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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:     811-22696

Victory Portfolios II

(Exact name of registrant as specified in charter)

4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio	44144
(Address of principal executive offices)	(Zip code)

Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219

(Name and address of agent for service)

Registrant’s telephone number, including area code: 800-539-3863

Date of fiscal year end: June 30

Date of reporting period: December 31, 2020

Item 1. Reports to Stockholders.

December 31, 2020

Semi Annual Report

Victory US 500 Enhanced Volatility Wtd Index Fund

Victory Market Neutral Income Fund

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Victory Funds' shareholder reports may 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 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 (800-235-8396 for Member Class) or send an e-mail request to TA.Processing@FISGlobal.com. Your election to receive reports in paper will apply to all Victory Funds you hold directly or through your financial intermediary.

www.vcm.com

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

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

•  Detailed performance records

•  Daily share prices

•  The latest fund news

•  Investment resources to help you become a better investor

•  A section dedicated to investment professionals

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

Victory Portfolios II

Table of Contents

Financial Statements
Victory US 500 Enhanced Volatility Wtd Index Fund
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	5-16
Statement of Assets and Liabilities	34
Statement of Operations	35
Statements of Changes in Net Assets	36-37
Financial Highlights	38-39
Victory Market Neutral Income Fund
Investment Objectives & Portfolio Holdings	4
Schedule of Portfolio Investments	17-33
Statement of Assets and Liabilities	34
Statement of Operations	35
Statements of Changes in Net Assets	36-37
Financial Highlights	40-41
Notes to Financial Statements	42
Supplemental Information	54
Proxy Voting and Portfolio Holdings Information	54
Expense Examples	54
Advisory Contract Approval	55
Privacy Policy (inside back cover)

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 800-539-3863 (800-235-8396 for Member Class) and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.

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.

1

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 (800-235-8396 for Member Class). Read it carefully before you invest or send money.

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

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

Call Victory at:

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

800-235-8396 for Member Class

Visit our website at:

www.vcm.com

2

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund December 31, 2020

  (Unaudited)

Investment Objective & Portfolio Holdings:

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

Percentages are of the net assets of the Fund and may not equal 100%.

3

Victory Portfolios II
Victory Market Neutral Income Fund December 31, 2020

  (Unaudited)

Investment Objective & Portfolio Holdings:

Victory Market Neutral Income Fund objective is high current income.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

Percentages are of the net assets of the Fund and may not equal 100%.

4

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (5.2%):
Activision Blizzard, Inc.		1,796	$	166,759
Alphabet, Inc., Class A (a)		94		164,748
Altice USA, Inc., Class A (a) (b)		4,384		166,022
ANGI Homeservices, Inc., Class A (a) (b)		6,236		82,284
AT&T, Inc.		5,251		151,019
Cable One, Inc.		68		151,485
CenturyLink, Inc. (b)		9,877		96,301
Charter Communications, Inc., Class A (a)		276		182,588
Comcast Corp., Class A		3,343		175,173
Discovery, Inc., Class A (a) (b)		5,210		156,769
DISH Network Corp., Class A (a)		2,530		81,820
Electronic Arts, Inc.		1,172		168,299
Facebook, Inc., Class A (a)		441		120,464
Fox Corp., Class A		4,256		123,935
Liberty Broadband Corp., Class C (a)		1,099		174,049
Netflix, Inc. (a)		247		133,560
Omnicom Group, Inc.		2,282		142,328
Sirius XM Holdings, Inc. (b)		22,750		144,918
Take-Two Interactive Software, Inc. (a)		818		169,972
The Interpublic Group of Cos., Inc.		5,613		132,018
The New York Times Co., Class A		3,315		171,618
T-Mobile U.S., Inc. (a)		1,179		158,988
Verizon Communications, Inc.		3,741		219,783
ViacomCBS, Inc., Class B		2,721		101,384
				3,536,284
Consumer Discretionary (9.6%):
Advance Auto Parts, Inc.		751		118,290
Amazon.com, Inc. (a)		47		153,076
Aptiv PLC		883		115,046
AutoZone, Inc. (a)		112		132,769
Best Buy Co., Inc.		987		98,493
Booking Holdings, Inc. (a)		61		135,863
BorgWarner, Inc.		2,810		108,578
Bright Horizons Family Solutions, Inc. (a)		662		114,519
CarMax, Inc. (a)		905		85,486
Chegg, Inc. (a)		1,273		114,990
Chipotle Mexican Grill, Inc. (a)		87		120,644
D.R. Horton, Inc.		1,368		94,283
Dollar General Corp.		907		190,742
Dollar Tree, Inc. (a)		1,255		135,590
Domino's Pizza, Inc.		315		120,790
eBay, Inc.		3,060		153,765
Etsy, Inc. (a)		720		128,095
Floor & Decor Holdings, Inc., Class A (a)		1,207		112,070
Garmin Ltd.		1,456		174,224
General Motors Co.		3,135		130,542
Gentex Corp.		5,340		181,187

See notes to financial statements.

5

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Genuine Parts Co.		1,141	$	114,591
Hasbro, Inc.		1,296		121,228
Hilton Worldwide Holdings, Inc.		1,264		140,633
Las Vegas Sands Corp. (c)		1,910		113,836
Lear Corp.		847		134,698
Lennar Corp., Class A		1,111		84,692
LKQ Corp. (a)		2,661		93,774
Lowe's Cos., Inc.		681		109,307
Marriott International, Inc., Class A		830		109,494
McDonald's Corp.		631		135,400
MGM Resorts International		2,581		81,327
Mohawk Industries, Inc. (a)		822		115,861
NIKE, Inc., Class B		1,218		172,310
NVR, Inc. (a)		22		89,757
O'Reilly Automotive, Inc. (a)		280		126,720
Pool Corp.		397		147,882
PulteGroup, Inc.		1,903		82,057
Ross Stores, Inc.		1,113		136,688
Service Corp. International		2,863		140,574
Starbucks Corp.		1,435		153,515
Target Corp. (c)		972		171,587
Tesla, Inc. (a)		136		95,971
The Home Depot, Inc.		442		117,404
The TJX Cos., Inc.		2,042		139,448
Tractor Supply Co.		1,007		141,565
Ulta Beauty, Inc. (a)		377		108,259
Vail Resorts, Inc.		520		145,059
VF Corp.		1,490		127,261
Whirlpool Corp.		500		90,245
Williams-Sonoma, Inc.		959		97,665
Yum! Brands, Inc.		1,294		140,477
				6,498,327
Consumer Staples (7.1%):
Archer-Daniels-Midland Co.		3,163		159,447
Brown-Forman Corp., Class B		1,956		155,365
Campbell Soup Co.		3,432		165,938
Casey's General Stores, Inc.		722		128,964
Church & Dwight Co., Inc.		1,816		158,410
Colgate-Palmolive Co.		2,185		186,839
Conagra Brands, Inc.		3,889		141,015
Costco Wholesale Corp.		578		217,779
General Mills, Inc.		2,873		168,933
Herbalife Nutrition Ltd. (a)		2,094		100,617
Hormel Foods Corp.		3,682		171,619
Kellogg Co.		2,501		155,637
Kimberly-Clark Corp.		1,151		155,189
Lamb Weston Holdings, Inc.		1,564		123,149
McCormick & Co., Inc.		1,429		136,612
Mondelez International, Inc., Class A		2,773		162,137
Monster Beverage Corp. (a)		1,895		175,250

See notes to financial statements.

6

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
PepsiCo, Inc.		1,066	$	158,088
Philip Morris International, Inc.		1,777		147,118
Sysco Corp.		1,366		101,439
The Boston Beer Co., Inc., Class A (a)		118		117,326
The Clorox Co.		837		169,007
The Coca-Cola Co.		3,308		181,410
The Estee Lauder Cos., Inc., Class A		612		162,908
The Hershey Co.		985		150,045
The J.M. Smucker Co.		1,430		165,308
The Kroger Co.		5,124		162,738
The Procter & Gamble Co.		1,214		168,916
Tyson Foods, Inc., Class A		1,801		116,056
Walgreens Boots Alliance, Inc.		3,270		130,408
Walmart, Inc.		1,288		185,665
				4,779,332
Energy (1.4%):
Cabot Oil & Gas Corp.		5,736		93,382
Cheniere Energy, Inc. (a)		2,035		122,162
ConocoPhillips		2,130		85,179
EOG Resources, Inc.		1,774		88,469
Exxon Mobil Corp.		2,842		117,147
Kinder Morgan, Inc.		7,246		99,053
ONEOK, Inc.		2,167		83,169
Pioneer Natural Resources Co.		708		80,634
The Williams Cos., Inc.		4,126		82,726
Valero Energy Corp.		1,487		84,120
				936,041
Financials (13.7%):
Aflac, Inc.		2,648		117,757
Ally Financial, Inc.		3,180		113,399
American Express Co.		890		107,610
Ameriprise Financial, Inc.		504		97,942
Arch Capital Group Ltd. (a)		3,111		112,214
Ares Management Corp., Class A		2,601		122,377
Arthur J. Gallagher & Co.		1,282		158,596
Assurant, Inc.		923		125,731
Athene Holding Ltd., Class A (a)		1,829		78,903
Bank of America Corp.		3,770		114,269
Berkshire Hathaway, Inc., Class B (a)		730		169,265
BlackRock, Inc., Class A		195		140,700
Brown & Brown, Inc.		3,143		149,010
Cboe Global Markets, Inc.		1,410		131,299
Chubb Ltd.		943		145,147
Cincinnati Financial Corp.		1,240		108,339
Citigroup, Inc.		1,623		100,074
Citizens Financial Group, Inc.		2,913		104,169
CME Group, Inc.		667		121,427
Commerce Bancshares, Inc.		2,021		132,780
Credit Acceptance Corp. (a) (b)		223		77,189

See notes to financial statements.

7

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Discover Financial Services		1,245	$	112,710
Erie Indemnity Co., Class A (b)		533		130,905
Everest Re Group Ltd.		522		122,195
FactSet Research Systems, Inc.		354		117,705
Fidelity National Financial, Inc.		3,109		121,531
Fifth Third Bancorp		3,695		101,871
First Republic Bank		1,040		152,806
Franklin Resources, Inc. (b)		5,163		129,023
Globe Life, Inc.		1,271		120,694
Huntington Bancshares, Inc.		9,604		121,299
Interactive Brokers Group, Inc.		2,261		137,740
Intercontinental Exchange, Inc.		1,367		157,601
JPMorgan Chase & Co.		1,042		132,407
KeyCorp		6,149		100,905
KKR & Co., Inc.		2,861		115,842
Lincoln National Corp.		1,661		83,565
LPL Financial Holdings, Inc.		1,030		107,347
M&T Bank Corp.		947		120,553
Markel Corp. (a)		101		104,363
MarketAxess Holdings, Inc.		257		146,634
Marsh & McLennan Cos., Inc.		1,328		155,376
MetLife, Inc.		2,445		114,793
Moody's Corp.		371		107,679
Morgan Stanley		1,865		127,808
Morningstar, Inc.		1,110		257,043
MSCI, Inc.		289		129,047
Nasdaq, Inc.		978		129,820
Northern Trust Corp.		1,327		123,597
Principal Financial Group, Inc.		2,055		101,949
Raymond James Financial, Inc.		1,278		122,266
Regions Financial Corp.		7,088		114,259
RenaissanceRe Holdings Ltd.		705		116,903
S&P Global, Inc.		326		107,166
SEI Investments Co.		2,355		135,342
State Street Corp.		1,431		104,148
SVB Financial Group (a)		337		130,699
Synchrony Financial		2,987		103,679
T. Rowe Price Group, Inc.		841		127,319
The Allstate Corp.		1,369		150,494
The Bank of New York Mellon Corp.		3,213		136,360
The Blackstone Group, Inc., Class A		1,970		127,676
The Charles Schwab Corp.		3,002		159,226
The Goldman Sachs Group, Inc.		521		137,393
The Hartford Financial Services Group, Inc.		2,134		104,523
The PNC Financial Services Group, Inc.		882		131,418
The Progressive Corp.		1,621		160,283
The Travelers Cos., Inc.		995		139,668
Tradeweb Markets, Inc., Class A (b)		2,362		147,507
Truist Financial Corp.		2,187		104,823
U.S. Bancorp		2,679		124,815

See notes to financial statements.

8

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Voya Financial, Inc.		2,226	$	130,911
W.R. Berkley Corp.		1,881		124,936
Wells Fargo & Co.		3,852		116,253
				9,271,072
Health Care (16.6%):
Abbott Laboratories		1,311		143,541
AbbVie, Inc.		1,762		188,798
ABIOMED, Inc. (a)		424		137,461
Agilent Technologies, Inc.		1,537		182,119
Alexion Pharmaceuticals, Inc. (a)		1,321		206,394
Align Technology, Inc. (a)		299		159,780
Amedisys, Inc. (a)		469		137,572
AmerisourceBergen Corp.		1,372		134,127
Amgen, Inc.		592		136,113
Anthem, Inc.		369		118,482
Avantor, Inc. (a)		3,893		109,588
Baxter International, Inc.		1,722		138,173
Becton, Dickinson & Co.		636		159,140
Biogen, Inc. (a)		431		105,535
BioMarin Pharmaceutical, Inc. (a)		1,263		110,752
Bio-Rad Laboratories, Inc., Class A (a)		297		173,133
Bio-Techne Corp.		615		195,293
Boston Scientific Corp. (a)		3,155		113,422
Catalent, Inc. (a)		1,162		120,929
Centene Corp. (a)		1,732		103,972
Cerner Corp.		2,455		192,668
Charles River Laboratories International, Inc. (a)		513		128,178
Chemed Corp.		257		136,881
Cigna Corp.		618		128,655
CRISPR Therapeutics AG (a)		1,048		160,459
CVS Health Corp.		2,403		164,125
Danaher Corp.		832		184,820
DaVita, Inc. (a)		1,606		188,544
DexCom, Inc. (a)		258		95,388
Edwards Lifesciences Corp. (a)		1,520		138,670
Eli Lilly & Co.		959		161,918
Encompass Health Corp.		2,022		167,199
Exelixis, Inc. (a)		4,818		96,697
HCA Healthcare, Inc.		676		111,175
Henry Schein, Inc. (a)		2,005		134,054
Hologic, Inc. (a)		2,096		152,652
Horizon Therapeutics PLC (a)		1,407		102,922
Humana, Inc.		264		108,311
IDEXX Laboratories, Inc. (a)		372		185,952
Illumina, Inc. (a)		374		138,380
Insulet Corp. (a)		571		145,965
Intuitive Surgical, Inc. (a)		172		140,713
Ionis Pharmaceuticals, Inc. (a)		2,560		144,742
IQVIA Holdings, Inc. (a)		688		123,269
Jazz Pharmaceuticals PLC (a)		937		154,652

See notes to financial statements.

9

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Johnson & Johnson (c)		1,205	$	189,643
Laboratory Corp. of America Holdings (a)		605		123,148
LHC Group, Inc. (a)		541		115,406
Masimo Corp. (a)		708		190,012
McKesson Corp.		806		140,180
Medtronic PLC		1,286		150,642
Merck & Co., Inc.		2,063		168,753
Mettler-Toledo International, Inc. (a)		144		164,114
Molina Healthcare, Inc. (a)		589		125,269
Neurocrine Biosciences, Inc. (a)		1,170		112,145
Novocure Ltd. (a)		1,225		211,973
Penumbra, Inc. (a) (b)		597		104,475
PerkinElmer, Inc.		1,364		195,734
Perrigo Co. PLC		2,402		107,417
Pfizer, Inc.		4,640		170,798
PRA Health Sciences, Inc. (a)		1,006		126,193
Quest Diagnostics, Inc.		1,218		145,149
Quidel Corp. (a)		408		73,297
Regeneron Pharmaceuticals, Inc. (a)		221		106,767
Repligen Corp. (a)		791		151,579
ResMed, Inc.		626		133,063
Stryker Corp.		577		141,388
Syneos Health, Inc. (a)		1,384		94,292
Teleflex, Inc.		328		134,995
The Cooper Cos., Inc.		455		165,311
Thermo Fisher Scientific, Inc.		373		173,736
UnitedHealth Group, Inc.		372		130,453
Universal Health Services, Inc., Class B		770		105,875
Veeva Systems, Inc., Class A (a)		446		121,424
Vertex Pharmaceuticals, Inc. (a)		496		117,225
Waters Corp. (a)		652		161,318
West Pharmaceutical Services, Inc.		527		149,304
Zimmer Biomet Holdings, Inc.		810		124,813
Zoetis, Inc.		895		148,123
				11,235,327
Industrials (15.5%):
3M Co.		911		159,234
Allegion PLC		1,211		140,936
AMERCO, Inc.		352		159,793
AMETEK, Inc.		1,195		144,522
AO Smith Corp.		3,114		170,709
C.H. Robinson Worldwide, Inc.		1,899		178,259
Carlisle Cos., Inc.		923		144,154
Caterpillar, Inc.		906		164,910
Cintas Corp.		321		113,461
Copart, Inc. (a)		1,223		155,627
CoStar Group, Inc. (a) (c)		149		137,718
CSX Corp.		1,569		142,387
Cummins, Inc.		615		139,667
Deere & Co.		581		156,318

See notes to financial statements.

10

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Dover Corp.		1,081	$	136,476
Eaton Corp. PLC		1,043		125,306
Emerson Electric Co.		1,501		120,635
Enphase Energy, Inc. (a)		716		125,637
Equifax, Inc.		830		160,057
Expeditors International of Washington, Inc.		1,998		190,030
Fastenal Co.		3,069		149,859
FedEx Corp.		476		123,579
Fortive Corp.		1,996		141,357
Fortune Brands Home & Security, Inc.		1,147		98,321
Generac Holdings, Inc. (a)		582		132,353
General Dynamics Corp.		939		139,742
General Electric Co.		14,434		155,887
Graco, Inc.		2,307		166,911
HEICO Corp.		903		119,557
Honeywell International, Inc.		753		160,163
Howmet Aerospace, Inc. (a)		4,352		124,206
Hubbell, Inc.		838		131,390
IAA, Inc. (a)		1,928		125,281
IDEX Corp.		832		165,734
Illinois Tool Works, Inc.		661		134,765
J.B. Hunt Transport Services, Inc.		998		136,377
Jacobs Engineering Group, Inc.		1,480		161,261
Johnson Controls International PLC		3,254		151,604
Kansas City Southern		605		123,499
Knight-Swift Transportation Holdings, Inc.		3,188		133,322
L3Harris Technologies, Inc.		754		142,522
Lennox International, Inc.		515		141,095
Lockheed Martin Corp.		343		121,758
Masco Corp.		2,342		128,646
Nordson Corp.		587		117,958
Norfolk Southern Corp.		542		128,785
Northrop Grumman Corp.		410		124,935
Old Dominion Freight Line, Inc.		670		130,771
PACCAR, Inc.		1,842		158,928
Parker-Hannifin Corp.		454		123,674
Quanta Services, Inc.		2,251		162,117
Republic Services, Inc. (c)		1,716		165,251
Rockwell Automation, Inc.		492		123,399
Rollins, Inc.		4,396		171,751
Roper Technologies, Inc.		329		141,829
Snap-on, Inc.		786		134,516
Southwest Airlines Co.		2,409		112,283
Stanley Black & Decker, Inc.		539		96,244
Teledyne Technologies, Inc. (a)		349		136,801
Textron, Inc.		2,108		101,880
The Toro Co.		1,996		189,301
Trane Technologies PLC		1,051		152,563
TransDigm Group, Inc. (a)		154		95,303
TransUnion		1,427		141,587

See notes to financial statements.

11

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Trex Co., Inc. (a)		1,197	$	100,213
Union Pacific Corp.		695		144,712
United Parcel Service, Inc., Class B		850		143,140
United Rentals, Inc. (a)		476		110,389
Verisk Analytics, Inc.		782		162,335
W.W. Grainger, Inc.		359		146,594
Waste Management, Inc.		1,403		165,456
Watsco, Inc.		632		143,180
Westinghouse Air Brake Technologies Corp.		1,586		116,095
XPO Logistics, Inc. (a)		896		106,803
Xylem, Inc.		1,497		152,380
				10,476,198
Information Technology (19.0%):
Accenture PLC, Class A		570		148,890
Adobe, Inc. (a)		235		117,528
Advanced Micro Devices, Inc. (a)		1,029		94,370
Akamai Technologies, Inc. (a)		1,332		139,847
Amphenol Corp., Class A		1,246		162,939
Analog Devices, Inc.		941		139,014
ANSYS, Inc. (a)		370		134,606
Apple, Inc.		1,005		133,353
Applied Materials, Inc.		1,554		134,110
Arista Networks, Inc. (a)		538		156,327
Aspen Technology, Inc. (a)		803		104,591
Autodesk, Inc. (a)		461		140,762
Automatic Data Processing, Inc.		893		157,347
Black Knight, Inc. (a)		1,990		175,816
Booz Allen Hamilton Holding Corp.		1,818		158,493
Broadcom, Inc.		311		136,171
Broadridge Financial Solutions, Inc.		1,126		172,503
Cadence Design Systems, Inc. (a)		1,149		156,758
CDW Corp.		991		130,604
Ceridian HCM Holding, Inc. (a)		1,186		126,380
Ciena Corp. (a)		2,339		123,616
Cisco Systems, Inc.		3,133		140,202
Citrix Systems, Inc.		971		126,327
Cognex Corp.		1,456		116,895
Cognizant Technology Solutions Corp., Class A		1,697		139,069
Corning, Inc.		3,367		121,212
Datadog, Inc., Class A (a)		1,076		105,921
Dell Technologies, Inc., Class C (a)		1,639		120,122
Dolby Laboratories, Inc., Class A		1,888		183,382
Dropbox, Inc., Class A (a)		5,117		113,546
Entegris, Inc.		1,609		154,625
EPAM Systems, Inc. (a)		320		114,672
F5 Networks, Inc. (a)		1,062		186,848
Fair Isaac Corp. (a)		229		117,028
Fidelity National Information Services, Inc.		836		118,261
First Solar, Inc. (a)		1,330		131,564
Fiserv, Inc. (a)		1,216		138,454
FleetCor Technologies, Inc. (a)		431		117,590

See notes to financial statements.

12

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Fortinet, Inc. (a)		789	$	117,190
Gartner, Inc. (a)		906		145,132
Genpact Ltd.		2,757		114,030
Global Payments, Inc.		580		124,944
HP, Inc.		5,143		126,466
Intel Corp.		2,066		102,928
International Business Machines Corp.		1,134		142,748
Intuit, Inc.		349		132,568
IPG Photonics Corp. (a)		652		145,911
Jack Henry & Associates, Inc.		868		140,607
Juniper Networks, Inc.		6,414		144,379
Keysight Technologies, Inc. (a)		1,276		168,547
KLA Corp.		457		118,322
Lam Research Corp.		264		124,679
Leidos Holdings, Inc.		1,417		148,955
Marvell Technology Group Ltd.		2,818		133,968
Mastercard, Inc., Class A		329		117,433
Microchip Technology, Inc.		826		114,079
Micron Technology, Inc. (a)		2,156		162,088
Microsoft Corp. (c)		579		128,781
MKS Instruments, Inc.		770		115,847
Monolithic Power Systems, Inc.		353		129,279
Motorola Solutions, Inc.		822		139,789
NetApp, Inc.		2,340		155,002
NortonLifeLock, Inc.		4,345		90,289
Nuance Communications, Inc. (a) (b)		4,293		189,278
NVIDIA Corp.		190		99,218
Oracle Corp.		2,354		152,280
Paychex, Inc.		1,485		138,372
Paycom Software, Inc. (a)		289		130,700
Paylocity Holding Corp. (a)		656		135,077
PayPal Holdings, Inc. (a)		562		131,620
PTC, Inc. (a)		1,418		169,607
Qorvo, Inc. (a)		807		134,180
QUALCOMM, Inc.		937		142,743
salesforce.com, Inc. (a)		400		89,012
Seagate Technology PLC (b)		2,722		169,200
ServiceNow, Inc. (a) (c)		240		132,103
Skyworks Solutions, Inc.		717		109,615
SolarWinds Corp. (a)		5,387		80,536
Square, Inc., Class A (a)		507		110,343
SS&C Technologies Holdings, Inc.		1,923		139,898
SYNNEX Corp.		1,517		123,544
Synopsys, Inc. (a)		628		162,803
Teradyne, Inc.		1,260		151,061
Texas Instruments, Inc.		908		149,030
The Trade Desk, Inc., Class A (a)		168		134,568
The Western Union Co.		5,583		122,491
Trimble, Inc. (a)		1,975		131,871
Tyler Technologies, Inc. (a)		471		205,602
Universal Display Corp.		599		137,650
VeriSign, Inc. (a)		659		142,608

See notes to financial statements.

13

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Visa, Inc., Class A		619	$	135,394
VMware, Inc., Class A (a) (b)		891		124,972
WEX, Inc. (a)		455		92,606
Xilinx, Inc.		1,209		171,399
Zebra Technologies Corp. (a)		409		157,191
Zoom Video Communications, Inc., Class A (a)		264		89,052
				12,959,328
Materials (5.6%):
Air Products & Chemicals, Inc.		450		122,949
Albemarle Corp.		1,077		158,879
AptarGroup, Inc.		1,397		191,235
Avery Dennison Corp.		1,003		155,575
Ball Corp.		1,766		164,556
Berry Global Group, Inc. (a)		2,441		137,160
Celanese Corp.		1,029		133,708
CF Industries Holdings, Inc.		3,021		116,943
Corteva, Inc.		3,797		147,020
Crown Holdings, Inc. (a)		1,465		146,793
Eastman Chemical Co.		1,534		153,830
FMC Corp.		1,002		115,160
International Flavors & Fragrances, Inc. (b)		1,087		118,309
International Paper Co.		3,022		150,254
LyondellBasell Industries NV, Class A		1,246		114,208
Martin Marietta Materials, Inc.		504		143,121
Newmont Corp.		1,844		110,437
Nucor Corp.		2,561		136,220
Packaging Corp. of America		1,226		169,078
PPG Industries, Inc.		1,075		155,037
Reliance Steel & Aluminum Co.		1,154		138,191
Royal Gold, Inc.		730		77,643
RPM International, Inc.		1,477		134,082
The Scotts Miracle-Gro Co.		637		126,852
The Sherwin-Williams Co.		193		141,838
Vulcan Materials Co.		884		131,106
Westlake Chemical Corp.		1,394		113,750
Westrock Co.		2,819		122,711
				3,826,645
Real Estate (0.2%):
CBRE Group, Inc., Class A (a)		1,971		123,621
Utilities (5.6%):
Alliant Energy Corp.		2,655		136,812
Ameren Corp. (b)		1,593		124,350
American Electric Power Co., Inc. (c)		1,810		150,719
American Water Works Co., Inc.		903		138,584
Atmos Energy Corp.		1,358		129,594
CMS Energy Corp.		2,351		143,434
Consolidated Edison, Inc. (c)		1,876		135,579
Dominion Energy, Inc.		1,533		115,282
DTE Energy Co.		980		118,982
Duke Energy Corp. (c)		1,670		152,904

See notes to financial statements.

14

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Edison International		2,344	$	147,250
Entergy Corp.		1,189		118,710
Essential Utilities, Inc.		2,667		126,122
Evergy, Inc. (c)		2,068		114,795
Eversource Energy (c)		1,414		122,325
Exelon Corp.		3,038		128,264
FirstEnergy Corp.		3,656		111,910
NextEra Energy, Inc. (c)		1,918		147,974
NRG Energy, Inc.		3,419		128,384
Pinnacle West Capital Corp.		1,717		137,274
PPL Corp.		4,221		119,032
Public Service Enterprise Group, Inc.		2,623		152,920
Sempra Energy		951		121,167
The AES Corp.		5,282		124,127
The Southern Co. (c)		2,248		138,095
UGI Corp.		3,183		111,278
Vistra Corp.		5,738		112,809
WEC Energy Group, Inc. (c)		1,357		124,885
Xcel Energy, Inc. (c)		2,032		135,473
				3,769,034
Total Common Stocks (Cost $48,254,390)				67,411,209
Investment Companies (0.3%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.02% (d)		205,931		205,931
Total Investment Companies (Cost $205,931)				205,931
Collateral for Securities Loaned^ (2.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (d)		29,337		29,337
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		1,007,906		1,007,906
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (d)		14,641		14,641
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (d)		116,741		116,741
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (d)		524,889		524,889
Total Collateral for Securities Loaned (Cost $1,693,514)				1,693,514
Total Investments (Cost $50,153,835) — 102.3%				69,310,654
Liabilities in excess of other assets — (2.3)%				(1,563,224	)
NET ASSETS — 100.00%			$	67,747,430

^  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 December 31, 2020.

PLC — Public Limited Company

See notes to financial statements.

15

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December 31, 2020

  (Unaudited)

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		2	3/19/21	$	365,471	$	374,880	$	9,409
	Total unrealized appreciation							$	9,409
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	9,409

See notes to financial statements.

16

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (83.3%)
Australia (1.3%):
Communication Services (0.2%):
Telstra Corp. Ltd.		534,637	$	1,227,616
Financials (0.4%):
Insurance Australia Group Ltd.		249,104		903,843
National Australia Bank Ltd.		56,154		978,792
				1,882,635
Materials (0.7%):
BHP Group Ltd.		31,028		1,013,632
Fortescue Metals Group Ltd.		55,555		1,003,264
Rio Tinto Ltd.		15,723		1,382,439
				3,399,335
				6,509,586
Austria (0.3%):
Energy (0.1%):
OMV AG		17,119		683,698
Financials (0.2%):
Erste Group Bank AG (a)		26,534		808,195
				1,491,893
Bermuda (0.3%):
Industrials (0.3%):
Triton International Ltd.		28,800		1,397,088
Brazil (0.7%):
Consumer Discretionary (0.1%):
Petrobras Distribuidora SA		131,600		561,646
Financials (0.2%):
BB Seguridade Participacoes SA		155,000		887,147
Industrials (0.1%):
CCR SA		195,200		507,853
Utilities (0.3%):
Centrais Eletricas Brasileiras SA		63,500		452,096
Engie Brasil Energia SA		112,100		952,312
				1,404,408
				3,361,054
Canada (2.0%):
Communication Services (0.5%):
BCE, Inc. (b) (c)		22,287		953,156
Shaw Communications, Inc., Class B (b)		48,096		844,240
TELUS Corp. (b) (c)		51,346		1,017,076
				2,814,472

See notes to financial statements.

17

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Energy (0.4%):
Canadian Natural Resources Ltd.		21,806	$	524,119
Enbridge, Inc.		21,649		692,489
Pembina Pipeline Corp. (c)		16,131		381,506
TC Energy Corp.		14,356		583,738
				2,181,852
Financials (0.5%):
Great-West Lifeco, Inc.		33,531		799,612
Power Corp. of Canada (c)		28,756		660,437
The Bank of Nova Scotia		18,047		975,590
				2,435,639
Materials (0.2%):
Nutrien Ltd. (c)		20,452		984,113
Utilities (0.4%):
Algonquin Power & Utilities Corp. (c)		54,392		895,350
Emera, Inc.		22,214		944,274
				1,839,624
				10,255,700
Chile (0.3%):
Utilities (0.3%):
Colbun SA		4,779,035		844,797
Enel Americas SA		4,739,068		773,599
				1,618,396
China (3.1%):
Energy (0.4%):
China Petroleum & Chemical Corp., Class H		2,182,000		971,764
China Shenhua Energy Co. Ltd., Class H		635,500		1,197,948
				2,169,712
Financials (2.2%):
Agricultural Bank of China Ltd., Class H (b)		3,820,000		1,399,089
Bank of China Ltd., Class H (b)		4,350,000		1,472,321
Bank of Communications Co. Ltd., Class H		2,516,000		1,330,909
China CITIC Bank Corp. Ltd., Class H		2,737,000		1,162,673
China Everbright Bank Co. Ltd., Class H		2,367,000		902,759
China Minsheng Banking Corp. Ltd., Class H (c)		2,427,000		1,383,552
GF Securities Co. Ltd., Class H		682,600		965,152
Industrial & Commercial Bank of China Ltd., Class H		2,478,000		1,592,141
PICC Property & Casualty Co. Ltd., Class H		1,078,000		815,550
				11,024,146
Information Technology (0.1%):
China Railway Signal & Communication Corp. Ltd., Class H (d)		2,298,000		771,448

See notes to financial statements.

