Electric & Communications Enterprise Revenue, 2.85%, 12/1/23		600,000		632,292
Colorado Health Facilities Authority Revenue, Series B, 2.24%, 11/1/22		750,000		754,883
Denver City & County Housing Authority Revenue, 2.15%, 12/1/24		750,000		787,598
Park Creek Metropolitan District Revenue, Series B, 2.43%, 12/1/23		700,000		724,094
				2,898,867
Indiana (1.0%):
Indiana Finance Authority Revenue, 2.48%, 3/1/24		1,000,000		1,023,329
Maryland (0.5%):
County of Howard, GO, Series C, 1.34%, 8/15/23		500,000		502,965
Massachusetts (0.5%):
Massachusetts Development Finance Agency Revenue, Series B, 3.52%, 7/1/20		500,000		500,010
Michigan (1.9%):
Ecorse Public School District, GO, 2.00%, 5/1/24		750,000		771,375
Michigan Finance Authority Revenue 2.21%, 12/1/23		185,000		188,768
2.31%, 12/1/24		105,000		107,880
2.37%, 9/1/49, Callable 3/1/23 @ 100 (e)		446,000		462,569
Ypsilanti School District, GO, 1.89%, 5/1/24		510,000		524,892
				2,055,484
Nebraska (0.7%):
Papio-Missouri River Natural Resource District Special Tax, 2.09%, 12/15/24, Continuously Callable @100		700,000		722,477

See notes to financial statements.

16

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June 30, 2020

Security Description	Principal Amount		Value
New Jersey (0.7%):
New Jersey Educational Facilities Authority Revenue, 2.47%, 9/1/21	$	300,000	$	301,623
South Jersey Transportation Authority System Revenue, Series B, 3.02%, 11/1/25		425,000		430,083
				731,706
New York (1.0%):
Madison County Capital Resource Corp. Revenue, 2.18%, 7/1/23		500,000		513,065
New York State Dormitory Authority Revenue, Series B, 3.18%, 3/15/22		500,000		520,630
				1,033,695
Ohio (0.3%):
Hamilton County Health Care Facilities Revenue, 2.37%, 6/1/22		325,000		324,129
Pennsylvania (1.0%):
School District of Scranton, GO (INS — Build America Mutual Assurance Co.), 2.46%, 4/1/22		500,000		510,010
State Public School Building Authority Revenue, 2.75%, 4/1/25		500,000		503,285
				1,013,295
Rhode Island (0.5%):
Rhode Island Commerce Corp. Revenue, 2.86%, 5/1/24		500,000		532,035
Texas (4.6%):
Central Texas Turnpike System Revenue, Series B, 1.98%, 8/15/42 (e)		1,000,000		994,590
City of Houston, GO 2.62%, 3/1/21		150,000		151,319
2.77%, 3/1/22		150,000		153,630
Dallas-Fort Worth International Airport Revenue, 2.04%, 11/1/24		750,000		770,700
Harris County Cultural Education Facilities Finance Corp. Revenue, Series B, 2.30%, 5/15/24		600,000		623,778
Lubbock Texas Water & Wastewater System Revenue, Series B, 1.93%, 2/15/24		750,000		772,328
Port of Port Arthur Navigation District Revenue, Series B, 0.23%, 4/1/40, Continuously Callable @100 (e)		500,000		500,000
State of Texas, GO, 3.11%, 10/1/23		500,000		539,745
Texas A&M University Revenue, Series A, 2.95%, 5/15/23		500,000		532,305
				5,038,395
Wisconsin (0.5%):
Public Finance Authority Revenue (LOC — Citizens Financial Group), 3.75%, 2/1/22, Continuously Callable @100		500,000		500,425
Total Municipal Bonds (Cost $18,696,000)				19,144,729
U.S. Treasury Obligations (0.5%)
U.S. Treasury Notes, 1.13%, 7/31/21		470,000		474,829
Total U.S. Treasury Obligations (Cost $461,799)				474,829

See notes to financial statements.

17

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June 30, 2020

Security Description	Shares or Principal Amount		Value
Commercial Papers (1.4%)
Energy Transfer LP, 2.69%, 7/1/20 (g)	$	1,000,000	$	999,926
Nissan Motor Acceptance Corp., 3.67%, 11/4/20 (g)		500,000		493,609
Total Commercial Papers (Cost $1,488,188)				1,493,535
Collateral for Securities Loaned^ (2.0%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (h)		35,543		35,543
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (h)		1,075,734		1,075,734
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (h)		247,165		247,165
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (h)		141,435		141,435
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (h)		635,919		635,919
Total Collateral for Securities Loaned (Cost $2,135,796)				2,135,796
Total Investments (Cost $104,134,621) — 100.4%				105,455,236
Liabilities in excess of other assets — (0.4)%				(454,918	)
NET ASSETS — 100.00%			$	105,000,318

^  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 June 30, 2020, the fair value of these securities was $27,342,776 and amounted to 26.0% of net assets.

(b)  The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2020.

(c)  Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2020.

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

(e)  Variable Rate Demand Notes that provide the rights to sell the security at face value on either that day or within the rate-reset period. The interest rate is reset on the put date at a stipulated daily, weekly, monthly, quarterly, or other specified time interval to reflect current market conditions. These securities do not indicate a reference rate and spread in their description.

(f)  Stepped-coupon security converts to coupon form on 08/15/21 with a rate of 2.715%.

(g)  Rate represents the effective yield at June 30, 2020.

(h)  Rate disclosed is the daily yield on June 30, 2020.

bps — Basis points

GO — General Obligation

LIBOR — London InterBank Offered Rate

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2020, based on the last reset date of the security

LLC — Limited Liability Company

LP — Limited Partnership

See notes to financial statements.

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June 30, 2020

MTN — Medium Term Note

PLC — Public Limited Company

SOFR — Secured Overnight Financing Rate

Credit Enhancements — Adds the financial strength of the provider of the enhancement to support the issuer's ability to repay the principal and interest payments when due. The enhancement may be provided by a high-quality bank, insurance company or other corporation, or a collateral trust. The enhancements do not guarantee the market values of the securities.

  INS  Principal and interest payments are insured by the name listed. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that value may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations.

  LOC  Principal and interest payments are guaranteed by a bank letter of credit or other bank credit agreement.

See notes to financial statements.

19

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June 30, 2020

Security Description	Principal Amount		Value
Asset-Backed Securities (7.0%)
American Express Credit Account Master Trust, Series 2019-2, Class B, 2.86%, 11/15/24	$	2,076,000	$	2,132,581
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 1/18/22 @ 100		1,000,000		1,024,444
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 8/15/28, Callable 10/15/22 @ 100 (a)		900,000		908,684
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class B, 3.55%, 9/22/25 (a)		500,000		503,525
Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class B, 3.36%, 11/20/22 (a)		1,250,000		1,237,654
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 2/15/22 @ 100 (a)		500,000		510,371
BCC Funding Corp.XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24, Callable 6/20/23 @ 100 (a)		1,000,000		1,001,307
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 5/19/22 @ 100 (a)		500,000		517,687
Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class A4, 1.89%, 3/19/25, Callable 10/19/23 @ 100 (a)		433,000		433,273
CarMax Auto Owner Trust, Series 2020-1, Class B, 2.21%, 9/15/25, Callable 11/15/23 @ 100		1,275,000		1,312,307
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.39%, 4/16/29, Callable 1/15/24 @ 100 (a)		823,000		827,182
Dell Equipment Finance Trust, Series 2020-1, Class A3, 2.24%, 2/22/23, Callable 9/22/22 @ 100 (a)		687,500		702,663
Enterprise Fleet Financing LLC, Series 2020-1, Class A3, 1.86%, 12/22/25 (a)		820,000		821,523
Exeter Automobile Receivables Trust, Series 2019-1A, Class C, 3.82%, 12/16/24, Callable 1/15/23 @ 100 (a)		1,000,000		1,021,627
Exeter Automobile Receivables Trust, Series 2017-3A, Class D, 5.28%, 10/15/24, Callable 3/15/22 @ 100 (a)		500,000		509,174
Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.26%, 4/15/24, Callable 12/15/23 @ 100 (a)		513,000		519,067
ExteNet LLC, Series 2019-1A, Class A2, 3.20%, 7/26/49, Callable 1/25/23 @ 100 (a)		500,000		501,584
Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31, Callable 2/15/25 @ 100 (a)		1,500,000		1,478,106
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A4, 1.90%, 3/17/25, Callable 2/16/23 @ 100		1,000,000		1,036,942
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 8/18/25, Callable 7/16/23 @ 100		750,000		775,590
Hertz Vehicle Financing LP, Series 2019-3A, Class A, 2.67%, 12/26/25 (a)		718,708		711,985
HPEFS Equipment Trust, Series 2020-1A, Class B, 1.89%, 2/20/30, Callable 2/20/23 @ 100 (a)		385,000		390,413
HPEFS Equipment Trust, Series 2019-1A, Class C, 2.49%, 9/20/29, Callable 7/20/22 @ 100 (a)		500,000		506,005
John Deere Owner Trust, Series 2020-A, Class A4, 1.21%, 11/16/26, Callable 11/15/23 @ 100		2,000,000		2,017,110

See notes to financial statements.

20

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June 30, 2020

Security Description	Principal Amount		Value
Kubota Credit Owner Trust, Series 2020-1A, Class A4, 2.26%, 7/15/26, Callable 10/15/23 @ 100 (a)	$	433,000	$	451,480
MMAF Equipment Finance LLC, Series 2017-B, Class A4, 2.41%, 11/15/24, Callable 3/15/28 @ 100 (a)		1,000,000		1,027,133
Navient Student Loan Trust, Series 2018-2A, Class B, 1.33% (LIBOR01M+115bps), 3/25/67, Callable 5/25/33 @ 100 (a) (b)		1,000,000		893,675
NP SPE LLC, Series 2019-1A, Class A2, 3.24%, 9/20/49 (a)		500,000		482,007
OSCAR US Funding Trust LLC, Series 2018-1A, Class A3, 3.23%, 5/10/22 (a)		297,384		299,867
PSNH Funding LLC, Series 2018-1, Class A3, 3.81%, 2/1/35		1,000,000		1,132,159
SCF Equipment Leasing LLC, Series 2019-1A, Class A2, 3.23%, 10/20/24, Callable 7/20/20 @ 100 (a)		550,000		553,594
SCF Equipment Leasing LLC, Series 2019-1A, Class B, 3.49%, 1/20/26, Callable 7/20/20 @ 100 (a)		500,000		507,376
SLM Student Loan Trust, Series 2007-1, Class B, 1.21% (LIBOR03M+22bps), 1/27/42, Callable 10/25/28 @ 100 (b)		379,928		338,549
SLM Student Loan Trust, Series 2006-10, Class B, 1.21% (LIBOR03M+22bps), 3/25/44, Callable 1/25/32 @ 100 (b)		241,240		204,234
Synchrony Credit Card Master Note Trust, Series 2018-2, Class A, 3.47%, 5/15/26		2,000,000		2,132,612
Transportation Finance Equipment Trust, Series 2019-1, Class A4, 1.88%, 3/25/24, Callable 9/23/23 @ 100 (a)		1,280,000		1,279,750
VB-S1 Issuer LLC, Series 2018-1A, Class C, 3.41%, 2/15/48, Callable 2/15/22 @ 100 (a)		500,000		510,857
Westlake Automobile Receivables Trust, Series 2018-2A, Class D, 4.00%, 1/16/24, Callable 12/15/21 @ 100 (a)		507,000		518,901
Total Asset-Backed Securities (Cost $31,405,735)				31,732,998
Collateralized Mortgage Obligations (2.5%)
Benchmark Mortgage Trust, Series 2020-B17, Class ASB, 2.18%, 3/15/53		1,000,000		1,031,832
BX Commercial Mortgage Trust, Series 2019-XL, Class B, 1.26% (LIBOR01M+108bps), 10/15/36 (a) (b)		245,538		241,245
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/9/41 (a)		923,077		961,857
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class AS, 3.79%, 9/15/50 (c)		500,000		552,362
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class AAB, 2.61%, 1/15/53		732,000		775,124
Citigroup Commercial Mortgage Trust, Series 2020-555, Class A, 2.65%, 12/10/41 (a)		2,000,000		2,053,054
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class C, 4.68%, 1/10/24 (a)		500,000		519,516
COMM Mortgage Trust, Series 2015-LC23, Class AM, 4.16%, 10/10/48 (c)		250,000		270,859
COMM Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49 (a) (c)		1,000,000		1,073,594

See notes to financial statements.

21

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June 30, 2020

Security Description	Principal Amount		Value
COMM Mortgage Trust, Series 2015-PC1, Class B, 4.58%, 7/10/50 (c)	$	865,000	$	890,489
DBJPM Mortgage Trust, Series 2016-SFC, Class A, 2.83%, 8/10/36 (a)		250,000		232,087
FREMF Mortgage Trust, Series 2019-K99, Class B, 3.77%, 9/25/29 (a) (c)		1,000,000		1,093,397
GS Mortgage Securities Trust, Series 2020-GC45, Class AAB, 2.84%, 2/13/53		357,000		383,432
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class C, 5.82%, 11/15/43 (a) (c)		813,000		817,319
Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A, 4.19%, 7/17/36 (a) (c)		250,000		270,637
Total Collateralized Mortgage Obligations (Cost $11,082,218)				11,166,804
Corporate Bonds (48.8%)
Communication Services (2.6%):
AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100		1,500,000		1,747,470
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a)		1,000,000		1,088,670
Charter Communications Operating LLC/Charter Communications Operating Capital 4.50%, 2/1/24, Callable 1/1/24 @ 100		500,000		553,110
3.75%, 2/15/28, Callable 11/15/27 @ 100		500,000		545,090
Comcast Corp., 3.55%, 5/1/28, Callable 2/1/28 @ 100		750,000		859,163
CSC Holdings LLC, 6.63%, 10/15/25, Callable 10/15/20 @ 103.31 (a)		500,000		519,375
Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100		1,000,000		1,201,040
Meredith Corp., 6.88%, 2/1/26, Callable 2/1/21 @ 103.44		500,000		417,880
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC, 4.74%, 9/20/29 (a)		500,000		541,505
The Walt Disney Co., 2.20%, 1/13/28		666,000		695,550
T-Mobile USA, Inc. 4.75%, 2/1/28, Callable 2/1/23 @ 102.38		643,000		679,214
3.88%, 4/15/30, Callable 1/15/30 @ 100 (a)		1,039,000		1,156,459
Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100		200,000		225,284
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,063,940
Vodafone Group PLC, 5.00%, 5/30/38		500,000		627,215
				11,920,965
Consumer Discretionary (2.2%):
AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100		600,000		651,384
AutoZone, Inc., 3.75%, 6/1/27, Callable 3/1/27 @ 100		500,000		560,830
Daimler Finance North America LLC 3.70%, 5/4/23 (a)		1,000,000		1,060,340
3.45%, 1/6/27 (a) (d)		1,000,000		1,057,800
D.R. Horton, Inc., 4.75%, 2/15/23, Callable 11/15/22 @ 100		500,000		539,965
eBay, Inc., 1.90%, 3/11/25, Callable 2/11/25 @ 100		1,500,000		1,548,525
General Motors Co., 6.80%, 10/1/27, Callable 8/1/27 @ 100		750,000		873,705
Hasbro, Inc., 3.55%, 11/19/26, Callable 9/19/26 @ 100		600,000		633,228
Murphy Oil USA, Inc., 4.75%, 9/15/29, Callable 9/15/24 @ 102.38		1,000,000		1,022,050
Newell Brands, Inc., 4.20%, 4/1/26, Callable 1/1/26 @ 100		500,000		524,400
O'Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100		500,000		589,970

See notes to financial statements.

22

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June 30, 2020

Security Description	Principal Amount		Value
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100	$	500,000	$	533,105
Volkswagen Group of America Finance LLC, 3.20%, 9/26/26, Callable 7/26/26 @ 100 (a)		1,000,000		1,068,890
				10,664,192
Consumer Staples (4.1%):
Alimentation Couche-Tard, Inc., 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a)		667,000		686,670
Altria Group, Inc., 3.40%, 5/6/30, Callable 2/6/30 @ 100		435,000		468,212
Anheuser-Busch InBev Worldwide, Inc. 3.65%, 2/1/26, Callable 11/1/25 @ 100		1,000,000		1,121,120
4.38%, 4/15/38, Callable 10/15/37 @ 100		500,000		566,605
5.45%, 1/23/39, Callable 7/23/38 @ 100		1,000,000		1,262,400
Bacardi Ltd. 4.45%, 5/15/25, Callable 3/15/25 @ 100 (a)		1,500,000		1,650,795
2.75%, 7/15/26, Callable 4/15/26 @ 100 (a) (d)		500,000		509,390
BAT Capital Corp., 4.39%, 8/15/37, Callable 2/15/37 @ 100		250,000		272,678
Becle SAB de CV, 3.75%, 5/13/25 (a)		1,000,000		1,051,320
Bunge Ltd. Finance Corp. 4.35%, 3/15/24, Callable 2/15/24 @ 100		500,000		546,060
3.25%, 8/15/26, Callable 5/15/26 @ 100		502,000		521,764
Constellation Brands, Inc., 3.50%, 5/9/27, Callable 2/9/27 @ 100		750,000		830,565
General Mills, Inc., 4.55%, 4/17/38, Callable 10/17/37 @ 100		1,000,000		1,251,879
Imperial Brands Finance PLC, 3.88%, 7/26/29, Callable 4/26/29 @ 100 (a)		1,000,000		1,058,570
Kraft Heinz Foods Co., 3.75%, 4/1/30, Callable 1/1/30 @ 100 (a)		1,000,000		1,032,700
Mars, Inc., 3.88%, 4/1/39, Callable 10/1/38 @ 100 (a)		1,000,000		1,202,480
McCormick & Co., Inc., 2.50%, 4/15/30, Callable 1/15/30 @ 100		375,000		393,983
Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100		375,000		404,599
PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100		2,000,000		2,229,300
Smithfield Foods, Inc., 5.20%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		541,340
Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100		391,000		491,342
The Kroger Co., 3.50%, 2/1/26, Callable 11/1/25 @ 100		500,000		565,505
				18,659,277
Energy (6.3%):
Aker BP ASA 6.00%, 7/1/22, Callable 8/6/20 @ 101.5 (a)		250,000		255,320
5.88%, 3/31/25, Callable 3/31/21 @ 102.94 (a)		500,000		508,050
Boardwalk Pipelines LP 4.45%, 7/15/27, Callable 4/15/27 @ 100		1,500,000		1,566,885
4.80%, 5/3/29, Callable 2/3/29 @ 100		500,000		526,215
Buckeye Partners LP, 4.13%, 12/1/27, Callable 9/1/27 @ 100		2,500,000		2,410,399
Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100 (a)		1,091,000		1,200,907
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP 3.30%, 5/1/23, Callable 4/1/23 @ 100 (a)		250,000		260,998
3.70%, 6/1/28, Callable 3/1/28 @ 100 (a)		250,000		265,140
Continental Resources, Inc., 4.50%, 4/15/23, Callable 1/15/23 @ 100		109,000		104,332
Enable Midstream Partners LP, 4.15%, 9/15/29, Callable 6/15/29 @ 100		1,000,000		870,460
Energy Transfer Operating LP 3.75%, 5/15/30, Callable 2/15/30 @ 100		1,000,000		993,470
3.70% (LIBOR03M+302bps), 11/1/66, Callable 8/6/20 @ 100 (b)		500,000		272,315

See notes to financial statements.

23

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
EnLink Midstream Partners LP, 4.85%, 7/15/26, Callable 4/15/26 @ 100	$	500,000	$	370,730
Enterprise Products Operating LLC, 2.80%, 1/31/30, Callable 10/31/29 @ 100		1,000,000		1,042,630
EOG Resources, Inc., 4.38%, 4/15/30, Callable 1/15/30 @ 100		231,000		275,373
EQM Midstream Partners LP, 4.75%, 7/15/23, Callable 6/15/23 @ 100		500,000		503,810
EQT Corp., 7.00%, 2/1/30, Callable 11/1/29 @ 100		514,000		529,214
Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100		1,500,000		1,607,205
Florida Gas Transmission Co. LLC, 2.55%, 7/1/30, Callable 4/1/30 @ 100 (a)		750,000		765,135
Marathon Petroleum Corp., 4.70%, 5/1/25, Callable 4/1/25 @ 100		469,000		525,036
Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		538,165
MPLX LP 4.25%, 12/1/27, Callable 9/1/27 @ 100		500,000		543,960
4.00%, 3/15/28, Callable 12/15/27 @ 100		750,000		792,795
4.80%, 2/15/29, Callable 11/15/28 @ 100		250,000		278,078
Murphy Oil Corp., 5.75%, 8/15/25, Callable 8/15/20 @ 104.31		500,000		449,745
Newfield Exploration Co., 5.38%, 1/1/26, Callable 10/1/25 @ 100		500,000		468,225
NuStar Logistics LP, 6.00%, 6/1/26, Callable 3/1/26 @ 100		500,000		480,730
Occidental Petroleum Corp. 3.50%, 8/15/29, Callable 5/15/29 @ 100		1,000,000		731,870
4.40%, 8/15/49, Callable 2/15/49 @ 100		500,000		345,145
ONEOK, Inc. 4.55%, 7/15/28, Callable 4/15/28 @ 100		500,000		524,420
4.35%, 3/15/29, Callable 12/15/28 @ 100		500,000		523,795
Petroleos Mexicanos, 6.50%, 3/13/27		2,000,000		1,819,639
Petronas Capital Ltd., 3.50%, 4/21/30, Callable 1/21/30 @ 100 (a)		50,000		55,390
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29, Callable 9/15/29 @ 100		1,000,000		970,310
Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100 (a)		2,000,000		1,863,500
Sabal Trail Transmission LLC, 4.25%, 5/1/28, Callable 2/1/28 @ 100 (a)		1,000,000		1,116,490
Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 (a)		187,000		207,390
Southwestern Energy Co., 7.75%, 10/1/27, Callable 10/1/22 @ 103.88		500,000		437,180
Transocean Guardian Ltd., 5.88%, 1/15/24, Callable 7/15/21 @ 102.94 (a)		417,500		362,695
Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100		421,000		400,430
Whiting Petroleum Corp., 6.63%, 1/15/26, Callable 10/15/25 @ 100 (e)		500,000		89,090
				27,852,666
Financials (15.5%):
ABN AMRO Bank NV, 4.80%, 4/18/26 (a)		500,000		559,010
Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100		1,250,000		1,357,262
American Equity Investment Life Holding Co., 5.00%, 6/15/27, Callable 3/15/27 @ 100		500,000		539,485
Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100		500,000		506,875
Athene Global Funding, 2.80%, 5/26/23 (a)		1,000,000		1,020,010
AXA Equitable Holdings, Inc., 4.35%, 4/20/28, Callable 1/20/28 @ 100		1,000,000		1,123,530
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 4/17/25 (a)		357,000		390,751
Banco Santander SA, 4.38%, 4/12/28		600,000		671,424
Bank of America Corp., 3.71% (LIBOR03M+151bps), 4/24/28, Callable 4/24/27 @ 100 (b)		1,000,000		1,130,979

See notes to financial statements.

24

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Bank of Montreal, 3.80% (USSW5+143bps), 12/15/32, Callable 12/15/27 @ 100 (b)	$	500,000	$	534,860
Barclays PLC 4.61% (LIBOR03M+140bps), 2/15/23, Callable 2/15/22 @ 100 (b)		1,000,000		1,052,740
3.93% (LIBOR03M+161bps), 5/7/25, Callable 5/7/24 @ 100 (b)		500,000		539,855
BB&T Corp., 4.25%, 9/30/24		750,000		837,720
BMW US Capital LLC, 3.75%, 4/12/28, Callable 1/12/28 @ 100 (a)		1,000,000		1,110,820
BNP Paribas SA, 4.70% (LIBOR03M+224bps), 1/10/25, Callable 1/10/24 @ 100 (a) (b)		1,000,000		1,106,600
BPCE SA 4.00%, 9/12/23 (a)		500,000		539,100
3.25%, 1/11/28 (a)		1,000,000		1,090,330
Capital One Financial Corp., 3.75%, 7/28/26, Callable 6/28/26 @ 100		1,000,000		1,097,530
CEMEX Finance LLC, 6.00%, 4/1/24, Callable 8/6/20 @ 102 (a) (d)		250,000		247,840
CIT Group, Inc., 5.25%, 3/7/25, Callable 12/7/24 @ 100		500,000		518,700
Citigroup, Inc., 4.13%, 7/25/28		1,000,000		1,130,730
Citizens Financial Group, Inc., 2.50%, 2/6/30, Callable 11/6/29 @ 100		2,000,000		2,024,159
CNO Financial Group, Inc., 5.25%, 5/30/29, Callable 2/28/29 @ 100		500,000		537,025
Co-operatieve Rabobank UA, 4.00% (USSW5+189bps), 4/10/29, MTN, Callable 4/10/24 @ 100 (b)		600,000		632,430
Credit Acceptance Corp., 6.63%, 3/15/26, Callable 3/15/22 @ 103.31		500,000		505,370
Credit Agricole SA, 3.25%, 10/4/24 (a)		1,250,000		1,342,813
Credit Suisse Group Funding Guernsey Ltd., 3.75%, 3/26/25		500,000		548,950
Diageo Capital PLC, 2.13%, 4/29/32, Callable 1/29/32 @ 100		500,000		518,255
Fairfax Financial Holdings Ltd., 4.85%, 4/17/28, Callable 1/17/28 @ 100		500,000		529,825
Fifth Third Bancorp, 3.95%, 3/14/28, Callable 2/14/28 @ 100		500,000		583,435
First Horizon Bank, 5.75%, 5/1/30, Callable 2/1/30 @ 100		500,000		525,240
Ford Motor Credit Co. LLC 4.54%, 8/1/26, Callable 6/1/26 @ 100		1,400,000		1,332,170
5.11%, 5/3/29, Callable 2/3/29 @ 100		500,000		488,015
FS KKR Capital Corp., 4.63%, 7/15/24, Callable 6/15/24 @ 100		1,000,000		996,670
Glencore Funding LLC 4.00%, 3/27/27, Callable 12/27/26 @ 100 (a)		500,000		534,575
4.88%, 3/12/29, Callable 12/12/28 @ 100 (a)		750,000		841,553
Global Atlantic Financial Co., 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a)		1,714,000		1,567,522
HSBC Holdings PLC 3.80% (LIBOR03M+121bps), 3/11/25, Callable 3/11/24 @ 100 (b)		500,000		539,895
2.91% (LIBOR03M+135bps), 9/12/26, Callable 9/12/25 @ 100 (b)		500,000		557,495
Hyundai Capital America 3.40%, 6/20/24 (a)		500,000		516,360
3.50%, 11/2/26, Callable 9/2/26 @ 100 (a)		1,000,000		1,022,720
ILFC E-Capital Trust I, 3.02%, 12/21/65, Callable 8/6/20 @ 100 (a) (e)		500,000		244,930
JPMorgan Chase & Co., 2.52% (SOFR+204bps), 4/22/31, Callable 4/22/30 @ 100 (b)		750,000		792,278
KeyBank NA 3.40%, 5/20/26, MTN		500,000		551,310
3.90%, 4/13/29		1,000,000		1,091,230
KeyCorp, 2.25%, 4/6/27, MTN		500,000		523,355
KKR Group Finance Co. LLC, 3.75%, 7/1/29, Callable 4/1/29 @ 100 (a)		500,000		573,610
Lincoln National Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100		500,000		554,265

See notes to financial statements.