18

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Utilities (0.4%):
CGN Power Co. Ltd., Class H (d)		5,370,000	$	1,158,064
Huaneng Power International, Inc., Class H		1,832,000		668,761
				1,826,825
				15,792,131
Czech Republic (0.5%):
Financials (0.2%):
Komercni Banka A/S (a)		39,563		1,211,511
Utilities (0.3%):
CEZ A/S (b)		57,457		1,380,169
				2,591,680
Egypt (0.2%):
Consumer Staples (0.2%):
Eastern Co. SAE		1,048,250		871,232
Finland (0.8%):
Financials (0.2%):
Nordea Bank Abp (a)		111,226		911,962
Information Technology (0.1%):
Nokia Oyj (a)		158,339		611,478
Materials (0.3%):
UPM-Kymmene Oyj		34,741		1,295,383
Utilities (0.2%):
Fortum Oyj		41,246		996,381
				3,815,204
France (1.4%):
Communication Services (0.4%):
Orange SA		99,548		1,184,970
Publicis Groupe SA		19,359		962,045
				2,147,015
Consumer Discretionary (0.2%):
Sodexo SA		9,276		784,405
Financials (0.5%):
BNP Paribas SA (a)		14,839		783,283
CNP Assurances		34,444		559,541
Credit Agricole SA		63,266		799,702
Natixis SA (a)		148,181		507,680
				2,650,206
Industrials (0.3%):
Alstom SA (a)		15,546		885,373
Bouygues SA		16,105		662,281
				1,547,654
				7,129,280

See notes to financial statements.

19

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Germany (1.0%):
Consumer Discretionary (0.2%):
Bayerische Motoren Werke AG		10,238	$	903,455
Materials (0.4%):
BASF SE		13,385		1,057,851
Evonik Industries AG		28,011		915,409
				1,973,260
Utilities (0.4%):
E.ON SE		95,285		1,054,979
Uniper SE (c)		34,146		1,183,002
				2,237,981
				5,114,696
Hong Kong (1.7%):
Consumer Staples (0.2%):
WH Group Ltd. (d)		1,007,500		844,869
Energy (0.1%):
CNOOC Ltd.		622,000		570,655
Financials (0.3%):
Hang Seng Bank Ltd.		77,600		1,339,269
Industrials (0.2%):
CK Hutchison Holdings Ltd.		159,500		1,113,638
Real Estate (0.5%):
Henderson Land Development Co. Ltd.		322,000		1,250,899
Sino Land Co. Ltd.		918,000		1,194,646
				2,445,545
Utilities (0.4%):
CK Infrastructure Holdings Ltd.		193,500		1,039,206
Power Assets Holdings Ltd. (b)		236,000		1,278,131
				2,317,337
				8,631,313
Hungary (0.2%):
Energy (0.2%):
MOL Hungarian Oil & Gas PLC (a)		137,904		1,018,453
India (1.3%):
Communication Services (0.3%):
Indus Towers Ltd.		191,067		602,897
Sun TV Network Ltd.		113,363		747,795
				1,350,692
Consumer Discretionary (0.2%):
Bajaj Auto Ltd.		20,683		976,264
Consumer Staples (0.2%):
ITC Ltd.		301,756		864,238

See notes to financial statements.

20

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Energy (0.1%):
Hindustan Petroleum Corp. Ltd.		240,875	$	718,882
Financials (0.2%):
Power Finance Corp. Ltd.		498,446		780,249
Industrials (0.1%):
Bharat Electronics Ltd.		419,367		690,342
Utilities (0.2%):
Torrent Power Ltd.		211,805		921,023
				6,301,690
Indonesia (0.6%):
Communication Services (0.2%):
PT Telkom Indonesia Persero Tbk		4,155,500		980,419
Consumer Staples (0.1%):
PT Gudang Garam Tbk (a)		206,900		604,360
Energy (0.3%):
PT Adaro Energy Tbk		7,195,300		733,799
PT United Tractors Tbk		382,500		725,468
				1,459,267
				3,044,046
Ireland (0.5%):
Industrials (0.2%):
Eaton Corp. PLC		8,882		1,067,084
Information Technology (0.3%):
Seagate Technology PLC (c)		23,171		1,440,309
				2,507,393
Italy (1.0%):
Energy (0.2%):
Snam SpA		161,465		911,772
Financials (0.4%):
Assicurazioni Generali SpA		65,280		1,142,801
Poste Italiane SpA (d)		80,209		820,334
				1,963,135
Utilities (0.4%):
Enel SpA		100,456		1,021,982
Terna Rete Elettrica Nazionale SpA		132,556		1,018,454
				2,040,436
				4,915,343
Japan (2.6%):
Communication Services (0.3%):
Softbank Corp.		132,000		1,657,104

See notes to financial statements.

21

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Consumer Discretionary (0.4%):
Sekisui House Ltd.		54,400	$	1,108,387
Subaru Corp.		40,200		804,476
				1,912,863
Consumer Staples (0.3%):
Japan Tobacco, Inc.		76,900		1,568,001
Financials (0.5%):
Japan Post Holdings Co. Ltd.		150,400		1,171,657
Sumitomo Mitsui Financial Group, Inc.		37,500		1,162,600
				2,334,257
Health Care (0.2%):
Takeda Pharmaceutical Co. Ltd.		29,800		1,078,600
Industrials (0.7%):
Mitsubishi Corp.		56,800		1,400,428
Mitsui & Co. Ltd.		60,400		1,107,552
Sumitomo Corp.		82,800		1,097,504
				3,605,484
Information Technology (0.2%):
Canon, Inc. (c)		54,400		1,054,019
				13,210,328
Korea, Republic Of (0.9%):
Consumer Staples (0.3%):
KT&G Corp.		16,716		1,279,989
Financials (0.3%):
KB Financial Group, Inc.		22,287		885,255
Shinhan Financial Group Co. Ltd.		29,992		890,037
				1,775,292
Materials (0.3%):
POSCO		5,783		1,445,186
				4,500,467
Luxembourg (0.2%):
Materials (0.2%):
Orion Engineered Carbons SA		57,114		978,934
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		190,000		829,833
Malaysia (1.1%):
Financials (0.6%):
CIMB Group Holdings Bhd		1,093,300		1,171,281
Malayan Banking Bhd (b)		819,800		1,726,909
				2,898,190

See notes to financial statements.

22

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Utilities (0.5%):
Petronas Gas Bhd (b)		292,100	$	1,249,286
Tenaga Nasional Bhd		553,100		1,435,668
				2,684,954
				5,583,144
Mexico (1.2%):
Consumer Staples (0.2%):
Kimberly-Clark de Mexico SAB de CV, Class A		562,936		961,793
Financials (0.2%):
Grupo Financiero Banorte SAB de CV, Class O (a)		194,155		1,072,843
Industrials (0.2%):
Grupo Aeroportuario del Pacifico SAB de CV, Class B (a)		70,530		787,539
Materials (0.4%):
Grupo Mexico SAB de CV, Class B		287,627		1,216,187
Orbia Advance Corp. SAB de CV		385,210		905,212
				2,121,399
Utilities (0.2%):
Infraestructura Energetica Nova SAB de CV (a)		285,108		1,111,666
				6,055,240
Netherlands (1.2%):
Communication Services (0.2%):
Koninklijke KPN NV		377,400		1,146,882
Consumer Staples (0.2%):
X5 Retail Group NV, GDR		18,205		657,367
Financials (0.4%):
ABN AMRO Bank NV (a) (d)		59,700		584,919
ING Groep NV (a)		70,503		655,442
NN Group NV		19,648		849,279
				2,089,640
Industrials (0.2%):
Randstad NV		14,323		927,048
Materials (0.2%):
LyondellBasell Industries NV, Class A		10,604		971,962
				5,792,899
Norway (0.7%):
Communication Services (0.3%):
Telenor ASA		79,266		1,347,619
Consumer Staples (0.2%):
Mowi ASA (c)		47,602		1,064,475
Financials (0.2%):
DNB ASA (a)		49,849		978,345
				3,390,439

See notes to financial statements.

23

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Philippines (0.5%):
Communication Services (0.3%):
Globe Telecom, Inc.		20,235	$	856,339
PLDT, Inc.		28,320		790,818
				1,647,157
Utilities (0.2%):
Manila Electric Co.		131,070		797,878
				2,445,035
Poland (0.5%):
Financials (0.5%):
Bank Polska Kasa Opieki SA (a)		47,866		787,528
Powszechny Zaklad Ubezpieczen SA (a)		122,140		1,062,891
Santander Bank Polska SA (a)		14,162		705,572
				2,555,991
Portugal (0.2%):
Utilities (0.2%):
Energias de Portugal SA (c)		185,627		1,164,940
Russian Federation (2.3%):
Communication Services (0.5%):
Mobile TeleSystems PJSC		283,760		1,277,520
Rostelecom PJSC (b)		883,700		1,163,258
				2,440,778
Consumer Staples (0.2%):
Magnit PJSC		14,218		1,095,247
Energy (0.1%):
Tatneft PJSC		85,115		595,110
Materials (1.1%):
Alrosa PJSC		1,018,070		1,364,812
MMC Norilsk Nickel PJSC		3,132		1,007,205
PhosAgro PJSC, GDR (b)		94,856		1,293,589
Severstal PJSC		104,519		1,872,557
				5,538,163
Utilities (0.4%):
Federal Grid Co. Unified Energy System PJSC		324,600,000		981,539
RusHydro PJSC		79,317,000		846,039
				1,827,578
				11,496,876
Singapore (0.3%):
Communication Services (0.3%):
Singapore Telecommunications Ltd.		771,500		1,347,454

See notes to financial statements.

24

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
South Africa (1.7%):
Communication Services (0.3%):
MTN Group Ltd.		120,054	$	495,737
Vodacom Group Ltd.		132,116		1,116,429
				1,612,166
Consumer Staples (0.3%):
The SPAR Group Ltd.		105,195		1,355,264
Energy (0.2%):
Exxaro Resources Ltd.		88,127		836,608
Financials (0.5%):
Absa Group Ltd.		116,154		950,060
FirstRand Ltd.		281,897		982,747
Standard Bank Group Ltd.		95,242		825,308
				2,758,115
Industrials (0.2%):
The Bidvest Group Ltd.		93,918		1,006,125
Materials (0.2%):
African Rainbow Minerals Ltd.		44,888		800,324
				8,368,602
Spain (0.8%):
Industrials (0.1%):
Aena SME SA (a) (d)		4,260		740,503
Utilities (0.7%):
Endesa SA		36,568		1,002,892
Naturgy Energy Group SA		47,453		1,103,336
Red Electrica Corp. SA		59,574		1,222,962
				3,329,190
				4,069,693
Sweden (0.4%):
Communication Services (0.2%):
Telia Co. AB		296,299		1,224,237
Consumer Staples (0.2%):
ICA Gruppen AB		20,567		1,029,251
				2,253,488
Switzerland (0.8%):
Communication Services (0.2%):
Swisscom AG, Registered Shares		2,334		1,257,372
Financials (0.2%):
Zurich Insurance Group AG		2,293		966,647
Industrials (0.2%):
Adecco Group AG		14,722		980,867
Materials (0.2%):
LafargeHolcim Ltd.		18,675		1,025,377
				4,230,263

See notes to financial statements.

25

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Taiwan (3.9%):
Industrials (0.2%):
Far Eastern New Century Corp.		1,215,000	$	1,254,030
Information Technology (3.1%):
Asustek Computer, Inc.		141,000		1,259,275
Catcher Technology Co. Ltd.		138,000		1,014,751
Compal Electronics, Inc. (b)		2,464,000		1,818,416
Foxconn Technology Co. Ltd.		668,000		1,272,573
Inventec Corp.		1,626,000		1,390,919
Lite-On Technology Corp.		741,000		1,314,752
Novatek Microelectronics Corp.		98,000		1,289,559
Pegatron Corp.		450,000		1,080,390
Quanta Computer, Inc. (b)		424,000		1,223,462
Synnex Technology International Corp.		946,000		1,585,076
Wistron Corp.		751,000		830,977
WPG Holdings Ltd. (b)		971,000		1,484,609
				15,564,759
Materials (0.6%):
Asia Cement Corp.		858,000		1,321,509
Formosa Plastics Corp.		464,000		1,593,772
				2,915,281
				19,734,070
Thailand (1.1%):
Communication Services (0.3%):
Intouch Holdings PCL		598,500		1,123,216
Total Access Communication PCL		593,200		657,918
				1,781,134
Energy (0.3%):
PTT Exploration & Production PCL		176,900		580,219
PTT PCL		544,900		773,717
				1,353,936
Financials (0.4%):
Krung Thai Bank PCL		2,586,800		957,788
The Siam Commercial Bank PCL		296,400		865,102
				1,822,890
Utilities (0.1%):
Ratch Group PCL		458,300		809,507
				5,767,467
Turkey (0.4%):
Consumer Discretionary (0.2%):
Ford Otomotiv Sanayi A/S		68,014		1,155,597
Industrials (0.2%):
Enka Insaat ve Sanayi A/S		972,829		966,962
				2,122,559

See notes to financial statements.

26

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
United Kingdom (2.6%):
Communication Services (0.2%):
BT Group PLC (a)		534,449	$	963,180
Consumer Staples (0.7%):
British American Tobacco PLC		30,376		1,127,902
Imperial Brands PLC		57,887		1,213,975
Tesco PLC		452,735		1,428,514
				3,770,391
Financials (0.5%):
Legal & General Group PLC		180,111		656,302
Natwest Group PLC		431,223		985,623
Phoenix Group Holdings PLC		80,595		772,227
				2,414,152
Health Care (0.2%):
GlaxoSmithKline PLC (b)		62,683		1,146,801
Industrials (0.2%):
BAE Systems PLC		134,181		894,690
Materials (0.4%):
BHP Group PLC		30,391		802,336
Rio Tinto PLC		13,155		990,070
				1,792,406
Utilities (0.4%):
National Grid PLC		89,931		1,062,595
SSE PLC		45,317		928,099
				1,990,694
				12,972,314
United States (42.5%):
Communication Services (1.9%):
AT&T, Inc.		44,700		1,285,572
CenturyLink, Inc.		84,083		819,809
National CineMedia, Inc.		136,519		507,851
Omnicom Group, Inc.		19,429		1,211,787
Sinclair Broadcast Group, Inc., Class A (c)		33,180		1,056,783
Telephone & Data Systems, Inc.		41,550		771,583
The Interpublic Group of Cos., Inc.		47,780		1,123,786
Verizon Communications, Inc.		31,846		1,870,952
ViacomCBS, Inc., Class B		23,164		863,091
				9,511,214
Consumer Discretionary (3.4%):
Big Lots, Inc. (c)		11,618		498,761
Brinker International, Inc.		9,817		555,348
Dana, Inc.		42,585		831,259
Dave & Buster's Entertainment, Inc.		20,154		605,023
Franchise Group, Inc. (c)		19,106		581,778
General Motors Co.		26,689		1,111,330

See notes to financial statements.

27

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Genuine Parts Co.		9,714	$	975,577
H&R Block, Inc.		60,459		958,880
Hasbro, Inc.		11,030		1,031,746
Kontoor Brands, Inc.		31,819		1,290,579
Las Vegas Sands Corp. (b)		16,257		968,917
MDC Holdings, Inc.		16,246		789,555
PetMed Express, Inc. (b) (c)		24,351		780,693
Rent-A-Center, Inc.		27,638		1,058,259
Steven Madden Ltd.		35,861		1,266,610
The Buckle, Inc. (c)		46,214		1,349,449
Vail Resorts, Inc.		4,422		1,233,561
VF Corp.		12,682		1,083,170
				16,970,495
Consumer Staples (4.1%):
Archer-Daniels-Midland Co.		26,921		1,357,088
B&G Foods, Inc. (c)		27,334		757,972
General Mills, Inc.		24,457		1,438,071
Inter Parfums, Inc.		17,551		1,061,660
Kellogg Co.		21,290		1,324,877
Medifast, Inc.		5,852		1,148,982
Nu Skin Enterprises, Inc., Class A		12,401		677,467
PepsiCo, Inc.		9,070		1,345,081
Philip Morris International, Inc.		15,125		1,252,199
SpartanNash Co.		39,458		686,964
Sysco Corp.		11,632		863,792
The Coca-Cola Co.		28,162		1,544,404
The J.M. Smucker Co.		12,173		1,407,199
Universal Corp.		33,440		1,625,518
Vector Group Ltd.		115,359		1,343,932
Walgreens Boots Alliance, Inc.		27,840		1,110,259
Weis Markets, Inc. (b) (c)		29,808		1,425,120
				20,370,585
Energy (1.6%):
Arch Resources, Inc.		18,716		819,199
Brigham Minerals, Inc.		56,704		623,177
ConocoPhillips		18,131		725,059
CVR Energy, Inc.		37,307		555,874
EOG Resources, Inc.		15,106		753,336
Exxon Mobil Corp.		24,194		997,277
Kinder Morgan, Inc.		61,681		843,179
Murphy Oil Corp.		38,959		471,404
ONEOK, Inc.		18,444		707,881
The Williams Cos., Inc.		35,122		704,196
Valero Energy Corp.		12,661		716,233
				7,916,815
Financials (11.0%):
Aflac, Inc.		22,539		1,002,309
Ally Financial, Inc.		27,073		965,423

See notes to financial statements.

28

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Ares Management Corp., Class A		22,138	$	1,041,593
Associated Bancorp		65,323		1,113,757
B. Riley Financial, Inc.		34,545		1,527,580
BGC Partners, Inc., Class A		290,843		1,163,372
Cathay General Bancorp		34,799		1,120,180
Cincinnati Financial Corp.		10,561		922,715
Citigroup, Inc.		13,814		851,771
Citizens Financial Group, Inc.		24,801		886,884
Discover Financial Services		10,599		959,527
FBL Financial Group, Inc., Class A		20,498		1,076,350
Fidelity National Financial, Inc.		26,468		1,034,634
Fifth Third Bancorp		31,454		867,187
First Commonwealth Financial Corp.		112,873		1,234,831
First Financial Bancorp		55,943		980,681
First Hawaiian, Inc.		57,856		1,364,244
FNB Corp.		95,943		911,459
Franklin Resources, Inc. (c)		43,953		1,098,385
Fulton Financial Corp.		89,984		1,144,597
Hope Bancorp, Inc.		108,488		1,183,604
Huntington Bancshares, Inc.		81,754		1,032,553
Investors Bancorp, Inc.		114,623		1,210,419
JPMorgan Chase & Co.		8,874		1,127,619
KeyCorp		52,343		858,949
Lincoln National Corp.		14,139		711,333
M&T Bank Corp.		8,060		1,026,038
Mercury General Corp.		27,174		1,418,755
MetLife, Inc.		20,813		977,170
Navient Corp.		75,334		739,780
Northern Trust Corp.		11,295		1,052,016
Northwest Bancshares, Inc. (b)		113,018		1,439,849
Principal Financial Group, Inc.		17,490		867,679
Provident Financial Services, Inc.		59,792		1,073,864
Regions Financial Corp.		60,342		972,713
S&T Bancorp, Inc.		47,585		1,182,011
Safety Insurance Group, Inc. (b)		17,595		1,370,651
Sandy Spring Bancorp, Inc.		36,783		1,184,045
State Street Corp.		12,181		886,533
Synchrony Financial		25,430		882,675
The Bank of New York Mellon Corp.		27,351		1,160,776
The Blackstone Group, Inc., Class A		16,771		1,086,929
The Hartford Financial Services Group, Inc.		18,168		889,869
The PNC Financial Services Group, Inc.		7,513		1,119,437
The Travelers Cos., Inc.		8,473		1,189,355
Truist Financial Corp.		18,618		892,361
U.S. Bancorp		22,803		1,062,392
Waddell & Reed Financial, Inc., Class A		75,869		1,932,383
Webster Financial Corp.		26,208		1,104,667
Wells Fargo & Co.		32,789		989,572
WesBanco, Inc.		42,497		1,273,210
				55,166,686

See notes to financial statements.

29

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Health Care (1.4%):
AbbVie, Inc.		15,003	$	1,607,571
CVS Health Corp.		20,458		1,397,281
Merck & Co., Inc.		17,559		1,436,326
National Healthcare Corp. (b)		19,450		1,291,675
Pfizer, Inc.		39,500		1,453,995
				7,186,848
Industrials (5.2%):
3M Co.		7,752		1,354,972
ACCO Brands Corp.		132,342		1,118,290
Apogee Enterprises, Inc.		31,085		984,773
Caterpillar, Inc.		7,715		1,404,284
Emerson Electric Co.		12,777		1,026,887
Ennis, Inc. (b)		67,381		1,202,751
GATX Corp. (c)		14,978		1,245,870
General Dynamics Corp.		7,991		1,189,221
GrafTech International Ltd.		109,118		1,163,198
H&E Equipment Services, Inc.		35,773		1,066,393
Healthcare Services Group (c)		41,768		1,173,681
HNI Corp.		25,883		891,928
Hyster-Yale Materials Handling, Inc.		20,774		1,237,092
KAR Auction Services, Inc.		45,412		845,117
Knoll, Inc.		59,299		870,509
Macquarie Infrastructure Corp.		22,296		837,215
McGrath RentCorp		14,743		989,255
National Presto Industries, Inc.		14,502		1,282,412
Snap-on, Inc.		6,687		1,144,413
Steelcase, Inc., Class A		71,258		965,546
Systemax, Inc.		50,220		1,802,396
The Greenbrier Cos., Inc.		27,084		985,316
Trinity Industries, Inc. (c)		52,590		1,387,850
				26,169,369
Information Technology (2.9%):
Benchmark Electronics, Inc.		41,657		1,125,156
Broadcom, Inc.		2,647		1,158,989
Cass Information Systems, Inc.		26,789		1,042,360
Cisco Systems, Inc.		26,668		1,193,393
HP, Inc.		43,786		1,076,698
International Business Machines Corp.		9,655		1,215,371
Juniper Networks, Inc.		54,604		1,229,136
MTS Systems Corp.		25,872		1,504,715
NetApp, Inc.		19,922		1,319,633
Paychex, Inc.		12,642		1,177,982
The Western Union Co.		47,528		1,042,764
Vishay Intertechnology, Inc.		59,636		1,235,062
				14,321,259

See notes to financial statements.

30

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Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Materials (4.8%):
Avient Corp.		27,154	$	1,093,763
Cabot Corp.		24,207		1,086,410
Carpenter Technology Corp.		32,160		936,499
CF Industries Holdings, Inc.		25,716		995,466
Cleveland-Cliffs, Inc. (c)		103,280		1,503,757
Compass Minerals International, Inc.		17,935		1,106,948
Domtar Corp.		26,773		847,366
Eastman Chemical Co.		13,061		1,309,757
Greif, Inc., Class A (c)		23,970		1,123,714
International Paper Co.		25,727		1,279,146
Kaiser Aluminum Corp.		14,148		1,399,237
Myers Industries, Inc.		45,076		936,679
Nucor Corp.		21,799		1,159,489
Packaging Corp. of America		10,439		1,439,643
Schnitzer Steel Industries, Inc.		43,193		1,378,289
Schweitzer-Mauduit International, Inc.		31,480		1,265,811
Sensient Technologies Corp.		23,265		1,716,259
Tredegar Corp.		69,662		1,163,355
W.R. Grace & Co.		24,365		1,335,689
Westrock Co.		23,998		1,044,633
				24,121,910
Real Estate (0.6%):
Kennedy-Wilson Holdings, Inc.		66,827		1,195,535
Newmark Group, Inc., Class A		96,913		706,496
The RMR Group, Inc., Class A		35,161		1,357,918
				3,259,949
Utilities (5.6%):
ALLETE, Inc.		19,145		1,185,841
American Electric Power Co., Inc. (b)		15,407		1,282,941
Avista Corp.		27,690		1,111,477
Consolidated Edison, Inc. (b)		15,971		1,154,224
Dominion Energy, Inc.		13,050		981,360
DTE Energy Co.		8,340		1,012,560
Duke Energy Corp. (b)		14,216		1,301,617
Edison International		19,954		1,253,510
Entergy Corp.		10,121		1,010,481
Evergy, Inc. (b)		17,606		977,309
Exelon Corp.		25,865		1,092,020
FirstEnergy Corp.		31,122		952,645
New Jersey Resources Corp.		28,117		999,559
Northwest Natural Holding Co.		17,568		807,952
NorthWestern Corp.		19,644		1,145,442
Otter Tail Corp. (b)		23,602		1,005,681
Pinnacle West Capital Corp.		14,621		1,168,949
PPL Corp.		35,930		1,013,226
Public Service Enterprise Group, Inc.		22,331		1,301,897
Sempra Energy		8,096		1,031,511
South Jersey Industries, Inc. (c)		45,522		980,999

See notes to financial statements.

31

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Spire, Inc.		18,700	$	1,197,548
The AES Corp.		44,967		1,056,725
The Southern Co. (b)		19,138		1,175,647
UGI Corp.		27,096		947,276
Unitil Corp. (b)		25,424		1,125,521
				28,273,918
				213,269,048
Total Common Stocks (Cost $378,656,052)				418,505,262
Collateral for Securities Loaned^ (2.7%)
United States (2.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (e)		231,522		231,522
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		7,954,121		7,954,121
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (e)		115,541		115,541
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (e)		921,286		921,286
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (e)		4,142,280		4,142,280
Total Collateral for Securities Loaned (Cost $13,364,750)				13,364,750
Total Investments (Cost $392,020,802) — 86.0%				431,870,012
Other assets in excess of liabilities — 14.0%				70,282,476
NET ASSETS — 100.00%			$	502,152,488

^  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 December 31, 2020, the fair value of these securities was $4,920,137 and amounted to 1.0% of net assets.

(e)  Rate disclosed is the daily yield on December 31, 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		994	3/19/21	$	249,878,123	$	256,163,740	$	6,285,617

See notes to financial statements.

32

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI EAFE Index Futures		885	3/19/21	$	93,874,265	$	94,287,900	$	(413,635	)
E-Mini MSCI Emerging Markets Index Futures		980	3/19/21		61,692,870		63,121,800		(1,428,930	)
E-Mini Russell 2000 Index Futures		1,245	3/19/21		120,768,384		122,931,300		(2,162,916	)
E-Mini S&P 500 Futures		2,232	3/19/21		411,972,757		418,366,080		(6,393,323	)
								$	(10,398,804	)
	Total unrealized appreciation							$	6,285,617
	Total unrealized depreciation								(10,398,804	)
	Total net unrealized appreciation (depreciation)							$	(4,113,187	)

See notes to financial statements.

33

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
ASSETS:
Investments, at value (Cost $50,153,835 and $392,020,802)	$	69,310,654	(a)	$	431,870,012	(b)
Foreign currency, at value (Cost $— and $3,017,940)		—			3,037,239
Cash and cash equivalents		—			62,466,280
Deposit with brokers for futures contracts		137,003			53,934,933
Receivables:
Interest and dividends		72,790			631,898
Capital shares issued		348			898,657
Investments sold		25,552			555,217
Variation margin on open futures contracts		2,460			1,839,233
Reclaims		—			36,341
From Adviser		32,328			212,951
Prepaid expenses		1,079			32,980
Total Assets		69,582,214			555,515,741
LIABILITIES:
Payables:
Collateral received on loaned securities		1,693,514			13,364,750
Payable to custodian		41,999			—
Investments purchased		—			36,717,673
Capital shares redeemed		6			219,862
Variation margin on open futures contracts		—			2,745,360
Accrued foreign capital gains taxes		—			93,069
Accrued expenses and other payables:
Investment advisory fees		39,995			167,750
Administration fees		3,450			17,276
Custodian fees		4,368			9,982
Transfer agent fees		16,323			—
Compliance fees		51			156
Trustees' fees		—			412
12b-1 fees		13,634			2,683
Other accrued expenses		21,444			24,280
Total Liabilities		1,834,784			53,363,253
NET ASSETS:
Capital		49,197,231			505,223,159
Total accumulated earnings/(loss)		18,550,199			(3,070,671	)
Net Assets	$	67,747,430		$	502,152,488
Net Assets
Class A Shares	$	30,093,489		$	21,854,330
Class C Shares		24,038,693			926,490
Class I Shares		13,615,248			478,941,514
Member Class		—			430,154
Total	$	67,747,430		$	502,152,488
Shares (unlimited number of shares authorized with a par value of $0.001 per share):
Class A Shares		2,070,399			2,293,457
Class C Shares		1,719,495			98,185
Class I Shares		935,708			49,968,833
Member Class		—			45,139
Total		4,725,602			52,405,614
Net asset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	14.54		$	9.53
Class C Shares (c)		13.98			9.44
Class I Shares		14.55			9.58
Member Class		—			9.53
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	$	15.43		$	10.11

(a)  Includes $1,658,343 of securities on loan.

(b)  Includes $12,897,893 of securities on loan.

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

See notes to financial statements.

34

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Investment Income:
Dividends	$	507,095		$	4,530,050
Interest		—			4,886
Securities lending (net of fees)		1,581			22,442
Foreign tax withholding		—			(306,350	)
Total Income		508,676			4,251,028
Expenses:
Investment advisory fees		236,241			712,394
Administration fees		20,416			71,582
Sub-Administration fees		8,899			8,405
12b-1 fees — Class A Shares		35,779			11,236
12b-1 fees — Class C Shares		122,249			3,564
Custodian fees		5,571			83,082
Transfer agent fees — Class A Shares		14,935			2,116
Transfer agent fees — Class C Shares		13,695			260
Transfer agent fees — Class I Shares		6,246			65,028
Transfer agent fees — Member Class (a)		—			15
Trustees' fees		3,124			8,501
Compliance fees		319			951
Legal and audit fees		7,144			19,240
State registration and filing fees		25,761			34,275
Broker interest fees		—			56,205
Other expenses		14,168			31,307
Total Expenses		514,547			1,108,161
Expenses waived/reimbursed by Adviser		(104,694	)		(528,413	)
Expenses waived/reimbursed by Distributor		(500	)		(10,000	)
Net Expenses		409,353			569,748
Net Investment Income (Loss)		99,323			3,681,280
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		1,311,787			4,133,341
Foreign taxes on realized gains		—			(1,583	)
Net realized gains (losses) from futures contracts		94,395			(31,161,452	)
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		10,916,086			37,312,131
Net change in unrealized appreciation/depreciation on futures contracts		(311	)		(9,693,238	)
Net change in accrued foreign taxes on unrealized gains		—			(71,554	)
Net realized/unrealized gains (losses) on investments		12,321,957			517,645
Change in net assets resulting from operations	$	12,421,280		$	4,198,925

(a)  Victory Market Neutral Income Fund Member Class commenced operations on November 3, 2020.

See notes to financial statements.

35

Victory Portfolios II Statements of Changes in Net Assets

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	99,323		$	282,179		$	3,681,280		$	4,852,563
Net realized gains (losses) from investments		1,406,182			10,001,368			(27,029,694	)		(2,547,963	)
Net change in unrealized appreciation/depreciation on investments		10,915,775			(5,353,313	)		27,547,339			7,737,659
Change in net assets resulting from operations		12,421,280			4,930,234			4,198,925			10,042,259
Distributions to Shareholders:
Class A Shares		(3,047,556	)		(3,629,656	)		(710,221	)		(475,577	)
Class C Shares		(2,479,942	)		(3,821,175	)		(28,816	)		(6,981	)
Class I Shares		(1,441,847	)		(2,728,622	)		(9,271,362	)		(4,070,545	)
Member Class (a)		—			—			(6,188	)		—
Change in net assets resulting from distributions to shareholders		(6,969,345	)		(10,179,453	)		(10,016,587	)		(4,553,103	)
Change in net assets resulting from capital transactions		(4,517,571	)		(23,493,549	)		319,755,356			94,738,075
Change in net assets		934,364			(28,742,768	)		313,937,694			100,277,231
Net Assets:
Beginning of period		66,813,066			95,555,834			188,214,794			87,987,563
End of period	$	67,747,430		$	66,813,066		$	502,152,488		$	188,214,794

(a)  Victory Market Neutral Income Fund Member Class commenced operations on November 3, 2020.

(continues on next page)

See notes to financial statements.

36

Victory Portfolios II Statements of Changes in Net Assets

  (continued)

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	1,364,929		$	1,011,964		$	11,361,868		$	10,172,219
Distributions reinvested		3,021,095			3,601,418			690,930			470,960
Cost of shares redeemed		(3,008,940	)		(9,875,436	)		(2,604,673	)		(31,050,301	)
Total Class A Shares	$	1,377,084		$	(5,262,054	)	$	9,448,125		$	(20,407,122	)
Class C Shares
Proceeds from shares issued	$	261,064		$	744,798		$	359,121		$	286,307
Distributions reinvested		2,452,286			3,779,973			28,816			6,981
Cost of shares redeemed		(6,868,146	)		(11,854,457	)		(67,986	)		(120,324	)
Total Class C Shares	$	(4,154,796	)	$	(7,329,686	)	$	319,951		$	172,964
Class I Shares
Proceeds from shares issued	$	845,039		$	2,905,460		$	314,724,018		$	136,738,767
Distributions reinvested		1,421,148			2,572,276			8,860,761			3,984,071
Cost of shares redeemed		(4,006,046	)		(16,379,545	)		(14,033,392	)		(25,750,605	)
Total Class I Shares	$	(1,739,859	)	$	(10,901,809	)	$	309,551,387		$	114,972,233
Member Class (a)
Proceeds from shares issued	$	—		$	—		$	429,705		$	—
Distributions reinvested		—			—			6,188			—
Total Member Class	$	—		$	—		$	435,893		$	—
Change in net assets resulting from capital transactions	$	(4,517,571	)	$	(23,493,549	)	$	319,755,356		$	94,738,075
Share Transactions:
Class A Shares
Issued		100,613			73,351			1,173,081			1,055,922
Reinvested		211,080			266,210			72,036			49,332
Redeemed		(208,165	)		(715,630	)		(268,274	)		(3,220,943	)
Total Class A Shares		103,528			(376,069	)		976,843			(2,115,689	)
Class C Shares
Issued		18,529			55,810			37,682			29,942
Reinvested		178,089			287,964			3,032			735
Redeemed		(497,640	)		(887,789	)		(7,134	)		(12,813	)
Total Class C Shares		(301,022	)		(544,015	)		33,580			17,864
Class I Shares
Issued		57,850			205,422			32,718,274			14,290,486
Reinvested		99,190			189,857			918,585			414,197
Redeemed		(276,913	)		(1,198,037	)		(1,446,421	)		(2,675,738	)
Total Class I Shares		(119,873	)		(802,758	)		32,190,438			12,028,945
Member Class (a)
Issued		—			—			44,495			—
Reinvested		—			—			644			—
Total Member Class		—			—			45,139			—
Change in Shares		(317,367	)		(1,722,842	)		33,246,000			9,931,120

(a)  Victory Market Neutral Income Fund Member Class commenced operations on November 3, 2020.

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			Net Realized Gains From Investments
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Six Months Ended 12/31/20 (unaudited)	$	13.42		0.04			2.69			2.73			(0.02	)		(1.59	)
Year Ended 6/30/20	$	14.26		0.08			0.88			0.96			(0.07	)		(1.73	)
Year Ended 6/30/19	$	16.50		0.13			(0.36	)		(0.23	)		(0.12	)		(1.89	)
Year Ended 6/30/18	$	16.04		0.11			1.91			2.02			(0.10	)		(1.46	)
Year Ended 6/30/17	$	13.80		0.11			2.48			2.59			(0.11	)		(0.24	)
Year Ended 6/30/16	$	14.15		0.13			0.16			0.29			(0.12	)		(0.52	)
Class C
Six Months Ended 12/31/20 (unaudited)	$	12.99		(0.02	)		2.60			2.58			—	(f)		(1.59	)
Year Ended 6/30/20	$	13.90		(0.03	)		0.87			0.84			(0.02	)		(1.73	)
Year Ended 6/30/19	$	16.16		0.02			(0.35	)		(0.33	)		(0.04	)		(1.89	)
Year Ended 6/30/18	$	15.78		(0.02	)		1.86			1.84			—	(f)		(1.46	)
Year Ended 6/30/17	$	13.59		—	(f)		2.44			2.44			(0.01	)		(0.24	)
Year Ended 6/30/16	$	13.95		0.02			0.17			0.19			(0.03	)		(0.52	)
Class I
Six Months Ended 12/31/20 (unaudited)	$	13.43		0.06			2.69			2.75			(0.04	)		(1.59	)
Year Ended 6/30/20	$	14.26		0.12			0.88			1.00			(0.10	)		(1.73	)
Year Ended 6/30/19	$	16.50		0.17			(0.36	)		(0.19	)		(0.16	)		(1.89	)
Year Ended 6/30/18	$	16.05		0.15			1.90			2.05			(0.14	)		(1.46	)
Year Ended 6/30/17	$	13.80		0.15			2.48			2.63			(0.14	)		(0.24	)
Year Ended 6/30/16	$	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)  Not annualized for periods less than one year.

(c)  Annualized for periods less than one year.

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

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

(f)  Amount is less than $0.005 per share

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
	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)
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Six Months Ended 12/31/20 (unaudited)		(1.61	)	$	14.54		20.59	%		0.99	%		0.52	%		1.28	%	$	30,093		40	%
Year Ended 6/30/20		(1.80	)	$	13.42		6.71	%		0.99	%		0.56	%		1.28	%	$	26,394		54	%
Year Ended 6/30/19		(2.01	)	$	14.26		(0.01	)%		0.99	%		0.84	%		1.25	%	$	33,406		120	%(e)
Year Ended 6/30/18		(1.56	)	$	16.50		12.79	%		0.99	%		0.67	%		1.19	%	$	51,671		45	%
Year Ended 6/30/17		(0.35	)	$	16.04		18.89	%		0.99	%		0.75	%		1.35	%	$	36,721		38	%
Year Ended 6/30/16		(0.64	)	$	13.80		2.17	%		0.99	%		0.92	%		1.28	%	$	62,700		46	%
Class C
Six Months Ended 12/31/20 (unaudited)		(1.59	)	$	13.98		20.06	%		1.74	%		(0.24	)%		2.06	%	$	24,039		40	%
Year Ended 6/30/20		(1.75	)	$	12.99		5.96	%		1.74	%		(0.19	)%		2.03	%	$	26,240		54	%
Year Ended 6/30/19		(1.93	)	$	13.90		(0.73	)%		1.74	%		0.10	%		2.00	%	$	35,649		120	%(e)
Year Ended 6/30/18		(1.46	)	$	16.16		11.78	%		1.74	%		(0.11	)%		1.97	%	$	41,410		45	%
Year Ended 6/30/17		(0.25	)	$	15.78		18.09	%		1.74	%		0.01	%		2.12	%	$	57,620		38	%
Year Ended 6/30/16		(0.55	)	$	13.59		1.42	%		1.74	%		0.16	%		2.11	%	$	58,249		46	%
Class I
Six Months Ended 12/31/20 (unaudited)		(1.63	)	$	14.55		20.71	%		0.74	%		0.76	%		1.07	%	$	13,615		40	%
Year Ended 6/30/20		(1.83	)	$	13.43		6.97	%		0.74	%		0.86	%		1.02	%	$	14,179		54	%
Year Ended 6/30/19		(2.05	)	$	14.26		0.24	%		0.74	%		1.10	%		1.00	%	$	26,501		120	%(e)
Year Ended 6/30/18		(1.60	)	$	16.50		12.97	%		0.74	%		0.91	%		0.95	%	$	36,400		45	%
Year Ended 6/30/17		(0.38	)	$	16.05		19.24	%		0.74	%		1.00	%		1.13	%	$	32,751		38	%
Year Ended 6/30/16		(0.67	)	$	13.80		2.42	%		0.74	%		1.14	%		1.11	%	$	44,170		46	%

See notes to financial statements.

39

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
Six Months Ended 12/31/20 (unaudited)	$	9.77		0.13		(0.01	)(e)		0.12		(0.11	)		(0.25	)
Year Ended 6/30/20	$	9.51		0.27		0.23			0.50		(0.24	)		—
Year Ended 6/30/19	$	9.61		0.32		(0.13	)		0.19		(0.27	)		(0.02	)
Year Ended 6/30/18	$	9.40		0.24		0.26			0.50		(0.29	)		—
Year Ended 6/30/17	$	9.21		0.24		0.20			0.44		(0.25	)		—
Year Ended 6/30/16	$	9.41		0.26		(0.02	)		0.24		(0.21	)		(0.23	)
Class C
Six Months Ended 12/31/20 (unaudited)	$	9.69		0.10		(0.02	)(e)		0.08		(0.08	)		(0.25	)
Year Ended 6/30/20	$	9.43		0.21		0.22			0.43		(0.17	)		—
Year Ended 6/30/19	$	9.54		0.25		(0.14	)		0.11		(0.20	)		(0.02	)
Year Ended 6/30/18	$	9.33		0.17		0.26			0.43		(0.22	)		—
Year Ended 6/30/17	$	9.15		0.17		0.20			0.37		(0.19	)		—
Year Ended 6/30/16	$	9.36		0.19		(0.02	)		0.17		(0.15	)		(0.23	)
Class I
Six Months Ended 12/31/20 (unaudited)	$	9.83		0.15		(0.02	)(e)		0.13		(0.13	)		(0.25	)
Year Ended 6/30/20	$	9.55		0.31		0.23			0.54		(0.26	)		—
Year Ended 6/30/19	$	9.65		0.38		(0.16	)		0.22		(0.30	)		(0.02	)
Year Ended 6/30/18	$	9.44		0.26		0.26			0.52		(0.31	)		—
Year Ended 6/30/17	$	9.24		0.27		0.20			0.47		(0.27	)		—
Year Ended 6/30/16	$	9.44		0.30		(0.04	)		0.26		(0.23	)		(0.23	)
Member Class
11/3/20(h) through 12/31/20	$	9.62		0.27		(0.09	)(e)		0.18		(0.02	)		(0.25	)

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

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

(c)  Annualized for periods less than one year.

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

(e)  The amount shown for a share outstanding throughout the period does not accord with the change in net assets resulting from operations during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

(f)  The net expense ratios include broker interest fees which are excluded from the expense limits of the Fund. The net expense ratios excluding broker interest fees for the period ended December 31, 2020, are 0.75%, 1.50%, 0.40% and 0.55% for Class A, Class C, Class I and Member Class shares, respectively.

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

(h)  Commencement of operations.

See notes to financial statements.

40

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)
Victory Market Neutral Income Fund
Class A
Six Months Ended 12/31/20 (unaudited)		(0.36	)	$	9.53		1.24	%		0.80	%(f)		2.75	%		1.13	%	$	21,854		43	%
Year Ended 6/30/20		(0.24	)	$	9.77		5.31	%		0.75	%		2.78	%		1.17	%	$	12,870		119	%(g)
Year Ended 6/30/19		(0.29	)	$	9.51		1.99	%		0.75	%		3.36	%		1.03	%	$	32,627		82	%%
Year Ended 6/30/18		(0.29	)	$	9.61		5.37	%		0.89	%		2.55	%		1.18	%	$	23,847		69	%
Year Ended 6/30/17		(0.25	)	$	9.40		4.77	%		0.90	%		2.59	%	��	1.25	%	$	24,998		63	%
Year Ended 6/30/16		(0.44	)	$	9.21		2.54	%		0.90	%		2.72	%		1.06	%	$	29,649		92	%
Class C
Six Months Ended 12/31/20 (unaudited)		(0.33	)	$	9.44		0.81	%		1.55	%(f)		2.03	%		2.21	%	$	926		43	%
Year Ended 6/30/20		(0.17	)	$	9.69		4.59	%		1.50	%		2.20	%		2.62	%	$	626		119	%(g)
Year Ended 6/30/19		(0.22	)	$	9.43		1.19	%		1.50	%		2.57	%		2.56	%	$	441		82	%
Year Ended 6/30/18		(0.22	)	$	9.54		4.64	%		1.64	%		1.79	%		2.51	%	$	311		69	%
Year Ended 6/30/17		(0.19	)	$	9.33		4.02	%		1.65	%		1.88	%		3.00	%	$	519		63	%
Year Ended 6/30/16		(0.38	)	$	9.15		1.75	%		1.65	%		2.00	%		2.48	%	$	518		92	%
Class I
Six Months Ended 12/31/20 (unaudited)		(0.38	)	$	9.58		1.28	%		0.45	%(f)		3.10	%		0.90	%	$	478,942		43	%
Year Ended 6/30/20		(0.26	)	$	9.83		5.79	%		0.40	%		3.23	%		0.89	%	$	174,719		119	%(g)
Year Ended 6/30/19		(0.32	)	$	9.55		2.25	%		0.40	%		3.91	%		1.05	%	$	54,920		82	%
Year Ended 6/30/18		(0.31	)	$	9.65		5.62	%		0.64	%		2.72	%		1.09	%	$	19,483		69	%
Year Ended 6/30/17		(0.27	)	$	9.44		5.11	%		0.65	%		2.83	%		1.13	%	$	31,140		63	%
Year Ended 6/30/16		(0.46	)	$	9.24		2.77	%		0.65	%		3.16	%		1.05	%	$	43,866		92	%
Member Class
11/3/20(h) through 12/31/20		(0.27	)	$	9.53		1.87	%		0.70	%(f)		17.17	%		10.06	%	$	430		43	%

See notes to financial statements.

41

Victory Portfolios II Notes to Financial Statements
December 31, 2020

  (Unaudited)

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 27 funds, 25 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, I and Member Class*

*  Member Class commenced operations on November 3, 2020.

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)

42

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 ("NAV"). 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' NAVs 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 December 31, 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	$	67,411,209		$	—	$	—	$	67,411,209
Investment Companies		205,931			—		—		205,931
Collateral for Securities Loaned		1,693,514			—		—		1,693,514
Total	$	69,310,654		$	—	$	—	$	69,310,654
Other Financial Investments^:
Assets:
Futures Contracts	$	9,409		$	—	$	—	$	9,409
Total	$	9,409		$	—	$	—	$	9,409
Market Neutral Income Fund
Common Stocks	$	359,424,651		$	59,080,611	$	—	$	418,505,262
Collateral for Securities Loaned		13,364,750			—		—		13,364,750
Total	$	372,789,401		$	59,080,611	$	—	$	431,870,012
Other Financial Investments^:
Assets:
Futures Contracts	$	6,285,617		$	—	$	—	$	6,285,617
Liabilities:
Futures Contracts	$	(10,398,804	)	$	—	$	—	$	(10,398,804	)
Total	$	(4,113,187	)	$	—	$	—	$	(4,113,187	)

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

43

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

For the six months ended December 31, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

Investment Companies:

Open-End Funds:

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

Derivative Instruments:

Foreign Exchange Currency Contracts:

The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Fund records realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 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

44

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

market for purposes of closing out futures positions. The collateral held by the Funds is presented on the Statements of Assets and Liabilities under Deposit with brokers for futures contracts.

During the six months ended December 31, 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 six months ended December 31, 2020, the Funds did not engage in any options trading activity.

Offsetting of Financial Assets and Derivatives Assets:

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

The table below, as of December 31, 2020, discloses both gross information and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and

45

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 not offset in the Statements of Assets and Liabilities
	Gross Amounts of Recognized Assets		Gross Amounts of Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for offset			Cash Collateral Received			Net Amount
US 500 Enhanced Volatility Wtd Index Fund
Futures-Goldman Sachs & Co.	$	2,460	$	—	$	2,460	$	—		$	—		$	2,460
Market Neutral Income Fund
Futures-Goldman Sachs & Co.		1,839,233		—		1,839,233		(1,839,233	)		—			—
							Gross Amounts not offset in the Statements of Assets and Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts of Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for offset			Cash Collateral Pledged*			Net Amount
Market Neutral Income Fund
Futures-Goldman Sachs & Co.	$	2,745,360	$	—	$	2,745,360	$	(1,839,233	)	$	(906,127	)	$	—

*  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 December 31, 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	$	9,409	$	—
Market Neutral Income Fund		6,285,617		10,398,804

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

46

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the six months ended December 31, 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 Enhanced Volatility Wtd Index Fund	$	94,395		$	(311	)
Market Neutral Income Fund		(31,161,452	)		(9,693,238	)

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 the US 500 Enhanced Volatility Wtd Index Fund's net assets at period end is generally representative of the notional amount of open positions to net assets throughout the period. The volume associated with futures contracts in the Market Neutral Income Fund was 82% based on average monthly notional amounts in comparison to net assets during 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 determined by comparing the identified cost of the security lot sold with the net sales proceeds.

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

Securities Lending:

The Trust has entered into a Master Securities Lending Agreement ("MSLA") with Citibank, N.A. ("Citibank" or the "Agent"). Under the terms of the MSLA, the Funds may lend securities to certain broker-dealers and banks in exchange for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are adjusted the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities, letters of credit and certificates of deposit. The cash collateral is invested in short-term instruments or cash equivalents, 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.

47

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of December 31, 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
US 500 Enhanced Volatility Wtd Index Fund	$	1,658,343	$	1,658,343	$	—	$	—	$	—
Market Neutral Income Fund		12,897,893		12,897,893		—		—		—

*  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 including foreign currency arising from in-kind redemptions, are disclosed as net realized gains (losses) from investment transactions and foreign currency translations on the Statements of Operations.

Foreign Taxes:

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

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.

48

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 six months ended December 31, 2020, were as follows:

	Purchases		Sales
US 500 Enhanced Volatility Wtd Index Fund	$	42,610,529	$	22,822,946
Market Neutral Income Fund		314,005,480		90,164,777

For the six months ended December 31, 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. Amounts incurred and paid to VCM for the six months ended December 31, 2020, are reflected on the Statements of Operations as Investment advisory fees.

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	%

VCM also serves as the Funds' administrator and fund accountant. Under the 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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Administration fees.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as Sub-Administrator and Sub-Fund Accountant to the Funds pursuant to the 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 out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Custodian fees.

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Victory Portfolios II Notes to Financial Statements — continued
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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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Transfer agent fees.

Victory Capital Transfer Agency, Inc., an affiliate of the Adviser, serves as sub-transfer agent for the Member Class shares of the Funds. Victory Capital Transfer Agency, Inc. receives no fee or other compensation for 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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Compliance fees.

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 December 31, 2020, the Distributor's name was changed from Victory Capital Advisers, Inc. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as 12b-1 fees.

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 Plans, the Distributor will reimburse the Funds for the amount of the excess. For the six months ended December 31, 2020, the Distributor reimbursed $500 to the US 500 Enhanced Volatility Wtd Index Fund and $10,000 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 six months ended December 31, 2020, the Distributor received approximately $1,327 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

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

from the expense limits. As of December 31, 2020, the expense limits (excluding voluntary waivers) are as follows:

	In effect July 1, 2020 until October 31, 2021
	Class A Shares			Class C Shares			Class I Shares			Member Class
US 500 Enhanced Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%		N/A
Market Neutral Income Fund		0.75	%		1.50	%		0.40	%		0.55	%(a)

(a)  In effect June 10, 2020, until at least October 31, 2021.

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

As of December 31, 2020, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at December 31, 2020.

	Expires June 30, 2021		Expires June 30, 2022		Expires June 30, 2023		Expires June 30, 2024		Total
US 500 Enhanced Volatility Wtd Index Fund	$	283,259	$	292,081	$	229,910	$	104,694	$	909,944
Market Neutral Income Fund		197,955		258,188		670,257		528,413		1,654,813

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

5. Risks:

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

Equity Risk — 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.

Foreign Securities Risk — 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

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Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

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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.

Geopolitical/Natural Disaster Risk — An outbreak of disease called COVID-19 has 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 last for an extended period of time, and 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 six months ended December 31, 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 six months ended December 31, 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 Funds did not utilize the Line of Credit during the six months ended December 31, 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, that is permitted to participate in the Facility, 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

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Victory Portfolios II Notes to Financial Statements — continued
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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 Funds did not utilize the Facility during the six months ended December 31, 2020.

7. Federal Income Tax Information:

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.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2021.

As of the most recent tax year ended June 30, 2020, the following Funds had net capital loss carryforwards ("CLCFs") as summarized in the tables below. CLCFs are applied as either short-term or long-term depending on the originating capital loss.

	Short-Term Amount		Long-Term Amount		Total
Market Neutral Income Fund	$	1,011,865	$	3,526,994	$	4,538,859

8. Fund Ownership:

Ownership of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2(a)(9) of the 1940 Act. As of December 31, 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.		34.3	%
Market Neutral Income Fund	Charles Schwab & Co., Inc.		26.1	%
Market Neutral Income Fund	Gerlach Co. LLC		39.5	%

53

Victory Portfolios II Supplemental Information
December 31, 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. Form N-PORT is 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 July 1, 2020, through December 31, 2020 (unless noted otherwise).

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

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

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

	Beginning Account Value 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
US 500 Enhanced Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	1,205.90	$	1,020.21	$	5.50	$	5.04		0.99	%
Class C Shares		1,000.00		1,200.60		1,016.43		9.65		8.84		1.74	%
Class I Shares		1,000.00		1,207.10		1,021.48		4.12		3.77		0.74	%
Market Neutral Income Fund
Class A Shares		1,000.00		1,012.40		1,021.17		4.06		4.08		0.80	%
Class C Shares		1,000.00		1,008.10		1,017.39		7.85		7.88		1.55	%
Class I Shares		1,000.00		1,012.80		1,022.94		2.28		2.29		0.45	%
Member Class**		1,000.00		1,018.70		1,021.68		1.14		3.57		0.70	%

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

**  Actual Expenses Paid are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 59/365 to reflect the stub period from commencement of operations November 3, 2020, through December 31, 2020.

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Victory Portfolios II Supplemental Information — continued
December 31, 2020

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

The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on December 2, 2020. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 27, 2020 called for the purpose of reviewing the Agreement. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated this information along with other information obtained throughout the year and was advised by legal counsel to the Funds, which also serves as independent legal counsel to the Independent Trustees. In addition, the Independent Trustees considered a past review of their overall process for conducting the annual review of the Funds' advisory arrangements by an independent consultant retained through their counsel.

The Board took into consideration regular reports from the Adviser throughout the COVID-19 pandemic public health crisis concerning how the ongoing pandemic has affected market volatility, investment risk and the implementation and effectiveness of business continuity plans. These reports also had confirmed that the pandemic had no material impact on the Adviser's operations.

The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

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

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

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

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

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

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

•  The total expenses of each Fund;

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

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

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

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

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between each Fund and the Adviser.

The Board reviewed each Fund's current management fee, comprised of the advisory fee plus the administrative services fee paid to the Adviser, in the context of the Adviser's profitability with respect to each Fund individually. In addition, the Board compared each Fund's gross management fee and total operating expense ratio on a net and gross basis with the median gross management fee and median expense ratio of a universe of comparable mutual funds compiled by an independent consultant and a peer group of funds with similar investment strategies selected by that independent consultant from the universe. The Board reviewed the factors and methodology used by the independent consultant in the selection of each Fund's peer group, including the independent consultant's selection of a broad universe of funds, the more specific universe of comparable funds, and peer

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Victory Portfolios II Supplemental Information — continued
December 31, 2020

  (Unaudited)

groups of funds with comparable investment strategies and asset levels, among other factors. The Board also reviewed any changes to the independent consultant's methodology as compared to the prior year, including those resulting from the Adviser's input, if any. The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which are generally viewed as a method by which an investment adviser shares any economies of scale with a fund as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below, and would consider breakpoints at a future time if a Fund's assets were to grow significantly.

The Board also reviewed the compliance and administrative services provided to the Funds by the Adviser and its affiliates, including the Adviser's oversight of the Funds' day-to-day operations and oversight of Fund accounting, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Funds and the Trust.

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

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

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

US 500 Enhanced Volatility Wtd Index Fund

Noting that the Fund commenced operations in 2012, the Board compared the Fund's Class A performance for the one-, three- and five-year periods ended June 30, 2020, to that of the median performance of the Fund's peer group for the same periods and considered the fact that the Fund underperformed the benchmark index for all of the periods reviewed, and underperformed the peer group median for all of the periods reviewed, with the exception of the one-year period. The Board noted that the Fund's investment objective is to track its benchmark index before fees and expenses. The Board recognized that the performance of the Fund is net of expenses, while the performance of the benchmark index is gross returns and as a result, the Fund generally will underperform its benchmarks due to fees and expenses. The Board discussed with the Adviser the Fund's rules-based rebalancing in light of market conditions and that the Fund performed in accordance with the Adviser's expectations.

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

Market Neutral Income Fund

Noting that the Fund commenced operations in 2012, the Board compared the Fund's Class A performance for the one-, three- and five-year periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund outperformed both the benchmark index and the peer group median for all of the periods reviewed.

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

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December 31, 2020

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Conclusion

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

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

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

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

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

•  The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams; and

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

57

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)
	800-235-8396 for Member Class

VP-COMPASS-SAR (12/20)

December 31, 2020

Semi Annual Report

VictoryShares US 500 Volatility Wtd ETF

VictoryShares US Small Cap Volatility Wtd ETF

VictoryShares International Volatility Wtd ETF

VictoryShares Emerging Market Volatility Wtd ETF

VictoryShares US Large Cap High Div Volatility Wtd ETF

VictoryShares US Small Cap High Div Volatility Wtd ETF

VictoryShares International High Div Volatility Wtd ETF

VictoryShares Emerging Market High Div Volatility Wtd ETF

VictoryShares Dividend Accelerator ETF

VictoryShares US Multi-Factor Minimum Volatility ETF

VictoryShares US 500 Enhanced Volatility Wtd ETF

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

VictoryShares US Discovery Enhanced Volatility Wtd ETF

VictoryShares Developed Enhanced Volatility Wtd ETF

VictoryShares Nasdaq Next 50 ETF

VictoryShares Top Veteran Employers ETF

VictoryShares Protect America ETF

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the VictoryShares' shareholder reports may 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.

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Victory Portfolios II

Table of Contents

Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares US 500 Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	5
Schedule of Portfolio Investments	10-21
Statement of Assets and Liabilities	154
Statement of Operations	160
Statement of Changes in Net Assets	166
Financial Highlights	172
VictoryShares US Small Cap Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	5
Schedule of Portfolio Investments	22-33
Statement of Assets and Liabilities	154
Statement of Operations	160
Statement of Changes in Net Assets	166
Financial Highlights	172
VictoryShares International Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	5
Schedule of Portfolio Investments	34-53
Statement of Assets and Liabilities	154
Statement of Operations	160
Statement of Changes in Net Assets	166
Financial Highlights	172
VictoryShares Emerging Market Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	5
Schedule of Portfolio Investments	54-71
Statement of Assets and Liabilities	155
Statement of Operations	161
Statement of Changes in Net Assets	167
Financial Highlights	174
VictoryShares US Large Cap High Div Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	6
Schedule of Portfolio Investments	72-75
Statement of Assets and Liabilities	155
Statement of Operations	161
Statement of Changes in Net Assets	167
Financial Highlights	174
VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	6
Schedule of Portfolio Investments	76-79
Statement of Assets and Liabilities	155
Statement of Operations	161
Statement of Changes in Net Assets	167
Financial Highlights	174

1

Table of Contents (continued)

VictoryShares International High Div Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	6
Schedule of Portfolio Investments	80-86
Statement of Assets and Liabilities	156
Statement of Operations	162
Statement of Changes in Net Assets	168
Financial Highlights	176
VictoryShares Emerging Market High Div Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	6
Schedule of Portfolio Investments	87-92
Statement of Assets and Liabilities	156
Statement of Operations	162
Statement of Changes in Net Assets	168
Financial Highlights	176
VictoryShares Dividend Accelerator ETF
Investment Objectives & Portfolio Holdings	7
Schedule of Portfolio Investments	93-95
Statement of Assets and Liabilities	156
Statement of Operations	162
Statement of Changes in Net Assets	168
Financial Highlights	176
VictoryShares US Multi-Factor Minimum Volatility ETF
Investment Objectives & Portfolio Holdings	7
Schedule of Portfolio Investments	96-98
Statement of Assets and Liabilities	157
Statement of Operations	163
Statement of Changes in Net Assets	169
Financial Highlights	178
VictoryShares US 500 Enhanced Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	7
Schedule of Portfolio Investments	99-110
Statement of Assets and Liabilities	157
Statement of Operations	163
Statement of Changes in Net Assets	169
Financial Highlights	178
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	7
Schedule of Portfolio Investments	111-114
Statement of Assets and Liabilities	157
Statement of Operations	163
Statement of Changes in Net Assets	169
Financial Highlights	178
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	8
Schedule of Portfolio Investments	115-126
Statement of Assets and Liabilities	158
Statement of Operations	164
Statement of Changes in Net Assets	170
Financial Highlights	180

2

Table of Contents (continued)

VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Objectives & Portfolio Holdings	8
Schedule of Portfolio Investments	127-146
Statement of Assets and Liabilities	158
Statement of Operations	164
Statement of Changes in Net Assets	170
Financial Highlights	180
Notes to Financial Statements	184
Supplemental Information
Proxy Voting and Portfolio Holdings Information	202
Expense Examples	202
Advisory Contract Approval	204
Privacy Policy (inside back cover)

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 866-376-7890.

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.

The VictoryShares are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.