25

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Lloyds Banking Group PLC 2.91% (LIBOR03M+81bps), 11/7/23, Callable 11/7/22 @ 100 (b)	$	250,000	$	259,775
3.57% (LIBOR03M+121bps), 11/7/28, Callable 11/7/27 @ 100 (b)		250,000		272,168
Main Street Capital Corp. 4.50%, 12/1/22		500,000		501,625
5.20%, 5/1/24		500,000		512,725
Mercury General Corp., 4.40%, 3/15/27, Callable 12/15/26 @ 100		1,000,000		1,054,180
National Australia Bank Ltd., 3.93%(H15T5Y+188bps), 8/2/34, Callable 8/2/29 @ 100 (a) (b)		1,500,000		1,632,555
Nationwide Building Society 3.62% (LIBOR03M+118bps), 4/26/23, Callable 4/26/22 @ 100 (a) (b)		1,000,000		1,039,969
4.36% (LIBOR03M+139bps), 8/1/24, Callable 8/1/23 @ 100 (a) (b)		750,000		811,410
4.30% (LIBOR03M+145bps), 3/8/29, Callable 3/8/28 @ 100 (a) (b)		250,000		283,413
3.96% (LIBOR03M+186bps), 7/18/30, Callable 7/18/29 @ 100 (a) (b)		500,000		560,060
New York Community Bancorp, Inc., 5.90% (LIBOR03M+278bps), 11/6/28, Callable 11/6/23 @ 100 (b)		250,000		244,255
Old Republic International Corp., 3.88%, 8/26/26, Callable 7/26/26 @ 100		500,000		534,550
Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100 (a)		1,000,000		1,118,250
PPL Capital Funding, Inc., 4.13%, 4/15/30, Callable 1/15/30 @ 100		1,000,000		1,139,770
Prudential Financial, Inc., 4.35%, 2/25/50, Callable 8/25/49 @ 100		500,000		597,760
Regions Financial Corp., 2.25%, 5/18/25, Callable 4/18/25 @ 100		750,000		785,003
Royal Bank of Canada, 1.60%, 4/17/23, MTN		1,500,000		1,537,244
Royal Bank of Scotland Group PLC 6.13%, 12/15/22		500,000		545,260
4.27% (LIBOR03M+176bps), 3/22/25, Callable 3/22/24 @ 100 (b)		1,000,000		1,086,370
5.08% (LIBOR03M+191bps), 1/27/30, Callable 1/27/29 @ 100 (b)		500,000		601,050
4.44% (LIBOR03M+187bps), 5/8/30, Callable 5/8/29 @ 100 (b)		1,000,000		1,158,859
Santander Holdings USA, Inc. 4.45%, 12/3/21, Callable 11/3/21 @ 100		250,000		259,840
3.40%, 1/18/23, Callable 12/18/22 @ 100		250,000		260,593
4.40%, 7/13/27, Callable 4/14/27 @ 100		750,000		812,055
Societe Generale SA, 3.88%, 3/28/24 (a)		1,000,000		1,067,590
Standard Chartered PLC, 4.87% (USISDA05+197bps), 3/15/33, Callable 3/15/28 @ 100 (a) (b)		500,000		541,540
Starwood Property Trust, Inc., 3.63%, 2/1/21, Callable 11/1/20 @ 100		1,000,000		984,680
State Street Corp., 2.90% (SOFR+260bps), 3/30/26, Callable 3/30/25 @ 100 (a) (b)		300,000		325,032
Synchrony Financial 4.50%, 7/23/25, Callable 4/23/25 @ 100		500,000		530,920
3.95%, 12/1/27, Callable 9/1/27 @ 100		500,000		519,010
5.15%, 3/19/29, Callable 12/19/28 @ 100		500,000		560,660
Synovus Financial Corp., 5.90% (USSW5+338bps), 2/7/29, Callable 2/7/24 @ 100 (b)		500,000		488,725
TCF National Bank, 4.13% (LIBOR03M+238bps), 7/2/29, Callable 7/2/24 @ 100 (b)		1,000,000		977,710
Texas Capital Bank NA, 5.25%, 1/31/26		250,000		270,280
The Goldman Sachs Group, Inc., 1.11% (LIBOR03M+75bps), 2/23/23 (b)		500,000		497,430
The PNC Financial Services Group, Inc., 2.55%, 1/22/30, Callable 10/24/29 @ 100		1,500,000		1,615,364
The Progressive Corp., 3.20%, 3/26/30, Callable 12/26/29 @ 100		400,000		454,188

See notes to financial statements.

26

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
Torchmark Corp., 4.55%, 9/15/28, Callable 6/15/28 @ 100	$	500,000	$	577,150
Toyota Motor Credit Corp., 3.38%, 4/1/30, MTN		536,000		616,068
Truist Bank, 2.25%, 3/11/30, Callable 12/11/29 @ 100		1,050,000		1,061,823
Wells Fargo & Co. 2.19% (SOFR+200bps), 4/30/26, Callable 4/30/25 @ 100 (b)		750,000		775,523
3.00%, 10/23/26		1,000,000		1,092,440
Zions Bancorp NA, 3.25%, 10/29/29, Callable 7/29/29 @ 100		1,000,000		978,200
				69,124,678
Health Care (2.4%):
AbbVie, Inc., 3.20%, 11/21/29, Callable 8/21/29 @ 100 (a)		1,000,000		1,097,690
Anthem, Inc., 2.88%, 9/15/29, Callable 6/15/29 @ 100		323,000		350,904
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100		500,000		505,480
Boston Medical Center Corp., 3.91%, 7/1/28		500,000		554,950
Bristol-Myers Squibb Co., 3.90%, 2/20/28, Callable 11/20/27 @ 100 (a)		500,000		587,450
CVS Health Corp. 4.30%, 3/25/28, Callable 12/25/27 @ 100		500,000		583,520
3.25%, 8/15/29, Callable 5/15/29 @ 100		500,000		551,660
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100		750,000		787,935
Duke University Health System, Inc., 2.60%, 6/1/30		500,000		538,130
Eastern Maine Healthcare Systems, 3.71%, 7/1/26		465,000		476,843
HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100		500,000		556,785
Mercy Health, 4.30%, 7/1/28		250,000		282,260
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100		500,000		558,605
Orlando Health Obligated Group, 3.78%, 10/1/28, Callable 7/1/28 @ 100		500,000		552,585
Premier Health Partners, 2.91%, 11/15/26, Callable 5/15/26 @ 100		750,000		735,315
Quest Diagnostics, Inc., 3.45%, 6/1/26, Callable 3/1/26 @ 100		1,250,000		1,402,287
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		500,000		497,590
Upjohn, Inc., 2.30%, 6/22/27, Callable 4/22/27 @ 100 (a)		250,000		257,883
				10,877,872
Industrials (6.3%):
Air Canada Pass Through Trust, 5.38%, 11/15/22 (a)		158,952		143,853
Aircastle Ltd., 4.40%, 9/25/23, Callable 8/25/23 @ 100		500,000		479,765
American Airlines Pass Through Trust 3.70%, 4/1/28		350,786		288,069
3.85%, 8/15/29		486,737		338,545
3.60%, 4/15/31		445,877		360,354
Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5 (a)		500,000		474,915
Arconic, Inc. 5.13%, 10/1/24, Callable 7/1/24 @ 100		250,000		258,668
5.90%, 2/1/27		250,000		266,768
Ashtead Capital, Inc., 4.25%, 11/1/29, Callable 11/1/24 @ 102.13 (a)		1,179,000		1,179,495
BAE Systems PLC, 3.40%, 4/15/30, Callable 1/15/30 @ 100 (a)		750,000		817,245
British Airways Pass Through Trust 3.35%, 12/15/30 (a)		497,926		411,452
3.80%, 3/20/33 (a)		677,718		643,609
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100		2,000,000		2,057,980
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100 (a)		1,000,000		973,540
Caterpillar, Inc., 2.60%, 4/9/30, Callable 1/9/30 @ 100		500,000		543,580

See notes to financial statements.

27

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
CK Hutchison International Ltd. 3.50%, 4/5/27 (a)	$	750,000	$	817,020
2.75%, 9/6/29, Callable 6/6/29 @ 100 (a)		1,500,000		1,567,845
FedEx Corp., 3.90%, 2/1/35		1,250,000		1,350,350
Ferguson Finance PLC, 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a)		450,000		458,109
Flowserve Corp., 4.00%, 11/15/23, Callable 8/15/23 @ 100		250,000		255,170
GATX Corp., 4.00%, 6/30/30, Callable 3/30/30 @ 100		577,000		613,351
Georgia-Pacific LLC, 2.10%, 4/30/27, Callable 2/28/27 @ 100 (a)		500,000		517,315
Hawaiian Airlines Pass Through Certificates 4.95%, 7/15/23		615,008		554,313
3.90%, 7/15/27		111,723		95,253
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		568,000		583,285
Hillenbrand, Inc., 4.50%, 9/15/26, Callable 7/15/26 @ 100		1,000,000		1,029,040
Hubbell, Inc., 3.50%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,054,010
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100		500,000		522,465
Ingersoll-Rand Global Holding Co. Ltd., 3.75%, 8/21/28, Callable 5/21/28 @ 100		500,000		557,720
JetBlue Pass Through Trust, 2.95%, 11/15/29		241,025		209,974
Latam Airlines Pass Through Trust, 4.20%, 8/15/29		765,170		647,464
Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100		500,000		557,735
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100 (a)		1,000,000		1,027,080
Penske Truck Leasing Co. LP/PTL Finance Corp. 3.95%, 3/10/25, Callable 1/10/25 @ 100 (a)		500,000		541,605
4.45%, 1/29/26, Callable 11/29/25 @ 100 (a)		1,000,000		1,097,350
Rolls-Royce PLC, 3.63%, 10/14/25, Callable 7/14/25 @ 100 (a)		275,000		265,642
Ryder System, Inc., 3.40%, 3/1/23, MTN, Callable 2/1/23 @ 100		1,000,000		1,049,700
Southwest Airlines Co., 5.13%, 6/15/27, Callable 4/15/27 @ 100		800,000		826,703
The Boeing Co., 5.71%, 5/1/40, Callable 11/1/39 @ 100		1,000,000		1,131,069
Union Pacific Corp., 4.30%, 3/1/49, Callable 9/1/48 @ 100		500,000		638,290
United Airlines Pass Through Trust, 3.70%, 9/1/31		466,513		380,908
Wabtec Corp. 3.45%, 11/15/26, Callable 8/15/26 @ 100		750,000		774,435
4.95%, 9/15/28, Callable 6/15/28 @ 100		560,000		623,991
				28,985,030
Information Technology (1.4%):
Amphenol Corp., 4.35%, 6/1/29, Callable 3/1/29 @ 100		500,000		592,670
Analog Devices, Inc., 2.95%, 4/1/25, Callable 3/1/25 @ 100		250,000		270,465
Broadcom, Inc., 4.30%, 11/15/32, Callable 8/15/32 @ 100 (a)		750,000		827,888
Hewlett Packard Enterprise Co., 4.65%, 10/1/24, Callable 9/1/24 @ 100		500,000		561,355
HP, Inc., 3.40%, 6/17/30, Callable 3/17/30 @ 100		743,000		764,391
Micron Technology, Inc., 4.66%, 2/15/30, Callable 11/15/29 @ 100		1,000,000		1,163,170
Motorola Solutions, Inc., 4.60%, 2/23/28, Callable 11/23/27 @ 100		750,000		850,298
Salesforce.com, Inc., 3.70%, 4/11/28, Callable 1/11/28 @ 100		1,000,000		1,164,840
				6,195,077
Materials (3.5%):
Anglo American Capital PLC, 4.00%, 9/11/27 (a)		1,000,000		1,075,150
Avery Dennison Corp., 2.65%, 4/30/30, Callable 2/1/30 @ 100		800,000		818,496
Braskem Netherlands Finance BV, 4.50%, 1/31/30 (a)		1,000,000		918,760
CCL Industries, Inc., 3.05%, 6/1/30, Callable 3/1/30 @ 100 (a)		750,000		765,023

See notes to financial statements.

28

Victory Portfolios II
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June 30, 2020

Security Description	Principal Amount		Value
Colonial Enterprises, Inc., 3.25%, 5/15/30, Callable 2/15/30 @ 100 (a)	$	375,000	$	407,820
Crown Americas LLC/Crown Americas Capital Corp., 4.25%, 9/30/26, Callable 3/31/26 @ 100		500,000		512,625
DuPont de Nemours, Inc., 4.73%, 11/15/28, Callable 8/15/28 @ 100		500,000		601,560
Ecolab, Inc., 4.80%, 3/24/30, Callable 12/24/29 @ 100		143,000		181,155
Industrias Penoles SAB de CV, 4.15%, 9/12/29, Callable 6/12/29 @ 100 (a)		500,000		521,710
International Paper Co., 3.00%, 2/15/27, Callable 11/15/26 @ 100 (d)		750,000		808,223
Kinross Gold Corp., 5.95%, 3/15/24, Callable 12/15/23 @ 100		500,000		562,780
LafargeHolcim Finance US LLC, 3.50%, 9/22/26, Callable 6/22/26 @ 100 (a)		1,000,000		1,058,670
LYB International Finance III LLC, 3.38%, 5/1/30, Callable 2/1/30 @ 100		750,000		801,975
Martin Marietta Materials, Inc., 3.50%, 12/15/27, Callable 9/15/27 @ 100		625,000		687,613
Nutrien Ltd., 4.20%, 4/1/29, Callable 1/1/29 @ 100		1,000,000		1,154,890
Packaging Corp. of America, 3.40%, 12/15/27, Callable 9/15/27 @ 100		500,000		550,235
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		500,000		535,095
Sonoco Products Co., 3.13%, 5/1/30, Callable 2/1/30 @ 100		686,000		718,317
The Mosaic Co., 4.05%, 11/15/27, Callable 8/15/27 @ 100		1,000,000		1,059,610
Vulcan Materials Co. 3.90%, 4/1/27, Callable 1/1/27 @ 100		500,000		548,195
3.50%, 6/1/30, Callable 3/1/30 @ 100		1,000,000		1,088,330
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100		365,000		379,965
				15,756,197
Real Estate (1.3%):
AvalonBay Communities, Inc., 3.20%, 1/15/28, MTN, Callable 10/15/27 @ 100		750,000		832,560
Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100		437,000		471,379
EPR Properties, 4.95%, 4/15/28, Callable 1/15/28 @ 100		500,000		477,325
Essex Portfolio LP, 2.65%, 3/15/32, Callable 12/15/31 @ 100		1,500,000		1,587,195
Hospitality Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100		500,000		438,925
Hudson Pacific Properties LP 3.95%, 11/1/27, Callable 8/1/27 @ 100		500,000		518,170
4.65%, 4/1/29, Callable 1/1/29 @ 100		500,000		539,550
STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100		500,000		517,025
Vornado Realty LP, 3.50%, 1/15/25, Callable 11/15/24 @ 100		500,000		494,150
				5,876,279
Utilities (3.2%):
AEP Texas, Inc., 3.45%, 1/15/50, Callable 7/15/49 @ 100		1,500,000		1,617,210
Ameren Corp., 3.50%, 1/15/31, Callable 10/15/30 @ 100		250,000		280,515
American Water Capital Corp., 2.95%, 9/1/27, Callable 6/1/27 @ 100		1,000,000		1,104,120
Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/11/29 @ 100 (a)		1,000,000		1,036,240
Comision Federal de Electricidad, 4.88%, 5/26/21 (a)		750,000		763,118
Dominion Energy, Inc., 3.07%, 8/15/24 (f)		1,000,000		1,074,850
DTE Electric Co., 2.25%, 3/1/30, Callable 12/1/29 @ 100		2,000,000		2,106,099
Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100		1,000,000		1,229,650
Exelon Generation Co. LLC, 3.25%, 6/1/25, Callable 5/1/25 @ 100		750,000		809,010
IPALCO Enterprises, Inc., 4.25%, 5/1/30, Callable 2/1/30 @ 100 (a)		525,000		571,106
ITC Holdings Corp., 2.95%, 5/14/30, Callable 2/14/30 @ 100 (a)		750,000		799,680
National Fuel Gas Co., 4.75%, 9/1/28, Callable 6/1/28 @ 100		1,000,000		1,011,130
The Cleveland Electric Illuminating Co., 4.55%, 11/15/30, Callable 8/15/30 @ 100 (a)		500,000		608,140

See notes to financial statements.

29

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
The Narragansett Electric Co., 3.40%, 4/9/30, Callable 1/9/30 @ 100 (a)	$	500,000	$	562,560
Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100 (a)		500,000		526,685
				14,100,113
Total Corporate Bonds (Cost $208,032,717)				220,012,346
Municipal Bonds (2.1%)
California (0.1%):
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 3.13%, 8/1/28, Continuously Callable @100		500,000		548,010
Connecticut (0.1%):
State of Connecticut, GO, Series A, 3.43%, 4/15/28		500,000		558,285
Florida (0.2%):
Hillsborough County School Board Certificate of Participation, Series B, 1.92%, 7/1/25		750,000		764,460
Illinois (0.1%):
Illinois Finance Authority Revenue, 3.55%, 8/15/29		500,000		537,745
Kentucky (0.1%):
Kentucky Economic Development Finance Authority Revenue, 3.82%, 12/1/27		500,000		531,860
Michigan (0.5%):
Michigan Finance Authority Revenue 2.47%, 12/1/25		1,000,000		1,035,610
3.08%, 12/1/34		1,000,000		1,080,890
				2,116,500
New Jersey (0.3%):
New Jersey Economic Development Authority Revenue, Series NNN, 3.47%, 6/15/27		1,000,000		980,500
New Jersey Transportation Trust Fund Authority Revenue, 4.08%, 6/15/39		385,000		365,569
				1,346,069
Oklahoma (0.1%):
Oklahoma Development Finance Authority Revenue, Series C, 5.45%, 8/15/28		500,000		586,155
Pennsylvania (0.5%):
Commonwealth Financing Authority Revenue, Series A, 3.63%, 6/1/29		500,000		559,770
State Public School Building Authority Revenue, 3.15%, 4/1/30		1,290,000		1,292,683
				1,852,453
Texas (0.1%):
Ector County Hospital District Revenue, Build America Bond, 6.80%, 9/15/25, Continuously Callable @100		500,000		502,385
Total Municipal Bonds (Cost $8,921,697)				9,343,922

See notes to financial statements.

30

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Principal Amount		Value
U.S. Government Agency Mortgages (12.4%)
Federal Home Loan Mortgage Corp. Series K028, Class A2, 3.11%, 2/25/23	$	1,000,000	$	1,057,320
Series K059, Class A2, 3.12%, 9/25/26 (c)		1,000,000		1,120,772
Series KIR3, Class A2, 3.28%, 8/25/27		1,500,000		1,720,321
Series K069, Class A2, 3.19%, 9/25/27 (c)		86,000		98,078
Series K071, Class A2, 3.29%, 11/25/27		500,000		573,306
Series K075, Class A2, 3.65%, 2/25/28 (c)		500,000		588,346
Series K087, Class A2, 3.77%, 12/25/28		500,000		598,321
Series K091, Class A2, 3.51%, 3/25/29		1,250,000		1,477,180
Series 4818, Class VD, 4.00%, 6/15/29 – 5/1/46		4,414,911		4,672,396
Series K095, Class A2, 2.79%, 6/25/29		1,000,000		1,131,952
Series K097, Class A2, 2.51%, 7/25/29		2,000,000		2,226,430
Series K096, Class A2, 2.52%, 7/25/29		1,000,000		1,112,576
Series KG02, Class A2, 2.41%, 8/25/29		909,000		999,136
Series K100, Class A2, 2.67%, 9/25/29		545,000		614,007
Series K159, Class A2, 3.95%, 11/25/30 (c)		500,000		613,524
3.00%, 3/1/31 – 2/1/33		592,785		625,388
3.50%, 5/1/33 – 11/1/47		3,897,648		4,124,921
Series K-1510, Class A3, 3.79%, 1/25/34		1,000,000		1,226,555
Series K-1512, Class A3, 3.06%, 4/25/34		1,000,000		1,157,389
4.50%, 12/1/45		168,178		187,822
				25,925,740
Federal National Mortgage Association Series M4, Class A2, 3.05%, 3/25/28 (c)		500,000		565,885
Series 2019-M1, Class A2, 3.55%, 9/25/28 (c)		750,000		883,590
Series 2019-M12, Class A2, 2.89%, 5/25/29 (c)		1,000,000		1,128,675
2.50%, 11/1/34		881,898		923,110
4.00%, 12/1/41 – 2/1/50		14,229,085		15,085,053
3.50%, 9/1/45 – 2/1/50		8,811,824		9,321,620
4.50%, 8/1/47		37,832		40,981
3.00%, 2/1/50		1,919,629		2,021,121
				29,970,035
Total U.S. Government Agency Mortgages (Cost $53,128,783)				55,895,775
U.S. Treasury Obligations (24.4%)
U.S. Treasury Bills 0.16%, 10/22/20 (h)		4,000,000		3,997,991
0.15%, 12/3/20 (h)		4,000,000		3,997,434
U.S. Treasury Bonds 4.38%, 2/15/38		750,000		1,165,664
3.50%, 2/15/39		2,770,000		3,918,684
4.38%, 11/15/39		1,000,000		1,572,344
3.13%, 11/15/41		1,000,000		1,353,750
2.75%, 8/15/47		500,000		653,281
2.75%, 11/15/47		500,000		654,063
3.00%, 2/15/48		3,500,000		4,791,172
3.38%, 11/15/48		2,012,000		2,956,068
2.88%, 5/15/49		3,000,000		4,058,438

See notes to financial statements.

31

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares or Principal Amount		Value
U.S. Treasury Inflation Indexed Bonds, 0.88%, 1/15/29	$	507,810	$	579,261
U.S. Treasury Notes 2.75%, 11/30/20		250,000		252,666
2.25%, 2/15/21		195,000		197,529
2.38%, 3/15/21		2,000,000		2,031,016
2.38%, 4/15/21		3,850,000		3,916,924
1.63%, 6/30/21		1,000,000		1,014,453
1.75%, 7/31/21		10,000,000		10,169,921
2.75%, 8/15/21		1,700,000		1,749,141
2.88%, 11/15/21		3,630,000		3,764,282
2.50%, 1/15/22		712,000		737,504
1.88%, 1/31/22		1,000,000		1,026,914
1.50%, 1/31/22		7,000,000		7,147,108
2.50%, 2/15/22		2,000,000		2,075,391
1.88%, 2/28/22		1,700,000		1,748,145
2.25%, 4/15/22		2,000,000		2,074,375
1.50%, 8/15/22		1,000,000		1,028,359
2.00%, 10/31/22		400,000		417,063
2.00%, 4/30/24		24,550,000		26,216,714
2.75%, 2/28/25		850,000		947,484
3.00%, 9/30/25		300,000		341,766
1.50%, 8/15/26		2,000,000		2,130,938
2.00%, 11/15/26		2,700,000		2,964,516
2.25%, 8/15/27		1,000,000		1,122,969
2.25%, 11/15/27		1,700,000		1,914,359
2.75%, 2/15/28		2,000,000		2,333,125
2.88%, 8/15/28		630,000		746,156
3.13%, 11/15/28		1,000,000		1,209,063
2.63%, 2/15/29		1,000,000		1,171,875
Total U.S. Treasury Obligations (Cost $99,951,291)				110,147,906
Commercial Papers (0.9%)
CenterPoint Energy, Inc., 0.22%, 7/1/20 (g)		4,000,000		3,999,976
Total Commercial Papers (Cost $4,000,000)				3,999,976
Collateral for Securities Loaned^ (0.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (h)		5,142		5,142
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (h)		155,631		155,631
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (h)		35,758		35,758
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (h)		20,462		20,462
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (h)		92,001		92,001
Total Collateral for Securities Loaned (Cost $308,994)				308,994
Total Investments (Cost $416,831,435) — 98.2%				442,608,721
Other assets in excess of liabilities — 1.8%				8,180,726
NET ASSETS — 100.00%			$	450,789,447

See notes to financial statements.

32

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2020

^  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 June 30, 2020, the fair value of these securities was $92,507,956 and amounted to 20.5% of net assets.

(b)  Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2020.

(c)  The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2020.

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

(e)  Defaulted security.

(f)  Stepped-coupon security converts to coupon form on 08/15/24 with a rate of 3.071%.

(g)  Rate represents the effective yield at June 30, 2020.

(h)  Rate disclosed is the daily yield on June 30, 2020.

bps — Basis points

GO — General Obligation

H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2020.

LIBOR — London InterBank Offered Rate

LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2020, based on the last reset date of the security

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2020, based on the last reset date of the security

LLC — Limited Liability Company

LP — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

SOFR — Secured Overnight Financing Rate

USISDA05 — 5 year USD ICE Swap

USSW5 — USD 5 Year Swap Rate, rate disclosed as of June 30, 2020.

See notes to financial statements.

33

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares USAA Core Short-Term Bond ETF			VictoryShares USAA Core Intermediate-Term Bond ETF
ASSETS:
Investments, at value (Cost $104,134,621 and $416,831,435)	$	105,455,236	(a)	$	442,608,721	(b)
Cash and cash equivalents		953,691			5,546,701
Deposits with brokers for futures contracts		—			40,048
Receivables:
Interest and dividends		777,185			3,078,143
Investments sold		3,124			—
From Adviser		6,747			—
Prepaid expenses		308			1,241
Total Assets		107,196,291			451,274,854
LIABILITIES:
Payables:
Collateral received on loaned securities		2,135,796			308,994
Accrued expenses and other payables:
Investment advisory fees		21,443			110,115
Administration fees		1,659			7,066
Custodian fees		8,653			4,610
Compliance fees		78			335
Trustees' fees		—	(c)		406
Other accrued expenses		28,344			53,881
Total Liabilities		2,195,973			485,407
NET ASSETS:
Capital		102,565,247			422,951,065
Total distributable earnings/(loss)		2,435,071			27,838,382
Net Assets	$	105,000,318		$	450,789,447
Shares Outstanding (unlimited shares authorized, no par value):		2,050,000			8,400,000
Net asset value:	$	51.22		$	53.67

(a)  Includes $2,068,896 of securities on loan.

(b)  Includes $298,779 of securities on loan.

(c)  Rounds to less than $1.

See notes to financial statements.

34

Victory Portfolios II Statements of Operations

	VictoryShares USAA Core Short-Term Bond ETF						VictoryShares USAA Core Intermediate-Term Bond ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
Investment Income:
Interest	$	2,318,620		$	2,199,481		$	10,309,389		$	7,820,553
Securities lending (net of fees)		3,351			—			3,764			—
Total Income		2,321,971			2,199,481			10,313,153			7,820,553
Expenses:
Management fees		—			142,696			—			489,000
Administration and operating service fees		—			85,618			—			244,500
Investment advisory fees		195,576			34,456			972,891			149,893
Administration fees		47,075			11,308			195,215			32,659
Sub-Administration fees		13,819			—			13,823			—
Custodian fees		18,890			2,059			23,026			4,014
Servicing fees		3,688			683			3,688			683
Trustees' fees		6,450			1,892			23,214			4,986
Chief Compliance Officer fees		—			115			—			288
Compliance fees		609			—			2,619			—
Legal and audit fees		23,253			2,828			52,125			6,317
Line of credit fees		—			—			1,076			—
Other expenses		32,485			2,535			67,686			6,163
Total Expenses		341,845			284,190			1,355,363			938,503
Management fee waiver		—			(28,539	)		—			(81,500	)
Expenses waived/reimbursed by Adviser		(68,118	)		(7,765	)		(120,613	)		(17,737	)
Net Expenses		273,727			247,886			1,234,750			839,266
Net Investment Income (Loss)		2,048,244			1,951,595			9,078,403			6,981,287
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		931,853			10,689			1,312,722			(87,276	)
Net realized gains (losses) from futures contracts		—			—			—			(194	)
Net change in unrealized appreciation/ depreciation on investment securities		143,422			1,644,842			8,268,340			19,860,520
Net change in unrealized appreciation/ depreciation on futures contracts		—			—			—			1,401
Net realized/unrealized gains on investments		1,075,275			1,655,531			9,581,062			19,774,451
Change in net assets resulting from operations	$	3,123,519		$	3,607,126		$	18,659,465		$	26,755,738

See notes to financial statements.

35

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA Core Short-Term Bond ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	2,048,244		$	1,951,595		$	849
Net realized gains (losses) from investments		931,853			10,689			(55	)
Net change in unrealized appreciation/ depreciation on investments		143,422			1,644,842			(468	)
Change in net assets resulting from operations		3,123,519			3,607,126			326
Change in net assets resulting from distributions to shareholders		(1,884,117	)		(1,927,032	)		(811	)
Change in net assets resulting from capital transactions		20,187,621			20,020,825			62,357
Change in net assets		21,427,023			21,700,919			61,872
Net Assets:
Beginning of period		83,573,295			61,872,376			—
End of period	$	105,000,318		$	83,573,295		$	61,872
Capital Transactions:
Proceeds from shares issued	$	20,187,621		$	20,020,825		$	62,357	(b)
Cost of shares redeemed		—			—			—
Change in net assets resulting from capital transactions	$	20,187,621		$	20,020,825		$	62,357
Share Transactions:
Issued		400,000			400,000			1,250
Redeemed		—			—			—
Change in Shares		400,000			400,000			1,250

(a)  Commencement of operations. Information is presented in thousands.

(b)  Includes $97 thousand of variable fees incurred.

(continues on next page)

See notes to financial statements.

36

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA Core Intermediate-Term Bond ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	9,078,403		$	6,981,287		$	2,672
Net realized gains (losses) from investments		1,312,722			(87,470	)		(39	)
Net change in unrealized appreciation/ depreciation on investments		8,268,340			19,861,921			(2,353	)
Change in net assets resulting from operations		18,659,465			26,755,738			280
Change in net assets resulting from distributions to shareholders		(8,484,958	)		(6,792,738	)		(2,580	)
Change in net assets resulting from capital transactions		125,758,776			144,189,678			153,003
Change in net assets		135,933,283			164,152,678			150,703
Net Assets:
Beginning of period		314,856,164			150,703,486			—
End of period	$	450,789,447		$	314,856,164		$	150,703
Capital Transactions:
Proceeds from shares issued	$	133,241,270		$	144,189,678		$	153,003	(b)
Cost of shares redeemed		(7,482,494	)		—			—
Change in net assets resulting from capital transactions	$	125,758,776		$	144,189,678		$	153,003
Share Transactions:
Issued		2,550,000			2,900,000			3,100
Redeemed		(150,000	)		—			—
Change in Shares		2,400,000			2,900,000			3,100

(a)  Commencement of operations. Information is presented in thousands.

(b)  Includes $190 thousand of variable fees incurred.

See notes to financial statements.