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

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

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

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

Call Victory at:

866-376-7890

Visit our website at:

www.vcm.com

3

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4

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings:

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

5

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings: (continued)

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

6

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings: (continued)

VictoryShares Dividend Accelerator ETF
Seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index before fees and expenses.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

VictoryShares US Multi-Factor Minimum
Volatility ETF
Seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index before fees and expenses.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

7

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings: (continued)

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

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

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

VictoryShares Nasdaq Next 50 ETF
Seeks to provide investment results that track the performance of the Nasdaq Q-50 Index before fees and expenses.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

VictoryShares Top Veteran Employers ETF
Seeks to provide investment results that track the performance of the Veterans Select Index before fees and expenses.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

8

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings: (continued)

VictoryShares Protect America ETF
Seeks to provide investment results that track the performance of the Nasdaq Yewno Aerospace & Defense Index^TM before fees and expenses.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

9

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (5.1%):
Activision Blizzard, Inc.		18,121	$	1,682,535
Alphabet, Inc., Class A (a)		949		1,663,255
Altice USA, Inc., Class A (a) (b)		44,246		1,675,596
ANGI Homeservices, Inc., Class A (a) (b)		62,939		830,480
AT&T, Inc.		52,994		1,524,107
Cable One, Inc.		684		1,523,760
CenturyLink, Inc.		99,681		971,890
Charter Communications, Inc., Class A (a)		2,781		1,839,772
Comcast Corp., Class A		33,736		1,767,766
Discovery, Inc., Class A (a) (b)		52,579		1,582,102
DISH Network Corp., Class A (a)		25,535		825,802
Electronic Arts, Inc.		11,829		1,698,644
Facebook, Inc., Class A (a)		4,448		1,215,016
Fox Corp., Class A		42,951		1,250,733
Liberty Broadband Corp., Class C (a)		11,091		1,756,482
Netflix, Inc. (a)		2,499		1,351,284
Omnicom Group, Inc.		23,035		1,436,693
Sirius XM Holdings, Inc. (b)		229,596		1,462,527
Take-Two Interactive Software, Inc. (a)		8,255		1,715,307
The Interpublic Group of Cos., Inc.		56,645		1,332,290
The New York Times Co., Class A		33,456		1,732,017
T-Mobile U.S., Inc. (a)		11,899		1,604,580
Verizon Communications, Inc.		37,756		2,218,165
ViacomCBS, Inc., Class B		27,463		1,023,271
				35,684,074
Consumer Discretionary (9.5%):
Advance Auto Parts, Inc.		7,578		1,193,611
Amazon.com, Inc. (a)		473		1,540,528
Aptiv PLC		8,915		1,161,535
AutoZone, Inc. (a)		1,133		1,343,104
Best Buy Co., Inc.		9,964		994,308
Booking Holdings, Inc. (a)		620		1,380,907
BorgWarner, Inc.		28,360		1,095,830
Bright Horizons Family Solutions, Inc. (a)		6,680		1,155,573
CarMax, Inc. (a)		9,128		862,231
Chegg, Inc. (a)		12,846		1,160,379
Chipotle Mexican Grill, Inc. (a)		875		1,213,371
D.R. Horton, Inc.		13,805		951,441
Dollar General Corp.		9,151		1,924,455
Dollar Tree, Inc. (a)		12,663		1,368,111
Domino's Pizza, Inc.		3,177		1,218,252
eBay, Inc.		30,879		1,551,670
Etsy, Inc. (a)		7,271		1,293,584
Floor & Decor Holdings, Inc., Class A (a)		12,184		1,131,284
Garmin Ltd.		14,697		1,758,643
General Motors Co.		31,641		1,317,531
Gentex Corp.		53,890		1,828,489

See notes to financial statements.

10

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Genuine Parts Co.		11,514	$	1,156,351
Hasbro, Inc.		13,073		1,222,848
Hilton Worldwide Holdings, Inc.		12,760		1,419,678
Las Vegas Sands Corp.		19,271		1,148,552
Lear Corp.		8,547		1,359,229
Lennar Corp., Class A		11,214		854,843
LKQ Corp. (a)		26,852		946,264
Lowe's Cos., Inc.		6,870		1,102,704
Marriott International, Inc., Class A		8,382		1,105,753
McDonald's Corp.		6,365		1,365,802
MGM Resorts International		26,043		820,615
Mohawk Industries, Inc. (a)		8,296		1,169,321
NIKE, Inc., Class B		12,288		1,738,383
NVR, Inc. (a)		221		901,649
O'Reilly Automotive, Inc. (a)		2,824		1,278,058
Pool Corp.		4,003		1,491,118
PulteGroup, Inc.		19,204		828,076
Ross Stores, Inc.		11,232		1,379,402
Service Corp. International		28,897		1,418,843
Starbucks Corp.		14,484		1,549,498
Target Corp.		9,810		1,731,759
Tesla, Inc. (a)		1,372		968,179
The Home Depot, Inc.		4,459		1,184,400
The TJX Cos., Inc.		20,608		1,407,320
Tractor Supply Co.		10,164		1,428,854
Ulta Beauty, Inc. (a)		3,808		1,093,505
Vail Resorts, Inc.		5,243		1,462,587
VF Corp.		15,032		1,283,883
Whirlpool Corp.		5,044		910,392
Williams-Sonoma, Inc.		9,675		985,302
Yum! Brands, Inc.		13,062		1,418,011
				65,576,016
Consumer Staples (7.0%):
Archer-Daniels-Midland Co.		31,916		1,608,886
Brown-Forman Corp., Class B		19,740		1,567,948
Campbell Soup Co. (b)		34,632		1,674,457
Casey's General Stores, Inc.		7,287		1,301,604
Church & Dwight Co., Inc.		18,325		1,598,490
Colgate-Palmolive Co.		22,047		1,885,238
Conagra Brands, Inc.		39,249		1,423,169
Costco Wholesale Corp.		5,684		2,141,618
General Mills, Inc.		28,996		1,704,965
Herbalife Nutrition Ltd. (a)		21,133		1,015,441
Hormel Foods Corp.		37,160		1,732,027
Kellogg Co.		25,241		1,570,747
Kimberly-Clark Corp.		11,620		1,566,725
Lamb Weston Holdings, Inc.		15,785		1,242,911
McCormick & Co., Inc.		14,422		1,378,743
Mondelez International, Inc., Class A		27,983		1,636,166
Monster Beverage Corp. (a)		19,123		1,768,495

See notes to financial statements.

11

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
PepsiCo, Inc.		10,755	$	1,594,967
Philip Morris International, Inc.		17,932		1,484,590
Sysco Corp.		13,788		1,023,897
The Boston Beer Co., Inc., Class A (a)		1,191		1,184,199
The Clorox Co.		8,446		1,705,416
The Coca-Cola Co.		33,390		1,831,108
The Estee Lauder Cos., Inc., Class A		6,180		1,645,054
The Hershey Co.		9,938		1,513,856
The J.M. Smucker Co.		14,432		1,668,339
The Kroger Co.		51,708		1,642,246
The Procter & Gamble Co.		12,248		1,704,187
Tyson Foods, Inc., Class A		18,179		1,171,455
Walgreens Boots Alliance, Inc.		33,005		1,316,239
Walmart, Inc.		13,003		1,874,382
				48,177,565
Energy (1.4%):
Cabot Oil & Gas Corp.		57,889		942,433
Cheniere Energy, Inc. (a)		20,533		1,232,595
ConocoPhillips		21,495		859,585
EOG Resources, Inc.		17,906		892,972
Exxon Mobil Corp.		28,682		1,182,272
Kinder Morgan, Inc.		73,124		999,605
ONEOK, Inc.		21,865		839,179
Pioneer Natural Resources Co.		7,147		813,972
The Williams Cos., Inc.		41,637		834,822
Valero Energy Corp.		15,008		849,003
				9,446,438
Financials (13.8%):
Aflac, Inc.		26,720		1,188,238
Ally Financial, Inc.		32,093		1,144,436
American Express Co.		8,987		1,086,618
Ameriprise Financial, Inc.		5,089		988,945
Arch Capital Group Ltd. (a)		31,396		1,132,454
Ares Management Corp., Class A		26,244		1,234,780
Arthur J. Gallagher & Co.		12,944		1,601,302
Assurant, Inc.		9,312		1,268,481
Athene Holding Ltd., Class A (a)		18,457		796,235
Bank of America Corp.		38,049		1,153,265
Berkshire Hathaway, Inc., Class B (a)		7,362		1,707,027
BlackRock, Inc., Class A		1,969		1,420,712
Brown & Brown, Inc.		31,717		1,503,703
Cboe Global Markets, Inc.		14,228		1,324,911
Chubb Ltd.		9,517		1,464,857
Cincinnati Financial Corp.		12,519		1,093,785
Citigroup, Inc.		16,376		1,009,744
Citizens Financial Group, Inc.		29,403		1,051,451
CME Group, Inc.		6,726		1,224,468
Commerce Bancshares, Inc.		20,392		1,339,754
Credit Acceptance Corp. (a) (b)		2,247		777,777

See notes to financial statements.

12

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Discover Financial Services		12,566	$	1,137,600
Erie Indemnity Co., Class A		5,346		1,312,978
Everest Re Group Ltd.		5,273		1,234,356
FactSet Research Systems, Inc.		3,572		1,187,690
Fidelity National Financial, Inc.		31,378		1,226,566
Fifth Third Bancorp		37,291		1,028,113
First Republic Bank		10,493		1,541,736
Franklin Resources, Inc.		52,107		1,302,154
Globe Life, Inc.		12,831		1,218,432
Huntington Bancshares, Inc.		96,920		1,224,100
Interactive Brokers Group, Inc.		22,822		1,390,316
Intercontinental Exchange, Inc.		13,796		1,590,541
JPMorgan Chase & Co.		10,520		1,336,776
KeyCorp		62,055		1,018,323
KKR & Co., Inc.		28,875		1,169,149
Lincoln National Corp.		16,759		843,145
LPL Financial Holdings, Inc.		10,394		1,083,263
M&T Bank Corp.		9,553		1,216,097
Markel Corp. (a)		1,016		1,049,833
MarketAxess Holdings, Inc.		2,594		1,480,033
Marsh & McLennan Cos., Inc.		13,405		1,568,385
MetLife, Inc.		24,672		1,158,350
Moody's Corp.		3,746		1,087,239
Morgan Stanley		18,820		1,289,735
Morningstar, Inc.		11,205		2,594,743
MSCI, Inc.		2,923		1,305,207
Nasdaq, Inc.		9,866		1,309,613
Northern Trust Corp.		13,389		1,247,051
Principal Financial Group, Inc.		20,734		1,028,614
Raymond James Financial, Inc.		12,898		1,233,952
Regions Financial Corp.		71,535		1,153,144
RenaissanceRe Holdings Ltd.		7,113		1,179,478
S&P Global, Inc.		3,295		1,083,165
SEI Investments Co.		23,761		1,365,545
State Street Corp.		14,440		1,050,943
SVB Financial Group (a)		3,396		1,317,071
Synchrony Financial		30,146		1,046,368
T. Rowe Price Group, Inc.		8,484		1,284,393
The Allstate Corp.		13,814		1,518,573
The Bank of New York Mellon Corp.		32,426		1,376,159
The Blackstone Group, Inc., Class A		19,880		1,288,423
The Charles Schwab Corp.		30,295		1,606,847
The Goldman Sachs Group, Inc.		5,260		1,387,115
The Hartford Financial Services Group, Inc.		21,539		1,054,980
The PNC Financial Services Group, Inc.		8,904		1,326,696
The Progressive Corp.		16,353		1,616,984
The Travelers Cos., Inc.		10,045		1,410,017
Tradeweb Markets, Inc., Class A		23,835		1,488,496
Truist Financial Corp.		22,070		1,057,815
U.S. Bancorp		27,035		1,259,561

See notes to financial statements.

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December 31, 2020

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Security Description	Shares		Value
Voya Financial, Inc.		22,460	$	1,320,873
W.R. Berkley Corp.		18,986		1,261,050
Wells Fargo & Co.		38,872		1,173,157
				93,553,886
Health Care (16.6%):
Abbott Laboratories		13,232		1,448,772
AbbVie, Inc.		17,788		1,905,984
ABIOMED, Inc. (a)		4,273		1,385,307
Agilent Technologies, Inc.		15,512		1,838,018
Alexion Pharmaceuticals, Inc. (a)		13,334		2,083,304
Align Technology, Inc. (a)		3,020		1,613,828
Amedisys, Inc. (a)		4,729		1,387,158
AmerisourceBergen Corp.		13,846		1,353,585
Amgen, Inc.		5,981		1,375,152
Anthem, Inc.		3,726		1,196,381
Avantor, Inc. (a)		39,294		1,106,126
Baxter International, Inc.		17,385		1,394,972
Becton, Dickinson & Co.		6,417		1,605,662
Biogen, Inc. (a)		4,351		1,065,386
BioMarin Pharmaceutical, Inc. (a)		12,747		1,117,784
Bio-Rad Laboratories, Inc., Class A (a)		2,993		1,744,739
Bio-Techne Corp.		6,206		1,970,716
Boston Scientific Corp. (a)		31,840		1,144,648
Catalent, Inc. (a)		11,727		1,220,429
Centene Corp. (a)		17,474		1,048,964
Cerner Corp.		24,775		1,944,342
Charles River Laboratories International, Inc. (a)		5,177		1,293,525
Chemed Corp.		2,595		1,382,123
Cigna Corp.		6,237		1,298,419
CRISPR Therapeutics AG (a)		10,575		1,619,138
CVS Health Corp.		24,252		1,656,412
Danaher Corp.		8,400		1,865,975
DaVita, Inc. (a)		16,212		1,903,288
DexCom, Inc. (a)		2,600		961,272
Edwards Lifesciences Corp. (a)		15,339		1,399,377
Eli Lilly & Co.		9,674		1,633,358
Encompass Health Corp.		20,409		1,687,620
Exelixis, Inc. (a)		48,623		975,864
HCA Healthcare, Inc.		6,821		1,121,782
Henry Schein, Inc. (a)		20,234		1,352,845
Hologic, Inc. (a)		21,151		1,540,427
Horizon Therapeutics PLC (a) (b)		14,201		1,038,803
Humana, Inc.		2,667		1,094,190
IDEXX Laboratories, Inc. (a)		3,754		1,876,511
Illumina, Inc. (a)		3,781		1,398,970
Insulet Corp. (a)		5,759		1,472,173
Intuitive Surgical, Inc. (a)		1,738		1,421,858
Ionis Pharmaceuticals, Inc. (a)		25,830		1,460,428
IQVIA Holdings, Inc. (a)		6,942		1,243,798
Jazz Pharmaceuticals PLC (a)		9,457		1,560,878

See notes to financial statements.

14

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December 31, 2020

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Security Description	Shares		Value
Johnson & Johnson		12,157	$	1,913,269
Laboratory Corp. of America Holdings (a)		6,103		1,242,266
LHC Group, Inc. (a)		5,458		1,164,301
Masimo Corp. (a)		7,140		1,916,232
McKesson Corp.		8,134		1,414,665
Medtronic PLC		12,975		1,519,892
Merck & Co., Inc.		20,818		1,702,912
Mettler-Toledo International, Inc. (a)		1,452		1,654,815
Molina Healthcare, Inc. (a)		5,946		1,264,595
Neurocrine Biosciences, Inc. (a)		11,806		1,131,605
Novocure Ltd. (a)		12,370		2,140,505
Penumbra, Inc. (a) (b)		6,023		1,054,025
PerkinElmer, Inc.		13,768		1,975,709
Perrigo Co. PLC		24,245		1,084,236
Pfizer, Inc.		46,784		1,722,119
PRA Health Sciences, Inc. (a)		10,151		1,273,341
Quest Diagnostics, Inc.		12,293		1,464,957
Quidel Corp. (a)		4,122		740,517
Regeneron Pharmaceuticals, Inc. (a)		2,235		1,079,751
Repligen Corp. (a)		7,982		1,529,591
ResMed, Inc.		6,319		1,343,167
Stryker Corp.		5,821		1,426,378
Syneos Health, Inc. (a)		13,970		951,776
Teleflex, Inc.		3,315		1,364,355
The Cooper Cos., Inc.		4,593		1,668,729
Thermo Fisher Scientific, Inc.		3,766		1,754,127
UnitedHealth Group, Inc.		3,760		1,318,557
Universal Health Services, Inc., Class B		7,774		1,068,925
Veeva Systems, Inc., Class A (a)		4,499		1,224,853
Vertex Pharmaceuticals, Inc. (a)		5,001		1,181,936
Waters Corp. (a)		6,582		1,628,518
West Pharmaceutical Services, Inc.		5,321		1,507,493
Zimmer Biomet Holdings, Inc.		8,176		1,259,840
Zoetis, Inc.		9,029		1,494,300
				113,392,548
Industrials (15.5%):
3M Co.		9,191		1,606,495
Allegion PLC		12,224		1,422,629
AMERCO, Inc.		3,536		1,605,203
AMETEK, Inc.		12,060		1,458,536
AO Smith Corp.		31,428		1,722,883
C.H. Robinson Worldwide, Inc.		19,162		1,798,737
Carlisle Cos., Inc.		9,316		1,454,973
Caterpillar, Inc.		9,145		1,664,573
Cintas Corp.		3,243		1,146,271
Copart, Inc. (a)		12,339		1,570,138
CoStar Group, Inc. (a)		1,500		1,386,420
CSX Corp.		15,832		1,436,754
Cummins, Inc.		6,204		1,408,928
Deere & Co.		5,866		1,578,247

See notes to financial statements.

15

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Dover Corp.		10,908	$	1,377,135
Eaton Corp. PLC		10,530		1,265,074
Emerson Electric Co.		15,147		1,217,364
Enphase Energy, Inc. (a)		7,227		1,268,122
Equifax, Inc.		8,381		1,616,192
Expeditors International of Washington, Inc.		20,169		1,918,273
Fastenal Co.		30,719		1,500,009
FedEx Corp.		4,800		1,246,176
Fortive Corp.		20,144		1,426,598
Fortune Brands Home & Security, Inc.		11,579		992,552
Generac Holdings, Inc. (a)		5,870		1,334,897
General Dynamics Corp.		9,476		1,410,218
General Electric Co.		145,673		1,573,268
Graco, Inc.		23,280		1,684,308
HEICO Corp.		9,111		1,206,296
Honeywell International, Inc.		7,601		1,616,733
Howmet Aerospace, Inc. (a)		43,918		1,253,420
Hubbell, Inc.		8,451		1,325,032
IAA, Inc. (a)		19,455		1,264,186
IDEX Corp.		8,395		1,672,284
Illinois Tool Works, Inc.		6,674		1,360,695
J.B. Hunt Transport Services, Inc.		10,071		1,376,202
Jacobs Engineering Group, Inc.		14,937		1,627,536
Johnson Controls International PLC		32,835		1,529,783
Kansas City Southern		6,101		1,245,397
Knight-Swift Transportation Holdings, Inc.		32,170		1,345,349
L3Harris Technologies, Inc.		7,607		1,437,875
Lennox International, Inc.		5,201		1,424,918
Lockheed Martin Corp.		3,458		1,227,521
Masco Corp.		23,633		1,298,161
Nordson Corp.		5,925		1,190,629
Norfolk Southern Corp.		5,466		1,298,776
Northrop Grumman Corp.		4,138		1,260,931
Old Dominion Freight Line, Inc.		6,762		1,319,807
PACCAR, Inc.		18,441		1,591,089
Parker-Hannifin Corp.		4,583		1,248,455
Quanta Services, Inc.		22,712		1,635,718
Republic Services, Inc.		17,316		1,667,531
Rockwell Automation, Inc.		4,959		1,243,767
Rollins, Inc.		44,368		1,733,457
Roper Technologies, Inc.		3,320		1,431,219
Snap-on, Inc.		7,930		1,357,140
Southwest Airlines Co.		24,311		1,133,136
Stanley Black & Decker, Inc.		5,441		971,545
Teledyne Technologies, Inc. (a)		3,523		1,380,946
Textron, Inc.		21,279		1,028,414
The Toro Co.		20,139		1,909,984
Trane Technologies PLC		10,612		1,540,438
TransDigm Group, Inc. (a)		1,560		965,406
TransUnion		14,403		1,429,066

See notes to financial statements.

16

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Trex Co., Inc. (a)		12,078	$	1,011,170
Union Pacific Corp.		7,017		1,461,080
United Parcel Service, Inc., Class B		8,582		1,445,209
United Rentals, Inc. (a)		4,802		1,113,632
Verisk Analytics, Inc.		7,895		1,638,923
W.W. Grainger, Inc.		3,621		1,478,599
Waste Management, Inc.		14,154		1,669,181
Watsco, Inc.		6,380		1,445,389
Westinghouse Air Brake Technologies Corp.		16,009		1,171,859
XPO Logistics, Inc. (a)		9,043		1,077,926
Xylem, Inc.		15,105		1,537,538
				105,690,321
Information Technology (19.3%):
Accenture PLC, Class A		5,752		1,502,480
Adobe, Inc. (a)		2,373		1,186,785
Advanced Micro Devices, Inc. (a)		10,388		952,683
Akamai Technologies, Inc. (a)		13,445		1,411,591
Amphenol Corp., Class A		12,573		1,644,171
Analog Devices, Inc.		9,500		1,403,435
ANSYS, Inc. (a)		3,731		1,357,338
Apple, Inc.		10,143		1,345,875
Applied Materials, Inc.		15,678		1,353,011
Arista Networks, Inc. (a)		5,426		1,576,633
Aspen Technology, Inc. (a)		8,105		1,055,676
Autodesk, Inc. (a)		4,653		1,420,747
Automatic Data Processing, Inc.		9,014		1,588,267
Black Knight, Inc. (a)		20,085		1,774,511
Booz Allen Hamilton Holding Corp.		18,344		1,599,230
Broadcom, Inc.		3,141		1,375,287
Broadridge Financial Solutions, Inc.		11,365		1,741,118
Cadence Design Systems, Inc. (a)		11,599		1,582,452
CDW Corp.		10,003		1,318,295
Ceridian HCM Holding, Inc. (a)		11,971		1,275,630
Ciena Corp. (a)		23,602		1,247,366
Cisco Systems, Inc.		31,618		1,414,906
Citrix Systems, Inc.		9,802		1,275,240
Cognex Corp.		14,308		1,148,718
Cognizant Technology Solutions Corp., Class A		17,132		1,403,967
Corning, Inc.		33,986		1,223,496
Datadog, Inc., Class A (a)		10,855		1,068,566
Dell Technologies, Inc., Class C (a)		16,542		1,212,363
Dolby Laboratories, Inc., Class A		19,057		1,851,007
Dropbox, Inc., Class A (a)		51,637		1,145,825
Entegris, Inc.		16,239		1,560,568
EPAM Systems, Inc. (a)		3,232		1,158,187
F5 Networks, Inc. (a)		10,722		1,886,428
Fair Isaac Corp. (a)		2,306		1,178,458
Fidelity National Information Services, Inc.		8,437		1,193,498
First Solar, Inc. (a)		13,422		1,327,704
Fiserv, Inc. (a)		12,276		1,397,745

See notes to financial statements.

17

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
FleetCor Technologies, Inc. (a)		4,352	$	1,187,356
Fortinet, Inc. (a)		7,967		1,183,339
Gartner, Inc. (a)		9,139		1,463,976
Genpact Ltd.		27,823		1,150,759
Global Payments, Inc.		5,850		1,260,207
HP, Inc.		51,909		1,276,442
Intel Corp.		20,851		1,038,797
International Business Machines Corp.		11,449		1,441,200
Intuit, Inc.		3,520		1,337,072
IPG Photonics Corp. (a)		6,580		1,472,538
Jack Henry & Associates, Inc.		8,762		1,419,356
Juniper Networks, Inc.		64,733		1,457,140
Keysight Technologies, Inc. (a)		12,875		1,700,659
KLA Corp.		4,608		1,193,057
Lam Research Corp.		2,665		1,258,600
Leidos Holdings, Inc.		14,297		1,502,901
Marvell Technology Group Ltd.		28,435		1,351,800
Mastercard, Inc., Class A		3,319		1,184,684
Microchip Technology, Inc.		8,337		1,151,423
Micron Technology, Inc. (a)		21,759		1,635,842
Microsoft Corp.		5,844		1,299,822
MKS Instruments, Inc.		7,774		1,169,598
Monolithic Power Systems, Inc.		3,567		1,306,342
Motorola Solutions, Inc.		8,290		1,409,797
NetApp, Inc.		23,617		1,564,390
NortonLifeLock, Inc.		43,848		911,161
Nuance Communications, Inc. (a)		43,330		1,910,420
NVIDIA Corp.		1,917		1,001,057
Oracle Corp.		23,759		1,536,970
Paychex, Inc.		14,991		1,396,861
Paycom Software, Inc. (a)		2,921		1,321,022
Paylocity Holding Corp. (a)		6,625		1,364,154
PayPal Holdings, Inc. (a)		5,675		1,329,085
PTC, Inc. (a)		14,316		1,712,337
Qorvo, Inc. (a)		8,142		1,353,770
QUALCOMM, Inc.		9,461		1,441,289
salesforce.com, Inc. (a)		4,036		898,131
Seagate Technology PLC		27,473		1,707,722
ServiceNow, Inc. (a)		2,427		1,335,894
Skyworks Solutions, Inc.		7,236		1,106,240
SolarWinds Corp. (a) (b)		54,365		812,757
Square, Inc., Class A (a)		5,117		1,113,664
SS&C Technologies Holdings, Inc.		19,410		1,412,078
SYNNEX Corp.		15,344		1,249,615
Synopsys, Inc. (a)		6,334		1,642,026
Teradyne, Inc.		12,720		1,525,001
Texas Instruments, Inc.		9,168		1,504,744
The Trade Desk, Inc., Class A (a)		1,694		1,356,894
The Western Union Co.		56,347		1,236,253
Trimble, Inc. (a)		19,929		1,330,659

See notes to financial statements.

18

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December 31, 2020

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Security Description	Shares		Value
Tyler Technologies, Inc. (a)		4,755	$	2,075,652
Universal Display Corp.		6,040		1,387,992
VeriSign, Inc. (a)		6,654		1,439,926
Visa, Inc., Class A		6,245		1,365,969
VMware, Inc., Class A (a) (b)		8,990		1,260,937
WEX, Inc. (a)		4,594		935,017
Xilinx, Inc.		12,202		1,729,878
Zebra Technologies Corp. (a)		4,130		1,587,283
Zoom Video Communications, Inc., Class A (a)		2,667		899,632
				130,768,444
Materials (5.7%):
Air Products & Chemicals, Inc.		4,544		1,241,512
Albemarle Corp.		10,870		1,603,541
AptarGroup, Inc.		14,100		1,930,150
Avery Dennison Corp.		10,121		1,569,868
Ball Corp.		17,821		1,660,561
Berry Global Group, Inc. (a)		24,637		1,384,353
Celanese Corp.		10,387		1,349,687
CF Industries Holdings, Inc.		30,486		1,180,113
Corteva, Inc.		38,323		1,483,867
Crown Holdings, Inc. (a)		14,782		1,481,156
Eastman Chemical Co.		15,484		1,552,735
FMC Corp.		10,113		1,162,287
International Flavors & Fragrances, Inc. (b)		10,970		1,193,975
International Paper Co.		30,502		1,516,559
LyondellBasell Industries NV, Class A		12,573		1,152,441
Martin Marietta Materials, Inc.		5,092		1,445,975
Newmont Corp.		18,611		1,114,613
Nucor Corp.		25,845		1,374,695
Packaging Corp. of America		12,374		1,706,499
PPG Industries, Inc.		10,848		1,564,498
Reliance Steel & Aluminum Co.		11,646		1,394,608
Royal Gold, Inc.		7,360		782,810
RPM International, Inc.		14,905		1,353,076
The Scotts Miracle-Gro Co.		6,435		1,281,466
The Sherwin-Williams Co.		1,950		1,433,075
Vulcan Materials Co.		8,922		1,323,222
Westlake Chemical Corp.		14,066		1,147,786
Westrock Co.		28,448		1,238,341
				38,623,469
Real Estate (0.2%):
CBRE Group, Inc., Class A (a)		19,888		1,247,375
Utilities (5.6%):
Alliant Energy Corp.		26,798		1,380,901
Ameren Corp.		16,083		1,255,439
American Electric Power Co., Inc.		18,270		1,521,343
American Water Works Co., Inc.		9,111		1,398,265
Atmos Energy Corp.		13,700		1,307,391
CMS Energy Corp.		23,726		1,447,523

See notes to financial statements.

19

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Consolidated Edison, Inc.		18,938	$	1,368,649
Dominion Energy, Inc.		15,469		1,163,269
DTE Energy Co.		9,886		1,200,259
Duke Energy Corp.		16,854		1,543,151
Edison International		23,657		1,486,133
Entergy Corp.		11,996		1,197,681
Essential Utilities, Inc.		26,920		1,273,047
Evergy, Inc.		20,872		1,158,605
Eversource Energy		14,269		1,234,411
Exelon Corp.		30,662		1,294,550
FirstEnergy Corp.		36,897		1,129,417
NextEra Energy, Inc.		19,358		1,493,470
NRG Energy, Inc.		34,504		1,295,625
Pinnacle West Capital Corp.		17,334		1,385,853
PPL Corp.		42,595		1,201,179
Public Service Enterprise Group, Inc.		26,473		1,543,377
Sempra Energy		9,596		1,222,626
The AES Corp.		53,310		1,252,785
The Southern Co.		22,689		1,393,785
UGI Corp.		32,122		1,122,985
Vistra Corp.		57,906		1,138,432
WEC Energy Group, Inc.		13,693		1,260,167
Xcel Energy, Inc.		20,510		1,367,402
				38,037,720
Total Common Stocks (Cost $534,140,194)				680,197,856
Collateral for Securities Loaned^ (1.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (c)		158,308		158,308
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (c)		5,438,792		5,438,792
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (c)		79,003		79,003
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (c)		629,948		629,948
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (c)		2,832,368		2,832,368
Total Collateral for Securities Loaned (Cost $9,138,419)				9,138,419
Total Investments (Cost $543,278,613) — 101.0%				689,336,275
Liabilities in excess of other assets — (1.0)%				(7,160,074	)
NET ASSETS — 100.00%			$	682,176,201

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

(c)  Rate disclosed is the daily yield on December 31, 2020.

PLC — Public Limited Company

See notes to financial statements.

20

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December 31, 2020

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		9	3/19/21	$	1,656,049	$	1,686,960	$	30,911
	Total unrealized appreciation							$	30,911
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	30,911

See notes to financial statements.

21

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (2.7%):
AMC Networks, Inc., Class A (a) (b)		1,397	$	49,971
Cargurus, Inc. (a)		1,295		41,090
Consolidated Communications Holdings, Inc. (a)		3,504		17,135
Gray Television, Inc. (a)		1,689		30,216
MSG Networks, Inc., Class A (a) (b)		4,160		61,318
National CineMedia, Inc.		5,317		19,779
QuinStreet, Inc. (a)		2,445		52,421
Sciplay Corp., Class A (a)		2,796		38,725
Shenandoah Telecommunications Co.		727		31,443
Sinclair Broadcast Group, Inc., Class A		1,292		41,150
TechTarget, Inc. (a)		1,189		70,283
TEGNA, Inc.		2,772		38,669
Telephone & Data Systems, Inc.		1,618		30,046
WideOpenWest, Inc. (a)		4,492		47,930
				570,176
Consumer Discretionary (11.8%):
1-800-Flowers.com, Inc., Class A (a)		1,160		30,160
Acushnet Holdings Corp.		1,441		58,418
Adtalem Global Education, Inc. (a)		1,399		47,497
American Public Education, Inc. (a)		1,098		33,467
America's Car-Mart, Inc. (a)		258		28,339
Asbury Automotive Group, Inc. (a)		278		40,516
Big Lots, Inc.		452		19,404
Boot Barn Holdings, Inc. (a)		811		35,165
Brinker International, Inc.		382		21,610
Cavco Industries, Inc. (a)		152		26,668
Century Communities, Inc. (a)		649		28,413
Cooper Tire & Rubber Co.		1,040		42,120
Core-Mark Holding Co., Inc.		1,207		35,450
Crocs, Inc. (a)		598		37,471
Dana, Inc.		1,659		32,384
Dave & Buster's Entertainment, Inc.		785		23,566
Denny's Corp. (a)		1,858		27,275
Dorman Products, Inc. (a)		511		44,365
El Pollo Loco Holdings, Inc. (a)		1,810		32,761
Franchise Group, Inc.		744		22,655
Gentherm, Inc. (a)		1,001		65,284
G-III Apparel Group Ltd. (a)		1,369		32,500
Graham Holdings Co., Class B		85		45,337
Green Brick Partners, Inc. (a)		2,339		53,704
Group 1 Automotive, Inc.		278		36,457
GrowGeneration Corp. (a)		1,273		51,200
H&R Block, Inc.		2,355		37,350
Hibbett Sports, Inc. (a)		753		34,774
Hilton Grand Vacations, Inc. (a)		1,191		37,338
Installed Building Products, Inc. (a)		288		29,356
iRobot Corp. (a)		485		38,941

See notes to financial statements.