37

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Total Distributions			Net Asset Value, End of Period		Total Return(b)
VictoryShares USAA Core Short-Term Bond ETF
Ten Months Ended 06/30/20(e)	$	50.65		1.10		0.48			1.58			(1.01	)		(1.01	)	$	51.22		3.17	%
Year Ended 08/31/19	$	49.50		1.37		1.13			2.50			(1.35	)		(1.35	)	$	50.65		5.11	%
10/24/17(g) through 08/31/18	$	50.00		0.93		(0.59	)		0.34			(0.84	)		(0.84	)	$	49.50		0.70	%
VictoryShares USAA Core Intermediate-Term Bond ETF
Ten Months Ended 06/30/20(e)	$	52.48		1.21		1.12			2.33			(1.14	)		(1.14	)	$	53.67		4.52	%
Year Ended 08/31/19	$	48.61		1.62		3.81			5.43			(1.56	)		(1.56	)	$	52.48		11.37	%
10/24/17(g) through 08/31/18	$	49.93		1.29		(1.46	)		(0.17	)		(1.15	)		(1.15	)	$	48.61		(0.33	)%

(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)  Excludes impact of in-kind transactions.

(e)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019. (See Note 1)

(f)  Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the period.

(g)  Commencement of operations.

(h)  Includes impact of voluntary waiver. Without this voluntary waiver, the net expense ratio would have been 0.02% higher.

(i)  Portfolio turnover decreased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

38

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

	Ratios to Average Net Assets									Supplemental Data
	Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares USAA Core Short-Term Bond ETF
Ten Months Ended 06/30/20(e)		0.35	%		2.62	%		0.44	%	$	105,000		72	%(f)
Year Ended 08/31/19		0.35	%		2.75	%		0.40	%	$	83,573		30	%
10/24/17(g) through 08/31/18		0.35	%		2.21	%		0.40	%	$	61,872		22	%
VictoryShares USAA Core Intermediate-Term Bond ETF
Ten Months Ended 06/30/20(e)		0.38	%(h)		2.80	%		0.42	%	$	450,789		13	%
Year Ended 08/31/19		0.39	%		3.27	%		0.44	%	$	314,856		3	%(i)
10/24/17(g) through 08/31/18		0.40	%		3.10	%		0.45	%	$	150,703		10	%

See notes to financial statements.

39

Victory Portfolios II Notes to Financial Statements
June 30, 2020

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust as a successor to the "Compass EMP Funds 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 currently comprised of 24 funds, 22 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.

On April 18, 2019, shareholders of the USAA ETF Trust voted to approve the Agreement and Plan of Reorganization, which provided for the Reorganization of the Predecessor Funds into the Funds (the "Reorganizations").

The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund"). These Funds have been newly formed for the purposes of completing the Reorganizations with the two corresponding series of USAA ETF Trust, a registered investment company (each such series, a "Predecessor Fund"), as follows:

Predecessor Fund Name	Funds (Legal Name)	Funds (Short Name)
USAA Core Short-Term Bond ETF	VictoryShares USAA Core Short-Term Bond ETF	USAA Core Short-Term Bond ETF
USAA Core Intermediate-Term Bond ETF	VictoryShares USAA Core Intermediate-Term Bond ETF	USAA Core Intermediate-Term Bond ETF

The Funds commenced operation on July 1, 2019, upon the completion of the Reorganizations and each Fund is the accounting successor of its respective Predecessor Fund. The Funds assumed the performance, financial and other historical information of the Predecessor Funds. Information presented for periods prior to the date of these financial statements reflects, where applicable, the historical information of the Predecessor Funds.

On November 6, 2018, United Services Automobile Association (USAA), the parent company of USAA Asset Management Company ("AMCO"), the investment adviser of the Predecessor Funds, announced that AMCO would be acquired by Victory Capital Holdings Inc., a global investment management firm headquartered in San Antonio, Texas, on July 1, 2019. Effective July 1, 2019, Victory Capital Management Inc.'s internal investment team, Victory Solutions, began managing the Funds' net assets.

Effective September 1, 2019, the Trust's Board of Trustees (the "Board") approved the fiscal year-end change for the Funds from August 31 to June 30. The accompanying financial statements reflect this change in fiscal year-end.

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 NYSE Arca, Inc (the "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"). The Funds issue and redeem Creation Units principally in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), together with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares will trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the distributor. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, Shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a

40

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

requirement to maintain on deposit with the Trust cash equal to up to 105% of fair 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 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*
USAA Core Short-Term Bond ETF	$	100		2.00	%
USAA Core Intermediate-Term Bond ETF		100		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 generally accepted accounting principles 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.

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.

Debt securities of United States ("U.S.") issuers (other than short-term investments maturing in 60 days or less), including corporate and municipal securities, are valued on the basis of bid valuations provided by dealers or an independent pricing service approved by the Board. Short-term investments maturing in 60 days or less may be valued at amortized cost, which approximates market value. Under the amortized cost method, premium or discount, if any, is amortized or accreted, respectively, on a constant basis to the maturity of the security. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 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 June 30, 2020, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments.

	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
USAA Core Short-Term Bond ETF
Asset-Backed Securities	$	—	$	12,628,908	$	—	$	12,628,908
Collateralized Mortgage Obligations		—		5,747,749		—		5,747,749
Corporate Bonds		—		63,829,690		—		63,829,690
Municipal Bonds		—		19,144,729		—		19,144,729
U.S. Treasury Obligations		—		474,829		—		474,829
Commercial Papers		—		1,493,535		—		1,493,535
Collateral for Securities Loaned		2,135,796		—		—		2,135,796
Total	$	2,135,796	$	103,319,440	$	—	$	105,455,236
USAA Core Intermediate-Term Bond ETF
Asset-Backed Securities	$	—	$	31,732,998	$	—	$	31,732,998
Collateralized Mortgage Obligations		—		11,166,804		—		11,166,804
Corporate Bonds		—		220,012,346		—		220,012,346
Municipal Bonds		—		9,343,922		—		9,343,922
U.S. Government Agency Mortgages		—		55,895,775		—		55,895,775
U.S. Treasury Obligations		—		110,147,906		—		110,147,906
Commercial Papers		—		3,999,976		—		3,999,976
Collateral for Securities Loaned		308,994		—		—		308,994
Total	$	308,994	$	442,299,727	$	—	$	442,608,721

For the ten months ended June 30, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

Securities Purchased on a When-Issued Basis:

The Funds may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond normal settlement periods at a stated price and/or yield, thereby involving the risk that the price and/or yield obtained may be more or less than those available in the market when delivery takes place. At the time a Fund makes the commitment to purchase a security on a when-issued basis, the Fund records the transaction and reflects the value of the security in determining net asset value. No interest accrues to the Fund until the transaction settles and payment takes place. Normally, the settlement date occurs within one month of the purchase. A segregated account is established and the Fund maintains cash and/or marketable securities at least equal in value to commitments for when-issued securities. If a Fund owns when-issued securities, these values are included in Payable for investments purchased on the accompanying Statements of Assets and Liabilities and the segregated assets are identified on the Schedules of Portfolio Investments.

Municipal Obligations:

The values of municipal obligations can fluctuate and may be affected by adverse tax, legislative, or political changes, and by financial developments affecting municipal issuers. Payment of municipal obligations may depend on a relatively limited source of revenue, resulting in greater credit risk. Future changes in federal tax laws or the activity of an issuer may adversely affect the tax-exempt status of municipal obligations.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Mortgage-Related and Asset-Backed Securities:

The values of some mortgage-related or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose a Fund to a lower rate of return upon reinvestment of principal. The values of mortgage- and asset-backed securities depend in part on the credit quality and adequacy of the underlying assets or collateral and may fluctuate in response to the market's perception of these factors as well as current and future repayment rates. Some mortgage-backed securities are backed by the full faith and credit of the U.S. government (e.g., mortgage-backed securities issued by the Government National Mortgage Association, commonly known as "Ginnie Mae"), while other mortgage-backed securities (e.g., mortgage-backed securities issued by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, commonly known as "Fannie Mae" and "Freddie Mac," respectively), are backed only by the credit of the government entity issuing them. In addition, some mortgage-backed securities are issued by private entities and, as such, are not guaranteed by the U.S. government or any agency or instrumentality of the U.S. government.

Loans:

Floating rate loans in which a Fund invest are primarily "senior" loans. Senior floating rate loans typically hold a senior position in the capital structures of the borrower, are typically secured by specific collateral, and have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debtholders and stockholders of the borrower. While these protections may reduce risk, these investments still present significant credit risk. A significant portion of a Fund's floating rate investments may be issued in connection with highly leveraged transactions such as leveraged buyouts, leveraged recapitalization loans, and other types of acquisition financing. Obligations in these types of transactions are subject to greater credit risk (including default and bankruptcy) than many other investments and may be, or become, illiquid. See the note below regarding below investment grade securities.

A Fund may purchase second lien loans (secured loans with a claim on collateral subordinate to a senior lender's claim on such collateral), fixed rate loans, unsecured loans, and other debt obligations.

Transactions in loans often settle on a delayed basis, and a Fund may not receive the proceeds from the sale of a loan or pay for a loan purchase for a substantial period of time after entering into the transactions.

Below Investment Grade Securities:

Certain Funds may invest in below investment grade securities (i.e., lower-quality, "junk" debt), which are subject to various risks. Lower-quality debt is considered to be speculative because it is less certain that the issuer will be able to pay interest or repay the principal than in the case of investment grade debt. These securities can involve a substantially greater risk of default than higher-rated securities, and their values can decline significantly over short periods of time. Lower-quality debt securities tend to be more sensitive to adverse news about their issuers, the market and the economy in general, than higher-quality debt securities. The market for these securities can be less liquid, especially during periods of recession or general market decline.

Collateralized Loan Obligations ("CLOs"):

CLOs are securities issued by entities that are collateralized by a pool of loans. CLOs are issued in multiple classes (tranches), and can be equity or debt with specific adjustable or fixed interest rates, and varying maturities. The cash flow from the underlying loans is used to pay off each tranche separately within the debt, or senior tranches. Equity, or subordinated tranches, typically are not paid a cash flow but do offer ownership in the CLO itself in the event of a sale.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Investment Companies:

The Funds may invest in portfolios of open-end investment companies. These investment traded 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:

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 Deposits with brokers for futures contracts. As of and during the ten months ended June 30, 2020, the Funds held no futures contracts.

During the year ended August 31, 2019, the USAA Core Intermediate-Term Bond ETF 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. The Funds did not hold derivative instruments during the period ended June 30, 2020.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Summary of Derivative Instruments:

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended August 31, 2019.

	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
	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation/Depreciation on Futures Contracts
Interest Rate Risk Exposure:
USAA Core Intermediate-Term Bond ETF	$	(194	)	$	1,401

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 determined on the basis of coupon interest accrued using the effective interest method which adjusts, 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 recorded on the identified cost basis.

Certain Funds may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees, and commitment fees. These fees are recorded as income when received by the Fund. These amounts, if received, are included in Interest income on the Statements of Operations.

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, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay the Agent various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) 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.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2020. 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
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
USAA Core Short-Term Bond ETF	$	2,068,896	$	2,068,896	$	—	$	—	$	—	$	—
USAA Core Intermediate-Term Bond ETF		298,779		298,779		—		—		—		—

*  Collateral received in excess of the market value of securities on loan is not presented in this table.

Distributions to Shareholders:

Each of the Funds intends to declare and distribute any net investment income monthly. Each of the Funds distribute any net realized long or short-term capital gains at least annually.

The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) 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 and distribution reclassification), 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.

As of June 30, 2020, there are no reclassification adjustments (inclusive of in-kind redemptions as applicable) incurred by the Funds on the Statements of Assets and Liabilities as a result of permanent book-to-tax differences.

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 years, which includes the current fiscal tax year end). 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.

Cross-Trade 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

46

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 ten months ended June 30, 2020, the Funds engaged in the following securities transactions with affiliated funds, which resulted in the following net realized gains (losses):

	Purchases		Sales		Net Realized Gains (Losses)
USAA Core Short-Term Bond ETF	$	500,000	$	—	$	—

3. Purchases and Sales:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition), purchases and sales of U.S. Government Securities, and purchases and sales of in-kind transactions for the ten months ended June 30, 2020 were as follows. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as Net realized gains (losses) from in-kind redemptions.

	Excluding U.S. Government Securities				Excluding U.S. Government Securities
	Purchases		Sales		Purchases		Sales
USAA Core Short-Term Bond ETF	$	76,452,084	$	55,410,514	$	1,133,696	$	5,990,656
USAA Core Intermediate-Term Bond ETF		124,493,978		38,180,713		45,996,782		11,284,917

4. Fees and Transactions with Affiliates and Related Parties:

Investment Adviser and Management Fees:

Effective July 1, 2019, 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 Agreement, 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 and amount incurred during the period from July 1, 2019 to August 31, 2019, and for the ten months ended June 30, 2020, are reflected as Investment advisory fees on the Statements of Operations. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Flat Rate
USAA Core Short-Term Bond ETF		0.25	%
USAA Core Intermediate-Term Bond ETF		0.30	%

Prior to July 1, 2019, AMCO had provided investment management services to the Predecessor Funds pursuant to an Advisory Agreement. Under this agreement, which was in effect through June 30, 2019, AMCO was responsible for managing the business and affairs of the Predecessor Funds, and for directly managing day-to-day investment of each Predecessor Fund's assets, subject to the authority of and supervision by the Board of Trustees.

The investment management fees for the Predecessor Funds were comprised of a base fee which was accrued daily and paid monthly at an annualized rate of each Predecessor Fund's average net assets. AMCO had contractually agreed to waive a portion of its management fees in an amount equal to 0.05% of the average net assets of each Predecessor Fund through October 15, 2018, and the waiver could not be terminated or reduced without approval of the Funds' Board during that term. Effective

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

October 15, 2018, AMCO had contractually agreed to extend the contractual waiver on a portion of each Predecessor Fund's management fees in an amount equal to 0.05% of the average net assets of each Predecessor Fund through December 31, 2019, which had terminated on July 1, 2019. These management fees waived are not available to be recouped at a future time. Amounts incurred during the period September 1, 2018 through June 30, 2019 are reflected as Management fees and Management fee waiver on the Statements of Operations. The annual rate of management fees incurred for the period September 1, 2018 through June 30, 2019 were as follows:

	Flat Rate
USAA Core Short-Term Bond ETF		0.25	%
USAA Core Intermediate-Term Bond ETF		0.30	%

Administration and Operating Service Fees:

Effective July 1, 2019, VCM 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, USAA Mutual Funds Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Victory Funds Complex and 0.04% of the average daily net assets over $30 billion of the Victory Funds Complex. Amounts incurred during the period from July 1, 2019 to August 31, 2019, and for the ten months ended June 30, 2020, are reflected as Administration fees on the Statements of Operations.

Prior to July 1, 2019, AMCO served as the Predecessor Funds' administrator and State Street Bank and Trust Company served as the Predecessor Funds' sub-administrator, transfer agent and custodian.

Prior to July 1, 2019, AMCO provided certain administration and operating services for the Predecessor Funds and received a fee accrued daily and paid monthly at an annualized rate of the Predecessor Funds' average net assets. AMCO paid all operating expenses of the Predecessor Funds, excluding distribution and/or service fees, taxes, brokerage commissions and transaction costs, acquired fund fees and expenses, and extraordinary expenses. Amounts incurred during the period September 1, 2018 through June 30, 2019 are reflected as Administration and operating service fees on the Statements of Operations. The annual rate of administration and operating service fees incurred for the period September 1, 2018 through June 30, 2019 were as follows:

	Flat Rate
USAA Core Short-Term Bond ETF		0.15	%
USAA Core Intermediate-Term Bond ETF		0.15	%

Distribution and Service 12b-1 Fees:

Prior to July 1, 2019, the Funds adopted a plan pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Funds may, but did not pay fees to USAA Investment Management Company ("IMCO"), the distributor, for distribution and shareholder services. IMCO paid all or a portion of such fees to intermediaries that made the Funds available for investment by their customers. The fee was accrued daily and paid monthly at an annual rate of 0.25% of each Fund's average net assets. For the period September 1, 2018 through June 30, 2019, the Funds did not incur any distribution and service (12b-1) fees.

Effective July 1, 2019, Foreside Fund Services, LLC ("Foreside") serves as the Funds' distributor. Effective July 1, 2019, the Funds adopted a plan pursuant to Rule 12b-1. No fees are currently paid by the Funds under the plan, and there are no current plans to impose such fees.

Other Related-Party Fees:

Effective July 1, 2019, Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, 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 Funds reimburse VCM and Citi for reasonable out-of- pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds under the Fund Administration, Servicing, and Accounting Agreement. Amounts paid by the Funds to reimburse VCM for expenses incurred during the ten months ended June 30, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Citibank acts as the custodian of the Funds' assets pursuant to the Global Custodial Services Agreement (the "Custody Agreement"). Citibank's responsibilities include safeguarding and controlling the Funds' cash and securities, handling the receipt and delivery of securities, and collecting interest and dividends on the Funds' investments. Pursuant to the Custody Agreement, Citibank also maintains original entry documents and books of record and general ledgers; posts cash receipts and disbursements; and records purchases and sales based upon communications from the Adviser. Citibank may, with the approval of a Fund and at its own expense, open and maintain a sub-custody account or accounts on behalf of a Fund, provided that it shall remain liable for the performance of all of its duties under the Custody Agreement.

Effective July 1, 2019, Citibank also serves as the Funds' Transfer Agent.

The Chief Compliance Officer ("CCO") is an employee of the Adviser, which pays the compensation of the CCO and his support staff. Effective July 1, 2019, 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. The Funds in the Victory Funds Complex, in 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 on the Statements of Operations.

Sidley Austin LLP provides legal services to the Trust.

Effective, July 1, 2019, 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 certain Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts 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. Expense limits in effect are as follows:

	In Effect July 1, 2019 Until June 30, 2021
USAA Core Short-Term Bond ETF		0.35	%
USAA Core Intermediate-Term Bond ETF		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 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 from July 1, 2019 to August 31, 2019 and during the ten months ended June 30, 2020, if any, are reflected on the Statements of Operations as Recoupment of prior expenses waived/reimbursed by Adviser. As of June 30, 2020, the following amounts are available to be repaid to the Adviser:

	Expires August 31, 2022		Expires June 30, 2023		Total
USAA Core Short-Term Bond ETF	$	2,875	$	39,059	$	41,934

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 amounts:

	For the Year Ended August 31, 2019		For the Ten Months Ended June 30, 2020		Total
USAA Core Short-Term Bond ETF	$	4,890	$	29,059	$	33,949
USAA Core Intermediate-Term Bond ETF		17,737		120,613		138,350

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

Effective July 1, 2019, 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 Counsel.

Prior to July 1, 2019, certain trustees and officers of the Funds were also directors, officers, and/or employees of AMCO. None of the affiliated trustees or Funds' officers received any compensation from the Funds.

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 Funds are 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.

The Funds are subject to credit and interest rate risk with respect to fixed income securities. Credit risk refers to the ability of an issuer to make timely payments of interest and principal. Interest rates may rise or the rate of inflation may increase, impacting the value of investments in fixed income securities. A debt issuers' credit quality may be downgraded or an issuer may default. Interest rates may fluctuate due to changes in governmental fiscal policy initiatives and resulting market reaction to those initiatives.

An outbreak of respiratory disease called COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in international, national and local border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and consumer activity, significant challenges in healthcare service preparation and delivery, quarantines and general concern and uncertainty. These negative impacts have caused significant volatility and declines in global financial markets, which have caused losses for Fund investors during and subsequent to period end. The impact of the COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. Public health crises may exacerbate other pre-existing political, social, economic, market and financial risks. The extent of the impact to the financial performance of the Funds' investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted.

6. Line of Credit:

For the ten months ended June 30, 2020, the Victory Funds Complex participated in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2020 with a termination date of June 28, 2021. Under the agreement with Citibank, the Victory Funds Complex and USAA Mutual Funds Complex, combined, may borrow up to

50

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

$600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund (herein, the "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. For the ten months ended June 30, 2020, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest (one month LIBOR plus one percent) on amounts borrowed. Effective June 29, 2020, under an amended Line of Credit agreement, Citibank will also receive an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex will pay a pro-rata portion of the upfront fee. Interest charged to each Fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The average loans for the days outstanding and average interest rate for each Fund during the ten months ended June 30, 2020, were as follows:

	Amount Outstanding at June 30, 2020		Average Borrowing		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
USAA Core Intermediate-Term Bond ETF	$	—	$	10,100,000		1		2.99	%	$	10,100,000

*  For the ten months ended June 30, 2020, based on the number of days borrowings were outstanding.

7. Federal Income Tax Information:

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

	Period Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	1,884,117	$	—	$	1,884,117	$	—	$	1,884,117
USAA Core Intermediate-Term Bond ETF		8,484,958		—		8,484,958		—		8,484,958
	Year Ended August 31, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	1,927,032	$	—	$	1,927,032	$	—	$	1,927,032
USAA Core Intermediate-Term Bond ETF		6,792,738		—		6,792,738		—		6,792,738
	Period Ended August 31, 2018 (amounts in 000's)
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	811	$	—	$	811	$	—	$	811
USAA Core Intermediate-Term Bond ETF		2,580		—		2,580		—		2,580

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

As of the ten months ended June 30, 2020, the components of distributable earnings/accumulated deficit on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Accumulated Capital and Other Losses		Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Deficit)
USAA Core Short-Term Bond ETF	$	691,363	$	423,093	$	1,114,456	$	—	$	1,320,615	$	2,435,071
USAA Core Intermediate- Term Bond ETF		1,961,676		123,211		2,084,887		—		25,753,495		27,838,382

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

During the ten months ended June 30, 2020, the USAA Core Short-Term Bond ETF and USAA Core Intermediate-Term Bond ETF utilized $44,188 and $102,077 of short-term capital loss carryforwards, respectively.

At June 30, 2020, 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)
USAA Core Short-Term Bond ETF	$	104,134,621	$	2,050,212	$	(729,597	)	$	1,320,615
USAA Core Intermediate-Term Bond ETF		416,855,226		29,576,829		(3,823,334	)		25,753,495

52

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA Core Short-Term Bond ETF and VictoryShares USAA Core Intermediate-Term Bond ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the ten months ended June 30, 2020 and for the year ended August 31, 2019, (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2020, the results of their operations, the changes in their net assets, and the financial highlights for the ten months ended June 30, 2020 and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights and financial statements for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights and financial statements.

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2020, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 25, 2020

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Victory Portfolios II Supplemental Information
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  (Unaudited)

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 nine Trustees, eight 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 date of birth, 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 42 portfolios in the Trust, nine portfolios in Victory Variable Insurance Funds and 26 portfolios in Victory Portfolios II, 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 Date of Birth	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, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	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).
E. Lee Beard,* Born August 1951	Trustee	May 2005	Retired (since 2015).	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

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  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	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.	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, * Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	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, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

*  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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  (Unaudited)

Officers:

The officers of the Trust, their date of births, 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 Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015*	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	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, Born March 1984	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 Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	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, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

*  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 Portfolio Holdings Information

Proxy Voting:

Information regarding the policies and procedures 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 files 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. Forms N-PORT are available on the SEC's web site 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 January 1, 2020 through June 30, 2020.

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.

Fund	Beginning Account Value 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
USAA Core Intermediate- Term Bond ETF	$	1,000.00	$	1,046.00	$	1,022.97	$	1.93	$	1.91		0.38	%
USAA Core Short-Term Bond ETF		1,000.00		1,024.80		1,023.12		1.76		1.76		0.35	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/366 (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)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Act. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Board approved the appointment of VCM as the administrator of the LRMP. At an in-person meeting held on February 20, 2020, VCM provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year.

VCM manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every fund investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of Fund investments, VCM has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by VCM. VCM reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.

The report from VCM concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable VCM to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments reasonably expected to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a Highly Liquid Investment Minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, VCM indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

58

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

VS-BOND-ETF-AR (6/20)

June 30, 2020

Annual Report

VictoryShares USAA MSCI USA Value Momentum ETF

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF

VictoryShares USAA MSCI International Value Momentum ETF

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF

Beginning 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 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.

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

Shareholder Letter (Unaudited)	3
Fund Review and Commentary (Unaudited)	5
Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares USAA MSCI USA Value Momentum ETF
Schedule of Portfolio Investments	13
Statements of Assets and Liabilities	56
Statements of Operations	58
Statements of Changes in Net Assets	60
Financial Highlights	64
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Schedule of Portfolio Investments	19
Statements of Assets and Liabilities	56
Statements of Operations	58
Statements of Changes in Net Assets	61
Financial Highlights	64
VictoryShares USAA MSCI International Value Momentum ETF
Schedule of Portfolio Investments	31
Statements of Assets and Liabilities	57
Statements of Operations	59
Statements of Changes in Net Assets	62
Financial Highlights	66
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Schedule of Portfolio Investments	45
Statements of Assets and Liabilities	57
Statements of Operations	59
Statements of Changes in Net Assets	63
Financial Highlights	66
Notes to Financial Statements	68
Report of Independent Registered Public Accounting Firm	84
Supplemental Information (Unaudited)
Trustee and Officer Information	85
Proxy Voting and Portfolio Holdings Information	88
Expense Examples	88
Additional Federal Income Tax Information	90
Liquidity Risk Management Program	89
Privacy Policy (inside back cover)

1

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 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.

This report is for the information of the shareholders and others who have received a copy of the currently effective prospectus of the Funds, managed by Victory Capital Management Inc. It may be used as sales literature only when preceded or accompanied by a current prospectus, which provides further details about the Funds.

IRA DISTRIBUTION WITHHOLDING DISCLOSURE

We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call (800) 235-8396.

If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.

For more specific information, please consult your tax adviser.

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

Call Victory at:

866-376-7890

Visit our website at:

www.vcm.com

2

Victory Funds Letter to Shareholders

Dear Shareholder,

What a difference a year makes. Not long ago, we were marveling at the longest-ever bull market in equities. Although the current market environment appears constructive and relatively calm (as of this writing), what has transpired over the past year has been nothing short of astounding.

In fact, the annual period ended June 30, 2020, has been the most unusual period for investors since the Global Financial Crisis or, perhaps, the Great Depression. We entered this year with mundane concerns of interest rates and global trade talks, but that all changed quickly in early 2020. The spread of COVID-19 throughout the United States was an unprecedented event that rendered virtually any economic forecast unreliable. In March, and seemingly overnight, the sentiment pendulum swung from risk-on to risk-off.

The global economy came to an all-stop and equities sold off sharply. Meanwhile, liquidity evaporated in many segments of the fixed-income market, especially higher-yielding credits and anything perceived to be higher risk, which caused credit spreads to widen and depressed prices.

Fortunately, the U.S. Federal Reserve (the "Fed") and other monetary authorities worldwide leapt into action — slashing interest rates, (re)starting quantitative easing and, in the case of the Fed, launching an array of programs to provide liquidity to stabilize fixed-income markets.

The U.S. government also stepped up to provide $2 trillion of fiscal stimulus in the form of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act), which aims help toward corporations, small businesses, and individuals that have been affected by the abrupt economic stoppage.

All those steps ended the market's freefall, spurred a significant rally in equities, and helped tighten credit spreads across much of the fixed-income universe. In fact, by June 30, 2020, sentiment was nothing less than bullish and the broad market indexes had largely recovered losses from the first quarter. Through all this turmoil and volatility, the S&P 500^® Index managed to deliver an annual return of approximately 7.5% for the 12-month period ended June 30, 2020. Meanwhile, the yield on 10-year U.S. Treasuries declined 144 basis points, reflecting both the Fed intervention and the uncertainties, ending June 30 at approximately 0.66%.

Looking ahead, the economy and markets remain unpredictable. For equities, investors should expect continued bouts of elevated volatility, which will likely be driven by reports on the virus, a possible vaccine, and the economic data. On the whole, however, the tenor of the market is much improved from the depths of the crisis even as earnings estimates remain vague at best.

Credit markets, too, remain unpredictable, though they have stabilized markedly. A wide range of outcomes are conceivable over the next year, but continued monetary intervention and fiscal stimulus, coupled with a regional approach to economic shutdowns, may well prevent credit spreads from returning to the elevated levels of March.

3

Regardless, whatever is in store for markets, you can be certain that the investment philosophies and resolve of Victory Capital's various independent investment franchises remain steadfast. We believe that our collective investment talent and their passively managed portfolios will be able to manage risks and excel in an environment that often creates short-term pricing dislocations that benefit astute investors.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. If you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

4

VictoryShares

VictoryShares USAA MSCI USA Value Momentum ETF

Portfolio Review
June 30, 2020 (Unaudited)

What were the market conditions during the year ended June 30, 2020?

U.S. equities posted mixed results over the one-year period ended June 30, 2020, with the S&P 500^® Index and the Nasdaq-100 Index returning 7.51% and 33.78%, respectively, and the Russell 2000^® Index returning -6.63%. During the first quarter of 2020, the U.S. equity market experienced a drawdown of approximately 34% (as measured by the S&P 500^® Index) as fears over a spreading COVID-19 virus resulted in a temporary economic shutdown. Once business activity resumed around the second quarter, the U.S. equity market began to rally. Large-cap growth stocks appeared to drive the market rally as the Nasdaq-100 Index reached new highs during the second quarter, while the S&P 500^® Index and the Russell 2000^® Indexes failed to fully reach their pre-correction peaks. Growth stocks outperformed value stocks over the evaluation period, as the Russell 1000^® Growth Index returned 23.28% while the Russell 1000^® Value Index returned 8.84%.