22

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Jack in the Box, Inc.		283	$	26,262
Johnson Outdoors, Inc., Class A		523		58,905
Kontoor Brands, Inc.		1,239		50,254
La-Z-Boy, Inc.		1,062		42,310
LCI Industries		314		40,720
LGI Homes, Inc. (a)		234		24,769
Lumber Liquidators Holdings, Inc. (a)		878		26,990
M/I Homes, Inc. (a)		493		21,835
Malibu Boats, Inc., Class A (a)		575		35,903
MarineMax, Inc. (a)		916		32,087
MDC Holdings, Inc.		633		30,764
Monarch Casino & Resort, Inc. (a)		528		32,324
Monro, Inc.		815		43,440
Perdoceo Education Corp. (a)		2,612		32,990
PetMed Express, Inc. (b)		948		30,393
Rent-A-Center, Inc.		1,077		41,238
Revolve Group, Inc. (a)		1,284		40,022
Sally Beauty Holdings, Inc. (a)		2,552		33,278
Shoe Carnival, Inc.		708		27,739
Shutterstock, Inc.		812		58,221
Skyline Champion Corp. (a)		1,010		31,249
Sleep Number Corp. (a)		511		41,830
Sportsman's Warehouse Holdings, Inc. (a)		1,982		34,784
Standard Motor Products, Inc.		1,021		41,310
Steven Madden Ltd.		1,397		49,342
Strategic Education, Inc.		352		33,556
Stride, Inc. (a)		832		17,663
Sturm Ruger & Co., Inc.		779		50,690
The Buckle, Inc.		1,798		52,502
The Michaels Cos., Inc. (a)		1,288		16,757
TRI Pointe Group, Inc. (a)		1,538		26,531
Universal Electronics, Inc. (a)		953		49,994
W.W. International, Inc. (a)		1,016		24,790
Winmark Corp.		292		54,253
Winnebago Industries, Inc.		503		30,150
Wolverine World Wide, Inc.		1,209		37,781
XPEL, Inc. (a)		1,107		57,077
Zumiez, Inc. (a)		1,249		45,938
				2,556,586
Consumer Staples (6.4%):
B&G Foods, Inc. (b)		1,065		29,532
BellRing Brands, Inc., Class A (a)		2,083		50,638
Calavo Growers, Inc.		668		46,379
Cal-Maine Foods, Inc. (a)		1,340		50,304
Central Garden & Pet Co., Class A (a)		1,342		48,755
Coca-Cola Consolidated, Inc.		152		40,473
Edgewell Personal Care Co.		1,028		35,548
elf Beauty, Inc. (a)		1,608		40,506
Fresh Del Monte Produce, Inc.		1,470		35,383
Hostess Brands, Inc. (a)		5,772		84,503

See notes to financial statements.

23

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Ingles Markets, Inc., Class A		1,047	$	44,665
Inter Parfums, Inc.		684		41,375
J & J Snack Foods Corp.		283		43,970
John B Sanfilippo & Son, Inc.		686		54,098
Medifast, Inc.		228		44,766
MGP Ingredients, Inc.		967		45,507
Nu Skin Enterprises, Inc., Class A		483		26,386
PriceSmart, Inc.		754		68,682
SpartanNash Co.		1,537		26,759
Sprouts Farmers Market, Inc. (a)		1,859		37,366
The Simply Good Foods Co. (a)		1,415		44,374
Tootsie Roll Industries, Inc. (b)		2,309		68,577
Turning Point Brands, Inc.		1,217		54,230
Universal Corp.		1,303		63,339
USANA Health Sciences, Inc. (a)		452		34,849
Vector Group Ltd.		4,493		52,343
WD-40 Co.		265		70,405
Weis Markets, Inc.		1,161		55,507
				1,339,219
Energy (1.8%):
Arch Resources, Inc.		729		31,908
Brigham Minerals, Inc.		2,209		24,277
Cactus, Inc., Class A		1,037		27,035
Clean Energy Fuels Corp. (a)		7,820		61,465
CVR Energy, Inc.		1,453		21,650
Helix Energy Solutions Group, Inc. (a)		4,313		18,115
International Seaways, Inc.		1,785		29,149
Murphy Oil Corp.		1,517		18,356
ProPetro Holding Corp. (a)		2,507		18,527
Renewable Energy Group, Inc. (a)		682		48,299
SEACOR Holdings, Inc. (a)		1,025		42,485
Talos Energy, Inc. (a)		2,769		22,817
World Fuel Services Corp.		1,102		34,338
				398,421
Financials (24.4%):
1st Source Corp.		1,091		43,967
American Equity Investment Life Holding Co.		949		26,249
American National Group, Inc.		627		60,267
Ameris Bancorp		1,170		44,542
AMERISAFE, Inc.		712		40,890
Associated Bancorp		2,544		43,375
Assured Guaranty Ltd.		1,357		42,732
Atlantic Union Bankshares Corp.		1,370		45,128
Axos Financial, Inc. (a)		1,205		45,224
B. Riley Financial, Inc.		1,346		59,520
BancFirst Corp.		635		37,275
BancorpSouth Bank		1,526		41,873
Bank of Hawaii Corp.		698		53,480
Bank OZK		1,396		43,653

See notes to financial statements.

24

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
BankUnited, Inc.		1,150	$	39,997
Banner Corp.		839		39,089
BGC Partners, Inc., Class A		11,328		45,312
Brighthouse Financial, Inc. (a)		771		27,914
Brightsphere Investment Group, Inc.		1,861		35,880
Brookline Bancorp, Inc.		4,025		48,461
Capitol Federal Financial, Inc.		5,229		65,363
Cathay General Bancorp		1,355		43,617
City Holding Co.		696		48,407
CNO Financial Group, Inc.		1,826		40,592
Cohen & Steers, Inc.		511		37,967
Columbia Banking System, Inc.		1,195		42,901
Columbia Financial, Inc. (a)		5,282		82,188
CVB Financial Corp.		2,313		45,104
Eagle Bancorp, Inc.		1,209		49,932
Employers Holdings, Inc.		1,445		46,515
Encore Capital Group, Inc. (a)		450		17,528
Enterprise Financial Services Corp.		1,083		37,851
Evercore, Inc.		533		58,438
FB Financial Corp.		1,217		42,266
FBL Financial Group, Inc., Class A		798		41,903
Federal Agricultural Mortgage Corp., Class C		547		40,615
Federated Hermes, Inc.		1,278		36,921
First Bancorp, Inc.		4,751		43,804
First Busey Corp.		1,927		41,527
First Commonwealth Financial Corp.		4,396		48,092
First Financial Bancorp		2,179		38,198
First Hawaiian, Inc.		2,253		53,125
First Interstate BancSystem, Inc., Class A		1,145		46,682
First Merchants Corp.		1,393		52,111
First Midwest Bancorp, Inc.		2,922		46,518
FirstCash, Inc.		719		50,359
Flagstar Bancorp, Inc.		1,024		41,738
FNB Corp.		3,737		35,502
Focus Financial Partners, Inc., Class A (a)		830		36,105
Fulton Financial Corp.		3,494		44,444
German American Bancorp, Inc.		1,521		50,330
Green Dot Corp., Class A (a)		483		26,951
Heartland Financial USA, Inc.		951		38,392
Heritage Financial Corp.		1,849		43,248
Hilltop Holdings, Inc.		1,588		43,686
Home BancShares, Inc.		1,872		36,467
Hope Bancorp, Inc.		4,226		46,106
Horace Mann Educators Corp.		1,066		44,815
Independent Bank Corp.		613		44,774
Independent Bank Group, Inc.		604		37,762
International Bancshares Corp.		948		35,493
Investors Bancorp, Inc.		4,465		47,150
Kearny Financial Corp.		5,590		59,030
Lakeland Financial Corp.		814		43,614

See notes to financial statements.

25

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Live Oak Bancshares, Inc.		1,283	$	60,890
Mercury General Corp.		1,059		55,290
Moelis & Co., Class A		1,337		62,518
Mr. Cooper Group, Inc. (a)		1,310		40,649
National Bank Holdings Corp., Class A		1,427		46,749
National Western Life Group, Inc., Class A		144		29,727
Navient Corp.		2,934		28,812
NBT Bancorp, Inc.		1,408		45,197
Nelnet, Inc., Class A		725		51,649
NMI Holdings, Inc., Class A (a)		1,500		33,975
Northwest Bancshares, Inc.		4,402		56,081
Oceanfirst Financial Corp.		2,309		43,017
Old National Bancorp		2,955		48,935
Pacific Premier Bancorp, Inc.		1,327		41,575
Palomar Holdings, Inc. (a)		300		26,652
Park National Corp.		396		41,584
Piper Sandler Cos.		438		44,194
PJT Partners, Inc., Class A		606		45,602
PRA Group, Inc. (a)		661		26,215
Premier Financial Corp.		1,568		36,064
Provident Financial Services, Inc.		2,329		41,829
Radian Group, Inc.		1,502		30,416
Renasant Corp.		1,470		49,510
S&T Bancorp, Inc.		1,854		46,053
Safety Insurance Group, Inc.		685		53,362
Sandy Spring Bancorp, Inc.		1,433		46,128
Seacoast Banking Corp. of Florida (a)		1,588		46,767
ServisFirst Bancshares, Inc.		956		38,517
Simmons First National Corp., Class A		2,028		43,785
SLM Corp.		4,814		59,645
Southside Bancshares, Inc.		1,511		46,886
Sterling Bancorp		2,008		36,104
Stewart Information Services Corp.		869		42,025
Stock Yards Bancorp, Inc.		879		35,582
StoneX Group, Inc. (a)		588		34,045
Tompkins Financial Corp. (b)		567		40,030
Towne Bank		2,069		48,580
TriCo Bancshares		1,432		50,521
Triumph Bancorp, Inc. (a)		964		46,802
Trupanion, Inc. (a)		472		56,503
Trustmark Corp.		1,681		45,908
UMB Financial Corp.		695		47,948
United Community Banks, Inc.		1,747		49,685
Veritex Holdings, Inc.		1,615		41,441
Victory Capital Holdings, Inc., Class A (c)		2,255		55,947
Virtus Investment Partners, Inc.		223		48,391
Waddell & Reed Financial, Inc., Class A		2,955		75,265
Walker & Dunlop, Inc.		511		47,022
Washington Federal, Inc.		1,599		41,158
Webster Financial Corp.		1,021		43,035

See notes to financial statements.

26

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
WesBanco, Inc.		1,655	$	49,584
Westamerica Bancorp		769		42,518
White Mountains Insurance Group Ltd.		57		57,038
Wintrust Financial Corp.		614		37,509
WSFS Financial Corp.		1,080		48,470
				5,308,342
Health Care (9.5%):
Acadia Healthcare Co., Inc. (a)		809		40,660
Addus HomeCare Corp. (a)		327		38,288
AMN Healthcare Services, Inc. (a)		649		44,294
Amphastar Pharmaceuticals, Inc. (a)		2,413		48,525
Anika Therapeutics, Inc. (a)		923		41,775
Antares Pharma, Inc. (a)		11,102		44,297
Atrion Corp.		77		49,452
BioLife Solutions, Inc. (a)		1,342		53,532
BioTelemetry, Inc. (a)		946		68,187
Brookdale Senior Living, Inc. (a)		6,864		30,408
Cantel Medical Corp.		444		35,014
Castle Biosciences, Inc. (a)		662		44,453
Coherus Biosciences, Inc. (a)		1,850		32,153
Corcept Therapeutics, Inc. (a)		3,622		94,752
CorVel Corp. (a)		423		44,838
Enanta Pharmaceuticals, Inc. (a)		792		33,343
Fulgent Genetics, Inc. (a) (b)		605		31,521
Hanger, Inc. (a)		1,606		35,316
HealthStream, Inc. (a)		2,181		47,633
HMS Holdings Corp. (a)		2,063		75,815
Innoviva, Inc. (a)		3,559		44,096
Inogen, Inc. (a)		982		43,876
Integer Holdings Corp. (a)		495		40,189
Ironwood Pharmaceuticals, Inc. (a)		4,264		48,567
Lantheus Holdings, Inc. (a)		2,489		33,577
LeMaitre Vascular, Inc. (b)		1,079		43,700
Luminex Corp.		1,458		33,709
Magellan Health, Inc. (a)		443		36,698
Meridian Bioscience, Inc. (a)		1,980		37,006
National Healthcare Corp.		758		50,339
National Research Corp.		582		24,881
NextGen Healthcare, Inc. (a)		1,685		30,734
Omnicell, Inc. (a)		654		78,494
Phibro Animal Health Corp., Class A		1,620		31,460
Prestige Consumer Healthcare, Inc. (a)		1,395		48,644
R1 RCM, Inc. (a)		2,378		57,119
Select Medical Holdings Corp. (a)		1,321		36,539
SIGA Technologies, Inc. (a)		5,685		41,330
Simulations Plus, Inc.		625		44,950
STAAR Surgical Co. (a)		767		60,761
Supernus Pharmaceuticals, Inc. (a)		1,871		47,074
Surmodics, Inc. (a)		821		35,730
The Pennant Group, Inc. (a)		553		32,107

See notes to financial statements.

27

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
U.S. Physical Therapy, Inc.		327	$	39,322
Vanda Pharmaceuticals, Inc. (a)		3,711		48,763
Zynex, Inc. (a) (b)		1,682		22,640
				2,026,561
Industrials (19.4%):
AAON, Inc.		687		45,775
AAR Corp.		1,015		36,763
ACCO Brands Corp.		5,155		43,560
AeroVironment, Inc. (a)		518		45,014
Alamo Group, Inc.		369		50,904
Albany International Corp.		603		44,272
Ameresco, Inc., Class A (a)		940		49,106
American Woodmark Corp. (a)		260		24,401
Apogee Enterprises, Inc.		1,211		38,364
Applied Industrial Technologies, Inc.		559		43,596
ArcBest Corp.		1,040		44,377
Arcosa, Inc.		783		43,010
Astec Industries, Inc.		793		45,899
Atkore International Group, Inc. (a)		879		36,136
AZZ, Inc.		1,062		50,381
Barnes Group, Inc.		726		36,801
Brady Corp., Class A		919		48,541
Casella Waste Systems, Inc. (a)		766		47,454
CBIZ, Inc. (a)		1,979		52,661
Chart Industries, Inc. (a)		327		38,517
Cimpress PLC (a)		232		20,356
Columbus McKinnon Corp.		904		34,750
Comfort Systems USA, Inc.		656		34,545
Construction Partners, Inc., Class A (a)		1,778		51,758
CSW Industrials, Inc.		621		69,497
Dycom Industries, Inc. (a)		366		27,640
Echo Global Logistics, Inc. (a)		1,380		37,012
Encore Wire Corp.		850		51,484
Energy Recovery, Inc. (a)		4,304		58,706
Ennis, Inc.		2,625		46,856
EnPro Industries, Inc.		547		41,309
ESCO Technologies, Inc.		475		49,030
Evoqua Water Technologies Corp. (a)		1,298		35,020
Federal Signal Corp.		1,451		48,130
Forrester Research, Inc. (a)		831		34,819
Forward Air Corp.		754		57,937
Foundation Building Materials, Inc. (a)		1,738		33,387
Franklin Electric Co., Inc.		661		45,748
GATX Corp.		583		48,494
Gibraltar Industries, Inc. (a)		609		43,811
GMS, Inc. (a)		1,032		31,455
GrafTech International Ltd.		4,250		45,305
Great Lakes Dredge & Dock Corp. (a)		4,083		53,773
Griffon Corp.		1,246		25,393
H&E Equipment Services, Inc.		1,393		41,525

See notes to financial statements.

28

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Healthcare Services Group		1,627	$	45,719
Heartland Express, Inc.		2,805		50,770
Helios Technologies, Inc.		812		43,271
Herc Holdings, Inc. (a)		524		34,799
HNI Corp.		1,008		34,736
Hub Group, Inc., Class A (a)		881		50,217
Hyster-Yale Materials Handling, Inc.		809		48,176
ICF International, Inc.		595		44,226
Insperity, Inc.		397		32,324
JELD-WEN Holding, Inc. (a)		1,049		26,603
Kadant, Inc.		321		45,255
Kaman Corp.		712		40,677
KAR Auction Services, Inc.		1,769		32,921
Kforce, Inc.		1,105		46,509
Knoll, Inc.		2,310		33,911
Korn Ferry		1,212		52,723
Kratos Defense & Security Solutions, Inc. (a)		1,664		45,644
Lindsay Corp.		426		54,724
Macquarie Infrastructure Corp.		868		32,593
Marten Transport Ltd.		2,164		37,286
Matson, Inc.		802		45,690
McGrath RentCorp		574		38,515
Meritor, Inc. (a)		1,405		39,214
Moog, Inc., Class A		484		38,381
Mueller Industries, Inc.		1,063		37,322
Mueller Water Products, Inc., Class A		3,664		45,360
MYR Group, Inc. (a)		761		45,736
National Presto Industries, Inc.		565		49,963
NV5 Global, Inc. (a)		540		42,541
Patrick Industries, Inc.		406		27,750
PGT Innovations, Inc. (a)		1,592		32,381
Primoris Services Corp.		1,456		40,200
Raven Industries, Inc.		1,367		45,234
Rush Enterprises, Inc., Class A		1,300		53,846
SkyWest, Inc.		547		22,050
Spirit Airlines, Inc. (a)		1,012		24,743
SPX Corp. (a)		844		46,032
Standex International Corp.		594		46,047
Steelcase, Inc., Class A		2,775		37,601
Systemax, Inc.		1,955		70,165
Tennant Co.		582		40,839
Terex Corp.		1,600		55,823
The Brink's Co.		612		44,064
The Gorman-Rupp Co.		1,185		38,453
The Greenbrier Cos., Inc.		1,055		38,381
TriMas Corp. (a)		1,736		54,978
Trinity Industries, Inc.		2,048		54,047
Triton International Ltd.		1,122		54,428
Valmont Industries, Inc.		357		62,450
Vectrus, Inc. (a)		889		44,201

See notes to financial statements.

29

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Security Description	Shares		Value
Welbilt, Inc. (a)		3,013	$	39,772
WESCO International, Inc. (a)		566		44,431
				4,166,994
Information Technology (11.9%):
A10 Networks, Inc. (a)		4,092		40,347
ACM Research, Inc., Class A (a)		222		18,038
Advanced Energy Industries, Inc. (a)		421		40,824
Alarm.com Holdings, Inc. (a)		686		70,967
Amkor Technology, Inc.		2,337		35,242
Axcelis Technologies, Inc. (a)		1,239		36,080
Badger Meter, Inc.		654		61,515
Benchmark Electronics, Inc.		1,622		43,810
Cass Information Systems, Inc.		1,043		40,583
CEVA, Inc. (a)		867		39,449
ChannelAdvisor Corp. (a)		1,480		23,650
CommVault Systems, Inc. (a)		1,025		56,754
CSG Systems International, Inc.		1,399		63,053
CTS Corp.		1,914		65,708
Digital Turbine, Inc. (a)		948		53,619
Diodes, Inc. (a)		817		57,599
Ebix, Inc.		875		33,224
Endurance International Group Holdings, Inc. (a)		3,633		34,332
ePlus, Inc. (a)		493		43,359
EVERTEC, Inc.		1,183		46,516
ExlService Holdings, Inc. (a)		576		49,035
FormFactor, Inc. (a)		1,366		58,764
GreenSky, Inc., Class A (a)		5,797		26,840
Ichor Holdings Ltd. (a)		997		30,055
Insight Enterprises, Inc. (a)		641		48,774
InterDigital, Inc.		621		37,682
Knowles Corp. (a)		3,021		55,677
Methode Electronics, Inc.		1,502		57,497
MicroStrategy, Inc. (a)		346		134,438
Mitek Systems, Inc. (a)		3,533		62,817
MTS Systems Corp.		1,008		58,625
NCR Corp. (a)		1,206		45,310
NETGEAR, Inc. (a)		1,214		49,325
NetScout Systems, Inc. (a)		1,825		50,042
NIC, Inc.		2,608		67,365
OneSpan, Inc. (a)		1,330		27,504
OSI Systems, Inc. (a)		626		58,356
PC Connection, Inc.		856		40,480
Perficient, Inc. (a)		643		30,639
Photronics, Inc. (a)		3,734		41,671
Plexus Corp. (a)		498		38,949
Progress Software Corp.		1,478		66,791
Rogers Corp. (a)		315		48,916
Sanmina Corp. (a)		1,353		43,147
SPS Commerce, Inc. (a)		581		63,091
SunPower Corp. (a) (b)		2,088		53,536

See notes to financial statements.

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Security Description	Shares		Value
Super Micro Computer, Inc. (a)		1,290	$	40,841
Sykes Enterprises, Inc. (a)		1,244		46,861
Synaptics, Inc. (a)		400		38,560
Teradata Corp. (a)		1,806		40,581
TTEC Holdings, Inc.		704		51,343
Ultra Clean Holdings, Inc. (a)		1,141		35,542
Verra Mobility Corp. (a)		2,912		39,079
Vishay Intertechnology, Inc.		2,323		48,109
				2,590,911
Materials (7.0%):
Avient Corp.		1,058		42,616
Boise Cascade Co.		728		34,798
Cabot Corp.		943		42,322
Carpenter Technology Corp.		1,253		36,487
Chase Corp.		297		30,000
Clearwater Paper Corp. (a)		693		26,161
Cleveland-Cliffs, Inc.		4,023		58,576
Commercial Metals Co.		1,696		34,836
Compass Minerals International, Inc.		699		43,142
Domtar Corp.		1,043		33,011
Element Solutions, Inc.		3,654		64,785
Forterra, Inc. (a)		1,525		26,222
Futurefuel Corp.		3,027		38,443
GCP Applied Technologies, Inc. (a)		1,295		30,627
Greif, Inc., Class A		934		43,786
H.B. Fuller Co.		813		42,178
Hawkins, Inc.		768		40,174
Ingevity Corp. (a)		551		41,727
Innospec, Inc.		496		45,002
Kaiser Aluminum Corp.		551		54,494
Koppers Holdings, Inc. (a)		842		26,237
Livent Corp. (a) (b)		2,971		55,974
Materion Corp.		646		41,163
Minerals Technologies, Inc.		658		40,875
Myers Industries, Inc.		1,756		36,490
Orion Engineered Carbons SA		2,224		38,119
PQ Group Holdings, Inc.		3,649		52,035
Schnitzer Steel Industries, Inc.		1,682		53,673
Schweitzer-Mauduit International, Inc.		1,226		49,298
Sensient Technologies Corp.		906		66,835
Stepan Co.		339		40,449
Summit Materials, Inc., Class A (a)		1,430		28,715
Tredegar Corp.		2,711		45,274
W.R. Grace & Co.		949		52,024
Warrior Met Coal, Inc.		1,748		37,267
Worthington Industries, Inc.		742		38,094
				1,511,909

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (1.4%):
Forestar Group, Inc. (a)		1,988	$	40,118
Kennedy-Wilson Holdings, Inc.		2,603		46,568
Marcus & Millichap, Inc. (a)		1,262		46,984
Newmark Group, Inc., Class A		3,775		27,520
The RMR Group, Inc., Class A		1,370		52,909
The St. Joe Co.		2,053		87,150
				301,249
Utilities (3.2%):
ALLETE, Inc.		746		46,207
American States Water Co.		527		41,902
Avista Corp.		1,079		43,311
California Water Service Group		886		47,871
Chesapeake Utilities Corp.		511		55,296
MGE Energy, Inc.		559		39,147
Middlesex Water Co.		674		48,845
New Jersey Resources Corp.		1,095		38,927
Northwest Natural Holding Co.		684		31,457
NorthWestern Corp.		765		44,608
Otter Tail Corp.		919		39,159
SJW Group		587		40,714
South Jersey Industries, Inc.		1,773		38,208
Spire, Inc.		728		46,621
The York Water Co.		807		37,606
Unitil Corp.		990		43,827
				683,706
Total Common Stocks (Cost $17,924,680)				21,454,074
Collateral for Securities Loaned^ (1.6%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (d)		5,977		5,977
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		205,362		205,362
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (d)		2,983		2,983
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (d)		23,786		23,786
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (d)		106,946		106,946
Total Collateral for Securities Loaned (Cost $345,054)				345,054
Total Investments (Cost $18,269,734) — 101.1%				21,799,128
Liabilities in excess of other assets — (1.1)%				(253,236	)
NET ASSETS — 100.00%			$	21,545,892

^  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 December 31, 2020.

See notes to financial statements.

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PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini Russell 2000 Index Futures		1	3/19/21	$	95,082	$	98,740	$	3,658
	Total unrealized appreciation							$	3,658
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	3,658

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.8%)
Australia (4.3%):
Communication Services (0.4%):
REA Group Ltd.		1,815	$	208,256
Telstra Corp. Ltd.		122,859		282,206
				490,462
Consumer Discretionary (0.1%):
Aristocrat Leisure Ltd.		6,280		150,060
Consumer Staples (0.7%):
Coles Group Ltd.		18,759		262,295
Wesfarmers Ltd.		6,128		238,063
Woolworths Group Ltd.		8,730		264,521
				764,879
Financials (1.6%):
ASX Ltd.		3,762		208,782
Australia & New Zealand Banking Group Ltd.		11,419		199,801
Commonwealth Bank of Australia		3,589		227,150
Insurance Australia Group Ltd.		62,415		226,115
Macquarie Group Ltd.		1,664		177,616
Magellan Financial Group Ltd.		2,958		122,347
National Australia Bank Ltd.		12,403		216,062
Suncorp Group Ltd.		24,027		180,385
Westpac Banking Corp.		12,590		187,974
				1,746,232
Health Care (0.5%):
CSL Ltd.		861		187,935
Ramsay Health Care Ltd.		3,569		171,057
Sonic Healthcare Ltd.		8,233		204,024
				563,016
Industrials (0.2%):
Brambles Ltd.		27,836		227,434
Materials (0.8%):
BHP Group Ltd.		6,850		224,030
Fortescue Metals Group Ltd.		12,269		221,577
Newcrest Mining Ltd.		6,881		136,734
Rio Tinto Ltd.		3,469		304,372
				886,713
				4,828,796
Austria (0.5%):
Energy (0.1%):
OMV AG		3,784		152,530
Financials (0.2%):
Erste Group Bank AG (a)		5,860		178,519

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Utilities (0.2%):
Verbund AG		2,731	$	233,013
				564,062
Belgium (1.3%):
Consumer Staples (0.2%):
Etablissements Franz Colruyt		2,826		167,315
Financials (0.7%):
Ageas SA/NV		3,478		185,143
Groupe Bruxelles Lambert SA		2,095		211,171
KBC Group NV (a)		2,357		164,913
Sofina SA		724		244,968
				806,195
Health Care (0.2%):
Galapagos NV (a)		1,002		98,502
UCB SA		1,615		166,655
				265,157
Materials (0.2%):
Umicore SA		3,486		167,302
				1,405,969
Canada (7.6%):
Communication Services (0.7%):
BCE, Inc. (b)		4,972		212,639
Rogers Communications, Inc.		4,683		218,052
Shaw Communications, Inc., Class B (b)		10,621		186,433
TELUS Corp. (b) (c)		11,273		223,299
				840,423
Consumer Discretionary (0.4%):
Dollarama, Inc.		5,879		239,650
Restaurant Brands International, Inc.		2,547		155,758
				395,408
Consumer Staples (1.1%):
Alimentation Couche-Tard, Inc., Class B		5,916		201,647
George Weston Ltd. (c)		3,002		224,272
Loblaw Cos. Ltd.		4,535		223,810
Metro, Inc.		6,286		280,541
Saputo, Inc. (c)		8,879		248,573
				1,178,843
Energy (0.4%):
Canadian Natural Resources Ltd.		4,809		115,587
Enbridge, Inc.		4,846		155,009
Pembina Pipeline Corp. (c)		3,555		84,078
TC Energy Corp.		3,165		128,694
				483,368

See notes to financial statements.