How did VictoryShares USAA MSCI USA Value Momentum ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned -9.94% based on net asset value (NAV) and -10.17% based on market price over the one-year period ended June 30, 2020. The MSCI USA Select Value Momentum Blend Index (the "Index") returned -9.89% for the period.

The Fund, which provides exposure to U.S. large- and mid-cap stocks with value and momentum characteristics, as well as the Index, were negatively impacted by an underweight to the Information Technology sector, which was one of the best-performing sectors over the reporting period. An overweight to the Industrials sector also was detrimental as the sector delivered negative performance over the period.

Portfolio Holdings:

As a Percentage of Total Investments

5

VictoryShares

VictoryShares USAA MSCI USA Value Momentum ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

10/24/17

10/24/17

Net Asset Value

Market Price Value

MSCI USA Select Value Momentum Blend Index1

MSCI USA Index2

One Year

–9.94

%

–10.17

%

–9.89

%

8.42

%

Three Year

N/A

N/A

N/A

N/A

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–2.09

%

–2.19

%

N/A

N/A

Expense Ratios

Gross

0.23

%

With Applicable Waivers

0.20

%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The MSCI USA Select Value Momentum Blend Index is based on MSCI USA Index, its parent index, which includes large- and mid-cap stocks in the U.S. equity market. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. It is not possible to invest directly in an index.

²The MSCI USA Index is designed to measure the performance of the large- and mid-cap segments of the U.S. market. With 637 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

6

VictoryShares

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF

Portfolio Review
June 30, 2020 (Unaudited)

What were the market conditions during the year ended June 30, 2020?

U.S. equities posted mixed results over the one-year period ended June 30, 2020, with the S&P 500^® Index and the Nasdaq-100 Index returning 7.51% and 33.78%, respectively, and the Russell 2000^® Index declining by returning -6.63%. During the first quarter of 2020, the U.S. equity market experienced a drawdown of approximately 34% (as measured by the S&P 500^® Index) as fears over a spreading COVID-19 virus resulted in a temporary economic shutdown. Once business activity resumed around the second quarter, the U.S. equity market began to rally. Large-cap growth stocks appeared to drive the market rally as the Nasdaq-100 Index reached new highs during the second quarter, while the S&P 500^® Index and the Russell 2000^® Indexes failed to fully reach their pre-correction peaks. Growth stocks outperformed value stocks over the evaluation period, as the Russell 2000^® Growth Index returned 3.48% while the Russell 2000^® Value Index returned 17.48%.

How did VictoryShares USAA MSCI USA Small Cap Value Momentum ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned -9.25% based on net asset value (NAV) and -9.19% based on market price over the one-year period ended June 30, 2020. The MSCI USA Select Value Momentum Blend Index (the "Index") returned -8.97% for the period.

The Fund, which provides exposure to U.S. small-cap stocks with value and momentum characteristics, as well as the Index, were negatively impacted by a double-digit decline in the Financials sector. A slight underweight to Information Technology was also detrimental to performance as the sector increased by double digits over the evaluation period. The Real Estate, Industrials, and Communication Services sectors provided positive contribution with good stock selection.

Portfolio Holdings:

As a Percentage of Total Investments

7

VictoryShares

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

10/24/17

10/24/17

Net Asset Value

Market Price Value

MSCI USA Small Cap Select Value Momentum Blend Index1

MSCI USA Small Cap Index2

One Year

–9.25

%

–9.19

%

–8.97

%

–6.20

%

Three Year

N/A

N/A

N/A

N/A

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–2.07

%

–2.09

%

N/A

N/A

Expense Ratios

Gross

0.24

%

With Applicable Waivers

0.24

%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The MSCI USA Small Cap Select Value Momentum Blend Index is based on a traditional market cap-weighted parent index, the MSCI USA Small Cap Index, which includes U.S. small-cap stocks. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. It is not possible to invest directly in an index.

²The MSCI USA Small Cap Index is designed to measure the performance of the small-cap segment of the U.S. equity market. With 1,791 constituents, the index represents approximately 14% of the free float-adjusted market capitalization in the United States. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

8

VictoryShares

VictoryShares USAA MSCI International Value Momentum ETF

Portfolio Review
June 30, 2020 (Unaudited)

What were the market conditions during the year ended June 30, 2020?

Non-U.S. developed markets mostly declined over the one-year period ended June 30, 2020, with the MSCI EAFE Index returning -5.13% and the MSCI ACWI ex USA Index returning -4.80%. During the first quarter of 2020, the non-U.S. developed markets experienced a drawdown of approximately 34% (as measured by the MSCI EAFE Index) as fears over a spreading COVID-19 virus resulted in a temporary global economic shutdown. Once business activity resumed around the second quarter, non-U.S. developed markets began to rally. Despite the improving performance, neither the MSCI EAFE or the MSCI ACWI ex USA Index made it back to their pre-correction peaks. Non-U.S. growth stocks outperformed value stocks over the evaluation period, as the MSCI ACWI ex USA Growth Index returned 5.80% while the MSCI ACWI ex USA Value Index returned 15.26%.

How did VictoryShares USAA MSCI International Value Momentum ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned -12.42% based on net asset value (NAV) and -12.67% based on market price over the one-year period ended June 30, 2020. The MSCI World ex USA Select Value Momentum Blend Index (the "Index") returned -12.18% for the period.

The Fund, which provides exposure to equities in non-U.S. markets with value and momentum characteristics, as well as the Index were negatively impacted by Japan, Switzerland and Canada, where stock selection was struggling in the face of mixed country-level performance. The Fund's underweight position to securities held in the United Kingdom, where performance was negative, protected the portfolio and resulted in a positive allocation effect.

Portfolio Holdings:

As a Percentage of Total Investments

9

VictoryShares

VictoryShares USAA MSCI International Value Momentum ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

10/24/17

10/24/17

Net Asset Value

Market Price Value

MSCI World ex USA Select Value Momentum Blend Index1

MSCI World ex USA (Net) Index2

One Year

–12.42

%

–12.67

%

–12.18

%

–5.42

%

Three Year

N/A

N/A

N/A

N/A

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–6.98

%

–7.02

%

N/A

N/A

Expense Ratios

Gross

0.51

%

With Applicable Waivers

0.35

%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The MSCI World ex USA Select Value Momentum Blend Index is based on the MSCI World ex USA (Net) Index, its parent index, which includes large- and mid-cap stocks across 22 of 23 Developed Markets (DM) countries, excluding the United States. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. It is not possible to invest directly in an index.

²The MSCI World ex USA (Net) Index captures large- and mid-cap representation across 22 of 23 Developed Markets (DM) countries, excluding the United States. With 1,013 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

10

VictoryShares

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF

Portfolio Review
June 30, 2020 (Unaudited)

What were the market conditions during the year ended June 30, 2020?

Emerging markets declined over the one-year period ended June 30, 2020, with the MSCI Emerging Markets Index returning -3.39%. During the first quarter of 2020, emerging markets experienced a drawdown of approximately 34% (as measured by the MSCI Emerging Markets Index) as fears over a spreading COVID-19 virus resulted in a temporary global economic shutdown. Once business activity resumed around the second quarter, emerging markets began to rally. Despite the improving performance, the MSCI Emerging Markets Index did not reach its pre-correction peak. Emerging growth stocks outperformed value stocks over the evaluation period, as the MSCI Emerging Markets Growth Index returned 9.67% while the MSCI Emerging Markets Value Index returned 15.74%.

How did VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Fund") perform during the year ended June 30, 2020?

The Fund returned -12.68% based on net asset value (NAV) and -12.81% based on market price over the one-year period ended June 30, 2020. The MSCI Emerging Markets Select Value Momentum Blend Index (the "Index") returned -12.05% for the period.

The Fund, which provides exposure to equities in emerging markets with value and momentum characteristics, as well as the Index, were negatively impacted by China and Korea, where stock selection struggled due to low exposure to technology. The Fund's underweight positions to negatively performing markets such as India and Russia helped protect the portfolio, while good stock selection in Thailand improved Fund performance.

Portfolio Holdings:

As a Percentage of Total Investments

11

VictoryShares

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (continued)

Average Annual Total Return

Year Ended June 30, 2020

INCEPTION DATE

10/24/17

10/24/17

Net Asset Value

Market Price Value

MSCI Emerging Markets Select Value Momentum Blend Index1

MSCI Emerging Markets (Net) Index2

One Year

–12.68

%

–12.81

%

–12.05

%

–3.39

%

Three Year

N/A

N/A

N/A

N/A

Five Year

N/A

N/A

N/A

N/A

Ten Year

N/A

N/A

N/A

N/A

Since Inception

–7.80

%

–7.77

%

N/A

N/A

Expense Ratios

Gross

1.18

%

With Applicable Waivers

0.45

%

Past performance is not indicative of future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The above expense ratios are from the Fund's prospectus dated January 1, 2020, as supplemented May 1, 2020. Additional information pertaining to the Fund's expense ratios as of June 30, 2020 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through June 30, 2021.

Comparison of the Change in Value of a $10,000 Investment

¹The MSCI Emerging Markets Select Value Momentum Blend Index is based on the MSCI Emerging Markets (Net) Index, its parent index, which includes large- and mid-cap stocks across 24 Emerging Markets (EM) countries. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. It is not possible to invest directly in an index.

²The MSCI Emerging Markets (Net) Index captures large- and mid-cap representation across 26 Emerging Markets (EM) countries. With 1,202 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is not guarantee of future results.

12

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments
June 30, 2020

Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (4.7%):
Activision Blizzard, Inc.		20,949	$	1,590,029
AT&T, Inc.		122,772		3,711,397
Cable One, Inc.		997		1,769,525
CenturyLink, Inc. (a)		211,121		2,117,544
Charter Communications, Inc., Class A (b)		3,061		1,561,232
Comcast Corp., Class A (a)		47,413		1,848,159
Discovery, Inc., Class A (a) (b)		98,997		2,088,837
Electronic Arts, Inc. (b)		13,492		1,781,619
Liberty Broadband Corp., Class C (b)		12,280		1,522,229
Liberty Media Corp-Liberty SiriusXM, Class C (b)		42,705		1,471,187
Verizon Communications, Inc.		44,158		2,434,431
				21,896,189
Consumer Discretionary (10.1%):
Amazon.com, Inc. (b)		692		1,909,103
Aramark		46,593		1,051,604
Best Buy Co., Inc.		30,370		2,650,390
BorgWarner, Inc. (a)		41,156		1,452,807
Carnival Corp. (a)		60,078		986,481
D.R. Horton, Inc.		59,157		3,280,255
Dollar General Corp.		10,000		1,905,100
Domino's Pizza, Inc.		3,982		1,471,110
eBay, Inc.		36,617		1,920,562
Ford Motor Co.		244,759		1,488,135
Garmin Ltd.		23,111		2,253,323
General Motors Co., Class C		97,864		2,475,959
Lear Corp.		24,088		2,626,074
Lennar Corp., Class A		44,081		2,716,271
LKQ Corp. (b)		49,213		1,289,381
Mohawk Industries, Inc. (b)		21,385		2,176,138
Newell Brands, Inc.		79,052		1,255,346
NVR, Inc. (b)		388		1,264,395
PulteGroup, Inc.		73,424		2,498,619
Roku, Inc. (a) (b)		12,219		1,423,880
Royal Caribbean Cruises Ltd. (a)		32,046		1,611,914
Target Corp. (c)		23,399		2,806,242
Tesla, Inc. (b)		2,009		2,169,338
Tiffany & Co.		9,939		1,211,962
Whirlpool Corp. (a)		9,880		1,279,756
				47,174,145
Consumer Staples (7.2%):
Campbell Soup Co.		30,958		1,536,446
Conagra Brands, Inc.		88,079		3,097,738
General Mills, Inc.		32,762		2,019,777
Hormel Foods Corp.		48,327		2,332,744
Ingredion, Inc.		24,522		2,035,326
Lamb Weston Holdings, Inc.		21,627		1,382,614

See notes to financial statements.

13

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Molson Coors Beverage Co., Class B (a)		70,084	$	2,408,086
Sysco Corp.		32,902		1,798,423
The Clorox Co.		11,648		2,555,222
The Hershey Co.		16,832		2,181,764
The J.M. Smucker Co. (a)		16,954		1,793,903
The Kraft Heinz Co.		48,746		1,554,510
The Kroger Co.		87,117		2,948,911
Tyson Foods, Inc., Class A		23,907		1,427,487
Walgreens Boots Alliance, Inc.		42,117		1,785,340
Walmart, Inc.		17,489		2,094,832
				32,953,123
Energy (3.9%):
Baker Hughes Co.		137,892		2,122,158
Cabot Oil & Gas Corp.		76,257		1,310,095
Chevron Corp.		17,239		1,538,236
Concho Resources, Inc. (a)		19,179		987,719
Diamondback Energy, Inc.		37,526		1,569,337
HollyFrontier Corp.		71,787		2,096,180
Kinder Morgan, Inc.		213,670		3,241,374
Marathon Petroleum Corp.		55,754		2,084,085
Phillips 66		23,235		1,670,597
Valero Energy Corp.		20,109		1,182,811
				17,802,592
Financials (11.3%):
AGNC Investment Corp.		265,940		3,430,626
Ally Financial, Inc.		124,584		2,470,501
American International Group, Inc.		81,760		2,549,277
Annaly Capital Management, Inc.		169,321		1,110,746
Arch Capital Group Ltd. (b)		55,293		1,584,144
Assurant, Inc.		17,210		1,777,621
Athene Holding Ltd., Class A (b)		67,792		2,114,433
Brown & Brown, Inc.		59,961		2,444,010
Capital One Financial Corp.		34,544		2,162,109
Citigroup, Inc.		53,580		2,737,938
Citizens Financial Group, Inc.		101,829		2,570,164
Equitable Holdings, Inc. (a)		157,765		3,043,287
Lincoln National Corp.		48,390		1,780,268
MarketAxess Holdings, Inc.		3,109		1,557,360
MetLife, Inc.		74,150		2,707,958
Morgan Stanley (a)		32,326		1,561,346
MSCI, Inc.		5,192		1,733,193
Prudential Financial, Inc.		21,684		1,320,556
RenaissanceRe Holdings Ltd.		12,277		2,099,735
S&P Global, Inc.		5,945		1,958,759
The Allstate Corp.		22,822		2,213,506
The Goldman Sachs Group, Inc.		7,927		1,566,534
Tradeweb Markets, Inc., Class A		22,964		1,335,127
Voya Financial, Inc.		57,100		2,663,715
W.R. Berkley Corp.		39,034		2,236,258
				52,729,171

See notes to financial statements.

14

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June 30, 2020

Security Description	Shares		Value
Health Care (14.5%):
AmerisourceBergen Corp.		16,889	$	1,701,905
Amgen, Inc.		8,224		1,939,713
Biogen, Inc. (b)		3,425		916,359
Bio-Rad Laboratories, Inc., Class A (b)		7,853		3,545,551
Bristol-Myers Squibb Co.		60,577		3,561,928
Cardinal Health, Inc.		50,966		2,659,915
Centene Corp. (b)		18,862		1,198,680
Cigna Corp.		7,434		1,394,990
CVS Health Corp.		44,769		2,908,641
Danaher Corp.		27,613		4,882,806
DaVita, Inc. (b)		32,287		2,555,193
DENTSPLY SIRONA, Inc.		29,963		1,320,170
DexCom, Inc. (b)		2,190		887,826
Eli Lilly & Co.		28,014		4,599,339
Gilead Sciences, Inc. (c)		22,550		1,734,997
Humana, Inc.		3,108		1,205,127
Insulet Corp. (b)		11,389		2,212,427
Jazz Pharmaceuticals PLC (b)		11,757		1,297,267
Laboratory Corp. of America Holdings (b)		11,343		1,884,186
Masimo Corp. (a) (b)		6,340		1,445,457
McKesson Corp.		17,954		2,754,502
Medtronic PLC		22,598		2,072,237
Molina Healthcare, Inc. (b)		5,404		961,804
Mylan NV (b)		126,906		2,040,648
Perrigo Co. PLC		19,983		1,104,460
Quest Diagnostics, Inc.		20,658		2,354,186
Regeneron Pharmaceuticals, Inc. (b)		2,431		1,516,093
ResMed, Inc.		10,544		2,024,448
Teladoc Health, Inc. (b)		5,001		954,391
Thermo Fisher Scientific, Inc.		6,509		2,358,471
West Pharmaceutical Services, Inc.		7,925		1,800,322
Zimmer Biomet Holdings, Inc.		12,427		1,483,287
Zoetis, Inc.		14,946		2,048,200
				67,325,526
Industrials (14.2%):
Allegion PLC		16,291		1,665,266
AMERCO, Inc.		5,444		1,645,122
Carrier Global Corp.		83,570		1,856,925
Copart, Inc. (b)		17,342		1,444,068
CoStar Group, Inc. (b) (c)		2,349		1,669,364
Cummins, Inc.		21,553		3,734,273
Delta Air Lines, Inc.		30,955		868,288
Eaton Corp. PLC		44,133		3,860,755
Fortune Brands Home & Security, Inc.		43,781		2,798,919
Howmet Aerospace, Inc.		82,745		1,311,508
IHS Markit Ltd.		59,400		4,484,699
Ingersoll Rand, Inc. (b) (c)		14,444		406,165
Jacobs Engineering Group, Inc.		18,723		1,587,710
Kansas City Southern		24,483		3,655,067
Knight-Swift Transportation Holdings, Inc. (a)		70,787		2,952,526
L3Harris Technologies, Inc.		18,468		3,133,466

See notes to financial statements.

15

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June 30, 2020

Security Description	Shares		Value
Lockheed Martin Corp.		4,905	$	1,789,933
Norfolk Southern Corp.		10,292		1,806,966
Northrop Grumman Corp.		6,006		1,846,485
Old Dominion Freight Line, Inc.		10,176		1,725,748
Owens Corning, Inc.		51,211		2,855,526
PACCAR, Inc.		51,079		3,823,263
Republic Services, Inc. (c)		32,118		2,635,282
Southwest Airlines Co.		31,931		1,091,401
Teledyne Technologies, Inc. (b)		10,443		3,247,250
Trane Technologies PLC		16,367		1,456,336
TransDigm Group, Inc.		2,663		1,177,179
United Rentals, Inc. (b)		16,244		2,421,006
Westinghouse Air Brake Technologies Corp.		20,532		1,182,027
XPO Logistics, Inc. (b)		24,549		1,896,410
				66,028,933
Information Technology (16.6%):
Akamai Technologies, Inc. (b)		16,580		1,775,552
ANSYS, Inc. (b)		6,458		1,883,992
Apple, Inc.		11,026		4,022,284
Applied Materials, Inc.		20,736		1,253,491
Arrow Electronics, Inc. (b)		22,851		1,569,635
CDW Corp.		14,269		1,657,773
Citrix Systems, Inc.		14,101		2,085,679
Dell Technologies, Inc., Class C (b)		29,721		1,632,872
DocuSign, Inc. (b)		10,890		1,875,367
Fidelity National Information Services, Inc.		32,624		4,374,553
Fiserv, Inc. (b)		39,608		3,866,533
Global Payments, Inc.		10,302		1,747,425
Hewlett Packard Enterprise Co.		250,046		2,432,948
HP, Inc.		79,002		1,377,005
Intel Corp.		49,835		2,981,628
KLA Corp.		7,464		1,451,599
Lam Research Corp.		7,941		2,568,596
Leidos Holdings, Inc.		31,660		2,965,592
Micron Technology, Inc. (b)		40,403		2,081,563
Microsoft Corp. (c)		25,530		5,195,610
NortonLifeLock, Inc.		60,167		1,193,112
NVIDIA Corp.		2,979		1,131,752
NXP Semiconductors NV		13,988		1,595,192
ON Semiconductor Corp. (b)		57,316		1,136,003
Paycom Software, Inc. (b)		4,099		1,269,583
Qorvo, Inc. (b)		25,256		2,791,546
Seagate Technology PLC		50,257		2,432,941
Skyworks Solutions, Inc.		25,242		3,227,441
Synopsys, Inc. (b)		13,027		2,540,265
Teradyne, Inc.		38,050		3,215,605
The Western Union Co. (a)		99,295		2,146,758
Tyler Technologies, Inc. (b)		7,101		2,463,195
Western Digital Corp.		37,815		1,669,532
Zoom Video Communications, Inc., Class A (a) (b)		7,976		2,022,235
				77,634,857

See notes to financial statements.

16

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June 30, 2020

Security Description	Shares		Value
Materials (4.4%):
Air Products & Chemicals, Inc.		10,092	$	2,436,814
Corteva, Inc.		116,575		3,123,045
Crown Holdings, Inc. (b)		21,577		1,405,310
Dow, Inc.		37,566		1,531,190
Newmont Corp.		61,667		3,807,320
Nucor Corp.		39,148		1,621,119
Steel Dynamics, Inc.		103,832		2,708,977
The Mosaic Co.		94,322		1,179,968
Westrock Co.		88,522		2,501,632
				20,315,375
Real Estate (8.0%):
American Tower Corp.		17,986		4,650,099
CBRE Group, Inc., Class A (b)		68,053		3,077,357
Crown Castle International Corp.		11,536		1,930,550
Digital Realty Trust, Inc.		13,591		1,931,417
Equinix, Inc. (a)		6,175		4,336,703
Equity LifeStyle Properties, Inc.		68,373		4,271,945
Host Hotels & Resorts, Inc.		267,091		2,881,912
Jones Lang LaSalle, Inc.		10,446		1,080,743
Medical Properties Trust, Inc.		169,053		3,178,196
Mid-America Apartment Communities, Inc.		32,058		3,676,091
SBA Communications Corp.		5,730		1,707,082
Sun Communities, Inc.		17,852		2,422,159
VICI Properties, Inc.		88,121		1,779,163
				36,923,417
Utilities (4.7%):
Edison International		25,566		1,388,489
Entergy Corp.		24,039		2,255,099
Evergy, Inc. (c)		27,916		1,655,140
Exelon Corp.		111,379		4,041,944
NRG Energy, Inc.		31,165		1,014,732
PPL Corp.		73,441		1,897,715
The AES Corp.		107,513		1,557,863
The Southern Co. (c)		74,601		3,868,062
Vistra Corp.		205,195		3,820,732
				21,499,776
Total Common Stocks (Cost $472,923,375)				462,283,104
Collateral for Securities Loaned^ (2.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (d)		195,200		195,200
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (d)		5,907,853		5,907,853
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (d)		1,357,415		1,357,415
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (d)		776,751		776,751
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (d)		3,492,426		3,492,426
Total Collateral for Securities Loaned (Cost $11,729,645)				11,729,645
Total Investments (Cost $484,653,020) — 102.1%				474,012,749
Liabilities in excess of other assets — (2.1)%				(9,665,399	)
NET ASSETS — 100.00%			$	464,347,350

See notes to financial statements.

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June 30, 2020

^  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)  All or a portion of this security has been segregated as collateral for derivative instruments.

(d)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		10	9/18/20	$	1,571,550	$	1,545,100	$	(26,450	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(26,450	)
	Total net unrealized appreciation (depreciation)							$	(26,450	)

See notes to financial statements.

18

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments
June 30, 2020

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.3%):
Cardlytics, Inc. (a) (b)		7,215	$	504,906
Cincinnati Bell, Inc. (a)		13,145		195,203
Cogent Communications Holdings, Inc. (c)		5,383		416,430
Consolidated Communications Holdings, Inc. (a)		37,511		253,949
EverQuote, Inc., Class A (a)		12,924		751,659
GCI Liberty, Inc., Class A (a)		5,679		403,890
Gray Television, Inc. (a)		30,619		427,135
iHeartMedia, Inc., Class A (a) (b)		37,130		310,036
Liberty TripAdvisor Holdings, Inc., Class A (a)		75,562		160,947
Nexstar Media Group, Inc., Class A		3,136		262,452
Shenandoah Telecommunications Co.		7,226		356,170
Sinclair Broadcast Group, Inc., Class A (b)		9,664		178,397
TechTarget, Inc. (a)		24,233		727,717
TEGNA, Inc.		21,897		243,933
Telephone & Data Systems, Inc.		34,546		686,774
The Meet Group, Inc. (a)		30,594		190,907
United States Cellular Corp. (a)		10,883		335,958
Zynga, Inc., Class A (a)		117,712		1,122,972
				7,529,435
Consumer Discretionary (11.5%):
1-800-Flowers.com, Inc., Class A (a)		12,602		252,292
Abercrombie & Fitch Co. (b)		27,277		290,227
Acushnet Holdings Corp.		17,612		612,721
American Axle & Manufacturing Holdings, Inc. (a)		29,965		227,734
American Public Education, Inc. (a)		9,036		267,466
America's Car-Mart, Inc. (a)		2,768		243,224
Asbury Automotive Group, Inc. (a)		3,901		301,664
AutoNation, Inc. (a)		7,908		297,183
Bed Bath & Beyond, Inc. (b)		20,578		218,127
Big Lots, Inc.		7,379		309,917
Boot Barn Holdings, Inc. (a)		6,937		149,562
Bright Horizons Family Solutions, Inc. (a)		4,264		499,740
Brunswick Corp.		6,806		435,652
Century Communities, Inc. (a)		16,841		516,345
Chegg, Inc. (a)		4,726		317,871
Cooper Tire & Rubber Co.		12,817		353,877
Crocs, Inc. (a) (b)		7,618		280,495
Dana, Inc.		19,791		241,252
Deckers Outdoor Corp. (a)		1,853		363,911
Dick's Sporting Goods, Inc.		14,871		613,577
Dillard's, Inc., Class A (b)		8,026		206,991
GameStop Corp., Class A (a) (b)		56,244		244,099
Genesco, Inc. (a)		16,566		358,820
Gentex Corp.		33,772		870,305
G-III Apparel Group Ltd. (a)		16,932		225,026
Group 1 Automotive, Inc.		7,597		501,174
Helen of Troy Ltd. (a) (b)		4,289		808,734

See notes to financial statements.

19

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Hibbett Sports, Inc. (a)		21,854	$	457,623
Installed Building Products, Inc. (a)		4,040		277,871
Johnson Outdoors, Inc., Class A		4,537		412,958
K12, Inc. (a)		12,323		335,678
KB Home		17,966		551,197
Lithia Motors, Inc., Class A		5,144		778,441
M/I Homes, Inc. (a)		17,384		598,705
Macy's, Inc. (b)		44,818		308,348
Malibu Boats, Inc., Class A (a)		6,124		318,142
MDC Holdings, Inc.		18,519		661,128
Meritage Homes Corp. (a)		9,544		726,489
Murphy USA, Inc. (a)		3,185		358,599
Office Depot, Inc.		189,691		445,774
Papa John's International, Inc.		4,108		326,217
Penn National Gaming, Inc. (a)		8,936		272,905
PetMed Express, Inc. (c)		7,397		263,629
Qurate Retail, Inc., Class A (a)		30,242		287,299
Rent-A-Center, Inc.		19,969		555,538
Shoe Carnival, Inc. (b)		6,719		196,665
Signet Jewelers Ltd. (b)		23,730		243,707
Skechers USA, Inc., Class A (a)		7,018		220,225
Smith & Wesson Brands, Inc. (a)		23,601		507,894
Sonic Automotive, Inc., Class A		17,740		566,083
Stamps.com, Inc. (a)		765		140,523
Strategic Education, Inc.		1,998		306,993
Sturm Ruger & Co., Inc. (c)		7,199		547,124
Taylor Morrison Home Corp., Class A (a)		29,441		567,917
Tempur Sealy International, Inc. (a)		3,791		272,762
Tenneco, Inc., Class A (a)		21,936		165,836
The Buckle, Inc. (b)		12,435		194,981
The Cato Corp., Class A		41,331		338,088
Thor Industries, Inc.		6,453		687,438
Toll Brothers, Inc.		20,662		673,375
TopBuild Corp. (a)		5,918		673,291
TRI Pointe Group, Inc. (a)		42,691		627,131
Twin River Worldwide Holdings, Inc.		7,567		168,668
Universal Electronics, Inc. (a)		5,580		261,256
Vista Outdoor, Inc. (a)		24,217		349,936
Wingstop, Inc.		2,327		323,383
Winnebago Industries, Inc.		8,578		571,466
YETI Holdings, Inc. (a)		9,562		408,584
Zumiez, Inc. (a)		18,448		505,106
				27,462,959
Consumer Staples (3.2%):
Casey's General Stores, Inc.		2,873		429,571
Central Garden & Pet Co., Class A (a)		10,110		341,617
Darling Ingredients, Inc. (a)		16,206		398,992
elf Beauty, Inc. (a)		11,841		225,808
Fresh Del Monte Produce, Inc.		22,247		547,721
Freshpet, Inc. (a)		9,205		770,090

See notes to financial statements.