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  (Unaudited)

Security Description	Shares			Value
Financials (2.0%):
Bank of Montreal		2,378		$	180,830
Brookfield Asset Management, Inc., Class A (c)		4,301			177,826
Canadian Imperial Bank of Commerce		2,093			178,794
Great-West Lifeco, Inc.		7,178			171,173
Intact Financial Corp.		1,973			233,653
Manulife Financial Corp.		9,314			165,759
National Bank of Canada		2,611			146,973
Power Corp. of Canada (c)		6,241			143,337
Royal Bank of Canada		2,470			202,984
Sun Life Financial, Inc.		4,248			188,919
The Bank of Nova Scotia		3,995			215,963
The Toronto-Dominion Bank		3,422			193,376
					2,199,587
Industrials (0.8%):
Canadian National Railway Co.		2,119			232,995
Canadian Pacific Railway Ltd. (c)		621			215,440
Thomson Reuters Corp.		3,259			266,773
Waste Connections, Inc.		2,247			230,438
					945,646
Information Technology (0.6%):
CGI, Inc. (a)		3,283			260,509
Constellation Software, Inc.		200			259,750
Open Text Corp.		4,583			208,282
Topicus.com, Inc. (a) (d) (f)		372	��		1,407
					729,948
Materials (0.8%):
Aginco Eagle Mines Ltd.		1,760			123,893
Barrick Gold Corp.		5,204			118,579
Franco-Nevada Corp.		1,169			146,596
Kinross Gold Corp.		13,128			96,343
Kirkland Lake Gold Ltd. (b) (c)		2,259			93,363
Nutrien Ltd.		4,612			221,921
Wheaton Precious Metals Corp. (c)		3,098			129,402
					930,097
Utilities (0.8%):
Algonquin Power & Utilities Corp. (c)		11,871			195,409
Emera, Inc.		4,958			210,755
Fortis, Inc.		5,011			204,739
Hydro One Ltd. (e)		11,318			254,782
					865,685
					8,569,005
Denmark (2.9%):
Consumer Staples (0.2%):
Carlsberg A/S, Class B		1,747			279,685

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.4%):
Danske Bank A/S		12,042	$	198,974
Tryg A/S		7,950		250,713
				449,687
Health Care (0.9%):
Coloplast A/S, Class B		1,555		237,306
Genmab A/S (a)		537		217,131
GN Store Nord A/S		2,576		206,033
Novo Nordisk A/S, Class B		4,526		317,007
				977,477
Industrials (0.7%):
AP Moller - Maersk A/S, Class B		105		234,343
DSV PANALPINA A/S		1,217		203,786
Vestas Wind Systems A/S		1,242		293,505
				731,634
Materials (0.4%):
Christian Hansen Holding A/S (a)		2,104		216,362
Novozymes A/S, B Shares		4,365		250,446
				466,808
Utilities (0.3%):
Orsted A/S (e)		1,695		346,018
				3,251,309
Finland (2.0%):
Communication Services (0.2%):
Elisa Oyj		3,915		214,575
Consumer Staples (0.2%):
Kesko Oyj, Class B		8,720		224,106
Energy (0.2%):
Neste Oyj		2,909		210,215
Financials (0.3%):
Nordea Bank Abp (a)		23,498		192,069
Sampo Oyj, Class A		4,015		169,541
				361,610
Industrials (0.3%):
Kone Oyj, Class B		3,561		289,083
Information Technology (0.1%):
Nokia Oyj (a)		34,758		133,781
Materials (0.5%):
Stora Enso Oyj, Class R		13,188		252,026
UPM-Kymmene Oyj		7,668		285,395
				537,421

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Utilities (0.2%):
Fortum Oyj		9,112	$	219,266
				2,190,057
France (8.0%):
Communication Services (0.8%):
Iliad SA		922		189,317
Orange SA		21,973		261,259
Publicis Groupe SA		4,272		212,695
Vivendi SA		7,735		249,245
				912,516
Consumer Discretionary (1.2%):
Cie Generale des Etablissements Michelin SCA		1,650		211,523
Hermes International		284		305,137
Kering SA		300		217,816
LVMH Moet Hennessy Louis Vuitton SE		457		285,196
SEB SA		1,115		202,933
Sodexo SA		2,048		173,162
				1,395,767
Consumer Staples (1.2%):
Carrefour SA		13,270		227,415
Danone SA		4,115		270,222
L'Oreal SA		749		284,350
Pernod Ricard SA		1,648		315,642
Remy Cointreau SA		1,159		215,613
				1,313,242
Financials (0.9%):
Amundi SA (e)		2,212		180,490
AXA SA		7,998		190,623
BNP Paribas SA (a)		3,277		172,542
CNP Assurances		7,609		122,499
Credit Agricole SA		13,973		176,141
Natixis SA (a)		32,513		110,764
				953,059
Health Care (0.5%):
BioMerieux		1,112		156,748
Sanofi		2,894		278,205
Sartorius Stedim Biotech		473		168,245
				603,198
Industrials (2.3%):
Alstom SA (a)		3,428		195,169
Bollore SA		44,748		184,858
Bouygues SA		3,555		146,122
Bureau Veritas SA		8,891		236,320
Cie de Saint-Gobain (a)		3,862		176,903
Edenred		3,521		199,604
Eiffage SA		1,676		161,812

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Getlink SE		10,950	$	189,662
Legrand SA		2,311		206,070
Safran SA (a)		892		126,336
Schneider Electric SE		1,542		222,823
Teleperformance		556		184,253
Thales SA		2,161		197,710
Vinci SA		1,525		151,556
				2,579,198
Information Technology (0.5%):
Atos SE (a)		2,165		197,758
Capgemini SE		1,228		190,199
Dassault Systemes SA		1,043		211,678
				599,635
Materials (0.4%):
Air Liquide SA		1,465		240,239
Arkema SA		1,492		170,401
				410,640
Utilities (0.2%):
Veolia Environnement SA		7,635		186,615
				8,953,870
Germany (7.3%):
Communication Services (0.6%):
Deutsche Telekom AG		14,039		256,456
Scout24 AG (e)		3,031		248,242
United Internet AG, Registered Shares		4,722		198,589
				703,287
Consumer Discretionary (0.8%):
adidas AG (a)		598		217,602
Bayerische Motoren Werke AG		2,261		199,485
Puma SE (a)		1,862		209,883
Zalando SE (a) (e)		2,038		226,685
				853,655
Consumer Staples (0.2%):
Beiersdorf AG		2,496		287,933
Financials (0.8%):
Allianz SE		798		195,633
Deutsche Boerse AG		1,110		188,803
Hannover Rueck SE		1,059		168,551
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		561		166,381
Talanx AG		4,236		164,334
				883,702
Health Care (0.9%):
Carl Zeiss Meditec AG		1,596		212,301
Fresenius Medical Care AG & Co. KGaA		3,385		281,990

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Fresenius SE & Co. KGaA		4,086	$	188,860
Merck KGaA		1,766		302,757
				985,908
Industrials (0.9%):
Brenntag AG		3,028		234,275
Deutsche Post AG, Registered Shares		4,138		204,709
KION Group AG		1,886		163,934
MTU Aero Engines AG		599		156,139
Siemens AG, Registered Shares		1,468		210,731
				969,788
Information Technology (0.8%):
Bechtle AG		1,000		217,914
Infineon Technologies AG		5,024		192,634
Nemetschek SE		1,991		146,892
SAP SE		1,373		179,820
TeamViewer AG (a) (e)		2,775		148,568
				885,828
Materials (1.0%):
BASF SE		2,950		233,212
Covestro AG (e)		3,814		235,175
Evonik Industries AG		6,180		201,403
HeidelbergCement AG		2,436		182,164
Symrise AG		1,922		254,492
				1,106,446
Real Estate (0.7%):
Deutsche Wohnen SE		5,615		299,656
LEG Immobilien AG		1,582		245,531
Vonovia SE		3,514		256,510
				801,697
Utilities (0.6%):
E.ON SE		21,027		232,803
RWE AG		4,877		205,941
Uniper SE		7,533		259,851
				698,595
				8,176,839
Hong Kong (4.4%):
Consumer Discretionary (0.3%):
Galaxy Entertainment Group Ltd.		22,484		174,745
Techtronic Industries Co. Ltd.		12,416		177,138
				351,883
Consumer Staples (0.3%):
Sun Art Retail Group Ltd.		147,410		149,840
WH Group Ltd. (e)		222,768		186,785
				336,625

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.7%):
AIA Group Ltd.		22,236	$	272,493
Hang Seng Bank Ltd.		17,108		295,057
Hong Kong Exchanges and Clearing Ltd.		4,734		259,533
				827,083
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		164,318		158,972
Industrials (0.5%):
CK Hutchison Holdings Ltd.		35,900		250,534
MTR Corp. Ltd.		57,926		323,920
				574,454
Real Estate (1.4%):
CK Asset Holdings Ltd.		39,505		202,820
Hang Lung Properties Ltd.		83,276		219,679
Henderson Land Development Co. Ltd.		70,790		276,231
New World Development Co. Ltd.		45,044		209,758
Shimao Group Holdings Ltd.		39,428		125,625
Sino Land Co. Ltd.		200,620		261,379
Sun Hung Kai Properties Ltd.		20,840		268,827
				1,564,319
Utilities (1.1%):
CK Infrastructure Holdings Ltd.		43,264		232,443
CLP Holdings Ltd.		37,014		342,342
Hong Kong and China Gas Co. Ltd.		208,952		312,126
Power Assets Holdings Ltd. (b)		51,808		280,686
				1,167,597
				4,980,933
Ireland (1.4%):
Consumer Discretionary (0.2%):
Flutter Entertainment PLC		958		197,921
Consumer Staples (0.2%):
Kerry Group PLC		1,915		285,144
Industrials (0.6%):
DCC PLC		2,141		151,580
Experian PLC		4,988		189,393
Kingspan Group PLC (a)		2,115		156,687
Ryanair Holdings PLC, ADR (a)		1,872		205,883
				703,543
Materials (0.4%):
CRH PLC		4,237		180,262
Smurfit Kappa Group PLC		4,918		231,281
				411,543
				1,598,151

See notes to financial statements.

41

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Israel (0.6%):
Financials (0.2%):
Bank Hapoalim BM		35,434	$	242,702
Isracard Ltd.		1		3
				242,705
Health Care (0.1%):
Teva Pharmaceutical Industries Ltd. (a)		13,565		129,080
Information Technology (0.3%):
Nice Ltd. (a)		889		249,213
				620,998
Italy (2.4%):
Communication Services (0.4%):
Infrastrutture Wireless Italiane SpA (e)		20,511		248,786
Telecom Italia SpA		309,144		142,513
				391,299
Consumer Discretionary (0.3%):
Moncler SpA		4,477		274,197
Energy (0.2%):
Snam SpA		35,433		199,137
Financials (0.7%):
Assicurazioni Generali SpA		14,410		251,001
FinecoBank Banca Fineco SpA (a)		10,956		179,328
Intesa Sanpaolo SpA (a)		79,184		184,992
Poste Italiane SpA (e)		17,660		179,475
				794,796
Health Care (0.3%):
DiaSorin SpA		921		191,361
Recordati Industria Chimica e Farmaceutica SpA		3,348		185,380
				376,741
Information Technology (0.1%):
Nexi SpA (a) (e)		7,844		156,560
Utilities (0.4%):
Enel SpA		22,074		223,148
Terna Rete Elettrica Nazionale SpA		29,046		221,747
				444,895
				2,637,625
Japan (20.0%):
Communication Services (1.5%):
KDDI Corp.		9,100		270,250
Nexon Co. Ltd.		7,100		218,694
Nintendo Co. Ltd. (b)		600		382,584
Nippon Telegraph & Telephone Corp.		12,900		330,560

See notes to financial statements.

42

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Softbank Corp.		28,900	$	361,950
Z Holdings Corp.		23,400		141,524
				1,705,562
Consumer Discretionary (3.4%):
Bandai Namco Holdings, Inc.		3,900		337,189
Bridgestone Corp.		8,500		278,613
Fast Retailing Co. Ltd.		300		268,704
Honda Motor Co. Ltd.		6,800		189,529
Nitori Holdings Co. Ltd.		1,300		272,240
Oriental Land Co. Ltd.		1,700		280,589
Pan Pacific International Holdings Corp.		9,200		212,801
Panasonic Corp.		19,800		228,321
Sekisui House Ltd.		11,900		242,057
Shimano, Inc.		1,100		256,621
Sony Corp.		3,300		328,753
Subaru Corp.		8,900		177,802
Suzuki Motor Corp.		3,500		162,118
Toyota Industries Corp.		4,000		317,319
Toyota Motor Corp.		3,900		300,584
				3,853,240
Consumer Staples (1.5%):
Asahi Group Holdings Ltd.		6,200		254,870
Japan Tobacco, Inc.		16,900		344,090
Kao Corp.		3,600		277,916
Kirin Holdings Co. Ltd.		11,100		261,695
Seven & i Holdings Co. Ltd.		6,200		219,738
Unicharm Corp.		5,800		274,831
				1,633,140
Financials (2.6%):
Dai-ichi Life Holdings, Inc.		12,200		183,402
Japan Exchange Group, Inc.		9,500		242,745
Japan Post Bank Co. Ltd.		30,500		250,227
Japan Post Holdings Co. Ltd.		33,200		258,165
Mitsubishi UFJ Financial Group, Inc.		56,500		249,609
Mizuho Financial Group, Inc.		17,470		221,252
MS&AD Insurance Group Holdings, Inc.		11,000		334,667
Nomura Holdings, Inc.		38,200		201,656
ORIX Corp.		15,400		236,355
Sompo Holdings, Inc.		5,300		214,228
Sumitomo Mitsui Financial Group, Inc.		8,500		262,476
Tokio Marine Holdings, Inc.		5,300		272,495
				2,927,277
Health Care (3.0%):
Astellas Pharma, Inc.		14,400		222,332
Chugai Pharmaceutical Co. Ltd.		5,200		277,176
Daiichi Sankyo Co. Ltd.		6,400		219,140
Eisai Co. Ltd.		2,100		149,954
Hoya Corp.		2,300		317,910

See notes to financial statements.

43

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VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Kyowa Kirin Co. Ltd.		9,000	$	245,312
M3, Inc.		3,100		292,554
Olympus Corp.		8,100		177,040
Ono Pharmaceutical Co. Ltd.		9,100		273,952
Otsuka Holdings Co. Ltd.		5,200		222,526
Shionogi & Co. Ltd.		4,000		218,326
Sysmex Corp.		2,600		312,282
Takeda Pharmaceutical Co. Ltd.		6,400		232,778
Terumo Corp.		5,300		221,364
				3,382,646
Industrials (3.5%):
Central Japan Railway Co.		1,500		211,982
Daikin Industries Ltd.		1,300		288,609
FANUC Corp.		1,100		270,205
ITOCHU Corp.		10,900		312,937
Komatsu Ltd.		9,400		256,533
Kubota Corp.		12,700		276,905
Mitsubishi Corp.		12,400		305,196
Mitsubishi Electric Corp.		18,000		271,465
Mitsui & Co. Ltd.		13,100		239,756
Nidec Corp.		2,400		301,744
Recruit Holdings Co. Ltd.		3,900		163,230
Secom Co. Ltd.		3,100		285,768
SG Holdings Co. Ltd.		9,200		250,585
SMC Corp.		400		243,898
Sumitomo Corp.		18,100		239,399
				3,918,212
Information Technology (3.3%):
Canon, Inc. (c)		12,000		229,911
FUJIFILM Holdings Corp.		4,500		237,030
Fujitsu Ltd.		1,700		245,433
Hitachi Ltd.		5,600		220,496
Keyence Corp.		700		393,259
Kyocera Corp.		4,500		275,736
Murata Manufacturing Co. Ltd.		4,400		397,210
NEC Corp.		3,800		203,913
Nomura Research Institute Ltd.		7,278		260,483
NTT Data Corp.		17,700		241,909
Obic Co. Ltd.		1,200		240,953
Omron Corp.		3,100		276,250
Oracle Corp.		1,900		247,530
Tokyo Electron Ltd.		700		260,364
				3,730,477
Materials (0.5%):
Nippon Paint Holdings Co. Ltd.		2,200		241,437
Shin-Etsu Chemical Co. Ltd.		1,600		279,582
				521,019

See notes to financial statements.

44

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VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Real Estate (0.7%):
Daiwa House Industry Co. Ltd.		7,300	$	216,652
Mitsubishi Estate Co. Ltd.		11,800		189,390
Mitsui Fudosan Co. Ltd.		10,000		209,076
Sumitomo Realty & Development Co. Ltd.		5,200		160,221
				775,339
				22,446,912
Korea, Republic Of (5.5%):
Communication Services (0.7%):
NAVER Corp.		701		188,770
NCSoft Corp.		253		216,851
Netmarble Corp. (a) (e)		1,317		159,442
SK Telecom Co. Ltd.		1,317		288,571
				853,634
Consumer Discretionary (0.9%):
Hyundai Mobis Co. Ltd.		847		199,234
Hyundai Motor Co.		1,004		177,470
Kia Motors Corp.		4,535		260,527
LG Electronics, Inc.		2,700		335,574
				972,805
Consumer Staples (0.7%):
Amorepacific Corp.		1,254		237,823
KT&G Corp.		3,742		286,283
LG Household & Health Care Ltd.		164		244,596
				768,702
Financials (0.5%):
KB Financial Group, Inc.		5,044		201,537
Samsung Life Insurance Co. Ltd.		2,622		190,941
Shinhan Financial Group Co. Ltd.		6,847		202,031
				594,509
Health Care (0.6%):
Celltrion Healthcare Co. Ltd. (a)		1,655		248,426
Celltrion, Inc. (a)		598		197,552
Samsung Biologics Co. Ltd. (a) (e)		247		187,831
				633,809
Industrials (0.4%):
LG Corp.		2,423		195,187
Samsung C&T Corp.		1,919		243,806
				438,993
Information Technology (1.3%):
Samsung Electro-Mechanics Co. Ltd.		1,572		257,610
Samsung Electronics Co. Ltd.		5,070		378,079
Samsung SDI Co. Ltd.		361		208,717

See notes to financial statements.

45

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Samsung SDS Co. Ltd.		1,636	$	268,851
SK Hynix, Inc.		3,001		327,397
				1,440,654
Materials (0.4%):
LG Chem Ltd.		215		163,101
POSCO		1,274		319,028
				482,129
				6,185,235
Luxembourg (0.3%):
Health Care (0.1%):
Eurofins Scientific SE (a)		2,206		184,932
Real Estate (0.2%):
Aroundtown SA		27,321		204,239
				389,171
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		41,474		182,166
Netherlands (3.4%):
Communication Services (0.2%):
Koninklijke KPN NV		82,507		250,644
Consumer Staples (1.0%):
Davide Campari-Milano NV		18,446		210,446
Heineken Holding NV		3,015		283,760
Heineken NV		2,819		314,106
Koninklijke Ahold Delhaize NV		9,608		271,221
				1,079,533
Financials (0.6%):
ABN AMRO Bank NV (a) (e)		12,970		127,059
Euronext NV (e)		1,592		175,307
ING Groep NV (a)		15,352		143,287
NN Group NV		4,341		188,398
				634,051
Health Care (0.2%):
Koninklijke Philips NV		4,948		264,604
Industrials (0.4%):
Randstad NV		3,164		205,762
Wolters Kluwer NV		3,313		279,473
				485,235
Information Technology (0.5%):
Adyen NV (a) (e)		124		288,541
ASML Holding NV		495		240,374
				528,915

See notes to financial statements.

46

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Materials (0.5%):
Akzo Nobel NV		2,202	$	236,320
Koninklijke DSM NV		1,677		288,421
				524,741
				3,767,723
New Zealand (0.5%):
Consumer Staples (0.1%):
a2 Milk Co. Ltd. (a)		19,080		165,652
Health Care (0.2%):
Fisher & Paykel Healthcare Corp. Ltd. (c)		7,662		181,707
Information Technology (0.2%):
Xero Ltd. (a)		2,356		266,626
				613,985
Norway (1.5%):
Communication Services (0.4%):
Schibsted ASA, Class A (a)		4,516		193,228
Telenor ASA		16,898		287,986
				481,214
Consumer Staples (0.5%):
Mowi ASA		10,509		234,464
Orkla ASA, Class A		25,409		258,218
				492,682
Financials (0.4%):
DNB ASA (a)		11,004		215,944
Gjensidige Forsikring ASA		11,931		266,747
				482,691
Materials (0.2%):
Yara International ASA		5,718		237,780
				1,694,367
Portugal (0.5%):
Consumer Staples (0.3%):
Jeronimo Martins SGPS SA		15,409		260,120
Utilities (0.2%):
Energias de Portugal SA		40,762		256,720
				516,840
Russian Federation (0.1%):
Materials (0.1%):
Polymetal International PLC		6,344		146,116
Singapore (1.6%):
Communication Services (0.3%):
Singapore Telecommunications Ltd.		170,700		298,431

See notes to financial statements.

47

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VictoryShares International Volatility Wtd ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (0.2%):
Wilmar International Ltd.		61,600	$	216,787
Financials (0.9%):
DBS Group Holdings Ltd.		16,900		320,272
Oversea-Chinese Banking Corp. Ltd.		45,100		343,379
United Overseas Bank Ltd.		18,700		319,710
				983,361
Real Estate (0.2%):
CapitaLand Ltd. (c)		115,000		285,476
				1,784,055
Spain (1.8%):
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		7,069		224,849
Financials (0.2%):
CaixaBank SA		70,571		181,110
Health Care (0.2%):
Grifols SA		7,901		230,466
Industrials (0.1%):
Aena SME SA (a) (e)		943		163,796
Information Technology (0.2%):
Amadeus IT Group SA		2,448		178,097
Utilities (0.9%):
Endesa SA		8,068		220,259
Iberdrola SA		17,875		255,460
Naturgy Energy Group SA		10,479		242,689
Red Electrica Corp. SA		13,152		269,492
				987,900
				1,966,218
Sweden (5.6%):
Communication Services (0.4%):
Tele2 AB, B Shares		17,275		228,126
Telia Co. AB (c)		63,063		260,417
				488,543
Consumer Discretionary (0.3%):
Evolution Gaming Group AB (e)		1,866		189,418
Hennes & Mauritz AB, Class B (a) (c)		9,390		196,391
				385,809
Consumer Staples (0.7%):
Essity AB, Class B		7,994		257,109
ICA Gruppen AB (c)		4,538		226,740
Swedish Match AB		3,176		246,316
				730,165

See notes to financial statements.

48

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Financials (1.6%):
EQT AB (c)		6,271	$	160,439
Industrivarden AB, Class C		7,751		250,236
Investor AB, Class B		3,565		259,752
Kinnevik AB, Class B		4,825		243,779
L E Lundbergforetagen AB, Class B (a)		4,691		251,326
Skandinaviska Enskilda Banken AB, Class A (a)		18,732		192,472
Svenska Handelsbanken AB, Class A (a)		18,415		184,961
Swedbank AB, Class A (a)		11,063		193,876
				1,736,841
Industrials (1.8%):
Alfa Laval AB (a)		7,397		203,548
Assa Abloy AB, Class B		9,099		224,051
Atlas Copco AB, Class A		4,294		219,875
Epiroc AB, Class A		13,496		245,589
Nibe Industrier AB, Class B		6,460		211,856
Sandvik AB (a)		8,888		217,558
Skanska AB, Class B		9,638		245,761
SKF AB, Class B		8,636		224,096
Volvo AB, Class B		9,373		220,882
				2,013,216
Information Technology (0.4%):
Hexagon AB, Class B		2,617		238,603
Telefonaktiebolaget LM Ericsson, Class B		16,342		194,026
				432,629
Materials (0.4%):
Boliden AB		5,511		195,275
Svenska Cellulosa AB SCA, Class B (a)		16,129		281,049
				476,324
				6,263,527
Switzerland (7.4%):
Communication Services (0.2%):
Swisscom AG, Registered Shares		511		275,478
Consumer Discretionary (0.5%):
Cie Financiere Richemont SA, Registered Shares		3,117		282,045
The Swatch Group AG, B Shares		932		254,325
				536,370
Consumer Staples (1.1%):
Barry Callebaut AG, Registered Shares		164		389,894
Chocoladefabriken Lindt & Spruengli AG		30		292,542
Coca-Cola HBC AG		6,179		200,821
Nestle SA, Registered Shares		2,786		328,213
				1,211,470

See notes to financial statements.

49

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Financials (1.3%):
Banque Cantonale Vaudoise, Registered Shares		2,788	$	303,372
Credit Suisse Group AG, Registered Shares		13,303		171,361
Julius Baer Group Ltd.		3,329		191,841
Partners Group Holding AG		195		229,152
Swiss Life Holding AG		436		203,171
UBS Group AG		14,300		201,493
Zurich Insurance Group AG		509		214,815
				1,515,205
Health Care (1.3%):
Lonza Group AG, Registered Shares		380		244,231
Novartis AG, Registered Shares		3,356		317,208
Roche Holding AG		793		276,878
Sonova Holding AG (a)		899		233,638
Straumann Holding AG, Class R		181		210,962
Vifor Pharma AG		1,246		195,700
				1,478,617
Industrials (1.5%):
ABB Ltd., Registered Shares		7,930		221,413
Adecco Group AG		3,247		217,053
Geberit AG, Registered Shares		438		274,282
Kuehne + Nagel International AG		1,305		296,095
Schindler Holding AG		1,193		321,638
SGS SA, Registered Shares		104		313,763
				1,644,244
Information Technology (0.5%):
Logitech International SA, Class R		2,988		290,089
Stmicroelectronics NV		4,642		173,224
Temenos AG		1,092		152,572
				615,885
Materials (1.0%):
EMS-Chemie Holding AG		328		316,140
Givaudan SA, Registered Shares		68		286,599
LafargeHolcim Ltd.		4,119		226,289
Sika AG, Registered Shares		880		240,434
				1,069,462
				8,346,731
United Kingdom (8.7%):
Communication Services (0.4%):
BT Group PLC (a)		118,947		215,086
Informa PLC (a)		24,837		186,438
				401,524
Consumer Discretionary (0.5%):
Compass Group PLC		9,418		175,516
JD Sports Fashion PLC (a)		11,399		134,038

See notes to financial statements.

50

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Next PLC (a)		1,768	$	171,296
Persimmon PLC		3,766		142,479
				623,329
Consumer Staples (1.4%):
Associated British Foods PLC (a)		6,393		197,899
British American Tobacco PLC		6,704		248,225
Diageo PLC		6,474		254,757
Imperial Brands PLC		12,780		268,314
Tesco PLC		100,533		318,079
Unilever PLC		4,431		266,089
				1,553,363
Financials (2.1%):
3i Group PLC		11,999		189,984
Admiral Group PLC		7,202		286,162
Aviva PLC		41,588		184,919
Barclays PLC		85,854		172,185
Hargreaves Lansdown PLC		6,726		140,246
Legal & General Group PLC		40,213		146,365
Lloyds Banking Group PLC (a)		400,594		199,593
London Stock Exchange Group PLC		1,821		224,285
Natwest Group PLC		95,714		219,403
Phoenix Group Holdings PLC		17,800		170,511
Schroders PLC		4,403		200,894
Standard Chartered PLC		30,908		196,891
				2,331,438
Health Care (0.6%):
AstraZeneca PLC		2,199		220,210
GlaxoSmithKline PLC (b)		13,835		253,860
Smith & Nephew PLC		8,777		181,211
				655,281
Industrials (1.5%):
Ashtead Group PLC		3,551		166,924
BAE Systems PLC		29,841		199,438
Bunzl PLC		6,215		207,600
Ferguson PLC		1,686		204,799
Intertek Group PLC		2,626		202,793
RELX PLC		10,542		258,372
Rentokil Initial PLC (a)		25,268		176,061
Spirax-Sarco Engineering PLC		1,705		263,314
				1,679,301
Information Technology (0.5%):
AVEVA Group PLC		2,174		95,180
Halma PLC		7,420		248,459
The Sage Group PLC		23,894		190,141
				533,780

See notes to financial statements.

51

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Materials (1.3%):
Anglo American PLC		5,438	$	180,271
Antofagasta PLC		10,944		215,552
BHP Group PLC		6,713		176,689
Croda International PLC		3,545		319,713
Fresnillo PLC		8,402		129,757
Mondi PLC		10,175		239,221
Rio Tinto PLC		2,905		217,268
				1,478,471
Utilities (0.4%):
National Grid PLC		19,853		234,804
SSE PLC		10,007		205,238
				440,042
				9,696,529
Total Common Stocks (Cost $94,093,743)				111,777,189
Collateral for Securities Loaned^ (2.3%)
United States (2.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (g)		46,351		46,351
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (g)		1,592,429		1,592,429
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (g)		23,131		23,131
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (g)		184,443		184,443
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (g)		829,292		829,292
Total Collateral for Securities Loaned (Cost $2,675,646)				2,675,646
Total Investments (Cost $96,769,389) — 102.1%				114,452,835
Liabilities in excess of other assets — (2.1)%				(2,399,831	)
NET ASSETS — 100.00%			$	112,053,004

^  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)  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 December 31, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(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 December 31, 2020, the fair value of these securities was $3,702,960 and amounted to 3.3% of net assets.

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(g)  Rate disclosed is the daily yield on December 31, 2020.

See notes to financial statements.

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ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI EAFE Index Futures		1	3/19/21	$	106,839	$	106,540	$	(299	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(299	)
	Total net unrealized appreciation (depreciation)							$	(299	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (100.2%)
Bermuda (0.3%):
Utilities (0.3%):
China Gas Holdings Ltd.		6,312	$	25,078
Brazil (4.9%):
Communication Services (0.2%):
TIM SA		4,947		13,954
Consumer Discretionary (0.4%):
Lojas Renner SA		1,262		10,580
Magazine Luiza SA		2,100		10,088
Petrobras Distribuidora SA		2,600		11,078
				31,746
Consumer Staples (1.1%):
Ambev SA		6,500		19,586
Atacadao SA		4,200		15,680
BRF SA (a)		2,800		11,882
Cia Brasileira de Distribuicao		1,200		17,340
M Dias Branco SA		1,900		12,460
Marfrig Global Foods SA (a)		2,637		7,367
Raia Drogasil SA		4,000		19,284
				103,599
Energy (0.2%):
Cosan SA		700		10,207
Ultrapar Participacoes SA		2,400		10,970
				21,177
Financials (0.6%):
B3 SA- Brasil Bolsa Balcao		1,058		12,626
Banco do Brasil SA		1,600		11,953
BB Seguridade Participacoes SA		3,046		17,377
Porto Seguro SA		1,709		16,123
				58,079
Health Care (0.4%):
Hapvida Participacoes E Investimentos SA (b)		4,500		13,222
Hypera SA		2,100		13,848
Notre Dame Intermedica Participacoes SA		700		10,558
				37,628
Industrials (0.7%):
CCR SA		3,832		9,938
Cia de Locacao das Americas		2,107		11,890
Cosan Logistica SA (a)		2,750		9,801
Localiza Rent a Car SA		918		12,187
Rumo SA (a)		2,500		9,261
WEG SA		920		13,416
				66,493

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Information Technology (0.1%):
TOTVS SA		1,958	$	10,827
Materials (0.3%):
Duratex SA		3,088		11,380
Vale SA		1,000		16,837
				28,217
Utilities (0.9%):
Centrais Eletricas Brasileiras SA		1,289		9,101
Cia de Saneamento Basico do Estado de Sao Paulo		1,200		10,267
Energias do Brasil SA		4,500		17,025
Eneva SA (a)		1,426		17,050
Engie Brasil Energia SA		2,275		19,247
Equatorial Energia SA		3,400		15,161
				87,851
				459,571
Chile (1.5%):
Communication Services (0.1%):
Empresa Nacional de Telecomunicaciones SA		2,237		13,896
Consumer Discretionary (0.2%):
SACI Falabella		3,874		14,355
Consumer Staples (0.2%):
Cencosud SA		8,714		15,531
Financials (0.6%):
Banco de Chile		170,014		17,379
Banco de Credito e Inversiones SA		515		20,237
Banco Santander Chile		388,684		18,674
				56,290
Real Estate (0.1%):
Cencosud Shopping SA		7,750		12,432
Utilities (0.3%):
Colbun SA		94,065		16,633
Enel Americas SA		93,281		15,247
				31,880
				144,384
China (16.6%):
Communication Services (0.5%):
China Telecom Corp. Ltd., Class H		53,615		14,870
China Tower Corp. Ltd. (b)		88,799		13,058
Tencent Holdings Ltd.		247		17,970
				45,898
Consumer Discretionary (2.2%):
ANTA Sports Products Ltd.		1,195		18,945
BYD Co. Ltd., Class H		1,163		30,484
Fuyao Glass Industry Group Co. Ltd., Class H (b)		5,098		28,015

See notes to financial statements.