20

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Ingles Markets, Inc., Class A		17,618	$	758,807
Performance Food Group Co. (a)		9,969		290,497
Pilgrim's Pride Corp. (a)		14,730		248,790
Rite Aid Corp. (a) (b)		22,720		387,603
SpartanNash Co.		30,538		648,933
The Andersons, Inc.		28,687		394,733
The Boston Beer Co., Inc., Class A (a)		627		336,480
U.S. Foods Holding Corp. (a)		12,663		249,714
United Natural Foods, Inc. (a) (b)		35,847		652,774
Universal Corp.		15,696		667,237
Weis Markets, Inc. (c)		7,818		391,838
				7,741,205
Energy (2.2%):
Antero Resources Corp. (a)		198,638		504,540
Bonanza Creek Energy, Inc. (a)		23,450		347,529
CNX Resources Corp. (a)		20,407		176,521
Diamond S Shipping, Inc. (a)		21,647		172,960
Dorian LPG Ltd. (a)		40,789		315,707
EQT Corp.		16,063		191,150
Gulfport Energy Corp. (a) (b)		275,663		300,473
Helix Energy Solutions Group, Inc. (a)		89,530		310,669
International Seaways, Inc.		25,852		422,421
Northern Oil And Gas, Inc. (a) (b)		280,191		235,052
Par Pacific Holdings, Inc. (a)		23,590		212,074
PDC Energy, Inc. (a)		16,556		205,957
Range Resources Corp.		33,033		185,976
Renewable Energy Group, Inc. (a) (b)		16,725		414,446
Southwestern Energy Co. (a)		210,101		537,858
Talos Energy, Inc. (a)		13,612		125,230
Transocean Ltd. (a) (b)		131,025		239,776
World Fuel Services Corp. (c)		8,325		214,452
WPX Energy, Inc. (a)		25,392		162,001
				5,274,792
Financials (15.3%):
American Equity Investment Life Holding Co.		22,145		547,203
American National Insurance Co.		12,354		890,353
Arbor Realty Trust, Inc. (b)		65,614		606,273
Ares Commercial Real Estate Corp.		69,160		630,739
Ares Management Corp., Class A		21,507		853,828
ARMOUR Residential REIT, Inc.		28,554		268,122
Assured Guaranty Ltd.		22,994		561,284
Axis Capital Holdings Ltd.		10,018		406,330
Blackstone Mortgage Trust, Inc., Class A		25,500		614,295
Brighthouse Financial, Inc. (a)		21,679		603,110
Cannae Holdings, Inc. (a)		21,528		884,801
Chimera Investment Corp.		71,863		690,603
CIT Group, Inc.		14,047		291,194
CNO Financial Group, Inc.		23,077		359,309
Cohen & Steers, Inc. (b)		7,700		523,985

See notes to financial statements.

21

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June 30, 2020

Security Description	Shares		Value
Cowen, Inc., Class A (b)		39,755	$	644,429
Customers Bancorp, Inc., Class A (a)		49,131		590,555
Dynex Capital, Inc. (b)		37,662		538,567
eHealth, Inc. (a)		1,570		154,237
Ellington Financial, Inc.		64,812		763,485
Encore Capital Group, Inc. (a)		15,670		535,601
Enstar Group Ltd. (a)		3,410		520,946
Essent Group Ltd.		8,977		325,596
EZCORP, Inc., Class A (a)		138,912		875,145
Focus Financial Partners, Inc., Class A (a)		13,847		457,643
Genworth Financial, Inc. (a)		179,079		413,672
Goosehead Insurance, Inc., Class A (a)		5,684		427,209
Hamilton Lane, Inc., Class A		5,101		343,654
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		15,202		432,649
Heritage Insurance Holdings, Inc.		48,500		634,865
Hilltop Holdings, Inc.		43,169		796,468
Houlihan Lokey, Inc.		7,571		421,250
International Fcstone, Inc. (a)		18,610		1,023,550
Invesco Mortgage Capital, Inc. (b)		121,162		453,146
Janus Henderson Group PLC		17,804		376,733
Kinsale Capital Group, Inc.		6,499		1,008,710
Legg Mason, Inc.		19,078		949,131
Meta Financial Group, Inc.		25,258		458,938
MFA Financial, Inc. (b)		226,834		564,817
MGIC Investment Corp.		64,884		531,400
Mr. Cooper Group, Inc. (a)		28,468		354,142
National Western Life Group, Inc., Class A		3,727		757,289
Navient Corp.		61,233		430,468
New Residential Investment Corp.		32,699		242,954
New York Community Bancorp, Inc. (b)		42,174		430,175
New York Mortgage Trust, Inc.		221,878		579,102
NMI Holdings, Inc., Class A (a)		10,721		172,394
OFG Bancorp		22,148		296,119
OneMain Holdings, Inc.		16,661		408,861
Palomar Holdings, Inc. (a)		5,133		440,206
Pennymac Financial Services		21,660		905,170
Pennymac Mortgage Investment Trust		53,001		929,108
Popular, Inc.		17,139		637,057
Radian Group, Inc.		34,522		535,436
Ready Capital Corp. (b)		38,222		332,149
Redwood Trust, Inc.		96,267		673,869
SLM Corp.		42,006		295,302
Starwood Property Trust, Inc.		39,677		593,568
Sterling Bancorp		23,920		280,342
Stifel Financial Corp.		6,165		292,406
Third Point Reinsurance Ltd. (a)		46,048		345,820
TPG RE Finance Trust, Inc. (b)		22,994		197,748
Two Harbors Investment Corp.		91,879		463,070
Unum Group		16,552		274,598
Victory Capital Holdings, Inc., Class A (d)		21,255		365,373

See notes to financial statements.

22

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Virtu Financial, Inc., Class A		11,756	$	277,442
Virtus Investment Partners, Inc.		2,818		327,705
Walker & Dunlop, Inc.		5,623		285,705
White Mountains Insurance Group Ltd.		1,417		1,258,253
				36,355,656
Health Care (19.0%):
Acadia Healthcare Co., Inc. (a)		16,558		415,937
ACADIA Pharmaceuticals, Inc. (a)		3,310		160,436
Acceleron Pharma, Inc. (a)		3,999		380,985
Addus HomeCare Corp. (a)		7,824		724,189
Allakos, Inc. (a)		6,677		479,809
Amedisys, Inc. (a) (b)		3,613		717,325
AMN Healthcare Services, Inc. (a)		11,343		513,157
ANI Pharmaceuticals, Inc. (a) (b)		4,567		147,697
Anika Therapeutics, Inc. (a)		6,101		230,191
Apellis Pharmaceuticals, Inc. (a)		5,784		188,905
Applied Therapeutics, Inc. (a)		4,479		161,916
Arcus Biosciences, Inc. (a)		6,312		156,159
Arena Pharmaceuticals, Inc. (a)		4,540		285,793
Arrowhead Pharmaceuticals, Inc. (a) (b)		8,398		362,710
Arvinas, Inc. (a) (b)		9,409		315,578
AtriCure, Inc. (a)		14,658		658,877
Axsome Therapeutics, Inc. (a)		3,529		290,366
Bio-Techne Corp.		4,500		1,188,315
Bioxcel Therapeutics, Inc. (a)		4,415		234,039
Bruker Corp.		8,094		329,264
Cardiovascular Systems, Inc. (a)		17,997		567,805
Catalyst Pharmaceuticals, Inc. (a)		72,089		333,051
Catasys, Inc. (a) (b)		10,324		255,416
CEL-SCI Corp. (a) (b)		10,075		150,319
Charles River Laboratories International, Inc. (a)		4,743		826,942
Chemed Corp.		2,259		1,018,967
Chemocentryx, Inc. (a)		5,910		340,061
Collegium Pharmaceutical, Inc. (a)		15,402		269,535
Computer Programs & Systems, Inc.		13,682		311,813
CONMED Corp.		5,351		385,218
Constellation Pharmaceuticals, Inc. (a)		5,696		171,165
Corcept Therapeutics, Inc. (a)		30,039		505,256
Cortexyme, Inc. (a) (b)		3,782		175,107
CorVel Corp. (a)		6,108		432,996
CryoLife, Inc. (a)		12,977		248,769
Deciphera Pharmaceuticals, Inc. (a)		8,033		479,731
Dicerna Pharmaceuticals, Inc. (a)		8,409		213,589
Eagle Pharmaceuticals, Inc. (a)		4,860		233,183
Eidos Therapeutics, Inc. (a) (b)		9,471		451,483
Emergent BioSolutions, Inc. (a)		3,171		250,763
Encompass Health Corp.		12,204		755,794
Endo International PLC (a)		65,369		224,216
Exelixis, Inc. (a)		9,705		230,397
GenMark Diagnostics, Inc. (a)		16,371		240,817

See notes to financial statements.

23

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Globus Medical, Inc. (a)		8,036	$	383,398
Haemonetics Corp. (a)		3,574		320,087
Halozyme Therapeutics, Inc. (a)		13,220		354,428
Hanger, Inc. (a)		9,770		161,791
Hill-Rom Holdings, Inc.		9,402		1,032,152
HMS Holdings Corp. (a)		11,733		380,032
Horizon Therapeutics PLC (a)		13,651		758,722
Innoviva, Inc. (a)		46,806		654,348
Inovalon Holdings, Inc., Class A (a)		31,324		603,300
Inovio Pharmaceuticals, Inc. (a) (b)		10,629		286,452
Integer Holdings Corp. (a)		7,576		553,427
Integra LifeSciences Holdings Corp. (a)		15,366		722,048
Iovance Biotherapeutics, Inc. (a)		4,497		123,443
iRhythm Technologies, Inc. (a)		2,186		253,336
Karyopharm Therapeutics, Inc. (a)		8,977		170,024
Kodiak Sciences, Inc. (a) (b)		7,622		412,503
Lannett Co., Inc. (a)		38,452		279,162
Lantheus Holdings, Inc. (a)		14,110		201,773
LeMaitre Vascular, Inc. (b)		9,621		253,994
LHC Group, Inc. (a)		5,064		882,756
Luminex Corp.		10,640		346,119
Magellan Health, Inc. (a)		9,039		659,666
Medpace Holdings, Inc. (a)		5,553		516,540
Merit Medical Systems, Inc. (a)		7,346		335,345
Molecular Templates, Inc. (a)		9,726		134,122
Momenta Pharmaceuticals, Inc. (a)		11,528		383,537
Natera, Inc. (a)		10,615		529,263
National Healthcare Corp. (c)		17,527		1,111,914
Natus Medical, Inc. (a)		13,601		296,774
NeoGenomics, Inc. (a)		19,088		591,346
Neoleukin Therapeutics, Inc. (a) (b)		12,685		210,571
Nevro Corp. (a)		3,666		437,977
Novocure Ltd. (a)		5,672		336,350
NuVasive, Inc. (a)		9,099		506,450
Omnicell, Inc. (a)		3,977		280,856
Option Care Health, Inc. (a)		13,465		186,894
OraSure Technologies, Inc. (a)		15,829		184,091
Owens & Minor, Inc.		48,196		367,254
Pacira BioSciences, Inc. (a)		6,704		351,759
Patterson Cos., Inc. (b) (c)		15,617		343,574
PDL BioPharma, Inc. (a)		188,552		548,685
Penumbra, Inc. (a)		1,668		298,272
PRA Health Sciences, Inc. (a)		3,671		357,152
Premier, Inc., Class A (a)		24,668		845,619
Prestige Consumer Healthcare, Inc. (a)		17,327		650,802
Principia Biopharma, Inc. (a)		6,662		398,321
Provention Bio, Inc. (a)		16,120		227,453
Quidel Corp. (a) (b)		4,981		1,114,450
R1 RCM, Inc. (a)		44,303		493,978
RadNet, Inc. (a)		29,438		467,181

See notes to financial statements.

24

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Reata Pharmaceuticals, Inc., Class A (a)		1,706	$	266,170
Repligen Corp. (a) (b)		5,472		676,393
Select Medical Holdings Corp. (a)		31,270		460,607
Simulations Plus, Inc.		8,209		491,062
Surgery Partners, Inc. (a)		9,922		114,798
Syneos Health, Inc. (a)		7,724		449,923
Tandem Diabetes Care, Inc. (a)		3,625		358,585
Tenet Healthcare Corp. (a)		14,138		256,039
The Ensign Group, Inc.		14,489		606,365
The Pennant Group, Inc. (a)		16,748		378,505
Tivity Health, Inc. (a) (b)		11,378		128,913
Triple-S Management Corp., Class B (a) (b)		25,366		482,461
United Therapeutics Corp. (a)		7,339		888,018
Veracyte, Inc. (a)		17,389		450,375
Zynex, Inc. (a) (b)		10,902		271,133
				45,592,879
Industrials (14.1%):
ACCO Brands Corp.		79,349		563,378
ADT, Inc. (b)		97,783		780,308
Advanced Drainage Systems, Inc.		16,391		809,715
AECOM (a)		20,251		761,033
Air Lease Corp.		20,840		610,404
Alamo Group, Inc. (b)		3,780		387,979
Allegiant Travel Co. (b)		2,212		241,573
American Woodmark Corp. (a)		2,544		192,454
ArcBest Corp.		22,925		607,742
Arcosa, Inc.		16,519		697,102
Astec Industries, Inc.		7,527		348,575
Atkore International Group, Inc. (a)		18,334		501,435
Atlas Air Worldwide Holdings, Inc. (a)		15,412		663,178
Avis Budget Group, Inc. (a) (b) (c)		6,120		140,087
Barrett Business Services, Inc.		4,539		241,157
Beacon Roofing Supply, Inc. (a)		10,947		288,672
Bloom Energy Corp., Class A (a) (b)		35,497		386,207
BMC Stock Holdings, Inc. (a)		26,898		676,217
Builders FirstSource, Inc. (a)		25,446		526,732
CAI International, Inc. (a)		25,256		420,765
Carlisle Cos., Inc.		3,494		418,127
Casella Waste Systems, Inc. (a)		7,560		394,027
CBIZ, Inc. (a) (b)		39,423		944,970
Colfax Corp. (a)		10,728		299,311
Construction Partners, Inc., Class A (a) (b)		18,891		335,504
Cornerstone Building Brands, Inc. (a)		32,379		196,217
CSW Industrials, Inc.		15,152		1,047,155
Enphase Energy, Inc. (a)		6,134		291,794
ESCO Technologies, Inc.		5,427		458,744
Evoqua Water Technologies Corp. (a)		15,422		286,849
Federal Signal Corp.		13,476		400,641
Foundation Building Materials, Inc. (a)		40,166		626,991
FTI Consulting, Inc. (a)		7,526		862,103

See notes to financial statements.

25

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Genco Shipping & Trading Ltd.		81,151	$	509,628
Generac Holdings, Inc. (a)		7,930		966,905
Gibraltar Industries, Inc. (a)		15,729		755,149
GMS, Inc. (a)		22,899		563,086
Great Lakes Dredge & Dock Corp. (a)		66,509		615,873
Hawaiian Holdings, Inc.		11,140		156,406
Heidrick & Struggles International, Inc.		23,887		516,437
Herc Holdings, Inc. (a)		8,499		261,174
Hub Group, Inc., Class A (a)		8,482		405,949
Kelly Services, Inc., Class A		25,101		396,972
Marten Transport Ltd.		15,116		380,319
Masonite International Corp. (a)		5,170		402,123
McGrath RentCorp		5,655		305,427
Meritor, Inc. (a)		13,145		260,271
Oshkosh Corp.		5,478		392,334
Powell Industries, Inc.		9,681		265,163
Quanta Services, Inc.		23,789		933,242
Resideo Technologies, Inc. (a) (b)		48,927		573,424
Ryder System, Inc.		9,687		363,359
Saia, Inc. (a)		7,033		781,929
Schneider National, Inc., Class B		20,220		498,827
SkyWest, Inc.		16,054		523,681
SPX Corp. (a)		8,086		332,739
Sterling Construction Co., Inc. (a)		49,426		517,490
Tetra Tech, Inc.		5,221		413,086
The Greenbrier Cos., Inc.		13,210		300,528
The Shyft Group, Inc.		28,783		484,707
Triton International Ltd.		18,480		558,835
Tutor Perini Corp. (a)		55,320		673,798
UFP Industries, Inc.		15,329		758,939
UniFirst Corp.		5,058		905,129
Vectrus, Inc. (a)		11,049		542,837
Vicor Corp. (a)		3,775		271,611
Werner Enterprises, Inc.		23,619		1,028,135
WESCO International, Inc. (a)		1,669		58,595
				34,081,253
Information Technology (16.0%):
ACM Research, Inc., Class A (a)		4,132		257,672
Advanced Energy Industries, Inc. (a)		4,752		322,138
Agilysys, Inc. (a)		11,284		202,435
Alteryx, Inc., Class A (a)		2,043		335,624
Amkor Technology, Inc. (a)		52,292		643,715
Appfolio, Inc., Class A (a)		2,589		421,256
Avaya Holdings Corp. (a)		42,695		527,710
Axcelis Technologies, Inc. (a)		10,443		290,838
Benchmark Electronics, Inc.		31,806		687,010
CACI International, Inc., Class A (a)		3,928		851,904
Cardtronics PLC, Class A (a)		5,638		135,199
Ciena Corp. (a)		6,249		338,446
Cirrus Logic, Inc. (a)		8,874		548,236

See notes to financial statements.

26

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Cohu, Inc.		11,922	$	206,727
Comtech Telecommunications Corp.		13,028		220,043
Conduent, Inc. (a)		154,063		368,211
CSG Systems International, Inc.		20,537		850,026
Digital Turbine, Inc. (a)		34,729		436,544
Diodes, Inc. (a)		14,282		724,097
DXC Technology Co.		14,783		243,920
EchoStar Corp., Class A (a)		26,822		749,943
Entegris, Inc.		12,156		717,812
Euronet Worldwide, Inc. (a)		3,221		308,636
Everbridge, Inc. (a)		1,944		268,972
Everi Holdings, Inc. (a)		19,216		99,155
Fabrinet (a)		10,006		624,575
Five9, Inc. (a)		2,824		312,532
FormFactor, Inc. (a)		20,004		586,717
Ichor Holdings Ltd. (a)		13,797		366,724
Inphi Corp. (a)		2,336		274,480
Inseego Corp. (a) (b)		16,086		186,598
Insight Enterprises, Inc. (a)		12,574		618,641
Itron, Inc. (a)		10,527		697,414
J2 Global, Inc. (a)		5,472		345,885
Jabil, Inc.		20,899		670,440
KBR, Inc.		25,152		567,178
Knowles Corp. (a)		21,891		334,057
Kulicke & Soffa Industries, Inc.		30,339		631,961
Lattice Semiconductor Corp. (a)		24,938		707,990
Limelight Networks, Inc. (a)		43,578		320,734
LogMeIn, Inc.		4,652		394,350
Lumentum Holdings, Inc. (a)		5,736		467,082
MACOM Technology Solutions Holdings, Inc. (a)		6,482		222,657
ManTech International Corp., Class A		10,792		739,144
Mesa Laboratories, Inc. (b)		1,184		256,691
Methode Electronics, Inc.		23,267		727,326
MKS Instruments, Inc.		5,833		660,529
Model N, Inc. (a)		24,144		839,245
Monolithic Power Systems, Inc.		1,815		430,155
NeoPhotonics Corp. (a)		23,009		204,320
NetScout Systems, Inc. (a)		14,274		364,843
NIC, Inc.		15,522		356,385
Nuance Communications, Inc. (a)		39,220		992,462
Onto Innovation, Inc. (a)		14,802		503,860
Paylocity Holding Corp. (a)		2,452		357,722
PC Connection, Inc.		15,926		738,329
Perficient, Inc. (a) (b)		20,854		746,156
Perspecta, Inc.		12,652		293,906
Photronics, Inc. (a)		41,149		457,988
Plexus Corp. (a)		12,013		847,637
Power Integrations, Inc.		3,347		395,381
Rambus, Inc. (a)		52,365		795,947
Sanmina Corp. (a)		23,622		591,495

See notes to financial statements.

27

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
ScanSource, Inc. (a)		14,039	$	338,200
SMART Global Holdings, Inc. (a)		20,365		553,521
SolarEdge Technologies, Inc. (a)		3,662		508,212
Super Micro Computer, Inc. (a)		10,947		310,785
Switch, Inc., Class A (b)		15,111		269,278
Sykes Enterprises, Inc. (a)		27,731		767,039
Synaptics, Inc. (a) (b)		7,005		421,141
SYNNEX Corp.		5,364		642,446
TTEC Holdings, Inc.		8,552		398,181
TTM Technologies, Inc. (a)		49,784		590,438
Ultra Clean Holdings, Inc. (a)		17,936		405,892
Vishay Intertechnology, Inc.		19,785		302,117
Xerox Holdings Corp.		17,145		262,147
Xperi Holding Corp.		75,547		1,115,075
				37,270,277
Materials (3.2%):
Boise Cascade Co.		19,428		730,687
Clearwater Paper Corp. (a)		7,172		259,124
Forterra, Inc. (a)		18,555		207,074
Hecla Mining Co.		147,214		481,390
Innospec, Inc.		4,530		349,943
Louisiana-Pacific Corp.		12,198		312,879
P.H. Glatfelter Co.		39,230		629,642
Reliance Steel & Aluminum Co.		8,900		844,876
Royal Gold, Inc.		2,500		310,800
Schnitzer Steel Industries, Inc.		19,165		338,071
Schweitzer-Mauduit International, Inc.		12,098		404,194
Silgan Holdings, Inc.		17,998		582,955
Stepan Co.		5,142		499,288
The Scotts Miracle-Gro Co.		6,449		867,197
Verso Corp., Class A		25,269		302,217
Warrior Met Coal, Inc.		36,772		565,921
				7,686,258
Real Estate (9.5%):
Agree Realty Corp.		15,502		1,018,636
Alexander & Baldwin, Inc.		23,786		289,951
American Homes 4 Rent Class A		24,151		649,662
Americold Realty Trust		9,056		328,733
Community Healthcare Trust, Inc.		21,544		881,150
CoreSite Realty Corp.		4,180		506,031
Cousins Properties, Inc.		16,775		500,398
CyrusOne, Inc. (b)		4,998		363,605
Easterly Government Properties, Inc.		57,534		1,330,186
EastGroup Properties, Inc.		5,395		639,901
Equity Commonwealth		60,697		1,954,444
Essential Properties Realty Trust, Inc.		19,622		291,190
First Industrial Realty Trust, Inc.		29,804		1,145,666
Gaming and Leisure Properties, Inc.		17,094		591,452
Global Medical REIT, Inc.		28,611		324,163

See notes to financial statements.

28

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Independence Realty Trust, Inc.		42,197	$	484,844
Innovative Industrial Properties, Inc. (b)		2,712		238,710
Lamar Advertising Co., Class A		6,905		460,978
Lexington Realty Trust		113,250		1,194,788
Marcus & Millichap, Inc. (a)		11,780		339,971
Newmark Group, Inc., Class A		85,304		414,577
NexPoint Residential Trust, Inc.		11,175		395,036
Office Properties Income Trust		11,759		305,381
Outfront Media, Inc.		14,598		206,854
Piedmont Office Realty Trust, Inc., Class A		30,527		507,053
QTS Realty Trust, Inc., Class A (b)		13,125		841,181
RE/MAX Holdings, Inc.		18,685		587,270
Realogy Holdings Corp.		20,165		149,423
Rexford Industrial Realty, Inc.		24,710		1,023,735
Safehold, Inc.		16,516		949,505
Spirit Realty Capital, Inc.		9,765		340,408
STORE Capital Corp.		16,852		401,246
Taubman Centers, Inc.		6,833		258,014
Terreno Realty Corp.		23,188		1,220,616
The RMR Group, Inc., Class A		19,318		569,301
The St. Joe Co. (a)		24,823		482,063
Uniti Group, Inc.		23,672		221,333
Universal Health Realty Income Trust		7,592		603,488
				23,010,943
Utilities (2.2%):
Black Hills Corp.		8,289		469,655
Clearway Energy, Inc., Class C		53,538		1,234,586
El Paso Electric Co.		10,696		716,632
Hawaiian Electric Industries, Inc.		19,025		686,042
MDU Resources Group, Inc.		25,672		569,405
NorthWestern Corp.		10,021		546,345
PNM Resources, Inc.		11,410		438,600
Portland General Electric Co. (c)		12,161		508,451
				5,169,716
Total Common Stocks (Cost $234,332,091)				237,175,373
Preferred Stocks (0.0%) (f)
Industrials (0.0%): (f)
WESCO International, Inc., Series A (b) (g)		4,510		119,611
Total Preferred Stocks (Cost $119,521)				119,611
Rights (0.0%) (f)
Health Care (0.0%): (f)
Achillion Pharmaceuticals (a) (h) (i)		17,954		8,259
Total Rights (Cost $—)				8,259

See notes to financial statements.

29

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Collateral for Securities Loaned^ (5.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (j)		204,231	$	204,231
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (j)		6,181,192		6,181,192
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (j)		1,420,218		1,420,218
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (j)		812,689		812,689
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (j)		3,654,010		3,654,010
Total Collateral for Securities Loaned (Cost $12,272,340)				12,272,340
Total Investments (Cost $246,723,952) — 104.6%				249,575,583
Liabilities in excess of other assets — (4.6)%				(10,328,254	)
NET ASSETS — 100.00%			$	239,247,329

^  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)  All or a portion of this security has been segregated as collateral for derivative instruments.

(d)  Affiliated holding. (See Note 9)

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.3% of the Fund's net assets as of June 30, 2020. (See Note 2)

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

(g)  Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.

(h)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2020, illiquid securities were 0.0% of the Fund's net assets.

(i)  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 June 30, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(j)  Rate disclosed is the daily yield on June 30, 2020.

PLC — Public Limited Company

REIT — Real Estate Investment Trust

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 E-Mini Index Futures		13	9/18/20	$	937,982	$	934,440	$	(3,542	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(3,542	)
	Total net unrealized appreciation (depreciation)							$	(3,542	)

See notes to financial statements.

30

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June 30, 2020

Security Description	Shares		Value
Common Stocks (98.5%)
Australia (4.2%):
Consumer Staples (1.4%):
Coca-Cola Amatil Ltd.		126,850	$	756,333
Coles Group Ltd.		86,459		1,022,081
Wesfarmers Ltd.		42,539		1,312,988
Woolworths Group Ltd.		48,574		1,246,765
				4,338,167
Energy (0.4%):
Ampol Ltd.		37,286		752,687
Santos Ltd.		144,292		526,530
				1,279,217
Financials (0.2%):
Magellan Financial Group Ltd.		14,912		595,585
Health Care (0.6%):
CSL Ltd.		9,586		1,894,193
Industrials (0.2%):
Qantas Airways Ltd.		198,487		516,569
Materials (1.2%):
BlueScope Steel Ltd.		167,149		1,345,312
Evolution Mining Ltd.		156,433		610,684
Fortescue Metals Group Ltd.		145,454		1,387,012
Northern Star Resources Ltd.		57,951		533,055
				3,876,063
Real Estate (0.2%):
Mirvac Group		515,052		769,512
				13,269,306
Austria (0.8%):
Energy (0.4%):
OMV AG (a)		37,157		1,241,975
Financials (0.4%):
Raiffeisen Bank International AG (a)		64,992		1,157,717
				2,399,692
Belgium (1.4%):
Financials (0.6%):
Ageas		24,502		867,966
Sofina SA		4,231		1,116,735
				1,984,701
Health Care (0.5%):
Galapagos NV (a)		2,223		437,060
UCB SA		8,836		1,023,183
				1,460,243

See notes to financial statements.

31

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June 30, 2020

Security Description	Shares		Value
Utilities (0.3%):
Elia Group SA		7,826	$	849,095
				4,294,039
Canada (12.0%):
Communication Services (0.5%):
TELUS Corp. (b) (c)		88,890		1,486,068
Consumer Discretionary (0.4%):
Magna International, Inc.		32,098		1,424,850
Consumer Staples (2.2%):
Alimentation Couche-Tard, Inc., Class B		30,154		942,479
Empire Co. Ltd., Class A		31,127		742,980
Loblaw Cos. Ltd.		51,788		2,513,733
Metro, Inc.		67,583		2,778,743
				6,977,935
Energy (0.8%):
Cameco Corp.		63,266		646,595
TC Energy Corp.		46,171		1,966,166
				2,612,761
Financials (2.3%):
Brookfield Asset Management, Inc., Class A		30,830		1,011,369
Great-West Lifeco, Inc.		58,810		1,027,664
iA Financial Corp., Inc.		22,129		738,608
Intact Financial Corp.		26,291		2,494,171
Power Corp. of Canada (c)		55,392		971,190
TMX Group Ltd.		10,313		1,016,383
				7,259,385
Industrials (1.6%):
Air Canada (a)		19,435		241,867
Ritchie Bros. Auctioneers, Inc.		19,143		776,824
Thomson Reuters Corp.		31,703		2,147,052
WSP Global, Inc.		30,927		1,890,589
				5,056,332
Information Technology (0.2%):
Shopify, Inc., Class A (a)		547		517,991
Materials (2.0%):
B2Gold Corp.		86,918		492,663
Barrick Gold Corp.		22,589		605,856
Franco-Nevada Corp.		5,293		737,017
Kinross Gold Corp. (a)		185,918		1,337,736
Kirkland Lake Gold Ltd. (b)		11,789		483,851
Pan American Silver Corp.		18,391		556,726
Teck Resources Ltd., Class B		94,271		984,239
Wheaton Precious Metals Corp.		14,010		614,198
Yamana Gold, Inc.		78,804		427,000
				6,239,286

See notes to financial statements.

32

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June 30, 2020

Security Description	Shares		Value
Utilities (2.0%):
Algonquin Power & Utilities Corp. (c)		172,490	$	2,222,613
Emera, Inc.		31,589		1,238,975
Hydro One Ltd. (d)		153,583		2,878,836
				6,340,424
				37,915,032
China (0.3%):
Industrials (0.3%):
Yangzijiang Shipbuilding Holdings Ltd.		1,631,900		1,087,894
Denmark (2.2%):
Consumer Discretionary (0.3%):
Pandora A/S		19,668		1,067,877
Consumer Staples (0.4%):
Carlsberg A/S, Class B		9,549		1,261,410
Health Care (0.3%):
Coloplast A/S, Class B		5,460		845,829
Industrials (0.5%):
AP Moller - Maersk A/S, Class A		623		675,955
DSV PANALPINA A/S		7,781		949,533
				1,625,488
Utilities (0.7%):
Orsted A/S (d)		17,899		2,064,496
				6,865,100
Finland (1.1%):
Communication Services (0.7%):
Elisa Oyj		34,193		2,079,192
Energy (0.4%):
Neste Oyj		33,365		1,304,471
				3,383,663
France (9.9%):
Communication Services (0.2%):
Iliad SA (a)		3,599		701,933
Consumer Discretionary (1.1%):
Faurecia SE (a)		11,576		452,067
Peugeot SA (a)		87,831		1,428,419
Renault SA (a)		57,906		1,468,543
				3,349,029
Consumer Staples (0.9%):
Carrefour SA		106,803		1,649,997
Casino Guichard Perrachon SA (a) (c)		32,795		1,211,833
				2,861,830

See notes to financial statements.

33

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Financials (1.6%):
BNP Paribas SA (a)		37,082	$	1,473,118
CNP Assurances (a)		53,683		618,016
Credit Agricole SA (a)		147,121		1,392,638
Natixis SA (a)		183,831		480,044
Societe Generale SA (a)		68,313		1,135,545
				5,099,361
Health Care (1.2%):
BioMerieux (a)		5,703		783,374
Sanofi		21,086		2,146,847
Sartorius Stedim Biotech		2,938		742,461
				3,672,682
Industrials (3.4%):
Alstom SA		22,400		1,041,820
Bouygues SA (a)		51,944		1,774,153
Cie de Saint-Gobain		25,513		918,394
Eiffage SA (a)		10,612		970,199
Legrand SA		16,123		1,224,504
Safran SA (a)		7,158		717,287
Schneider Electric SE		18,765		2,083,993
Teleperformance (a)		3,770		956,526
Vinci SA		11,246		1,035,741
				10,722,617
Information Technology (0.9%):
Atos SE (a)		17,401		1,483,390
Ingenico Group SA		8,886		1,417,209
				2,900,599
Real Estate (0.6%):
Gecina SA		6,928		855,933
Icade		12,663		881,795
				1,737,728
				31,045,779
Germany (5.3%):
Communication Services (0.2%):
United Internet AG, Registered Shares		15,577		659,750
Consumer Discretionary (1.1%):
Bayerische Motoren Werke AG		29,287		1,869,026
Delivery Hero SE (a) (d)		16,784		1,714,688
				3,583,714
Financials (1.5%):
Commerzbank AG (a)		224,124		998,596
Deutsche Bank AG, Registered Shares (a) (c)		138,273		1,314,475
Hannover Rueck SE		6,628		1,141,950
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		4,854		1,261,544
				4,716,565

See notes to financial statements.

34

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Health Care (0.8%):
Bayer AG, Registered Shares		19,862	$	1,467,649
Merck KGaA		8,412		975,975
				2,443,624
Industrials (0.3%):
Deutsche Lufthansa AG, Registered Shares (a) (c)		43,358		435,455
MTU Aero Engines AG (a)		3,320		574,805
				1,010,260
Information Technology (0.2%):
TeamViewer AG (a) (d)		12,293		671,017
Materials (0.3%):
HeidelbergCement AG		15,201		811,653
Real Estate (0.7%):
Deutsche Wohnen SE		23,778		1,066,919
LEG Immobilien AG (a)		8,343		1,058,863
				2,125,782
Utilities (0.2%):
RWE AG		18,802		656,967
				16,679,332
Hong Kong (2.7%):
Consumer Discretionary (0.2%):
Techtronic Industries Co. Ltd.		74,500		728,616
Consumer Staples (0.4%):
WH Group Ltd. (d)		1,329,000		1,138,587
Industrials (0.5%):
CK Hutchison Holdings Ltd.		273,500		1,757,356
Real Estate (1.6%):
CK Asset Holdings Ltd.		156,500		932,888
Kerry Properties Ltd.		494,000		1,274,764
Sino Land Co. Ltd.		1,430,000		1,798,928
Wheelock & Co. Ltd. (e) (f)		110,000		919,121
				4,925,701
				8,550,260
Ireland (1.2%):
Consumer Discretionary (0.7%):
Flutter Entertainment PLC		17,204		2,258,511
Industrials (0.3%):
Kingspan Group PLC		14,784		952,280

See notes to financial statements.

35

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Materials (0.2%):
James Hardie Industries PLC		43,857	$	830,983
				4,041,774
Isle of Man (0.2%):
Consumer Discretionary (0.2%):
GVC Holdings PLC		62,858		575,207
Israel (1.6%):
Financials (0.8%):
Bank Hapoalim BM		153,020		909,911
Israel Discount Bank Ltd., Class A		282,854		858,136
Mizrahi Tefahot Bank Ltd.		43,576		813,615
				2,581,662
Health Care (0.2%):
Teva Pharmaceutical Industries Ltd., ADR (a)		64,261		792,338
Information Technology (0.4%):
Nice Ltd. (a)		6,083		1,133,483
Real Estate (0.2%):
Azrieli Group Ltd.		13,130		594,481
				5,101,964
Italy (2.7%):
Communication Services (0.4%):
Telecom Italia SpA		2,918,455		1,146,273
Financials (0.6%):
Poste Italiane SpA (d)		86,504		751,997
UniCredit SpA		124,006		1,140,407
				1,892,404
Health Care (0.2%):
DiaSorin SpA		3,971		759,991
Industrials (0.5%):
Leonardo SpA		137,766		912,921
Prysmian SpA		34,134		790,524
				1,703,445
Information Technology (0.3%):
Nexi SpA (a) (d)		55,344		957,261
Utilities (0.7%):
Enel SpA		255,008		2,199,081
				8,658,455
Japan (27.8%):
Communication Services (1.6%):
KDDI Corp.		36,600		1,097,135
Nexon Co. Ltd.		14,100		318,503
Nippon Telegraph & Telephone Corp.		50,800		1,184,478
NTT DOCOMO, Inc.		48,300		1,290,268

See notes to financial statements.

36

Victory Portfolios II
VictoryShares USAA MSCI International Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Square Enix Holdings Co. Ltd.		7,700	$	388,265
Z Holdings Corp.		165,300		805,931
				5,084,580
Consumer Discretionary (3.8%):
Bandai Namco Holdings, Inc.		8,900		467,501
Casio Computer Co. Ltd.		49,200		852,797
Hikari Tsushin, Inc.		2,100		477,870
Honda Motor Co. Ltd.		35,000		893,938
Iida Group Holdings Co. Ltd.		62,900		962,580
Mazda Motor Corp.		62,700		375,439
Nitori Holdings Co. Ltd.		2,800		548,269
Pan Pacific International Holdings Corp.		19,900		436,975
Rinnai Corp.		6,100		508,875
Sekisui House Ltd.		59,100		1,124,371
Sony Corp.		11,700		800,786
Subaru Corp.		16,800		349,049
Sumitomo Electric Industries Ltd.		38,200		438,883
The Yokohama Rubber Co. Ltd. (c)		49,200		690,446
Toyoda Gosei Co. Ltd.		36,400		756,443
Toyota Industries Corp.		15,600		825,657
Toyota Motor Corp.		17,800		1,115,666
Yamada Denki Co. Ltd.		95,300		472,591
				12,098,136
Consumer Staples (2.6%):
Ajinomoto Co., Inc.		27,800		461,766
Asahi Group Holdings Ltd.		13,500		472,503
Cosmos Pharmaceutical Corp.		2,800		429,272
Kobe Bussan Co. Ltd.		6,900		388,858
Lawson, Inc.		9,300		466,358
NH Foods Ltd.		21,900		877,949
Seven & i Holdings Co. Ltd.		31,400		1,024,498
Sundrug Co. Ltd.		32,600		1,078,760
Toyo Suisan Kaisha Ltd.		24,700		1,380,553
Tsuruha Holdings, Inc.		6,800		935,997
Welcia Holdings Co. Ltd.		4,800		386,634
Yamazaki Baking Co. Ltd.		22,100		380,197
				8,283,345
Energy (0.6%):
ENEOS Holdings, Inc.		191,900		679,481
Idemitsu Kosan Co. Ltd.		25,344		537,255
Inpex Corp.		86,700		535,943
				1,752,679
Financials (4.2%):
ACOM Co. Ltd.		209,300		797,352
Concordia Financial Group Ltd.		210,100		671,868
Fukuoka Financial Group, Inc.		42,000		662,205
Japan Post Bank Co. Ltd.		66,700		495,837
Japan Post Holdings Co. Ltd.		77,400		550,054

See notes to financial statements.

37

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Mebuki Financial Group, Inc.		383,400	$	888,446
Mitsubishi UFJ Financial Group, Inc.		207,600		811,273
Mitsubishi UFJ Lease & Finance Co. Ltd.		143,500		678,361
Mizuho Financial Group, Inc.		457,200		560,243
Nomura Holdings, Inc.		197,500		883,107
ORIX Corp.		59,900		737,611
Resona Holdings, Inc.		226,500		772,181
Shinsei Bank Ltd.		54,700		658,114
Sumitomo Mitsui Financial Group, Inc.		34,800		978,019
Sumitomo Mitsui Trust Holdings, Inc.		30,200		846,782
The Bank of Kyoto Ltd.		19,600		693,998
The Chiba Bank Ltd.		154,400		727,026
The Shizuoka Bank Ltd.		126,600		813,216
				13,225,693
Health Care (1.9%):
Astellas Pharma, Inc.		60,000		1,000,788
Chugai Pharmaceutical Co. Ltd.		24,300		1,298,508
Daiichi Sankyo Co. Ltd.		5,200		424,444
Hoya Corp.		5,569		529,619
Kyowa Kirin Co. Ltd.		17,300		453,647
M3, Inc.		8,500		361,241
Medipal Holdings Corp.		50,200		965,984
Olympus Corp.		20,500		394,381
Ono Pharmaceutical Co. Ltd.		14,400		418,712
				5,847,324
Industrials (5.2%):
Asahi Glass Co. Ltd.		29,500		838,091
Dai Nippon Printing Co. Ltd.		39,500		903,976
Daifuku Co. Ltd.		3,500		305,603
Hankyu Hanshin Holdings, Inc.		16,900		570,983
ITOCHU Corp.		48,000		1,032,878
Kajima Corp.		71,700		853,342
Kurita Water Industries Ltd.		12,500		346,550
LIXIL Group Corp.		22,500		314,084
Marubeni Corp.		164,800		744,682
Mitsubishi Corp.		44,400		934,217
Mitsui & Co. Ltd.		65,000		960,676
Miura Co. Ltd.		7,300		303,476
Nagoya Railroad Co. Ltd. (c)		19,300		544,733
NGK Insulators Ltd.		56,600		780,653
Nippon Yusen KK		51,900		729,299
Obayashi Corp.		84,200		786,704
SG Holdings Co. Ltd.		11,900		388,265
Shimizu Corp.		96,800		794,068
Sumitomo Corp.		75,900		868,504
Sumitomo Heavy Industries Ltd.		14,100		306,479
Tobu Railway Co. Ltd.		32,200		1,064,031
Toppan Printing Co. Ltd.		53,700		894,461
Toyota Tsusho Corp.		26,000		657,682
West Japan Railway Co.		9,500		532,391
				16,455,828

See notes to financial statements.

38

Victory Portfolios II
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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Information Technology (2.3%):
Advantest Corp.		10,200	$	578,616
Brother Industries Ltd.		39,700		714,626
FUJIFILM Holdings Corp.		21,000		897,344
Fujitsu Ltd.		8,400		982,602
Hitachi Ltd.		22,800		719,177
Kyocera Corp.		14,100		766,524
Lasertec Corp.		2,900		273,105
NEC Corp.		24,100		1,154,906
Ricoh Co. Ltd.		97,700		696,402
SUMCO Corp. (b)		14,400		220,101
TDK Corp.		3,400		336,581
				7,339,984
Materials (2.5%):
Hitachi Metals Ltd.		25,200		299,686
JFE Holdings, Inc.		87,000		622,552
Mitsubishi Chemical Holdings Corp.		131,400		764,150
Mitsubishi Gas Chemical Co., Inc.		43,600		658,738
Mitsubishi Materials Corp.		33,500		706,424
Mitsui Chemicals, Inc.		38,800		808,116
Oji Holdings Corp.		147,600		685,430
Showa Denko KK (c)		21,700		485,954
Sumitomo Chemical Co. Ltd.		98,900		295,183
Taiheiyo Cement Corp.		30,300		699,890
Teijin Ltd.		62,900		999,310
Tosoh Corp.		51,200		697,632
				7,723,065
Real Estate (2.2%):
Aeon Mall Co. Ltd.		57,600		763,480
Daiwa House Industry Co. Ltd.		31,900		751,632
Daiwa House REIT Investment Corp.		151		355,508
GLP J-REIT		245		355,402
Hulic Co. Ltd. (c)		88,000		825,472
Japan Real Estate Investment Corp.		115		589,470
Mitsubishi Estate Co. Ltd.		25,800		383,227
Nippon Building Fund, Inc.		101		574,816
Nippon Prologis REIT, Inc.		442		1,343,801
Nomura Real Estate Holdings, Inc.		16,700		309,589
Nomura Real Estate Master Fund, Inc.		422		506,157
				6,758,554
Utilities (0.9%):
Chubu Electric Power Co., Inc.		79,000		990,017
Electric Power Development Co. Ltd.		44,200		837,827
The Kansai Electric Power Co., Inc.		42,200		408,760
Tokyo Electric Power Co. Holdings (a)		224,200		687,864
				2,924,468
				87,493,656

See notes to financial statements.

39

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Luxembourg (0.3%):
Materials (0.3%):
ArcelorMittal SA (a)		87,120	$	916,847
Netherlands (2.8%):
Consumer Staples (0.7%):
Koninklijke Ahold Delhaize NV		80,570		2,195,348
Energy (0.3%):
Koninklijke Vopak NV		18,049		954,397
Financials (1.5%):
Aegon NV		451,567		1,345,546
EXOR NV		22,096		1,261,707
NN Group NV		58,692		1,971,012
				4,578,265
Industrials (0.3%):
AerCap Holdings NV (a)		32,472		1,000,138
				8,728,148
New Zealand (1.0%):
Health Care (1.0%):
Fisher & Paykel Healthcare Corp. Ltd.		98,260		2,251,870
Ryman Healthcare Ltd.		92,699		780,548
				3,032,418
Norway (1.0%):
Consumer Staples (1.0%):
Mowi ASA		42,185		798,703
Orkla ASA, Class A		282,256		2,466,485
				3,265,188
Portugal (0.3%):
Utilities (0.3%):
Energias de Portugal SA		207,591		990,916
Singapore (2.4%):
Consumer Staples (0.7%):
Wilmar International Ltd.		778,000		2,280,936
Financials (0.4%):
Singapore Exchange Ltd.		199,000		1,189,678
Real Estate (1.3%):
Ascendas Real Estate Investment Trust		452,254		1,027,666
Mapletree Commercial Trust		1,495,600		2,069,107
Mapletree Logistics Trust		653,600		908,916
				4,005,689
				7,476,303
Spain (2.2%):
Communication Services (0.6%):
Cellnex Telecom SA (d)		31,367		1,910,874

See notes to financial statements.

40

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Energy (0.5%):
Repsol SA		163,151	$	1,426,735
Industrials (0.3%):
Ferrovial SA		39,393		1,048,592
Utilities (0.8%):
Iberdrola SA		213,229		2,471,526
				6,857,727
Sweden (3.9%):
Consumer Discretionary (0.2%):
Evolution Gaming Group AB (d)		8,429		502,665
Consumer Staples (1.6%):
Essity AB, Class B (a)		32,248		1,042,207
ICA Gruppen AB		48,443		2,297,190
Swedish Match AB		26,105		1,835,292
				5,174,689
Financials (1.0%):
EQT AB		52,951		949,994
L E Lundbergforetagen AB, Class B (a) (c)		50,368		2,285,756
				3,235,750
Industrials (1.1%):
Investment AB Latour, Class B (c)		49,138		891,342
Nibe Industrier AB, Class B (a)		37,358		825,620
Skanska AB, Class B (a)		88,776		1,805,697
				3,522,659
				12,435,763
Switzerland (2.4%):
Financials (0.5%):
Banque Cantonale Vaudoise, Registered Shares		16,405		1,594,534
Health Care (0.8%):
Roche Holding AG		6,777		2,348,402
Information Technology (0.3%):
STMicroelectronics NV		39,003		1,060,114
Real Estate (0.8%):
Swiss Prime Site AG, Registered Shares		28,336		2,619,633
				7,622,683
United Kingdom (8.6%):
Communication Services (0.7%):
BT Group PLC		416,109		586,384
Vodafone Group PLC		995,017		1,584,267
WPP PLC		150,396		1,172,216
				3,342,867

See notes to financial statements.

41

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June 30, 2020

Security Description	Shares		Value
Consumer Discretionary (1.9%):
Barratt Developments PLC		165,988	$	1,017,069
Berkeley Group Holdings PLC		28,145		1,448,425
Fiat Chrysler Automobiles NV (a)		112,221		1,127,315
JD Sports Fashion PLC		59,559		457,886
Persimmon PLC		40,411		1,141,446
Taylor Wimpey PLC		571,176		1,006,397
				6,198,538
Consumer Staples (2.4%):
British American Tobacco PLC		37,461		1,436,980
Imperial Brands PLC		77,535		1,473,924
J Sainsbury PLC		691,363		1,782,823
Tesco PLC		641,177		1,807,103
Wm Morrison Supermarkets PLC		481,144		1,132,828
				7,633,658
Financials (1.4%):
3i Group PLC		70,838		728,756
Barclays PLC		927,341		1,311,056
London Stock Exchange Group PLC		18,178		1,877,276
Royal Bank of Scotland Group PLC		287,973		432,678
				4,349,766
Industrials (0.1%):
Melrose Industries PLC		223,984		315,501
Materials (0.6%):
Anglo American PLC		51,806		1,196,636
Evraz PLC (b)		149,453		532,574
				1,729,210
Real Estate (0.8%):
Segro PLC		235,126		2,600,180
Utilities (0.3%):
SSE PLC		51,391		866,444
				27,036,164
United States (0.2%):
Health Care (0.2%):
Bausch Health Cos., Inc. (a)		34,266		624,939
Total Common Stocks (Cost $326,650,394)				310,348,249
Preferred Stocks (0.9%)
Germany (0.9%):
Consumer Discretionary (0.9%):
Porsche Automobil Holding SE (a)		23,376		1,343,198
Volkswagen AG (a)		8,686		1,316,436
				2,659,634
Total Preferred Stocks (Cost $2,994,141)				2,659,634

See notes to financial statements.

42

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Rights (0.0%) (g)
Spain (0.0%): (g)
Energy (0.0%): (g)
Repsol SA, Expires 7/7/20 (a)		160,425	$	78,073
Total Rights (Cost $88,696)				78,073
Collateral for Securities Loaned^ (2.6%)
United States (2.6%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (h)		134,958		134,958
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (h)		4,084,598		4,084,598
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (h)		938,495		938,495
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (h)		537,034		537,034
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (h)		2,414,609		2,414,609
Total Collateral for Securities Loaned (Cost $8,109,694)				8,109,694
Total Investments (Cost $337,842,925) — 102.0%				321,195,650
Liabilities in excess of other assets — (2.0)%				(6,191,486	)
NET ASSETS — 100.00%			$	315,004,164

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(b)  All or a portion of this security has been segregated as collateral for derivative instruments.

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

(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 June 30, 2020, the fair value of these securities was $12,590,421 and amounted to 4.0% of net assets.

(e)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2020, illiquid securities were 0.3% of the Fund's net assets.

(f)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.3% of the Fund's net assets as of June 30, 2020. (See Note 2)

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

(h)  Rate disclosed is the daily yield on June 30, 2020.

ADR — American Depositary Receipt

PLC — Public Limited Company

REIT — Real Estate Investment Trust

See notes to financial statements.

43

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June 30, 2020

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		13	9/18/20	$	1,149,742	$	1,155,960	$	6,218
	Total unrealized appreciation							$	6,218
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	6,218

See notes to financial statements.

44

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June 30, 2020

Security Description	Shares		Value
Common Stocks (97.9%)
Brazil (5.4%):
Communication Services (0.6%):
TIM Participacoes SA		359,392	$	929,440
Consumer Discretionary (0.4%):
Lojas Renner SA		44,386		337,899
Magazine Luiza SA		19,984		260,773
				598,672
Consumer Staples (1.0%):
JBS SA		145,952		562,192
Natura & Co. Holding SA		86,124		625,837
Raia Drogasil SA		18,500		372,709
				1,560,738
Energy (0.5%):
Cosan SA		61,300		791,760
Financials (0.7%):
Banco BTG Pactual SA		28,200		392,894
IRB Brasil Resseguros SA		58,200		116,595
Sul America SA		84,700		695,241
				1,204,730
Health Care (0.5%):
Hapvida Participacoes E Investimentos SA (b)		41,000		464,226
Notre Dame Intermedica Participacoes SA		33,700		417,414
				881,640
Industrials (0.8%):
Localiza Rent a Car SA		39,115		291,432
WEG SA		116,100		1,070,121
				1,361,553
Materials (0.2%):
Vale SA		37,585		382,777
Real Estate (0.3%):
BR Malls Participacoes SA		126,898		232,959
Multiplan Empreendimentos Imobiliarios SA		71,996		268,798
				501,757
Utilities (0.4%):
Centrais Eletricas Brasileiras SA		73,548		415,238
Cia de Saneamento Basico do Estado de Sao Paulo		28,076		295,036
				710,274
				8,923,341
Chile (0.6%):
Consumer Staples (0.6%):
Cencosud SA		746,170		1,045,693

See notes to financial statements.

45

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June 30, 2020

Security Description	Shares		Value
China (25.1%):
Communication Services (1.1%):
China Telecom Corp. Ltd., Class H		3,419,952	$	957,531
JOYY, Inc., ADR (a) (c)		8,878		786,147
				1,743,678
Consumer Discretionary (3.8%):
BAIC Motor Corp. Ltd., Class H (b)		1,254,444		542,212
Brilliance China Automotive Holdings Ltd.		582,000		521,141
China Yuhua Education Corp. Ltd. (b)		266,000		218,279
Dongfeng Motor Group Co. Ltd., Class H		1,048,482		626,347
Great Wall Motor Co. Ltd., Class H		897,500		560,471
Guangzhou Automobile Group Co. Ltd.		607,061		437,842
Koolearn Technology Holding Ltd. (a) (b)		69,000		276,874
Li Ning Co. Ltd.		207,000		657,020
Meituan Dianping Class B (a)		26,500		587,753
Pinduoduo, Inc., ADR (a) (c)		4,868		417,869
Vipshop Holdings Ltd., ADR (a)		29,002		577,430
Zhongsheng Group Holdings Ltd.		144,854		801,790
				6,225,028
Energy (0.3%):
Yanzhou Coal Mining Co. Ltd., Class H		700,536		523,338
Financials (8.0%):
Agricultural Bank of China Ltd., Class H (d)		2,773,640		1,116,549
Bank of China Ltd., Class H (a) (d)		3,266,084		1,209,434
Bank of Communications Co. Ltd., Class H		2,072,181		1,277,993
China Cinda Asset Management Co. Ltd., Class H		4,214,166		826,472
China CITIC Bank Corp. Ltd., Class H		2,263,619		987,173
China Construction Bank Corp., Class H (d)		1,396,235		1,129,534
China Everbright Bank Co. Ltd., Class H		2,590,633		972,684
China Galaxy Securities Co. Ltd., Class H (a)		692,500		374,375
China Huarong Asset Management Co. Ltd., Class H (b)		6,058,714		609,745
China Minsheng Banking Corp. Ltd., Class H		1,800,788		1,236,082
Chongqing Rural Commercial Bank Co. Ltd., Class H		1,997,488		786,062
GF Securities Co. Ltd., Class H		352,200		377,173
Huatai Securities Co. Ltd., Class H (b)		215,000		342,316
Industrial & Commercial Bank of China Ltd., Class H		1,693,038		1,026,686
Postal Savings Bank of China Co. Ltd., Class H (b)		1,752,848		1,006,416
				13,278,694
Health Care (2.5%):
AK Medical Holdings Ltd. (b)		96,000		305,324
China Medical System Holdings Ltd.		465,920		548,852
China Resources Pharmaceutical Group Ltd. (b)		1,115,137		643,145
Luye Pharma Group Ltd. (b)		1,146,529		701,191
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		502,708		1,118,217
Shanghai Pharmaceuticals Holding Co. Ltd.		526,653		884,726
				4,201,455

See notes to financial statements.

46

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June 30, 2020

Security Description	Shares		Value
Industrials (5.7%):
A-Living Services Co. Ltd., Class H (b)		163,824	$	825,414
China Communications Construction Co. Ltd., Class H		1,506,005		849,143
China Conch Venture Holdings Ltd.		217,289		916,766
China Lesso Group Holdings Ltd.		499,375		649,472
China Railway Construction Corp. Ltd.		886,340		696,451
China Railway Group Ltd., Class H		1,681,872		863,673
China State Construction International Holdings Ltd.		422,000		246,107
COSCO SHIPPING Energy Transportation Co. Ltd., Class H		626,000		279,463
Country Garden Services Holdings Co. Ltd.		186,159		864,688
Fosun International Ltd.		601,500		765,219
Sinopec Engineering Group Co. Ltd., Class H		1,726,538		735,128
Weichai Power Co. Ltd.		352,891		657,477
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H (a)		828,024		637,809
ZTO Express Cayman, Inc., ADR		12,072		443,163
				9,429,973
Information Technology (0.7%):
Semiconductor Manufacturing International Corp. (a)		103,000		358,818
Silergy Corp.		6,000		390,449
Xinyi Solar Holdings Ltd.		404,000		382,605
				1,131,872
Materials (0.7%):
Anhui Conch Cement Co. Ltd., Class H		52,311		352,320
China Hongqiao Group Ltd.		691,000		306,697
China National Building Material Co. Ltd., Class H		474,697		505,293
				1,164,310
Real Estate (2.0%):
China Aoyuan Group Ltd.		168,965		204,272
China Vanke Co. Ltd.		215,105		679,970
Kaisa Group Holdings Ltd.		948,442		357,328
Logan Group Co. Ltd.		184,058		325,823
Longfor Group Holdings Ltd. (b)		145,790		693,168
Seazen Group Ltd.		412,000		357,755
SOHO China Ltd. (a)		858,500		301,288
Sunac China Holdings Ltd.		96,584		404,383
				3,323,987
Utilities (0.3%):
China Power International Development Ltd.		2,467,865		452,150
				41,474,485
Greece (0.6%):
Communication Services (0.3%):
Hellenic Telecommunications Organization SA		40,963		552,553
Consumer Discretionary (0.3%):
FF Group (a) (e) (f)		14,913		4,020
OPAP SA		47,244		448,111
				452,131
				1,004,684

See notes to financial statements.

47

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June 30, 2020

Security Description	Shares		Value
Hong Kong (7.5%):
Communication Services (0.5%):
China Unicom Hong Kong Ltd.		1,370,055	$	740,671
Consumer Discretionary (0.2%):
Bosideng International Holdings Ltd.		968,000		299,750
Consumer Staples (0.5%):
Hengan International Group Co. Ltd.		60,000		469,908
Sun Art Retail Group Ltd.		246,500		421,093
				891,001
Financials (0.5%):
China Everbright Ltd.		529,067		765,908
Health Care (0.6%):
China Traditional Chinese Medicine Holdings Co. Ltd.		1,383,122		667,429
Sino Biopharmaceutical Ltd.		207,000		389,939
				1,057,368
Industrials (1.7%):
CITIC Ltd.		1,260,703		1,184,179
Shanghai Industrial Holdings Ltd.		738,209		1,135,347
Sinotruk Hong Kong Ltd.		205,029		530,399
				2,849,925
Information Technology (0.4%):
Kingboard Holdings Ltd.		259,822		673,822
Materials (0.8%):
China Resources Cement Holdings Ltd.		543,390		665,351
Nine Dragons Paper Holdings Ltd.		687,151		621,503
				1,286,854
Real Estate (1.4%):
China Jinmao Holdings Group Ltd.		394,000		277,055
China Overseas Property Holdings Ltd.		260,000		275,081
China Resources Land Ltd.		196,514		744,174
Shimao Group Holdings Ltd.		68,016		287,844
Yuexiu Property Co. Ltd.		4,388,000		781,302
				2,365,456
Utilities (0.9%):
Beijing Enterprises Holdings Ltd.		276,848		925,154
China Resources Power Holdings Co. Ltd.		420,000		493,675
				1,418,829
				12,349,584
Hungary (0.7%):
Health Care (0.7%):
Richter Gedeon Nyrt		54,774		1,131,663

See notes to financial statements.