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Great Wall Motor Co. Ltd., Class H		13,440	$	46,117
Guangzhou Automobile Group Co. Ltd.		15,064		16,750
Li Ning Co. Ltd.		2,926		20,118
Meituan Dianping, Class B (a)		361		13,719
Shenzhou International Group Holdings Ltd.		908		17,803
Zhongsheng Group Holdings Ltd.		2,931		20,889
				212,840
Consumer Staples (1.5%):
Anhui Gujing Distillery Co. Ltd., Class B		1,400		19,502
China Feihe Ltd. (b)		5,901		13,824
China Mengniu Dairy Co. Ltd.		3,549		21,425
Hengan International Group Co. Ltd.		2,382		16,869
Tingyi Cayman Islands Holding Corp.		9,323		15,923
Tsingtao Brewery Co. Ltd., Class H		2,000		20,949
Want Want China Holdings Ltd.		28,045		20,295
Yihai International Holding Ltd.		1,122		16,644
				145,431
Energy (0.5%):
China Petroleum & Chemical Corp., Class H		44,095		19,738
China Shenhua Energy Co. Ltd., Class H		12,446		23,440
				43,178
Financials (5.6%):
Agricultural Bank of China Ltd., Class H		76,940		28,187
Bank of China Ltd., Class H		85,451		29,211
Bank of Communications Co. Ltd., Class H		49,206		26,024
China CITIC Bank Corp. Ltd., Class H		53,834		22,847
China Construction Bank Corp., Class H		39,784		30,227
China Everbright Bank Co. Ltd., Class H		47,091		17,920
China Galaxy Securities Co. Ltd., Class H		22,196		13,915
China International Capital Corp. Ltd., Class H (a) (b)		6,056		16,405
China Life Insurance Co. Ltd., Class H		5,889		12,990
China Merchants Bank Co. Ltd., Class H		4,069		25,719
China Merchants Securities Co. Ltd., Class H (b)		8,885		13,295
China Minsheng Banking Corp. Ltd., Class H		47,452		27,055
China Pacific Insurance Group Co. Ltd., Class H		5,839		22,860
CITIC Securities Co. Ltd., Class H		5,817		13,117
CSC Financial Co. Ltd., Class H (b)		7,063		9,384
GF Securities Co. Ltd., Class H		13,561		19,173
Guotai Junan Securities Co. Ltd. (b)		9,450		13,775
Haitong Securities Co. Ltd.		15,416		13,781
Huatai Securities Co. Ltd., Class H (b)		9,119		14,351
Industrial & Commercial Bank of China Ltd., Class H		49,098		31,857
New China Life Insurance Co. Ltd., Class H		3,524		13,751
Orient Securities Co. Ltd., Class H (b)		23,657		16,662
People's Insurance Co. Group of China Ltd.		50,371		15,984
PICC Property & Casualty Co. Ltd., Class H		22,091		16,727
Ping An Insurance Group Co. of China Ltd.		2,899		35,526
Postal Savings Bank of China Co. Ltd., Class H (b)		48,038		27,142
				527,885

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Health Care (0.7%):
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		4,847	$	10,954
Shanghai Fosun Pharmaceutical Group Co. Ltd.		2,968		14,185
Wuxi AppTec Co. Ltd., Class H (b)		949		18,583
Wuxi Biologics Cayman, Inc. (a) (b)		1,686		22,358
				66,080
Industrials (1.6%):
Airtac International Group		1,000		32,032
China Railway Group Ltd., Class H		39,687		17,508
Country Garden Services Holdings Co. Ltd.		2,348		15,886
Fosun International Ltd.		17,504		27,502
Shanghai Electric Group Co. Ltd. (a)		62,982		19,336
Weichai Power Co. Ltd.		8,136		16,330
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		15,475		18,565
				147,159
Information Technology (1.4%):
China Railway Signal & Communication Corp. Ltd., Class H (b)		45,183		15,154
Kingdee International Software Group Co. Ltd.		4,675		19,056
Shanghai Baosight Software Co. Ltd., Class B		5,900		23,995
Sunny Optical Technology Group Co. Ltd.		821		17,972
Xiaomi Corp., Class B (a) (b)		4,230		18,116
Xinyi Solar Holdings Ltd.		11,574		30,233
ZTE Corp., Class H		3,509		8,827
				133,353
Materials (0.8%):
Anhui Conch Cement Co. Ltd., Class H		2,884		18,062
China Molybdenum Co. Ltd.		28,240		18,433
China National Building Material Co. Ltd., Class H		9,283		11,160
Shandong Gold Mining Co. Ltd., Class H (b)		4,611		10,647
Zijin Mining Group Co. Ltd., Class H		18,650		21,122
				79,424
Real Estate (0.9%):
China Vanke Co. Ltd.		5,506		18,999
Country Garden Holdings Co. Ltd.		14,758		20,408
Logan Group Co. Ltd.		8,200		13,434
Longfor Group Holdings Ltd. (b)		3,514		20,579
Sunac China Holdings Ltd.		3,460		12,787
Sunac Services Holdings Ltd. (a) (b)		105		233
				86,440
Utilities (0.9%):
CGN Power Co. Ltd., Class H (b)		105,225		22,668
China Resources Gas Group Ltd.		4,596		24,456
ENN Energy Holdings Ltd.		1,635		24,001
Huaneng Power International, Inc., Class H		37,244		13,596
				84,721
				1,572,409

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Colombia (0.3%):
Financials (0.1%):
Grupo de Inversiones Suramericana SA		1,921	$	14,225
Utilities (0.2%):
Interconexion Electrica SA ESP		2,464		18,548
				32,773
Czech Republic (0.5%):
Financials (0.2%):
Komercni Banka A/S (a)		776		23,775
Utilities (0.3%):
CEZ A/S		1,127		27,065
				50,840
Egypt (0.4%):
Consumer Staples (0.2%):
Eastern Co. SAE		20,572		17,109
Financials (0.2%):
Commercial International Bank		4,281		16,160
				33,269
Hong Kong (2.3%):
Communication Services (0.2%):
China Mobile Ltd.		2,913		16,609
Consumer Discretionary (0.2%):
Geely Automobile Holdings Ltd.		5,864		20,045
Consumer Staples (0.2%):
China Resources Beer Holdings Co. Ltd.		2,397		22,077
Energy (0.1%):
CNOOC Ltd.		12,785		11,841
Financials (0.3%):
BOC Hong Kong Holdings Ltd.		8,766		26,573
Health Care (0.1%):
CSPC Pharmaceutical Group Ltd.		11,721		11,990
Information Technology (0.4%):
BYD Electronic International Co. Ltd.		2,343		12,271
Lenovo Group Ltd.		25,816		24,377
				36,648
Materials (0.2%):
China Resources Cement Holdings Ltd.		13,945		15,578
Real Estate (0.3%):
China Overseas Land & Investment Ltd., Class H		6,983		15,187
China Resources Land Ltd.		4,540		18,741
				33,928

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Utilities (0.3%):
Guangdong Investment Ltd.		13,864	$	24,966
				220,255
Hungary (0.6%):
Energy (0.2%):
MOL Hungarian Oil & Gas PLC (a)		2,708		20,013
Financials (0.2%):
OTP Bank Nyrt (a)		402		18,123
Health Care (0.2%):
Richter Gedeon Nyrt		820		20,587
				58,723
India (18.2%):
Communication Services (0.6%):
Indus Towers Ltd.		3,747		11,790
Info Edge India Ltd.		288		18,755
Sun TV Network Ltd.		2,224		14,634
Zee Entertainment Enterprises Ltd.		3,086		9,440
				54,619
Consumer Discretionary (3.0%):
Bajaj Auto Ltd.		406		19,138
Balkrishna Industries Ltd.		734		16,539
Bata India Ltd.		932		20,150
Bharat Forge Ltd.		1,590		11,432
Bosch Ltd.		77		13,474
Eicher Motors Ltd.		510		17,667
Exide Industries Ltd.		7,712		20,187
Hero MotoCorp Ltd.		339		14,430
Jubilant Foodworks Ltd.		470		17,955
Maruti Suzuki India Ltd.		138		14,449
Motherson Sumi Systems Ltd.		6,120		13,838
MRF Ltd.		24		24,883
Page Industries Ltd.		72		27,209
Titan Co. Ltd.		1,009		21,642
TVS Motor Co. Ltd.		2,510		16,662
Whirlpool of India Ltd.		512		18,423
				288,078
Consumer Staples (2.1%):
Britannia Industries Ltd.		331		16,202
Colgate-Palmolive India Ltd.		1,122		24,037
Dabur India Ltd.		3,068		22,423
Godrej Consumer Products Ltd.		1,788		18,113
Hindustan Unilever Ltd.		603		19,770
ITC Ltd.		5,919		16,932
Marico Ltd.		4,170		22,981
Nestle India Ltd.		88		22,150

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Tata Consumer Products Ltd.		1,933	$	15,607
United Breweries Ltd.		1,407		22,846
				201,061
Energy (0.6%):
Bharat Petroleum Corp. Ltd.		2,173		11,335
Hindustan Petroleum Corp. Ltd.		4,724		14,089
Petronet LNG Ltd.		5,355		18,147
Reliance Industries Ltd.		463		12,581
				56,152
Financials (2.1%):
Axis Bank Ltd. (a)		1,434		12,178
Bajaj Finance Ltd.		213		15,437
Bajaj Finserv Ltd.		136		16,578
Bajaj Holdings & Investment Ltd.		330		13,896
HDFC Bank Ltd. (a)		985		19,364
Housing Development Finance Corp. Ltd.		516		18,070
ICICI Bank Ltd. (a)		2,192		16,052
IndusInd Bank Ltd. (a)		807		9,885
Kotak Mahindra Bank Ltd. (a)		715		19,529
Muthoot Finance Ltd.		690		11,432
Power Finance Corp. Ltd.		9,778		15,297
REC Ltd.		9,726		17,825
State Bank of India (a)		4,609		17,345
				202,888
Health Care (2.4%):
Apollo Hospitals Enterprise Ltd.		623		20,574
Aurobindo Pharma Ltd.		884		11,147
Biocon Ltd. (a)		3,371		21,473
Cadila Healthcare Ltd.		3,068		20,019
Cipla Ltd.		1,694		19,011
Divi's Laboratories Ltd.		418		21,980
Dr. Reddy's Laboratories Ltd.		318		22,655
Glenmark Pharmaceuticals Ltd.		1,619		10,936
Ipca Laboratories Ltd.		589		17,645
Natco Pharma Ltd.		1,569		20,658
Sun Pharmaceutical Industries Ltd.		2,337		18,947
Torrent Pharmaceuticals Ltd.		442		16,955
				222,000
Industrials (2.0%):
Adani Enterprises Ltd.		2,972		19,507
Adani Ports & Special Economic Zone Ltd.		3,012		19,943
Bharat Electronics Ltd.		8,226		13,505
Container Corp. of India Ltd.		2,333		12,750
Escorts Ltd.		742		12,800
Godrej Industries Ltd. (a)		2,793		16,140
Havells India Ltd.		2,061		25,843
Larsen & Toubro Ltd.		1,240		21,853

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Siemens Ltd.		1,098	$	23,678
Voltas Ltd.		1,848		20,883
				186,902
Information Technology (1.6%):
HCL Technologies Ltd.		1,738		22,507
Infosys Ltd.		1,218		20,935
Mindtree Ltd.		846		19,225
Mphasis Ltd.		1,018		21,456
Tata Consultancy Services Ltd.		588		23,039
Tech Mahindra Ltd.		1,567		20,873
Wipro Ltd.		4,425		23,393
				151,428
Materials (2.6%):
ACC Ltd.		956		21,166
Ambuja Cements Ltd.		5,941		20,235
Asian Paints Ltd.		704		26,638
Berger Paints India Ltd.		2,288		23,783
Grasim Industries Ltd.		1,452		18,440
Hindalco Industries Ltd.		4,310		14,190
Jindal Steel & Power Ltd. (a)		3,168		11,553
JSW Steel Ltd.		3,316		17,573
Pidilite Industries Ltd.		961		23,224
Shree Cement Ltd.		60		19,720
The Ramco Cements Ltd.		1,690		18,421
UltraTech Cement Ltd.		298		21,569
UPL Ltd.		1,754		11,196
				247,708
Utilities (1.2%):
GAIL India Ltd.		10,364		17,483
Indraprastha Gas Ltd.		2,942		20,228
NTPC Ltd.		13,002		17,680
Power Grid Corp. of India Ltd.		7,545		19,606
Tata Power Co. Ltd.		16,635		17,224
Torrent Power Ltd.		4,154		18,046
				110,267
				1,721,103
Indonesia (3.3%):
Communication Services (0.5%):
PT Telkom Indonesia Persero Tbk		81,583		19,234
PT Tower Bersama Infrastructure Tbk		129,180		14,997
PT XL Axiata Tbk		62,232		12,101
				46,332
Consumer Discretionary (0.3%):
PT ACE Hardware Indonesia Tbk		125,909		15,380
PT Astra International Tbk		37,589		16,130
				31,510

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Consumer Staples (0.4%):
PT Charoen Pokphand Indonesia Tbk		25,993	$	12,080
PT Gudang Garam Tbk (a)		4,063		11,865
PT Indofood Sukses Makmur Tbk		25,524		12,453
				36,398
Energy (0.3%):
PT Adaro Energy Tbk		141,299		14,392
PT United Tractors Tbk		7,596		14,391
				28,783
Financials (0.6%):
PT Bank Central Asia Tbk		7,616		18,362
PT Bank Mandiri Persero Tbk		29,722		13,390
PT Bank Negara Indonesia Persero Tbk		33,399		14,689
PT Bank Rakyat Indonesia Persero Tbk		49,268		14,633
				61,074
Health Care (0.1%):
PT Kalbe Farma Tbk		125,959		13,278
Industrials (0.2%):
PT Jasa Marga Persero Tbk		43,655		14,396
Materials (0.7%):
PT Barito Pacific Tbk (a)		147,510		11,557
PT Indah Kiat Pulp & Paper Corp. Tbk		14,737		10,942
PT Indocement Tunggal Prakarsa Tbk		12,994		13,397
PT Semen Indonesia Persero Tbk		14,621		12,939
PT Vale Indonesia Tbk (a)		41,338		15,016
				63,851
Utilities (0.2%):
PT Perusahaan Gas Negara Tbk		120,352		14,187
				309,809
Malaysia (5.6%):
Communication Services (0.6%):
Axiata Group Bhd		29,200		27,166
Telekom Malaysia Bhd		23,300		31,356
				58,522
Consumer Staples (1.3%):
IOI Corp. Bhd		24,400		26,525
Kuala Lumpur Kepong Bhd		4,800		28,275
PPB Group Bhd		6,360		29,300
QL Resources Bhd		14,050		20,271
Sime Darby Plantation Bhd		14,900		18,495
				122,866
Energy (0.2%):
Dialog Group Bhd		25,400		21,798

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Financials (1.5%):
CIMB Group Holdings Bhd		21,800	$	23,318
Hong Leong Bank Bhd		6,900		31,239
Malayan Banking Bhd		16,400		34,513
Public Bank Bhd		4,900		25,110
RHB Bank Bhd		18,300		24,810
				138,990
Health Care (0.2%):
Hartalega Holdings Bhd		3,000		9,060
Kossan Rubber Industries		5,800		6,493
Supermax Corp. Bhd (a)		1,431		2,139
Top Glove Corp. Bhd		1,700		2,588
				20,280
Industrials (0.8%):
Gamuda Bhd		18,000		17,418
Malaysia Airports Holdings Bhd		10,600		15,610
Sime Darby Bhd		39,800		22,870
Westports Holdings Bhd		14,900		15,938
				71,836
Materials (0.5%):
Petronas Chemicals Group Bhd		9,900		18,298
Press Metal Aluminium Holdings Bhd		12,200		25,462
				43,760
Utilities (0.5%):
Petronas Gas Bhd		5,800		24,787
Tenaga Nasional Bhd		10,800		27,994
				52,781
				530,833
Mexico (4.2%):
Communication Services (0.3%):
America Movil SAB de CV, Class L		32,383		23,586
Consumer Discretionary (0.2%):
El Puerto de Liverpool SAB de CV (a)		5,130		18,022
Consumer Staples (1.2%):
Arca Continental SAB de CV		5,561		26,745
Gruma SAB de CV, Class B		1,588		18,912
Grupo Bimbo SAB de CV		7,589		16,495
Kimberly-Clark de Mexico SAB de CV, Class A		11,044		18,869
Wal-Mart de Mexico SAB de CV		9,731		27,382
				108,403
Financials (1.0%):
Grupo Elektra SAB de CV		879		58,308
Grupo Financiero Banorte SAB de CV, Class O (a)		3,809		21,048
Grupo Financiero Inbursa SAB de CV (a)		17,318		17,462
				96,818

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Industrials (0.9%):
Alfa SAB de CV, Class A		15,304	$	11,062
Grupo Aeroportuario del Centro Norte SAB de CV (a)		2,468		15,927
Grupo Aeroportuario del Pacifico SAB de CV, Class B (a)		1,384		15,454
Grupo Aeroportuario del Sureste SAB de CV (a)		1,234		20,421
Promotora y Operadora de Infraestructura SAB de CV		2,449		21,620
				84,484
Materials (0.4%):
Grupo Mexico SAB de CV, Class B		5,643		23,861
Orbia Advance Corp. SAB de CV		7,557		17,758
				41,619
Utilities (0.2%):
Infraestructura Energetica Nova SAB de CV (a)		5,594		21,811
				394,743
Morocco (0.3%):
Financials (0.3%):
Attijariwafa Bank		587		27,908
Netherlands (0.1%):
Consumer Staples (0.1%):
X5 Retail Group NV, GDR		357		12,895
Philippines (2.5%):
Communication Services (0.3%):
Globe Telecom, Inc.		400		16,910
PLDT, Inc.		560		15,627
				32,537
Consumer Staples (0.3%):
Puregold Price Club, Inc.		14,200		12,124
Universal Robina Corp.		5,080		16,133
				28,257
Financials (0.8%):
Ayala Corp.		795		13,691
Bank of the Philippine Islands		9,746		16,511
BDO Unibank, Inc.		6,120		13,611
Metro Pacific Investments Co.		157,700		14,056
Metropolitan Bank & Trust Co.		21,452		21,912
				79,781
Industrials (0.5%):
International Container Terminal Services, Inc.		5,490		14,119
JG Summit Holdings, Inc.		9,925		14,799
SM Investments Corp.		897		19,595
				48,513

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Real Estate (0.4%):
Ayala Land, Inc.		20,000	$	17,034
SM Prime Holdings, Inc.		23,200		18,601
				35,635
Utilities (0.2%):
Manila Electric Co.		2,570		15,628
				240,351
Poland (1.9%):
Communication Services (0.5%):
CD Projekt SA (a)		118		8,692
Cyfrowy Polsat SA		2,519		20,452
Orange Polska SA (a)		8,024		14,178
				43,322
Consumer Staples (0.2%):
Dino Polska SA (a) (b)		226		17,537
Energy (0.3%):
Polski Koncern Naftowy ORLEN SA		1,103		17,071
Polskie Gornictwo Naftowe i Gazownictwo SA		11,091		16,481
				33,552
Financials (0.7%):
Bank Polska Kasa Opieki SA (a)		939		15,383
Powszechna Kasa Oszczednosci Bank Polski SA (a)		2,614		20,130
Powszechny Zaklad Ubezpieczen SA (a)		2,395		20,781
Santander Bank Polska SA (a)		278		13,842
				70,136
Materials (0.2%):
KGHM Polska Miedz SA (a)		337		16,536
				181,083
Russian Federation (3.0%):
Communication Services (0.7%):
Mobile TeleSystems PJSC		5,561		24,951
Rostelecom PJSC		17,339		22,758
Sistema PJSFC		55,155		21,435
				69,144
Consumer Staples (0.2%):
Magnit PJSC		280		21,537
Energy (0.1%):
Tatneft PJSC		1,669		11,600
Financials (0.3%):
Moscow Exchange MICEX PJSC		11,618		25,155
Materials (1.1%):
Alrosa PJSC		19,976		26,653
MMC Norilsk Nickel PJSC		62		19,935

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
PhosAgro PJSC, GDR		1,861	$	25,384
Severstal PJSC		2,050		36,591
				108,563
Utilities (0.6%):
Federal Grid Co. Unified Energy System PJSC		6,358,380		19,162
Inter RAO UES PJSC		231,737		16,705
RusHydro PJSC		1,554,847		16,503
				52,370
				288,369
South Africa (4.8%):
Communication Services (0.8%):
MTN Group Ltd.		2,356		9,655
MultiChoice Group		3,239		29,551
Naspers Ltd., Class N		95		19,529
Vodacom Group Ltd.		2,592		21,952
				80,687
Consumer Discretionary (0.5%):
Mr. Price Group Ltd.		1,890		21,959
Pepkor Holdings Ltd. (b)		23,438		21,751
				43,710
Consumer Staples (1.2%):
Bid Corp. Ltd.		910		16,297
Clicks Group Ltd.		1,248		21,469
Shoprite Holdings Ltd.		2,499		23,820
The SPAR Group Ltd.		2,064		26,636
Tiger Brands Ltd.		1,652		23,415
				111,637
Energy (0.2%):
Exxaro Resources Ltd.		1,729		16,351
Financials (1.1%):
Absa Group Ltd.		2,278		18,590
Capitec Bank Holdings Ltd. (a)		164		15,997
Discovery Ltd.		1,486		15,534
FirstRand Ltd.		5,530		19,217
Sanlam Ltd.		4,061		16,244
Standard Bank Group Ltd.		1,868		16,163
				101,745
Health Care (0.2%):
Aspen Pharmacare Holdings Ltd. (a)		1,742		14,870
Industrials (0.2%):
The Bidvest Group Ltd.		1,842		19,692
Materials (0.6%):
African Rainbow Minerals Ltd.		880		15,693
Anglo American Platinum Ltd.		112		11,005
AngloGold Ashanti Ltd.		291		6,786

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Gold Fields Ltd.		601	$	5,629
Impala Platinum Holdings Ltd.		766		10,530
Northam Platinum Ltd. (a)		821		11,712
				61,355
				450,047
Taiwan (19.6%):
Communication Services (1.6%):
Chunghwa Telecom Co. Ltd.		18,000		69,830
Far EasTone Telecommunications Co. Ltd.		18,000		39,207
Taiwan Mobile Co. Ltd.		12,000		42,239
				151,276
Consumer Discretionary (1.8%):
Cheng Shin Rubber Industry Co. Ltd.		17,000		26,652
Eclat Textile Co. Ltd.		1,000		15,037
Feng TAY Enterprise Co. Ltd.		2,920		20,733
Giant Manufacturing Co. Ltd.		1,373		13,438
Hotai Motor Co. Ltd.		1,000		22,885
Merida Industry Co. Ltd.		1,000		8,400
momo.com, Inc.		1,000		22,671
Nien Made Enterprise Co. Ltd.		1,215		14,097
Pou Chen Corp.		21,000		23,469
				167,382
Consumer Staples (0.7%):
President Chain Store Corp.		4,000		37,940
Uni-President Enterprises Corp.		13,000		31,231
				69,171
Financials (5.0%):
Cathay Financial Holding Co. Ltd.		25,000		37,593
Chailease Holding Co. Ltd.		3,960		23,678
Chang Hwa Commercial Bank Ltd.		46,306		29,583
China Development Financial Holding Corp.		91,000		30,121
China Life Insurance Co. Ltd.		28,620		22,613
CTBC Financial Holding Co. Ltd.		40,800		28,607
E.Sun Financial Holding Co. Ltd.		25,748		23,414
First Financial Holding Co. Ltd.		36,831		27,987
Fubon Financial Holding Co. Ltd.		19,000		31,614
Hua Nan Financial Holdings Co. Ltd.		46,700		30,333
Mega Financial Holding Co. Ltd.		33,000		35,000
Shin Kong Financial Holding Co. Ltd.		77,000		24,144
Sinopac Financial Holdings Co. Ltd.		67,792		27,626
Taishin Financial Holding Co. Ltd.		56,008		26,412
Taiwan Cooperative Financial Holding Co. Ltd.		41,472		30,037
The Shanghai Commercial & Savings Bank Ltd.		14,274		20,880
Yuanta Financial Holding Co. Ltd.		33,800		24,721
				474,363

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Industrials (1.3%):
Evergreen Marine Corp. Ltd. (a)		30,000	$	43,457
Far Eastern New Century Corp.		24,000		24,729
Hiwin Technologies Corp. (c)		1,374		18,803
Taiwan High Speed Rail Corp.		23,000		25,949
Voltronic Power Technology Corp.		200		7,972
				120,910
Information Technology (7.7%):
Accton Technology Corp.		3,000		33,740
Acer, Inc.		25,000		21,043
Advantech Co. Ltd.		2,098		26,135
ASE Technology Holding Co. Ltd.		7,895		22,845
ASMedia Technology, Inc.		53		2,962
Asustek Computer, Inc.		3,000		26,747
Catcher Technology Co. Ltd.		3,000		21,995
Chroma ATE, Inc.		3,000		17,938
Compal Electronics, Inc.		48,000		35,363
Delta Electronics, Inc.		3,000		28,081
Foxconn Technology Co. Ltd.		13,100		24,897
Hon Hai Precision Industry Co. Ltd.		9,400		30,779
Inventec Corp.		32,000		27,334
Lite-On Technology Corp.		14,650		25,966
MediaTek, Inc.		1,000		26,587
Micro-Star International Co. Ltd.		4,000		18,863
Nan Ya Printed Circuit Board Corp.		3,000		19,433
Nanya Technology Corp.		8,000		24,714
Novatek Microelectronics Corp.		2,000		26,266
Pegatron Corp.		9,000		21,558
Quanta Computer, Inc.		8,000		23,035
Realtek Semiconductor Corp.		1,000		13,898
Synnex Technology International Corp.		18,531		30,998
Taiwan Semiconductor Manufacturing Co. Ltd.		1,000		18,863
Unimicron Technology Corp.		5,000		15,553
United Microelectronics Corp.		26,698		44,802
Walsin Technology Corp.		2,000		16,407
Wistron Corp.		15,000		16,550
WPG Holdings Ltd.		19,000		29,010
Yageo Corp.		1,198		22,087
Zhen Ding Technology Holding Ltd.		3,000		12,172
				726,621
Materials (1.5%):
Asia Cement Corp.		17,000		26,138
Formosa Chemicals & Fibre		10,000		30,146
Formosa Plastics Corp.		9,004		30,892
Nan Ya Plastics Corp.		10,000		25,590
Taiwan Cement Corp.		17,424		26,790
				139,556
				1,849,279

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Thailand (6.1%):
Communication Services (0.9%):
Advanced Info Service PCL		4,200	$	24,676
Intouch Holdings PCL		11,700		21,970
Total Access Communication PCL		11,600		12,876
True Corp. PCL		141,500		16,249
VGI PCL		49,900		11,078
				86,849
Consumer Discretionary (0.2%):
Home Product Center PCL		27,600		12,623
Siam Global House PCL		18,613		10,563
				23,186
Consumer Staples (1.0%):
Berli Jucker PCL		11,600		13,457
Carabao Group PCL		3,100		11,849
Charoen Pokphand Foods PCL		15,200		13,573
CP ALL PCL		12,700		24,696
Osotspa PCL		11,100		13,154
Thai Union Group PCL		34,700		15,754
				92,483
Energy (0.3%):
PTT Exploration & Production PCL		3,500		11,479
PTT PCL		10,800		15,323
				26,802
Financials (0.9%):
Bangkok Bank PCL		4,200		16,615
Kasikornbank PCL		4,600		17,352
Krung Thai Bank PCL		50,800		18,824
Muangthai Capital PCL		6,400		12,605
The Siam Commercial Bank PCL		5,800		16,942
				82,338
Health Care (0.4%):
Bangkok Dusit Medical Services PCL		26,800		18,609
Bumrungrad Hospital PCL		4,800		19,228
				37,837
Industrials (0.5%):
Airports of Thailand PCL		7,600		15,793
Bangkok Expressway & Metro PCL		53,800		14,907
BTS Group Holdings PCL		45,100		14,002
				44,702
Information Technology (0.5%):
Delta Electronics Thailand PCL		2,700		43,805

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Materials (0.4%):
The Siam Cement PCL		1,550	$	19,559
TOA Paint Thailand PCL		12,700		14,203
				33,762
Real Estate (0.1%):
Central Pattana PCL		8,000		12,752
Utilities (0.9%):
B Grimm Power PCL		8,000		12,953
Electricity Generating PCL		2,100		13,495
Energy Absolute PCL		9,700		15,948
Global Power Synergy PCL		5,800		14,279
Gulf Energy Development PCL		13,200		15,092
Ratch Group PCL		9,129		16,152
				87,919
				572,435
Turkey (3.2%):
Communication Services (0.3%):
Turkcell Iletisim Hizmetleri A/S		10,375		22,503
Consumer Discretionary (0.5%):
Arcelik A/S (a)		6,160		25,227
Ford Otomotiv Sanayi A/S		1,334		22,644
				47,871
Consumer Staples (0.2%):
BIM Birlesik Magazalar A/S		1,890		19,223
Financials (0.8%):
Akbank TAS (a)		27,406		25,586
Turkiye Garanti Bankasi A/S (a)		17,475		24,413
Turkiye Is Bankasi A/S (a)		26,838		25,308
				75,307
Industrials (1.0%):
Aselsan Elektronik Sanayi Ve Ticaret A/S		6,564		16,138
Enka Insaat ve Sanayi A/S		19,085		18,948
KOC Holding A/S		8,648		24,605
Turk Hava Yollari AO (a)		10,201		17,742
Turkiye Sise ve Cam Fabrikalari A/S		19,317		19,023
				96,456
Materials (0.4%):
Eregli Demir ve Celik Fabrikalari TAS		18,420		37,049
				298,409
Total Common Stocks (Cost $6,928,446)				9,474,566
Total Investments (Cost $6,928,446) — 100.2%				9,474,566
Liabilities in excess of other assets — (0.2)%				(14,830	)
NET ASSETS — 100.00%			$	9,459,736

See notes to financial statements.

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  (Unaudited)

(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 December 31, 2020, the fair value of these securities was $346,759 and amounted to 3.7% of net assets.

(c)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, illiquid securities were 0.2% of the Fund's net assets.

GDR — Global Depositary Receipt

PCL — Public Company Limited

PLC — Public Limited Company

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.6%)
Banks (10.5%):
Citigroup, Inc.		23,320	$	1,437,911
Citizens Financial Group, Inc.		41,863		1,497,021
Fifth Third Bancorp		53,096		1,463,857
Huntington Bancshares, Inc.		138,003		1,742,978
JPMorgan Chase & Co.		14,976		1,902,999
KeyCorp		88,358		1,449,955
M&T Bank Corp.		13,606		1,732,044
Regions Financial Corp.		101,860		1,641,983
The PNC Financial Services Group, Inc.		12,679		1,889,171
Truist Financial Corp.		31,426		1,506,248
U.S. Bancorp		38,492		1,793,342
Wells Fargo & Co.		55,345		1,670,312
				19,727,821
Capital Markets (5.7%):
Ares Management Corp., Class A		37,369		1,758,211
Franklin Resources, Inc.		74,194		1,854,108
Northern Trust Corp.		19,065		1,775,714
State Street Corp.		20,562		1,496,502
The Bank of New York Mellon Corp.		46,172		1,959,541
The Blackstone Group, Inc., Class A		28,310		1,834,771
				10,678,847
Communication Services (6.5%):
AT&T, Inc.		75,456		2,170,115
CenturyLink, Inc.		141,928		1,383,798
Omnicom Group, Inc.		32,799		2,045,674
The Interpublic Group of Cos., Inc.		80,656		1,897,029
Verizon Communications, Inc.		53,750		3,157,812
ViacomCBS, Inc., Class B		39,100		1,456,866
				12,111,294
Consumer Discretionary (5.8%):
General Motors Co.		45,051		1,875,924
Genuine Parts Co.		16,394		1,646,449
Hasbro, Inc.		18,615		1,741,247
Las Vegas Sands Corp.		27,442		1,635,543
Vail Resorts, Inc.		7,465		2,082,437
VF Corp.		21,406		1,828,286
				10,809,886
Consumer Finance (2.5%):
Ally Financial, Inc.		45,700		1,629,662
Discover Financial Services		17,892		1,619,763
Synchrony Financial		42,927		1,489,996
				4,739,421

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Consumer Staples (10.5%):
Archer-Daniels-Midland Co.		45,446	$	2,290,933
General Mills, Inc.		41,282		2,427,381
Kellogg Co.		35,938		2,236,422
PepsiCo, Inc.		15,312		2,270,770
Philip Morris International, Inc.		25,535		2,114,043
Sysco Corp.		19,631		1,457,798
The Coca-Cola Co.		47,539		2,607,038
The J.M. Smucker Co.		20,550		2,375,580
Walgreens Boots Alliance, Inc.		46,995		1,874,161
				19,654,126
Energy (4.9%):
ConocoPhillips		30,607		1,223,974
EOG Resources, Inc.		25,496		1,271,486
Exxon Mobil Corp.		40,839		1,683,383
Kinder Morgan, Inc.		104,118		1,423,293
ONEOK, Inc.		31,134		1,194,923
The Williams Cos., Inc.		59,287		1,188,704
Valero Energy Corp.		21,370		1,208,901
				9,194,664
Health Care (5.4%):
AbbVie, Inc.		25,324		2,713,467
CVS Health Corp.		34,535		2,358,741
Merck & Co., Inc.		29,643		2,424,797
Pfizer, Inc.		66,911		2,462,994
				9,959,999
Industrials (6.5%):
3M Co.		13,086		2,287,302
Caterpillar, Inc.		13,023		2,370,447
Eaton Corp. PLC		14,991		1,801,019
Emerson Electric Co.		21,565		1,733,179
General Dynamics Corp.		13,490		2,007,582
Snap-on, Inc.		11,289		1,931,999
				12,131,528
Information Technology (9.9%):
Broadcom, Inc.		4,468		1,956,314
Cisco Systems, Inc.		45,016		2,014,466
HP, Inc.		73,908		1,817,398
International Business Machines Corp.		16,301		2,051,970
Juniper Networks, Inc.		92,172		2,074,792
NetApp, Inc.		33,627		2,227,452
Paychex, Inc.		21,343		1,988,741
Seagate Technology PLC		39,115		2,431,388
The Western Union Co.		80,226		1,760,158
				18,322,679

See notes to financial statements.