48

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June 30, 2020

Security Description	Shares		Value
India (2.4%):
Communication Services (0.5%):
Bharti Airtel Ltd. (a)		112,824	$	836,575
Financials (0.7%):
HDFC Asset Management Co. Ltd. (b)		10,306		338,969
REC Ltd.		505,286		723,426
				1,062,395
Health Care (0.3%):
Dr. Reddy's Laboratories Ltd.		10,796		564,074
Materials (0.5%):
Berger Paints India Ltd.		70,748		462,791
Hindalco Industries Ltd.		177,554		343,802
				806,593
Real Estate (0.1%):
DLF Ltd.		105,626		207,115
Utilities (0.3%):
Indraprastha Gas Ltd.		70,809		414,798
				3,891,550
Indonesia (0.7%):
Consumer Staples (0.6%):
PT Indofood Sukses Makmur Tbk (a)		2,008,733		917,535
Materials (0.1%):
PT Indah Kiat Pulp & Paper Corp. Tbk		562,770		235,390
				1,152,925
Korea, Republic Of (21.4%):
Communication Services (2.2%):
Kakao Corp.		4,856		1,079,918
LG Uplus Corp.		74,378		754,385
NAVER Corp.		2,541		564,033
SK Telecom Co. Ltd.		7,321		1,284,226
				3,682,562
Consumer Discretionary (3.5%):
Hankook Tire & Technology Co. Ltd.		22,583		462,793
HLB, Inc. (a)		2,340		180,142
Hyundai Department Store Co. Ltd.		15,563		728,434
Hyundai Mobis Co. Ltd.		4,868		777,035
Hyundai Motor Co.		8,987		729,958
Kia Motors Corp.		33,143		883,097
LG Electronics, Inc.		15,676		823,647
Lotte Shopping Co. Ltd.		8,624		569,986
Shinsegae, Inc.		3,079		564,426
				5,719,518

See notes to financial statements.

49

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June 30, 2020

Security Description	Shares		Value
Consumer Staples (2.5%):
CJ CheilJedang Corp.		4,301	$	1,165,670
E-MART, Inc.		9,470		830,598
GS Retail Co. Ltd.		25,993		787,667
KT&G Corp.		20,007		1,300,700
				4,084,635
Financials (4.8%):
BNK Financial Group, Inc.		230,515		958,203
Hana Financial Group, Inc.		38,974		874,837
Hyundai Marine & Fire Insurance Co. Ltd.		20,651		393,156
Industrial Bank of Korea		157,789		1,059,929
KB Financial Group, Inc.		37,048		1,045,666
Korea Investment Holdings Co. Ltd.		8,062		298,257
Meritz Securities Co. Ltd.		146,054		367,913
Mirae Asset Daewoo Co. Ltd.		75,133		416,625
Samsung Securities Co. Ltd.		19,393		424,829
Shinhan Financial Group Co. Ltd.		42,033		1,004,655
Woori Financial Group, Inc.		137,034		1,003,674
				7,847,744
Industrials (3.7%):
Daelim Industrial Co. Ltd.		14,143		967,676
Daewoo Engineering & Construction Co. Ltd. (a)		209,268		596,740
GS Engineering & Construction Corp.		35,677		728,163
Hanwha Corp.		51,718		952,366
Hyundai Heavy Industries Holdings Co. Ltd.		3,435		702,507
LG Corp.		18,176		1,075,887
Lotte Corp.		13,241		347,854
Posco International Corp.		60,110		697,123
				6,068,316
Information Technology (1.6%):
KMW Co. Ltd. (a)		9,870		525,153
LG Innotek Co. Ltd.		3,012		436,957
Samsung Electronics Co. Ltd.		21,655		950,563
SK Hynix, Inc.		10,148		717,957
				2,630,630
Materials (2.1%):
Hanwha Chemical Corp.		54,830		877,480
Hyundai Steel Co.		41,509		707,432
Kumho Petrochemical Co. Ltd.		5,578		345,480
Lotte Chemical Corp.		5,184		719,731
POSCO		5,900		853,473
				3,503,596
Utilities (1.0%):
Korea Electric Power Corp. (a)		53,353		864,932
Korea Gas Corp.		37,677		820,665
				1,685,597
				35,222,598

See notes to financial statements.

50

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Security Description	Shares		Value
Luxembourg (0.6%):
Financials (0.6%):
Reinet Investments SCA		54,713	$	959,075
Malaysia (1.9%):
Communication Services (0.4%):
Telekom Malaysia Bhd		760,900		736,928
Consumer Staples (0.7%):
PPB Group Bhd		259,051		1,074,895
Health Care (0.4%):
Top Glove Corp. Bhd		182,500		685,706
Industrials (0.4%):
MISC Bhd		359,300		642,296
				3,139,825
Mexico (0.2%):
Real Estate (0.2%):
Fibra Uno Administracion SA de CV		411,197		324,765
Philippines (0.2%):
Communication Services (0.2%):
PLDT, Inc.		16,375		410,813
Poland (2.9%):
Communication Services (1.4%):
CD Projekt SA (a)		3,506		350,011
Cyfrowy Polsat SA		178,001		1,183,478
Orange Polska SA (a)		434,344		683,526
				2,217,015
Consumer Staples (0.6%):
Dino Polska SA (a) (b)		20,899		1,059,836
Materials (0.3%):
KGHM Polska Miedz SA (a)		19,865		456,493
Utilities (0.6%):
PGE Polska Grupa Energetyczna SA (a)		567,211		985,681
				4,719,025
Russian Federation (3.9%):
Communication Services (0.2%):
Mobile TeleSystems PJSC, ADR (d)		40,668		373,739
Energy (1.3%):
Gazprom PJSC		316,014		857,021
LUKOIL PJSC		7,034		521,175
Surgutneftegas PJSC		1,284,600		692,560
				2,070,756
Financials (0.6%):
Moscow Exchange MICEX PJSC		346,200		549,999
Sberbank of Russia PJSC		147,320		419,293
				969,292

See notes to financial statements.

51

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Materials (1.3%):
Magnitogorsk Iron & Steel Works PJSC		788,851	$	409,458
MMC Norilsk Nickel PJSC		3,346		878,124
Polymetal International PLC		22,097		432,516
Polyus PJSC		2,572		432,683
				2,152,781
Utilities (0.5%):
Inter RAO UES PJSC		12,434,029		846,334
				6,412,902
Singapore (0.3%):
Industrials (0.3%):
BOC Aviation Ltd. (b)		66,995		427,879
South Africa (2.2%):
Health Care (0.4%):
Aspen Pharmacare Holdings Ltd. (a)		86,731		716,361
Materials (1.8%):
Anglo American Platinum Ltd.		4,309		311,012
AngloGold Ashanti Ltd.		27,071		787,731
Gold Fields Ltd.		28,262		263,865
Impala Platinum Holdings Ltd.		49,907		333,192
Northam Platinum Ltd. (a)		77,329		517,159
Sasol Ltd. (a)		36,420		277,106
Sibanye Stillwater Ltd. (a)		172,819		374,980
				2,865,045
				3,581,406
Taiwan (15.4%):
Consumer Discretionary (0.6%):
Hotai Motor Co. Ltd.		43,000		1,024,556
Financials (6.7%):
Chang Hwa Commercial Bank Ltd.		1,396,000		915,542
E.Sun Financial Holding Co. Ltd.		1,883,457		1,774,648
Hua Nan Financial Holdings Co. Ltd.		1,603,163		1,086,724
Shin Kong Financial Holding Co. Ltd.		3,635,000		1,059,533
Sinopac Financial Holdings Co. Ltd.		4,167,965		1,532,730
Taiwan Business Bank		2,710,240		992,072
Taiwan Cooperative Financial Holding Co. Ltd.		3,049,970		2,144,991
Yuanta Financial Holding Co. Ltd.		2,459,554		1,454,667
				10,960,907
Information Technology (6.6%):
Chicony Electronics Co. Ltd.		275,000		794,116
Compal Electronics, Inc. (d)		1,284,000		837,737
Foxconn Technology Co. Ltd.		679,000		1,300,259
Innolux Corp.		1,673,461		448,079
Lite-On Technology Corp.		380,000		596,316
MediaTek, Inc.		66,000		1,295,192

See notes to financial statements.

52

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Pegatron Corp.		217,000	$	470,708
Powertech Technology, Inc. (d)		273,322		991,220
Realtek Semiconductor Corp.		52,000		526,970
Synnex Technology International Corp.		421,000		594,304
United Microelectronics Corp.		1,875,142		1,010,516
Walsin Technology Corp.		26,855		162,926
Wistron Corp.		1,195,000		1,449,982
Zhen Ding Technology Holding Ltd.		105,000		457,303
				10,935,628
Materials (1.5%):
Asia Cement Corp.		777,500		1,148,943
Taiwan Cement Corp. (d)		952,575		1,380,216
				2,529,159
				25,450,250
Thailand (2.3%):
Consumer Staples (1.4%):
Charoen Pokphand Foods PCL		1,247,200		1,281,197
Osotspa PCL		872,700		1,072,963
				2,354,160
Utilities (0.9%):
B Grimm Power PCL		285,200		493,673
Gulf Energy Development PCL		755,400		922,635
				1,416,308
				3,770,468
Turkey (3.6%):
Communication Services (0.6%):
Turkcell Iletisim Hizmetleri A/S		437,314		1,048,826
Consumer Staples (0.3%):
Anadolu Efes Biracilik Ve Malt Sanayii A/S		163,891		509,742
Financials (1.8%):
Akbank TAS (a)		430,623		381,952
Haci Omer Sabanci Holding A/S		667,362		899,584
Turkiye Garanti Bankasi A/S (a)		500,821		618,104
Turkiye Is Bankasi A/S (a) (c)		863,059		702,560
Yapi ve Kredi Bankasi A/S (a)		1,130,613		402,450
				3,004,650
Industrials (0.6%):
Aselsan Elektronik Sanayi Ve Ticaret A/S		79,777		378,009
Turk Hava Yollari AO (a)		366,264		668,971
				1,046,980
Materials (0.3%):
Eregli Demir ve Celik Fabrikalari TAS (a)		328,758		411,502
				6,021,700
Total Common Stocks (Cost $178,032,432)				161,414,631

See notes to financial statements.

53

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Security Description	Shares		Value
Preferred Stocks (0.9%)
Brazil (0.9%):
Communication Services (0.7%):
Telefonica Brasil SA		127,236	$	1,112,979
Utilities (0.2%):
Cia Paranaense de Energia		36,700		406,515
				1,519,494
Total Preferred Stocks (Cost $1,863,800)				1,519,494
Collateral for Securities Loaned^ (0.3%)
United States (0.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.28% (g)		6,740		6,740
Fidelity Investments Money Market Government Portfolio, Class I, 0.09% (g)		203,983		203,983
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.30% (g)		46,868		46,868
JPMorgan Prime Money Market Fund, Capital Class, 0.43% (g)		26,819		26,819
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.41% (g)		120,584		120,584
Total Collateral for Securities Loaned (Cost $404,994)				404,994
Total Investments (Cost $180,301,226) — 99.1%				163,339,119
Other assets in excess of liabilities — 0.9%				1,552,889
NET ASSETS — 100.00%			$	164,892,008

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

(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 June 30, 2020, the fair value of these securities was $8,454,994 and amounted to 5.1% of net assets.

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

(d)  All or a portion of this security has been segregated as collateral for derivative instruments.

(e)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(f)  Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of the Fund's net assets as of June 30, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(g)  Rate disclosed is the daily yield on June 30, 2020.

ADR — American Depositary Receipt

PCL — Public Company Limited

PLC — Public Limited Company

See notes to financial statements.

54

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2020

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI Emerging Markets Index Futures		16	9/18/20	$	782,164	$	788,560	$	6,396
	Total unrealized appreciation							$	6,396
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	6,396

See notes to financial statements.

55

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares USAA MSCI USA Value Momentum ETF			VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
ASSETS:
Affiliated investments, at value (Cost $—and $355,384)	$	—		$	365,373
Unaffiliated investments, at value (Cost $484,653,020 and $246,348,568)		474,012,749	(a)		249,210,210	(b)
Cash and cash equivalents		1,236,549			947,718
Deposits with brokers for futures contracts		339,510			224,300
Receivables:
Interest and dividends		559,450			377,945
Investments sold		2,254,957			453,894
Variation margin on open futures contracts		19,543			8,626
From Adviser		55,866			19,574
Prepaid expenses		1,790			754
Total Assets		478,480,414			251,608,394
LIABILITIES:
Payables:
Collateral received on loaned securities		11,729,645			12,272,340
Capital shares redeemed		2,265,109			—
Accrued expenses and other payables:
Investment advisory fees		58,366			29,928
Administration fees		7,720			4,033
Custodian fees		3,968			2,546
Compliance fees		335			168
Trustees' fees		636			48
Other accrued expenses		67,285			52,002
Total Liabilities		14,133,064			12,361,065
NET ASSETS:
Capital		534,698,635			262,879,054
Total distributable earnings/(loss)		(70,351,285	)		(23,631,725	)
Net Assets	$	464,347,350		$	239,247,329
Shares Outstanding (unlimited shares authorized, no par value):		10,250,000			5,250,000
Net asset value:	$	45.30		$	45.57

(a)  Includes $11,514,815 of securities on loan.

(b)  Includes $11,984,023 of securities on loan.

See notes to financial statements.

56

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2020

	VictoryShares USAA MSCI International Value Momentum ETF			VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
ASSETS:
Investments, at value (Cost $337,842,925 and $180,301,226)	$	321,195,650	(a)	$	163,339,119	(b)
Foreign currency, at value (Cost $693,920 and $137,444)		693,398			137,413
Cash and cash equivalents		996,476			443,005
Deposits with brokers for futures contracts		316,751			218,074
Receivables:
Interest and dividends		421,444			1,276,234
Reclaims		432,429			3,681
From Adviser		28,503			19,003
Prepaid expenses		1,269			659
Total Assets		324,085,920			165,437,188
LIABILITIES:
Payables:
Collateral received on loaned securities		8,109,694			404,994
Investments purchased		833,604			—
Variation margin payable on open futures contracts		2,210			3,069
Accrued foreign capital gains taxes		—			34,838
Accrued expenses and other payables:
Investment advisory fees		65,257			41,184
Administration fees		5,164			2,702
Custodian fees		13,036			20,494
Compliance fees		231			125
Trustees' fees		190			10
Other accrued expenses		52,370			37,764
Total Liabilities		9,081,756			545,180
NET ASSETS:
Capital		403,284,453			217,117,359
Total distributable earnings/(loss)		(88,280,289	)		(52,225,351	)
Net Assets	$	315,004,164		$	164,892,008
Shares Outstanding (unlimited shares authorized, no par value):		8,200,000			4,350,000
Net asset value:	$	38.42		$	37.91

(a)  Includes $7,737,107 of securities on loan.

(b)  Includes $387,795 of securities on loan.

See notes to financial statements.

57

Victory Portfolios II Statements of Operations

	VictoryShares USAA MSCI USA Value Momentum ETF						VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
Investment Income:
Dividends from affiliated investments	$	—		$	—		$	1,079		$	—
Dividends from unaffiliated investments		7,851,668			9,109,878			2,802,171			2,002,697
Interest		14,504			10,168			8,642			1,788
Securities lending (net of fees)		27,094			—			175,937			—
Foreign tax withholding		(1,288	)		(1,367	)		(4,160	)		(1,138	)
Total Income		7,891,978			9,118,679			2,983,669			2,003,347
Expenses:
Management fees		—			502,661			—			107,833
Administration and operating service fees		—			335,108			—			107,833
Investment advisory fees		592,313			119,526			251,197			26,918
Administration fees		236,868			50,320			100,740			14,030
Sub-Administration fees		12,489			—			14,091			—
Custodian fees		19,307			4,641			9,776			3,830
Servicing fees		410			683			410			683
Trustees' fees		31,643			8,448			12,216			2,305
Chief Compliance Officer fees		3,343			412			1,254			144
Legal and audit fees		55,112			8,894			31,168			3,059
Licensing fees		100,466			—			41,625			—
Other expenses		70,992			4,101			56,662			2,967
Total Expenses		1,122,943			1,034,794			519,139			269,602
Management fee waiver		—			(167,554	)		—			(35,944	)
Expenses waived/reimbursed by Adviser		(334,253	)		(37,604	)		(99,856	)		(9,112	)
Net Expenses		788,690			829,636			419,283			224,546
Net Investment Income (Loss)		7,103,288			8,289,043			2,564,386			1,778,801
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment transactions		(26,920,292	)		(29,947,697	)		(15,909,563	)		(9,508,434	)
Net realized gains (losses) from sales of affiliated investment securities		—			—			(178	)		���
Net realized gains (losses) from futures contracts		450,610			(70,530	)		21,776			(23,882	)
Net realized gains (losses) from in-kind redemptions		5,887,893			10,547,585			2,779,971			2,810,015
Net change in unrealized appreciation/ depreciation on investment securities		(20,352,858	)		(6,904,193	)		1,756,479			(4,525,250	)
Net change in unrealized appreciation/ depreciation on affiliated investment securities		—			—			9,990			—
Net change in unrealized appreciation/ depreciation on futures contracts		(49,682	)		23,232			10,617			(14,159	)
Net realized/unrealized losses on investments		(40,984,329	)		(26,351,603	)		(11,330,908	)		(11,261,710	)
Change in net assets resulting from operations	$	(33,881,041	)	$	(18,062,560	)	$	(8,766,522	)	$	(9,482,909	)

See notes to financial statements.

58

Victory Portfolios II Statements of Operations

	VictoryShares USAA MSCI International Value Momentum ETF						VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
Investment Income:
Dividends	$	8,300,480		$	10,868,429		$	4,217,409		$	6,493,945
Interest		8,238			48,757			8,426			39,856
Securities lending (net of fees)		152,826			16,059			21,940			—
Foreign tax withholding		(1,005,313	)		(1,007,953	)		(507,107	)		(712,260	)
Total Income		7,456,231			9,925,292			3,740,668			5,821,541
Expenses:
Management fees		—			626,043			—			416,701
Administration and operating service fees		—			375,626			—			277,801
Investment advisory fees		677,043			139,315			427,425			88,457
Administration fees		162,394			36,039			85,435			20,672
Sub-Administration fees		12,489			—			13,823			—
Custodian fees		73,674			14,592			162,467			23,424
Servicing fees		774			683			774			683
Trustees' fees		22,026			6,208			11,902			3,680
Chief Compliance Officer fees		2,140			458			1,222			156
Legal and audit fees		43,718			6,781			29,347			4,362
Licensing fee		68,791			—			36,207			—
Line of credit fees		—			—			3,362			—
Other expenses		54,723			3,499			38,573			5,627
Total Expenses		1,117,772			1,209,244			810,537			841,563
Management fee waiver		—			(125,209	)		—			(69,450	)
Expenses waived/reimbursed by Adviser		(171,150	)		(19,771	)		(166,777	)		(11,156	)
Net Expenses		946,622			1,064,264			643,760			760,957
Net Investment Income (Loss)		6,509,609			8,861,028			3,096,908			5,060,584
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment transactions and foreign currency translations		(23,589,252	)		(34,883,027	)		(12,801,166	)		(14,721,517	)
Foreign taxes on realized gains		—			—			(10,343	)		(89,999	)
Net realized gains (losses) from futures contracts		161,122			(14,052	)		70,995			(93,727	)
Net realized gains (losses) from in-kind redemptions		179,601			156,989			1,686			—
Net change in unrealized appreciation/ depreciation on investment securities and foreign currency translations		(7,527,833	)		950,056			553,824			(3,462,393	)
Net change in unrealized appreciation/ depreciation on futures contracts		43,876			(37,658	)		14,320			(7,925	)
Net change in accrued foreign taxes on unrealized gains		—			—			(26,071	)		(3,545	)
Net realized/unrealized losses on investments		(30,732,486	)		(33,827,692	)		(12,196,755	)		(18,379,106	)
Change in net assets resulting from operations	$	(24,222,877	)	$	(24,966,664	)	$	(9,099,847	)	$	(13,318,522	)

See notes to financial statements.

59

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI USA Value Momentum ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	7,103,288		$	8,289,043		$	3,617
Net realized gains (losses) from investments		(20,581,789	)		(19,470,642	)		(3,831	)
Net change in unrealized appreciation/ depreciation on investments		(20,402,540	)		(6,880,961	)		16,616
Change in net assets resulting from operations		(33,881,041	)		(18,062,560	)		16,402
Change in net assets resulting from distributions to shareholders		(9,133,011	)		(7,198,442	)		(1,868	)
Change in net assets resulting from capital transactions		38,916,833			95,201,128			383,870
Change in net assets		(4,097,219	)		69,940,126			398,404
Net Assets:
Beginning of period		468,444,569			398,504,443			100
End of period	$	464,347,350		$	468,444,569		$	398,504
Capital Transactions:
Proceeds from shares issued		71,638,748			156,763,683			383,970
Cost of shares redeemed		(32,721,915	)		(61,562,555	)		(100	)
Change in net assets resulting from capital transactions		38,916,833			95,201,128			383,870
Share Transactions:
Issued		1,600,000			3,150,000			7,400
Redeemed		(650,000	)		(1,250,000	)		(2	)
Change in Shares		950,000			1,900,000			7,398

(a)  Commencement of operations. Information is presented in thousands.

See notes to financial statements.

60

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	2,564,386		$	1,778,801		$	415
Net realized gains (losses) from investments		(13,107,994	)		(6,722,301	)		896
Net change in unrealized appreciation/ depreciation on investments		1,777,086			(4,539,409	)		5,610
Change in net assets resulting from operations		(8,766,522	)		(9,482,909	)		6,921
Change in net assets resulting from distributions to shareholders		(2,906,435	)		(1,357,525	)		(190	)
Change in net assets resulting from capital transactions		149,356,462			40,887,570			64,786
Change in net assets		137,683,505			30,047,136			71,517
Net Assets:
Beginning of period		101,563,824			71,516,688			—
End of period	$	239,247,329		$	101,563,824		$	71,517
Capital Transactions:
Proceeds from shares issued		163,170,156			53,138,254			73,368
Cost of shares redeemed		(13,813,694	)		(12,250,684	)		(8,582	)
Change in net assets resulting from capital transactions		149,356,462			40,887,570			64,786
Share Transactions:
Issued		3,500,000			1,050,000			1,400
Redeemed		(300,000	)		(250,000	)		(150	)
Change in Shares		3,200,000			800,000			1,250

(a)  Commencement of operations. Information is presented in thousands.

See notes to financial statements.

61

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI International Value Momentum ETF
	Ten Months Ended June 30, 2020			Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	6,509,609		$	8,861,028		$	5,054
Net realized gains (losses) from investments		(23,248,529	)		(34,740,090	)		(12,121	)
Net change in unrealized appreciation/ depreciation on investments		(7,483,957	)		912,398			(10,067	)
Change in net assets resulting from operations		(24,222,877	)		(24,966,664	)		(17,134	)
Change in net assets resulting from distributions to shareholders		(9,567,813	)		(8,527,397	)		(3,553	)
Change in net assets resulting from capital transactions		25,101,890			49,350,829			328,523
Change in net assets		(8,688,800	)		15,856,768			307,836
Net Assets:
Beginning of period		323,692,964			307,836,196			—
End of period	$	315,004,164		$	323,692,964		$	307,836
Capital Transactions:
Proceeds from shares issued		27,200,006			55,562,743			328,523
Cost of shares redeemed		(2,098,116	)		(6,211,914	)		—
Change in net assets resulting from capital transactions		25,101,890			49,350,829			328,523
Share Transactions:
Issued		750,000			1,250,000			6,400
Redeemed		(50,000	)		(150,000	)		—
Change in Shares		700,000			1,100,000			6,400

(a)  Commencement of operations. Information is presented in thousands.

See notes to financial statements.

62

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
	Ten Months Ended June 30, 2020				Year Ended August 31, 2019			For the Period October 24, 2017(a) through August 31, 2018 (000's)
From Investment Activities:
Operations:
Net investment income (loss)	$	3,096,908			$	5,060,584		$	2,675
Net realized gains (losses) from investment transactions		(12,738,828	)			(14,905,243	)		(9,086	)
Net change in unrealized appreciation/ depreciation on investments		542,073				(3,473,863	)		(14,078	)
Change in net assets resulting from operations		(9,099,847	)			(13,318,522	)		(20,489	)
Change in net assets resulting from distributions to shareholders		(5,048,334	)			(3,550,809	)		(747	)
Change in net assets resulting from capital transactions		9,988,737				30,946,414			176,210
Change in net assets		(4,159,444	)			14,077,083			154,974
Net Assets:
Beginning of period		169,051,452				154,974,369			—
End of period	$	164,892,008			$	169,051,452		$	154,974
Capital Transactions:
Proceeds from shares issued		13,413,426				30,946,414			176,210	(b)
Cost of shares redeemed		(3,424,689	)			—			—
Change in net assets resulting from capital transactions		9,988,737				30,946,414			176,210
Share Transactions:
Issued		350,000				700,000			3,400
Redeemed		(100,000	)	��		—			—
Change in Shares		250,000				700,000			3,400

(a)  Commencement of operations. Information is presented in thousands.

(b)  Includes $330 thousand of variable fees.

See notes to financial statements.

63

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares USAA MSCI USA Value Momentum Index ETF
Ten Months Ended 6/30/20(e)	$	50.37		0.72		(4.85	)(g)		(4.13	)		(0.94	)		—
Year Ended 8/31/19	$	53.85		1.00		(3.59	)		(2.59	)		(0.89	)		—
10/24/17(f) through 8/31/18	$	50.19		0.78		3.34			4.12			(0.46	)		—
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Ten Months Ended 6/30/20(e)	$	49.54		0.60		(3.74	)		(3.14	)		(0.83	)		—
Year Ended 8/31/19	$	57.21		1.00		(7.86	)		(6.86	)		(0.81	)		—
10/24/17(f) through 8/31/18	$	50.13		0.57		6.81			7.38			(0.30	)		—

(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)  Excludes impact of in-kind transactions.

(e)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019. (See Note 1)

(f)  Commencement of operations.

(g)  The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

See notes to financial statements.

64

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares USAA MSCI USA Value Momentum Index ETF
Ten Months Ended 6/30/20(e)		(0.94	)	$	45.30		(8.31	)%		0.20	%		1.80	%		0.28	%	$	464,347		66	%
Year Ended 8/31/19		(0.89	)	$	50.37		(4.79	)%		0.20	%		2.00	%		0.25	%	$	468,445		87	%
10/24/17(f) through 8/31/18		(0.46	)	$	53.85		8.23	%		0.20	%		1.76	%		0.25	%	$	398,504		84	%
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Ten Months Ended 6/30/20(e)		(0.83	)	$	45.57		(6.44	)%		0.25	%		1.53	%		0.31	%	$	239,247		70	%
Year Ended 8/31/19		(0.81	)	$	49.54		(11.99	)%		0.25	%		1.98	%		0.30	%	$	101,564		88	%
10/24/17(f) through 8/31/18		(0.30	)	$	57.21		14.80	%		0.25	%		1.25	%		0.30	%	$	71,517		81	%

See notes to financial statements.

65

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares USAA MSCI International Value Momentum ETF
Ten Months Ended 6/30/20(e)	$	43.16		0.83		(4.35	)		(3.52	)		(1.22	)		—
Year Ended 8/31/19	$	48.10		1.30		(4.99	)		(3.69	)		(1.25	)		—
10/24/17(f) through 8/31/18	$	50.08		1.34		(2.64	)		(1.30	)		(0.68	)		—
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Ten Months Ended 6/30/20(e)	$	41.23		0.73		(2.85	)		(2.12	)		(1.20	)		—
Year Ended 8/31/19	$	45.58		1.31		(4.73	)		(3.42	)		(0.93	)		—
10/24/17(f) through 8/31/18	$	49.95		1.17		(5.10	)		(3.93	)		(0.44	)		—

(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)  Excludes impact of in-kind transactions.

(e)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019. (See Note 1)

(f)  Commencement of operations.

See notes to financial statements.

66

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares USAA MSCI International Value Momentum ETF
Ten Months Ended 6/30/20(e)		(1.22	)	$	38.42		(8.39	)%		0.35	%		2.41	%		0.41	%	$	315,004		62	%
Year Ended 8/31/19		(1.25	)	$	43.16		(7.70	)%		0.35	%		2.90	%		0.40	%	$	323,693		87	%
10/24/17(f) through 8/31/18		(0.68	)	$	48.10		(2.64	)%		0.35	%		3.12	%		0.40	%	$	307,836		65	%
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Ten Months Ended 6/30/20(e)		(1.20	)	$	37.91		(5.47	)%		0.45	%		2.18	%		0.57	%	$	164,892		51	%
Year Ended 8/31/19		(0.93	)	$	41.23		(7.62	)%		0.45	%		3.00	%		0.50	%	$	169,051		67	%
10/24/17(f) through 8/31/18		(0.44	)	$	45.58		(7.95	)%		0.45	%		2.77	%		0.50	%	$	154,974		58	%

See notes to financial statements.

67

Victory Portfolios II Notes to Financial Statements
June 30, 2020

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust, as a successor to the "Compass EMP Funds 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 currently comprised of 24 funds, 22 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.

On April 18, 2019, shareholders of the USAA ETF Trust voted to approve the Agreement and Plan of Reorganization, which provided for the Reorganizations of the Predecessor Funds into the Funds (the "Reorganizations").

The accompanying financial statements are those of the following four Funds (collectively, the "Funds" and individually, a "Fund"). These Funds have been newly formed for the purposes of completing the Reorganizations with the four corresponding series of USAA ETF Trust, a registered investment company (each such series, a "Predecessor Fund"), as follows:

Predecessor Fund Name	Funds (Legal Name)	Funds (Short Name)
USAA MSCI USA Value Momentum Blend Index ETF	VictoryShares USAA MSCI USA Value Momentum ETF	USAA MSCI USA Value Momentum ETF
USAA MSCI USA Small Cap Value Momentum Blend Index ETF	VictoryShares USAA MSCI USA Small Cap Value Momentum ETF	USAA MSCI USA Small Cap Value Momentum ETF
USAA MSCI International Value Momentum Blend Index ETF	VictoryShares USAA MSCI International Value Momentum ETF	USAA MSCI International Value Momentum ETF
USAA MSCI Emerging Markets Value Momentum Blend Index ETF	VictoryShares USAA MSCI Emerging Markets Value Momentum ETF	USAA MSCI Emerging Markets Value Momentum ETF

The Funds commenced operation on July 1, 2019, upon the completion of the Reorganizations and each Fund is the accounting successor of its respective Predecessor Fund. The Funds assumed the performance, financial and other historical information of the Predecessor Funds. Information presented for periods prior to the date of these financial statements reflects, where applicable, the historical information of the Predecessor Funds.

On November 6, 2018, United Services Automobile Association (USAA), the parent company of USAA Asset Management Company ("AMCO"), the investment adviser of the Predecessor Funds, announced that AMCO would be acquired by Victory Capital Holdings Inc., a global investment management firm headquartered in San Antonio, Texas, on July 1, 2019. Effective July 1, 2019, Victory Capital Management Inc.'s internal investment team, Victory Solutions, began managing the Funds' net assets.

Effective September 1, 2019, the Board of Trustees (the "Board") approved the fiscal year-end change for the Funds from August 31 to June 30. The accompanying financial statements reflect this change in fiscal year-end.

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 NYSE Arca, Inc (the "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"). The Funds issue and redeem Creation Units principally in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), together with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares will trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may

68

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, Shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of fair 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 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*
USAA MSCI USA Value Momentum ETF	$	500		2.00	%
USAA MSCI USA Small Cap Value Momentum ETF		750		2.00	%
USAA MSCI International Value Momentum ETF		3,000		2.00	%
USAA MSCI Emerging Markets Value Momentum ETF		5,500		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 generally accepted accounting principles 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)

69

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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.

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.

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.

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 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 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 June 30, 2020, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments.

	LEVEL 1			LEVEL 2		LEVEL 3		Total
USAA MSCI USA Value Momentum ETF
Common Stocks	$	462,283,104		$	—	$	—	$	462,283,104
Collateral for Securities Loaned		11,729,645			—		—		11,729,645
Total	$	474,012,749		$	—	$	—	$	474,012,749
Other Financial Investments^
Liabilities:
Futures	$	(26,450	)	$	—	$	—	$	(26,450	)
Total	$	(26,450	)	$	—	$	—	$	(26,450	)
USAA MSCI USA Small Cap Value Momentum ETF
Common Stocks	$	237,175,373		$	—	$	—	$	237,175,373
Preferred Stocks		119,611			—		—		119,611
Rights		—			—		8,259		8,259
Collateral for Securities Loaned		12,272,340			—		—		12,272,340
Total	$	249,567,324		$	—	$	8,259	$	249,575,583
Other Financial Investments^
Liabilities:
Futures	$	(3,542	)	$	—	$	—	$	(3,542	)
Total	$	(3,542	)	$	—	$	—	$	(3,542	)
USAA MSCI International Value Momentum ETF
Common Stocks	$	309,429,128		$	919,121	$	—	$	310,348,249
Preferred Stocks		2,659,634			—		—		2,659,634
Rights		78,073			—		—		78,073
Collateral for Securities Loaned		8,109,694			—		—		8,109,694
Total	$	320,276,529		$	919,121	$	—	$	321,195,650

70

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

	LEVEL 1		LEVEL 2		LEVEL 3		Total
Other Financial Investments^
Assets:
Futures	$	6,218	$	—	$	—	$	6,218
Total	$	6,218	$	—	$	—	$	6,218
USAA MSCI Emerging Markets Value Momentum ETF
Common Stocks	$	161,410,611	$	—	$	4,020	$	161,414,631
Preferred Stocks		1,519,494		—		—		1,519,494
Collateral for Securities Loaned		404,994		—		—		404,994
Total	$	163,335,099	$	—	$	4,020	$	163,339,119
Other Financial Investments^
Assets:
Futures	$	6,396	$	—	$	—	$	6,396
Total	$	6,396	$	—	$	—	$	6,396

^  Futures Contracts are valued at the unrealized appreciation (depreciation) on the investment

For the ten months ended June 30, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

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 traded 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:

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

71

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 Deposits with brokers for futures contracts.

During the year ended August 31, 2019 and the ten months ended June 30, 2020, 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 reevant 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 June 30, 2020, discloses both gross information and net information about instruments and transactions eligible for offset on 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.

	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
USAA MSCI USA Value Momentum ETF
Goldman Sachs & Co.	$	19,543	$	—	$	19,543	$	—		$	19,543
USAA MSCI USA Small Cap Value Momentum ETF
Goldman Sachs & Co.		8,626		—		8,626		—			8,626
	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
USAA MSCI International Value Momentum ETF
Goldman Sachs & Co.	$	2,210	$	—	$	2,210	$	(2,210	)	$	—
USAA MSCI Emerging Markets Value Momentum ETF
Goldman Sachs & Co.		3,069		—		3,069		(3,069	)		—

*  Cash collateral pledged may be in excess of the amounts shown in the table. The total cash collateral pledged by each Fund is disclosed on the Statements of Assets and Liabilities.

72

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

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 June 30, 2020:

	For the Ten Months Ended June 30, 2020
	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Equity Risk Exposure:
USAA MSCI USA Value Momentum ETF	$	—	$	26,450
USAA MSCI USA Small Cap Value Momentum ETF		—		3,542
USAA MSCI International Value Momentum ETF		6,218		—
USAA MSCI Emerging Markets Value Momentum ETF		6,396		—

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

The following tables present the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the periods listed:

	For the Ten Months Ended June 30, 2020
	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
	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation/Depreciation on Futures Contracts
Equity Risk Exposure:
USAA MSCI USA Value Momentum ETF	$	450,610		$	(49,682	)
USAA MSCI USA Small Cap Value Momentum ETF		21,776			10,617
USAA MSCI International Value Momentum ETF		161,122			43,876
USAA MSCI Emerging Markets Value Momentum ETF		70,995			14,320
	Year Ended August 31, 2019
	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
	Net Realized Gains (Losses) from Futures Contracts			Net Change in Unrealized Appreciation/Depreciation on Futures Contracts
Equity Risk Exposure:
USAA MSCI USA Value Momentum ETF	$	(70,530	)	$	23,232
USAA MSCI USA Small Cap Value Momentum ETF		(23,882	)		(14,159	)
USAA MSCI International Value Momentum ETF		(14,052	)		(37,658	)
USAA MSCI Emerging Markets Value Momentum ETF		(93,727	)		(7,925	)

73

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2020

All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year 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 determined on the basis of coupon interest accrued using the effective interest method which adjusts, 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 recorded on the identified cost basis.

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, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay the Agent various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) 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 June 30, 2020. 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 Non-cash Collateral Received by Maturity*
	(Value of Securities on Loan)		Cash Collateral Received*		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
USAA MSCI USA Value Momentum ETF	$	11,514,815	$	11,514,815	$	—	$	—	$	—	$	—
USAA MSCI USA Small Cap Value Momentum ETF		11,984,023		11,984,023		—		—		—		—
USAA MSCI International Value Momentum ETF		7,737,107		7,737,107		—		—		—		—
USAA MSCI Emerging Markets Value Momentum ETF		387,795		387,795		—		—		—		—

*  Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed on the Statements of Assets and Liabilities.

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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 investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities 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.

Distributions to Shareholders:

Distributions of net investment income are monthly for MSCI USA Value Momentum ETF and MSCI USA Small Cap Value Momentum ETF and semi-annually for MSCI International Value Momentum ETF and MSCI Emerging Markets Value Momentum ETF. Each of the Funds distributes any net realized long or short-term capital gains at least annually.

The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) 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 and distribution reclassification), 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.

As of June 30, 2020, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions as applicable) were as follows:

	Total Distributable Earnings/(Loss)			Capital
USAA MSCI USA Value Momentum ETF	$	(6,006,737	)	$	6,006,737
USAA MSCI USA Small Cap Value Momentum ETF		(2,813,685	)		2,813,685
USAA MSCI International Value Momentum ETF		(166,426	)		166,426
USAA MSCI Emerging Markets Value Momentum ETF		28,191			(28,191	)

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 years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

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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.

3. Purchases and Sales:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales of in-kind transactions for the ten months ended June 30, 2020 were as follows. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as Net realized gains (losses) from in-kind redemptions.

	Excluding U.S. Government Securities				(Associated with In-Kind Transactions)
	Purchases		Sales		Purchases		Sales
USAA MSCI USA Value Momentum ETF	$	309,713,324	$	309,876,802	$	71,105,677	$	32,573,218
USAA MSCI USA Small Cap Value Momentum ETF		142,333,312		139,600,016		161,142,912		13,740,088
USAA MSCI International Value Momentum ETF		200,004,427		201,147,147		26,282,027		2,216,063
USAA MSCI Emerging Markets Value Momentum ETF		94,012,743		86,418,013		2,406,076		1,734,321

There were no purchases and sales of U.S. Government Securities during the ten months ended June 30, 2020.

4. Fees and Transactions with Affiliates and Related Parties:

Investment Advisory and Management Fees:

Effective July 1, 2019, 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 Agreement, 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 and amount incurred during the period from July 1, 2019 to August 31, 2019, and for the ten months ended June 30, 2020, are reflected as Investment advisory fees on the Statements of Operations. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Flat Rate
USAA MSCI USA Value Momentum ETF		0.15	%
USAA MSCI USA Small Cap Value Momentum ETF		0.15	%
USAA MSCI International Value Momentum ETF		0.25	%
USAA MSCI Emerging Markets Value Momentum ETF		0.30	%

Prior to July 1, 2019, AMCO had provided investment management services to the Predecessor Funds pursuant to an Advisory Agreement. Under this agreement, which was in effect through June 30, 2019, AMCO was responsible for managing the business and affairs of the Predecessor Funds. AMCO was authorized to select (with approval of the Board and without shareholder approval) one or more sub-advisers to manage the day-to-day investment of all or a portion of the Predecessor Funds' assets, subject to the authority of and supervision by the Board of Trustees.

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The investment management fees for the Predecessor Funds were comprised of a base fee which was accrued daily and paid monthly at an annualized rate of each Predecessor Fund's average net assets. AMCO had contractually agreed to waive a portion of its management fees in an amount equal to 0.05% of the average net assets of each Predecessor Fund through October 15, 2018, and the waiver could not be terminated or reduced without approval of the Predecessor Funds' Board during that term. Effective October 15, 2018, AMCO had contractually agreed to extend the contractual waiver on a portion of each Predecessor Fund's management fees in an amount equal to 0.05% of the average net assets of each Predecessor Fund through December 31, 2019, which had terminated on July 1, 2019. These management fees waived are not available to be recouped at a future time. Amounts incurred during the period September 1, 2018 through June 30, 2019 are reflected as Management fees and Management fee waiver on the Statements of Operations. The annual rate of management fees incurred for the period September 1, 2018 through June 30, 2019 were as follows:

	Flat Rate
USAA MSCI USA Value Momentum ETF		0.15	%
USAA MSCI USA Small Cap Value Momentum ETF		0.15	%
USAA MSCI International Value Momentum ETF		0.25	%
USAA MSCI Emerging Markets Value Momentum ETF		0.30	%

Administration and Operating Service Fees:

Effective July 1, 2019, VCM 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, USAA Mutual Funds Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Victory Funds Complex and 0.04% of the average daily net assets over $30 billion of the Victory Funds Complex. Amounts incurred during the period from July 1, 2019 to August 31, 2019, and for the ten months ended June 30, 2020, are reflected as Administration fees on the Statements of Operations.

Prior to July 1, 2019, AMCO served as the Predecessor Funds' administrator and State Street Bank and Trust Company served as the Predecessor Funds' sub-administrator, transfer agent and custodian.

Prior to July 1, 2019, AMCO provided certain administration and operating services for the Predecessor Funds and received a fee accrued daily and paid monthly at an annualized rate of the Predecessor Funds' average net assets. AMCO paid all operating expenses of the Predecessor Funds, excluding distribution and/or service fees, taxes, brokerage commissions and transaction costs, acquired fund fees and expenses, and extraordinary expenses. Amounts incurred during the period September 1, 2018 through June 30, 2019 are reflected as Administration and operating service fees on the Statements of Operations. The annual rate of administration and operating service fees incurred for the period September 1, 2018 through June 30, 2019 were as follows:

	Flat Rate
USAA MSCI USA Value Momentum ETF		0.10	%
USAA MSCI USA Small Cap Value Momentum ETF		0.15	%
USAA MSCI International Value Momentum ETF		0.15	%
USAA MSCI Emerging Markets Value Momentum ETF		0.20	%

Distribution and Service 12b-1 Fees:

Prior to July 1, 2019, the Predecessor Funds adopted a plan pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Predecessor Funds may, but did not pay fees to USAA Investment Management Company ("IMCO"), the distributor, for distribution and shareholder services. IMCO paid all or a portion of such fees to intermediaries that made the Predecessor Funds available for investment by their customers. The fee was accrued daily and paid monthly at an annual rate of 0.25% of each Predecessor Fund's average net assets. For the period September 1, 2018 through June 30, 2019, the Predecessor Funds did not incur any distribution and service (12b-1) fees.

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Effective July 1, 2019, Foreside Fund Services, LLC ("Foreside") serves as the Funds' distributor. Effective July 1, 2019, the Funds have adopted a plan pursuant to Rule 12b-1. No fees are currently paid by the Funds under the plan, and there are no current plans to impose such fees.

Other Related-Party Fees:

Effective July 1, 2019, Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, 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 Funds reimburse VCM and Citi for reasonable out-of- pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds under the Fund Administration, Servicing, and Accounting Agreement. Amounts paid by the Funds to reimburse VCM for expenses incurred during the ten months ended June 30, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank acts as the custodian of the Funds' assets pursuant to the Global Custodial Services Agreement (the "Custody Agreement"). Citibank's responsibilities include safeguarding and controlling the Funds' cash and securities, handling the receipt and delivery of securities, and collecting interest and dividends on the Funds' investments. Pursuant to the Custody Agreement, Citibank also maintains original entry documents and books of record and general ledgers; posts cash receipts and disbursements; and records purchases and sales based upon communications from the Adviser. Citibank may, with the approval of a Fund and at its own expense, open and maintain a sub-custody account or accounts on behalf of a Fund, provided that it shall remain liable for the performance of all of its duties under the Custody Agreement.

Effective July 1, 2019, Citibank also serves as the Funds' Transfer Agent.

The Chief Compliance Officer ("CCO") is an employee of the Adviser, which pays the compensation of the CCO and his support staff. Effective July 1, 2019, the Trust 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. The Funds in the Victory Funds Complex, in 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 on the Statements of Operations.

Sidley Austin LLP provides legal services to the Trust.

Effective July 1, 2019, 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 certain Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts 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. Expense limits in effect are as follows:

	In effect July 1, 2019 until June 30, 2021
USAA MSCI USA Value Momentum ETF		0.20	%
USAA MSCI USA Small Cap Value Momentum ETF		0.25	%
USAA MSCI International Value Momentum ETF		0.35	%
USAA MSCI Emerging Markets Value Momentum 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 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 from July 1, 2019 to August 31, 2019 and during the ten months ended June 30, 2020, if any, are reflected on the Statements of Operations as Recoupment

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of prior expenses waived/reimbursed by Adviser. As of June 30, 2020, the following amounts are available to be repaid to the Adviser:

	Expires August 31, 2022		Expires June 30, 2023		Total
USAA MSCI USA Value Momentum ETF	$	9,240	$	188,636	$	197,876
USAA MSCI USA Small Cap Value Momentum ETF		2,724		37,764		40,488
USAA MSCI International Value Momentum ETF		—		71,346		71,346
USAA MSCI Emerging Markets Value Momentum ETF		632		114,256		114,888

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 amounts:

	For the Year Ended August 31, 2019		For the Ten Months Ended June 30, 2020		Total
USAA MSCI USA Value Momentum ETF	$	28,364	$	145,617	$	173,981
USAA MSCI USA Small Cap Value Momentum ETF		6,388		62,092		68,480
USAA MSCI International Value Momentum ETF		19,771		99,804		119,575
USAA MSCI Emerging Markets Value Momentum ETF		10,524		52,521		63,045

Effective July 1, 2019, 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 Counsel.

Prior to July 1, 2019, certain trustees and officers of the Funds were also directors, officers, and/or employees of AMCO. None of the affiliated trustees or Funds' officers received any compensation from the Funds.

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 USAA MSCI International Value Momentum ETF and USAA MSCI Emerging Markets Value Momentum 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 reinvestment, 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 are 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.

An outbreak of respiratory disease called COVID-19 was first detected in China in December 2019 and subsequently spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in international, national and local border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and consumer activity, significant challenges in healthcare service preparation and delivery, quarantines and general concern and uncertainty. These negative impacts have caused significant volatility and declines in global financial markets, which have caused losses for Fund investors during and subsequent to period end. The impact of the COVID-19 pandemic may be short term or may last for an extended period of time, and in either case could result in a substantial economic downturn or recession. Public health crises may exacerbate other pre-existing political, social, economic, market and financial risks. The extent of the impact to the financial performance of the Funds' investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted.

6. Line of Credit:

For the ten months ended June 30, 2020, the Victory Funds Complex participated in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2020 with a termination date of June 28, 2021. Under the agreement with Citibank, the Victory Funds Complex and USAA Mutual Funds Complex, combined, may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund (herein, the "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. For the ten months ended June 30, 2020, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest (one month LIBOR plus one percent) on amounts borrowed. Effective June 29, 2020, under an amended Line of Credit agreement, Citibank will also receive an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex will pay a pro-rata portion of the upfront fee. Interest charged to each Fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The average loans for the days outstanding and average interest rate for each Fund during the ten months ended June 30, 2020, were as follows:

	Amount Outstanding at June 30, 2020		Average Borrowing		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
USAA MSCI International Value Momentum ETF	$	—	$	8,600,000		1		1.34	%	$	8,600,000
USAA MSCI Emerging Markets Value Momentum ETF		—		2,611,111		18		2.49	%		11,400,000

*  For the ten months ended June 30, 2020, based on the number of days borrowings were outstanding.

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7. Federal Income Tax Information:

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

	Period Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA MSCI USA Value Momentum ETF	$	9,133,011	$	—	$	9,133,011	$	—	$	9,133,011
USAA MSCI USA Small Cap Value Momentum ETF		2,906,435		—		2,906,435		—		2,906,435
USAA MSCI International Value Momentum ETF		9,567,813		—		9,567,813		—		9,567,813
USAA MSCI Emerging Markets Value Momentum ETF		5,048,334		—		5,048,334		—		5,048,334
	Year Ended August 31, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA MSCI USA Value Momentum ETF	$	7,198,442	$	—	$	7,198,442	$	—	$	7,198,442
USAA MSCI USA Small Cap Value Momentum ETF		1,357,525		—		1,357,525		—		1,357,525
USAA MSCI International Value Momentum ETF		8,527,397		—		8,527,397		—		8,527,397
USAA MSCI Emerging Markets Value Momentum ETF		3,550,809		—		3,550,809		—		3,550,809
	Period Ended August 31, 2018 (amounts in 000's)
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
USAA MSCI USA Value Momentum ETF	$	1,868	$	—	$	1,868	$	—	$	1,868
USAA MSCI USA Small Cap Value Momentum ETF		190		—		190		—		190
USAA MSCI International Value Momentum ETF		3,553		—		3,553		—		3,553
USAA MSCI Emerging Markets Value Momentum ETF		747		—		747		—		747

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Victory Portfolios II Notes to Financial Statements — continued
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As of the ten months ended June 30, 2020, the components of distributable earnings/accumulated deficit on a tax basis were as follows:

	Undistributed Ordinary Income		Accumulated Capital and Other Losses			Qualified Late-Year Losses*			Unrealized Appreciation (Depreciation)**			Total Accumulated Earnings (Deficit)
USAA MSCI USA Value Momentum ETF	$	616,807	$	(59,822,922	)	$	—		$	(11,145,170	)	$	(70,351,285	)
USAA MSCI USA Small Cap Value Momentum ETF		596,053		(26,705,770	)		—			2,477,992			(23,631,725	)
USAA MSCI International Value Momentum ETF		—		(69,791,501	)		(366,426	)		(18,122,362	)		(88,280,289	)
USAA MSCI Emerging Markets Value Momentum ETF		1,365,851		(33,923,304	)		—			(19,667,898	)		(52,225,351	)

*  Under the current tax law, net investment losses realized after 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 ten months ended June 30, 2020, the following Funds had net capital loss carryforwards ("CLCFs") as summarized in the table below. CLCFs are applied as either short-term or long-term depending on the originating capital loss.

	Short-Term Amount		Long-Term Amount		Total
USAA MSCI USA Value Momentum ETF	$	39,010,262	$	20,812,660	$	59,822,922
USAA MSCI USA Small Cap Value Momentum ETF		22,160,398		4,545,372		26,705,770
USAA MSCI International Value Momentum ETF		47,723,372		22,068,129		69,791,501
USAA MSCI Emerging Markets Value Momentum ETF		23,702,231		10,221,073		33,923,304

As of June 30, 2020, 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)
USAA MSCI USA Value Momentum ETF	$	485,157,919	$	30,774,545	$	(41,919,715	)	$	(11,145,170	)
USAA MSCI USA Small Cap Value Momentum ETF		247,097,591		23,048,075		(20,570,083	)		2,477,992
USAA MSCI International Value Momentum ETF		339,319,637		18,153,777		(36,277,764	)		(18,123,987	)
USAA MSCI Emerging Markets Value Momentum ETF		182,953,017		13,540,006		(33,153,904	)		(19,613,898	)

During the ten months ended June 30, 2020, the Funds realized the following net capital gains (losses) resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Fund rather than for cash. Because such gains (losses) are not taxable to the Fund, and are not

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distributed to shareholders, they have been reclassified from accumulated net realized gains (losses) to paid-in capital.

	Short Term			Long Term		Total
USAA MSCI USA Value Momentum ETF	$	4,335,983		$	1,577,566	$	5,913,549
USAA MSCI USA Small Cap Value Momentum ETF		1,966,453			826,939		2,793,392
USAA MSCI International Value Momentum ETF		84,615			83,672		168,287
USAA MSCI Emerging Markets Value Momentum ETF		(68,515	)		40,496		(28,019	)

9. Affiliated Securities:

An affiliated security is a security in which the Fund has ownership of at least 5% of the security's outstanding voting shares an investment company managed by VCM or an issuer under common control with a Fund under VCM. The Fund does not invest in affiliated securities for the purpose of exercising management or control. These securities are noted as affiliated on the Fund's Schedule of Portfolio Investments. Transactions in affiliated securities during the period ended June 30, 2020, were as follows:

USAA MSCI USA Small Cap Value Momentum ETF	Fair Value 6/30/2019		Purchases at Cost		Proceeds from Sales			Realized Gain (Loss)			Capital Gain Distribution		Net Change in Unrealized Appreciation/ Depreciation		Fair Value 6/30/2020		Dividend Income
Victory Capital Holdings, Inc.	$	—	$	362,128	$	(6,567	)	$	(178	)	$	—	$	9,990	$	365,373	$	1,079

83

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA MSCI USA Value Momentum ETF, VictoryShares USAA MSCI USA Small Cap Value Momentum ETF, VictoryShares USAA MSCI International Value Momentum ETF, and VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the ten months ended June 30, 2020 and for the year ended August 31, 2019, (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2020, the results of their operations, the changes in their net assets, and the financial highlights for the ten months ended June 30, 2020 and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights and financial statements for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights and financial statements.

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers or counterparties were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 25, 2020

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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 nine Trustees, eight 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 date of birth, 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 42 portfolios in the Trust, nine portfolios in Victory Variable Insurance Funds and 26 portfolios in Victory Portfolios II, 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 Date of Birth	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, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	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).
E. Lee Beard,* Born August 1951	Trustee	May 2005	Retired (since 2015).	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

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Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	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.	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer, * Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	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, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

*  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 date of births, 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 Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015*	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	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, Born March 1984	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 Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	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, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

*  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 Portfolio Holdings Information

Proxy Voting:

Information regarding the policies and procedures 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 files 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. Forms N-PORT are available on the SEC's web site 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 January 1, 2020 through June 30, 2020.

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.

Fund	Beginning Account Value 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
USAA MSCI USA Value Momentum Index ETF	$	1,000.00	$	850.20	$	1,023.87	$	0.92	$	1.01		0.20	%
USAA MSCI USA Small Cap Value Momentum ETF		1,000.00		844.30		1,023.57		1.19		1.31		0.26	%

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Fund	Beginning Account Value 1/1/20		Actual Ending Account Value 6/30/20		Hypothetical Ending Account Value 6/30/20		Actual Expenses Paid During Period 1/1/20- 6/30/20*		Hypothetical Expenses Paid During Period 1/1/20- 6/30/20*		Annualized Expense Ratio During Period 1/1/20- 6/30/20
USAA MSCI International Value Momentum ETF	$	1,000.00	$	840.10	$	1,023.07	$	1.65	$	1.81		0.36	%
USAA MSCI Emerging Markets Value Momentum ETF		1,000.00		848.50		1,022.63		2.07		2.26		0.45	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 182/366 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Act. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Board approved the appointment of VCM as the administrator of the LRMP. At an in-person meeting held on February 20, 2020, VCM provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year.

VCM manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every fund investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of Fund investments, VCM has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by VCM. VCM reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.

The report from VCM concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable VCM to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments reasonably expected to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a Highly Liquid Investment Minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, VCM indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

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Additional Federal Income Tax Information

For the year ended June 30, 2020, the Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Percent
USAA MSCI USA Value Momentum ETF		96	%
USAA MSCI USA Small Cap Value Momentum ETF		56	%
USAA MSCI International Value Momentum ETF		87	%
USAA MSCI Emerging Markets Value Momentum ETF		56	%

Dividends qualified for corporate dividends received deductions of:

	Percent
USAA MSCI USA Value Momentum ETF		91	%
USAA MSCI USA Small Cap Value Momentum ETF		53	%

The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2020, were as follows:

	Foreign Source Income		Foreign Tax Expense
USAA MSCI International Value Momentum ETF		0.94		0.11
USAA MSCI Emerging Markets Value Momentum ETF		0.92		0.08

90

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

VS-MSCI-ETF-AR (6/20)

Item 2. Code of Ethics.

(a) The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics in included as an Exhibit.

(b) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.

Item 3. Audit Committee Financial Expert.

(a)(1) The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.

(a)(2) The audit committee financial experts are David L. Meyer and E. Lee Beard, who are “independent” for purposes of this Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

	2020		2019
(a) Audit Fees (1)	$	242,000	$	260,000
(b) Audit-Related Fees (2)		0		0
(c) Tax Fees (3)		71,500		71,500
(d) All Other Fees (4)		0		0

(1) Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit fees billed were for professional services provided by Cohen Fund Audit Services, Ltd for audit compliance, audit advice and audit planning.

(2) Represents the fee for assurance and related services by Cohen Fund Audit Services, Ltd reasonably related to the performance of the audit of the Registrant’s financial statements that was not reported under (a) of this item.

(3) Represents the aggregate tax fee billed for professional services rendered by Cohen Fund Audit Services, Ltd for tax compliance, tax advice, international tax fee transactions and tax planning. Such tax services included the review of income and excise tax returns for the Registrant.

(4) For the fiscal years ended June 30, 2020 and June 30, 2019, there were no fees billed for professional services rendered by Cohen Fund Audit Services, Ltd to the Registrant, other than the services reported in (a) through (c) of this item.

Tax fees for 2020 and 2019 are for recurring tax fees for the preparation of the federal and state tax returns and procedures performed relating to the Registrant’s analysis of complex securities.

(e)(1) The Registrant’s Audit Committee must pre-approve non-audit services to be provided by the principal accountant and the fees charged with these services. The Committee may delegate authority to one or more Committee members to pre-approve these services, subject to subsequent review and approval by the Committee.

(e)(2) There were no services performed under Rule 2.01 (c)(7)(i)(C).

(f) Not applicable.

(g)

2020	$	0
2019	$	1,000

(h) The Registrant’s Audit Committee has evaluated the non-audit services that the principal accountant provided to the Registrant’s investment adviser (and the adviser’s relevant affiliated), which services the Committee did not pre-approve, and has concluded that the provision of those services was compatible with maintaining the accountant’s independence.

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) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

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

(a)(3) Not applicable.

(a)(4) 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 September 3, 2020

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 September 3, 2020

By (Signature and Title)	/s/ Allan Shaer
	Allan Shaer, Principal Financial Officer

Date September 3, 2020