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Security Description	Shares		Value
Insurance (6.9%):
Aflac, Inc.		38,044	$	1,691,817
Cincinnati Financial Corp.		17,823		1,557,196
Fidelity National Financial, Inc.		44,674		1,746,306
Lincoln National Corp.		23,865		1,200,648
MetLife, Inc.		35,130		1,649,354
Principal Financial Group, Inc.		29,522		1,464,586
The Hartford Financial Services Group, Inc.		30,668		1,502,119
The Travelers Cos., Inc.		14,305		2,007,992
				12,820,018
Materials (7.5%):
CF Industries Holdings, Inc.		43,409		1,680,362
Eastman Chemical Co.		22,050		2,211,174
International Paper Co.		43,427		2,159,190
LyondellBasell Industries NV, Class A		17,898		1,640,531
Nucor Corp.		36,798		1,957,286
Packaging Corp. of America		17,621		2,430,112
Westrock Co.		40,505		1,763,183
				13,841,838
Utilities (17.0%):
American Electric Power Co., Inc.		26,012		2,166,019
Consolidated Edison, Inc.		26,964		1,948,688
Dominion Energy, Inc.		22,026		1,656,355
DTE Energy Co.		14,077		1,709,089
Duke Energy Corp.		23,998		2,197,257
Edison International		33,686		2,116,155
Entergy Corp.		17,083		1,705,567
Evergy, Inc.		29,718		1,649,646
Exelon Corp.		43,657		1,843,199
FirstEnergy Corp.		52,533		1,608,035
Pinnacle West Capital Corp.		24,682		1,973,326
PPL Corp.		60,647		1,710,245
Public Service Enterprise Group, Inc.		37,696		2,197,677
Sempra Energy		13,665		1,741,058
The AES Corp.		75,902		1,783,697
The Southern Co.		32,308		1,984,680
UGI Corp.		45,737		1,598,966
				31,589,659
Total Common Stocks (Cost $173,077,090)				185,581,780
Total Investments (Cost $173,077,090) — 99.6%				185,581,780
Other assets in excess of liabilities — 0.4%				712,626
NET ASSETS — 100.00%			$	186,294,406

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		2	3/19/21	$	369,321	$	374,880	$	5,559
	Total unrealized appreciation							$	5,559
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	5,559

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (2.1%):
National CineMedia, Inc.		123,837	$	460,674
Sinclair Broadcast Group, Inc., Class A (a)		30,097		958,589
Telephone & Data Systems, Inc.		37,689		699,885
				2,119,148
Consumer Discretionary (9.7%):
Big Lots, Inc. (a)		10,537		452,353
Brinker International, Inc.		8,904		503,699
Dana, Inc.		38,629		754,038
Dave & Buster's Entertainment, Inc.		18,280		548,766
Franchise Group, Inc. (a)		17,330		527,699
H&R Block, Inc.		54,841		869,778
Kontoor Brands, Inc.		28,865		1,170,765
MDC Holdings, Inc.		14,737		716,218
PetMed Express, Inc. (a)		22,089		708,173
Rent-A-Center, Inc.		25,071		959,969
Steven Madden Ltd.		32,532		1,149,030
The Buckle, Inc. (a)		41,922		1,224,122
				9,584,610
Consumer Staples (7.9%):
B&G Foods, Inc. (a)		24,794		687,538
Inter Parfums, Inc.		15,920		963,001
Medifast, Inc.		5,310		1,042,565
Nu Skin Enterprises, Inc., Class A		11,248		614,478
SpartanNash Co.		35,793		623,156
Universal Corp.		30,335		1,474,584
Vector Group Ltd.		104,644		1,219,103
Weis Markets, Inc.		27,041		1,292,830
				7,917,255
Energy (2.3%):
Arch Resources, Inc.		16,976		743,039
Brigham Minerals, Inc.		51,436		565,282
CVR Energy, Inc.		33,839		504,201
Murphy Oil Corp.		35,337		427,578
				2,240,100
Financials (24.3%):
Associated Bancorp		59,253		1,010,264
B. Riley Financial, Inc.		31,336		1,385,678
BGC Partners, Inc., Class A		263,827		1,055,308
Cathay General Bancorp		31,566		1,016,110
FBL Financial Group, Inc., Class A		18,593		976,318
First Commonwealth Financial Corp.		102,388		1,120,125
First Financial Bancorp		50,745		889,560
First Hawaiian, Inc.		52,481		1,237,501
FNB Corp.		87,030		826,785
Fulton Financial Corp.		81,626		1,038,283

See notes to financial statements.

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Security Description	Shares		Value
Hope Bancorp, Inc.		98,410	$	1,073,653
Investors Bancorp, Inc.		103,976		1,097,987
Mercury General Corp.		24,652		1,287,081
Navient Corp.		68,335		671,050
Northwest Bancshares, Inc.		102,520		1,306,105
Provident Financial Services, Inc.		54,238		974,114
S&T Bancorp, Inc.		43,167		1,072,268
Safety Insurance Group, Inc.		15,962		1,243,440
Sandy Spring Bancorp, Inc.		33,368		1,074,116
Waddell & Reed Financial, Inc., Class A		68,824		1,752,947
Webster Financial Corp.		23,773		1,002,032
WesBanco, Inc.		38,551		1,154,988
				24,265,713
Health Care (1.2%):
National Healthcare Corp.		17,644		1,171,738
Industrials (19.6%):
ACCO Brands Corp.		120,045		1,014,380
Apogee Enterprises, Inc.		28,197		893,281
Ennis, Inc.		61,122		1,091,029
GATX Corp.		13,588		1,130,250
GrafTech International Ltd.		98,981		1,055,137
H&E Equipment Services, Inc.		32,449		967,305
Healthcare Services Group		37,888		1,064,654
HNI Corp.		23,478		809,052
Hyster-Yale Materials Handling, Inc.		18,844		1,122,160
KAR Auction Services, Inc.		41,192		766,583
Knoll, Inc.		53,790		789,637
Macquarie Infrastructure Corp.		20,225		759,449
McGrath RentCorp		13,373		897,328
National Presto Industries, Inc.		13,156		1,163,385
Steelcase, Inc., Class A		64,639		875,858
Systemax, Inc.		45,556		1,635,004
The Greenbrier Cos., Inc.		24,567		893,747
Trinity Industries, Inc.		47,707		1,258,988
Triton International Ltd.		26,126		1,267,372
				19,454,599
Information Technology (4.5%):
Benchmark Electronics, Inc.		37,786		1,020,600
Cass Information Systems, Inc.		24,301		945,552
MTS Systems Corp.		23,471		1,365,073
Vishay Intertechnology, Inc.		54,097		1,120,349
				4,451,574
Materials (16.2%):
Avient Corp.		24,631		992,137
Cabot Corp.		21,957		985,430
Carpenter Technology Corp.		29,172		849,489
Cleveland-Cliffs, Inc. (a)		93,686		1,364,068
Compass Minerals International, Inc.		16,268		1,004,061

See notes to financial statements.

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Security Description	Shares		Value
Domtar Corp.		24,285	$	768,620
Greif, Inc., Class A		21,743		1,019,311
Kaiser Aluminum Corp.		12,834		1,269,283
Myers Industries, Inc.		40,888		849,653
Orion Engineered Carbons SA		51,808		887,989
Schnitzer Steel Industries, Inc.		39,182		1,250,298
Schweitzer-Mauduit International, Inc.		28,557		1,148,277
Sensient Technologies Corp.		21,105		1,556,916
Tredegar Corp.		62,730		1,047,591
W.R. Grace & Co.		22,102		1,211,632
				16,204,755
Real Estate (3.0%):
Kennedy-Wilson Holdings, Inc.		60,619		1,084,474
Newmark Group, Inc., Class A		87,910		640,864
The RMR Group, Inc., Class A		31,896		1,231,823
				2,957,161
Utilities (8.7%):
ALLETE, Inc.		17,367		1,075,712
Avista Corp.		25,118		1,008,237
New Jersey Resources Corp.		25,504		906,667
Northwest Natural Holding Co.		15,936		732,897
NorthWestern Corp.		17,819		1,039,025
Otter Tail Corp.		21,410		912,280
South Jersey Industries, Inc. (a)		41,294		889,886
Spire, Inc.		16,965		1,086,438
Unitil Corp.		23,062		1,020,955
				8,672,097
Total Common Stocks (Cost $84,657,095)				99,038,750
Collateral for Securities Loaned^ (2.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (b)		49,970		49,970
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (b)		1,716,755		1,716,755
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (b)		24,937		24,937
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (b)		198,843		198,843
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (b)		894,037		894,037
Total Collateral for Securities Loaned (Cost $2,884,542)				2,884,542
Total Investments (Cost $87,541,637) — 102.4%				101,923,292
Liabilities in excess of other assets — (2.4)%				(2,407,931	)
NET ASSETS — 100.00%			$	99,515,361

^  Purchased with cash collateral from securities on loan.

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

(b)  Rate disclosed is the daily yield on December 31, 2020.

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 Russell 2000 Index Futures		4	3/19/21	$	392,469	$	394,960	$	2,491
	Total unrealized appreciation							$	2,491
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	2,491

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.8%)
Australia (6.6%):
Communication Services (1.3%):
Telstra Corp. Ltd.		123,983	$	284,788
Financials (1.9%):
Insurance Australia Group Ltd.		57,638		208,809
National Australia Bank Ltd.		12,513		217,978
				426,787
Materials (3.4%):
BHP Group Ltd.		6,912		226,058
Fortescue Metals Group Ltd.		12,377		223,527
Rio Tinto Ltd.		3,504		307,443
				757,028
				1,468,603
Austria (1.5%):
Energy (0.7%):
OMV AG		3,814		153,740
Financials (0.8%):
Erste Group Bank AG (a)		5,910		180,042
				333,782
Canada (10.2%):
Communication Services (2.8%):
BCE, Inc. (b)		4,964		212,297
Shaw Communications, Inc., Class B (b)		10,717		188,118
TELUS Corp. (b) (c)		11,441		226,627
				627,042
Energy (2.2%):
Canadian Natural Resources Ltd.		4,856		116,716
Enbridge, Inc.		4,822		154,242
Pembina Pipeline Corp. (c)		3,593		84,976
TC Energy Corp.		3,198		130,036
				485,970
Financials (2.4%):
Great-West Lifeco, Inc.		7,469		178,113
Power Corp. of Canada (c)		6,407		147,149
The Bank of Nova Scotia		4,020		217,314
				542,576
Materials (1.0%):
Nutrien Ltd.		4,557		219,274

See notes to financial statements.

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Security Description	Shares		Value
Utilities (1.8%):
Algonquin Power & Utilities Corp.		12,117	$	199,459
Emera, Inc.		4,948		210,330
				409,789
				2,284,651
Finland (3.7%):
Financials (0.8%):
Nordea Bank Abp (a)		23,714		193,834
Information Technology (0.6%):
Nokia Oyj (a)		35,058		134,936
Materials (1.3%):
UPM-Kymmene Oyj		7,741		288,111
Utilities (1.0%):
Fortum Oyj		9,189		221,119
				838,000
France (7.1%):
Communication Services (2.1%):
Orange SA		22,182		263,744
Publicis Groupe SA		4,314		214,786
				478,530
Consumer Discretionary (0.8%):
Sodexo SA		2,067		174,769
Financials (2.6%):
BNP Paribas SA (a)		3,305		174,016
CNP Assurances		7,672		123,514
Credit Agricole SA		14,094		177,666
Natixis SA (a)		32,794		111,721
				586,917
Industrials (1.6%):
Alstom SA (a)		3,462		197,105
Bouygues SA		3,586		147,396
				344,501
				1,584,717
Germany (5.1%):
Consumer Discretionary (0.9%):
Bayerische Motoren Werke AG		2,280		201,161
Materials (2.0%):
BASF SE		2,981		235,663
Evonik Industries AG		6,240		203,358
				439,021

See notes to financial statements.

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Security Description	Shares		Value
Utilities (2.2%):
E.ON SE		21,220	$	234,940
Uniper SE		7,609		262,472
				497,412
				1,137,594
Hong Kong (8.0%):
Consumer Staples (0.8%):
WH Group Ltd. (d)		224,866		188,544
Financials (1.3%):
Hang Seng Bank Ltd.		17,237		297,282
Industrials (1.1%):
CK Hutchison Holdings Ltd.		35,083		244,832
Real Estate (2.5%):
Henderson Land Development Co. Ltd.		72,534		283,036
Sino Land Co. Ltd.		205,348		267,539
				550,575
Utilities (2.3%):
CK Infrastructure Holdings Ltd.		42,835		230,138
Power Assets Holdings Ltd. (b)		52,707		285,557
				515,695
				1,796,928
Italy (4.8%):
Energy (0.9%):
Snam SpA		35,755		200,946
Financials (1.9%):
Assicurazioni Generali SpA		14,544		253,334
Poste Italiane SpA (d)		17,822		181,122
				434,456
Utilities (2.0%):
Enel SpA		22,280		225,231
Terna Rete Elettrica Nazionale SpA		29,313		223,785
				449,016
				1,084,418
Japan (13.1%):
Communication Services (1.6%):
Softbank Corp.		29,500		369,464
Consumer Discretionary (1.9%):
Sekisui House Ltd.		12,100		246,126
Subaru Corp.		9,000		179,799
				425,925
Consumer Staples (1.6%):
Japan Tobacco, Inc.		17,100		348,162

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.3%):
Japan Post Holdings Co. Ltd.		33,500	$	260,498
Sumitomo Mitsui Financial Group, Inc.		8,400		259,388
				519,886
Health Care (1.1%):
Takeda Pharmaceutical Co. Ltd.		6,600		240,052
Industrials (3.6%):
Mitsubishi Corp.		12,700		312,579
Mitsui & Co. Ltd.		13,500		247,077
Sumitomo Corp.		18,500		244,690
				804,346
Information Technology (1.0%):
Canon, Inc. (c)		12,000		229,911
				2,937,746
Korea, Republic Of (4.6%):
Consumer Staples (1.3%):
KT&G Corp.		3,779		289,113
Financials (1.8%):
KB Financial Group, Inc.		5,093		203,495
Shinhan Financial Group Co. Ltd.		6,912		203,949
				407,444
Materials (1.5%):
POSCO		1,290		323,035
				1,019,592
Macau (0.8%):
Consumer Discretionary (0.8%):
Sands China Ltd.		42,414		186,295
Netherlands (4.1%):
Communication Services (1.1%):
Koninklijke KPN NV		83,259		252,929
Financials (2.1%):
ABN AMRO Bank NV (a) (d)		13,084		128,176
ING Groep NV (a)		15,485		144,528
NN Group NV		4,378		190,004
				462,708
Industrials (0.9%):
Randstad NV		3,192		207,583
				923,220
Norway (3.3%):
Communication Services (1.3%):
Telenor ASA		17,052		290,610
Consumer Staples (1.0%):
Mowi ASA		10,607		236,650

See notes to financial statements.

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Security Description	Shares		Value
Financials (1.0%):
DNB ASA (a)		11,105	$	217,926
				745,186
Portugal (1.2%):
Utilities (1.2%):
Energias de Portugal SA		41,137		259,082
Singapore (1.4%):
Communication Services (1.4%):
Singapore Telecommunications Ltd.		171,900		300,529
Spain (4.0%):
Industrials (0.7%):
Aena SME SA (a) (d)		947		164,490
Utilities (3.3%):
Endesa SA		8,146		222,389
Naturgy Energy Group SA		10,574		244,889
Red Electrica Corp. SA		13,275		272,012
				739,290
				903,780
Sweden (2.2%):
Communication Services (1.2%):
Telia Co. AB (c)		63,645		262,821
Consumer Staples (1.0%):
ICA Gruppen AB		4,581		228,888
				491,709
Switzerland (4.2%):
Communication Services (1.2%):
Swisscom AG, Registered Shares		521		280,869
Financials (1.0%):
Zurich Insurance Group AG		511		215,659
Industrials (1.0%):
Adecco Group AG		3,278		219,126
Materials (1.0%):
LafargeHolcim Ltd.		4,160		228,542
				944,196
United Kingdom (12.9%):
Communication Services (1.0%):
BT Group PLC (a)		120,033		217,050
Consumer Staples (3.7%):
British American Tobacco PLC		6,767		250,558
Imperial Brands PLC		12,898		270,792
Tesco PLC		101,457		321,002
				842,352

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.4%):
Legal & General Group PLC		40,577	$	147,690
Natwest Group PLC		96,590		221,410
Phoenix Group Holdings PLC		17,958		172,025
				541,125
Health Care (1.1%):
GlaxoSmithKline PLC (b)		13,966		256,264
Industrials (0.9%):
BAE Systems PLC		30,119		201,296
Materials (1.8%):
BHP Group PLC		6,770		178,189
Rio Tinto PLC		2,932		219,288
				397,477
Utilities (2.0%):
National Grid PLC		20,039		237,004
SSE PLC		10,098		207,104
				444,108
				2,899,672
Total Common Stocks (Cost $21,321,209)				22,139,700
Collateral for Securities Loaned^ (1.3%)
United States (1.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (e)		5,169		5,169
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		177,570		177,570
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (e)		2,579		2,579
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (e)		20,567		20,567
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (e)		92,473		92,473
Total Collateral for Securities Loaned (Cost $298,358)				298,358
Total Investments (Cost $21,619,567) — 100.1%				22,438,058
Liabilities in excess of other assets — (0.1)%				(29,958	)
NET ASSETS — 100.00%			$	22,408,100

^  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 December 31, 2020, the fair value of these securities was $662,332 and amounted to 3.0% of net assets.

(e)  Rate disclosed is the daily yield on December 31, 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 MSCI EAFE Index Futures		1	3/19/21	$	106,874	$	106,540	$	(334	)
	Total unrealized appreciation							$	—
	Total unrealized depreciation								(334	)
	Total net unrealized appreciation (depreciation)							$	(334	)

See notes to financial statements.

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December 31, 2020

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Security Description	Shares		Value
Common Stocks (99.0%)
Brazil (3.3%):
Consumer Discretionary (0.5%):
Petrobras Distribuidora SA		21,400	$	91,182
Financials (0.9%):
BB Seguridade Participacoes SA		25,847		147,454
Industrials (0.5%):
CCR SA		32,466		84,200
Utilities (1.4%):
Centrais Eletricas Brasileiras SA		10,600		74,839
Engie Brasil Energia SA		18,600		157,358
				232,197
				555,033
Chile (1.6%):
Utilities (1.6%):
Colbun SA		790,708		139,815
Enel Americas SA		784,094		128,162
				267,977
China (15.8%):
Energy (2.2%):
China Petroleum & Chemical Corp., Class H		362,893		162,437
China Shenhua Energy Co. Ltd., Class H		105,953		199,545
				361,982
Financials (11.0%):
Agricultural Bank of China Ltd., Class H		636,001		232,998
Bank of China Ltd., Class H		724,492		247,659
Bank of Communications Co. Ltd., Class H		419,087		221,648
China CITIC Bank Corp. Ltd., Class H		456,252		193,631
China Everbright Bank Co. Ltd., Class H		394,086		149,964
China Minsheng Banking Corp. Ltd., Class H		404,377		230,560
GF Securities Co. Ltd., Class H		113,489		160,450
Industrial & Commercial Bank of China Ltd., Class H		412,971		267,955
PICC Property & Casualty Co. Ltd., Class H		179,393		135,837
				1,840,702
Information Technology (0.8%):
China Railway Signal & Communication Corp. Ltd., Class H (a)		381,908		128,088
Utilities (1.8%):
CGN Power Co. Ltd., Class H (a)		893,428		192,465
Huaneng Power International, Inc., Class H		303,699		110,867
				303,332
				2,634,104

See notes to financial statements.

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Security Description	Shares		Value
Czech Republic (2.6%):
Financials (1.2%):
Komercni Banka A/S (b)		6,591	$	201,929
Utilities (1.4%):
CEZ A/S		9,572		229,875
				431,804
Egypt (0.9%):
Consumer Staples (0.9%):
Eastern Co. SAE		176,169		146,508
Hong Kong (0.6%):
Energy (0.6%):
CNOOC Ltd.		103,414		95,781
Hungary (1.0%):
Energy (1.0%):
MOL Hungarian Oil & Gas PLC (b)		22,992		169,914
India (6.3%):
Communication Services (1.3%):
Indus Towers Ltd.		31,826		100,144
Sun TV Network Ltd.		18,883		124,250
				224,394
Consumer Discretionary (1.0%):
Bajaj Auto Ltd.		3,442		162,250
Consumer Staples (0.9%):
ITC Ltd.		50,265		143,786
Energy (0.7%):
Hindustan Petroleum Corp. Ltd.		40,123		119,662
Financials (0.8%):
Power Finance Corp. Ltd.		83,034		129,900
Industrials (0.7%):
Bharat Electronics Ltd.		69,859		114,691
Utilities (0.9%):
Torrent Power Ltd.		35,281		153,269
				1,047,952
Indonesia (3.0%):
Communication Services (1.0%):
PT Telkom Indonesia Persero Tbk		693,722		163,549
Consumer Staples (0.6%):
PT Gudang Garam Tbk (b)		34,481		100,692

See notes to financial statements.

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Security Description	Shares		Value
Energy (1.4%):
PT Adaro Energy Tbk		1,200,947	$	122,318
PT United Tractors Tbk		63,828		120,928
				243,246
				507,487
Malaysia (5.6%):
Financials (2.9%):
CIMB Group Holdings Bhd		182,100		194,783
Malayan Banking Bhd		136,600		287,472
				482,255
Utilities (2.7%):
Petronas Gas Bhd		48,700		208,126
Tenaga Nasional Bhd		91,900		238,208
				446,334
				928,589
Mexico (6.0%):
Consumer Staples (0.9%):
Kimberly-Clark de Mexico SAB de CV, Class A		93,610		159,936
Financials (1.1%):
Grupo Financiero Banorte SAB de CV, Class O (b)		32,348		178,745
Industrials (0.8%):
Grupo Aeroportuario del Pacifico SAB de CV, Class B (b)		11,569		129,180
Materials (2.1%):
Grupo Mexico SAB de CV, Class B		47,921		202,627
Orbia Advance Corp. SAB de CV		64,179		150,815
				353,442
Utilities (1.1%):
Infraestructura Energetica Nova SAB de CV (b)		47,502		185,215
				1,006,518
Netherlands (0.7%):
Consumer Staples (0.7%):
X5 Retail Group NV, GDR		3,032		109,516
Philippines (2.0%):
Communication Services (1.3%):
Globe Telecom, Inc.		2,725		115,197
PLDT, Inc.		3,795		105,900
				221,097
Utilities (0.7%):
Manila Electric Co.		17,490		106,353
				327,450

See notes to financial statements.

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Security Description	Shares		Value
Poland (2.5%):
Financials (2.5%):
Bank Polska Kasa Opieki SA (b)		7,975	$	130,653
Powszechny Zaklad Ubezpieczen SA (b)		20,348		176,555
Santander Bank Polska SA (b)		2,360		117,510
				424,718
Russian Federation (11.4%):
Communication Services (2.4%):
Mobile TeleSystems PJSC		47,260		212,040
Rostelecom PJSC		147,210		193,220
				405,260
Consumer Staples (1.1%):
Magnit PJSC		2,367		182,063
Energy (0.6%):
Tatneft PJSC		14,159		98,407
Materials (5.5%):
Alrosa PJSC		169,550		226,224
MMC Norilsk Nickel PJSC		522		167,842
PhosAgro PJSC, GDR		15,802		215,539
Severstal PJSC		17,409		310,733
				920,338
Utilities (1.8%):
Federal Grid Co. Unified Energy System PJSC		54,065,287		162,938
RusHydro PJSC		13,212,548		140,236
				303,174
				1,909,242
South Africa (8.3%):
Communication Services (1.6%):
MTN Group Ltd.		19,999		81,957
Vodacom Group Ltd.		22,009		186,396
				268,353
Consumer Staples (1.4%):
The SPAR Group Ltd.		17,524		226,145
Energy (0.8%):
Exxaro Resources Ltd.		14,681		138,838
Financials (2.7%):
Absa Group Ltd.		19,344		157,860
FirstRand Ltd.		46,961		163,192
Standard Bank Group Ltd.		15,866		137,277
				458,329
Industrials (1.0%):
The Bidvest Group Ltd.		15,646		167,267

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.8%):
African Rainbow Minerals Ltd.		7,474	$	133,278
				1,392,210
Taiwan (19.5%):
Industrials (1.2%):
Far Eastern New Century Corp.		201,000		207,102
Information Technology (15.4%):
Asustek Computer, Inc.		23,000		205,057
Catcher Technology Co. Ltd.		22,000		161,298
Compal Electronics, Inc.		409,000		301,324
Foxconn Technology Co. Ltd.		111,000		210,962
Inventec Corp.		270,000		230,630
Lite-On Technology Corp.		124,059		219,886
Novatek Microelectronics Corp.		17,000		223,262
Pegatron Corp.		74,000		177,250
Quanta Computer, Inc.		70,000		201,552
Synnex Technology International Corp.		157,000		262,626
Wistron Corp.		124,000		136,812
WPG Holdings Ltd.		159,000		242,770
				2,573,429
Materials (2.9%):
Asia Cement Corp.		142,000		218,330
Formosa Plastics Corp.		77,773		266,837
				485,167
				3,265,698
Thailand (5.8%):
Communication Services (1.8%):
Intouch Holdings PCL		100,100		187,966
Total Access Communication PCL		98,800		109,665
				297,631
Energy (1.4%):
PTT Exploration & Production PCL		29,100		95,444
PTT PCL		90,600		128,540
				223,984
Financials (1.8%):
Krung Thai Bank PCL		430,900		159,670
The Siam Commercial Bank PCL		49,800		145,465
				305,135
Utilities (0.8%):
Ratch Group PCL		76,500		135,350
				962,100
Turkey (2.1%):
Consumer Discretionary (1.1%):
Ford Otomotiv Sanayi A/S		11,331		192,335

See notes to financial statements.

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Security Description	Shares		Value
Industrials (1.0%):
Enka Insaat ve Sanayi A/S		162,069	$	160,912
				353,247
Total Common Stocks (Cost $16,289,140)				16,535,848
Total Investments (Cost $16,289,140) — 99.0%				16,535,848
Other assets in excess of liabilities — 1.0%				164,606
NET ASSETS — 100.00%			$	16,700,454

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $320,553 and amounted to 1.9% of net assets.

(b)  Non-income producing security.

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)
E-Mini MSCI Emerging Markets Index Futures		1	3/19/21	$	62,269	$	64,410	$	2,141
	Total unrealized appreciation							$	2,141
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	2,141

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Consumer Discretionary (15.8%):
Gentex Corp.		219,240	$	7,438,813
Lowe's Cos., Inc.		17,757		2,850,176
McDonald's Corp.		38,908		8,348,879
NIKE, Inc., Class B		47,056		6,657,012
Pool Corp.		13,367		4,979,208
Ross Stores, Inc.		23,251		2,855,455
Target Corp.		57,588		10,166,010
The TJX Cos., Inc.		51,900		3,544,251
VF Corp.		43,007		3,673,228
				50,513,032
Consumer Staples (17.5%):
Archer-Daniels-Midland Co.		101,882		5,135,872
Brown-Forman Corp., Class B		46,992		3,732,575
Colgate-Palmolive Co.		82,765		7,077,235
Costco Wholesale Corp.		13,748		5,179,972
Hormel Foods Corp.		50,923		2,373,521
Kimberly-Clark Corp.		27,752		3,741,802
Lancaster Colony Corp.		33,560		6,165,978
McCormick & Co., Inc.		24,160		2,309,696
PepsiCo, Inc.		22,007		3,263,638
Sysco Corp.		40,213		2,986,217
The Clorox Co.		15,303		3,089,982
The Coca-Cola Co.		52,985		2,905,697
The Procter & Gamble Co.		26,754		3,722,552
Walmart, Inc.		28,974		4,176,602
				55,861,339
Energy (0.8%):
Exxon Mobil Corp.		63,715		2,626,332
Financials (16.1%):
Aflac, Inc.		87,150		3,875,561
American Financial Group, Inc.		89,854		7,873,007
Brown & Brown, Inc.		52,630		2,495,188
Cincinnati Financial Corp.		15,252		1,332,567
CME Group, Inc.		26,940		4,904,427
Commerce Bancshares, Inc.		60,865		3,998,831
Old Republic International Corp.		62,501		1,231,895
RLI Corp.		40,445		4,212,347
S&P Global, Inc.		3,656		1,201,837
SEI Investments Co.		48,999		2,815,973
T. Rowe Price Group, Inc.		16,926		2,562,427
The Allstate Corp.		52,628		5,785,396
W.R. Berkley Corp.		132,896		8,826,951
				51,116,407

See notes to financial statements.

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Security Description	Shares		Value
Health Care (9.8%):
Chemed Corp.		8,260	$	4,399,359
Humana, Inc.		14,873		6,101,946
Johnson & Johnson		17,621		2,773,193
Medtronic PLC		44,896		5,259,117
Merck & Co., Inc.		53,021		4,337,118
UnitedHealth Group, Inc.		18,503		6,488,631
West Pharmaceutical Services, Inc.		6,964		1,972,971
				31,332,335
Industrials (19.3%):
3M Co.		43,835		7,661,920
Carlisle Cos., Inc.		19,716		3,079,245
Cintas Corp.		5,221		1,845,415
CSX Corp.		43,705		3,966,229
Dover Corp.		37,664		4,755,080
Emerson Electric Co.		89,209		7,169,727
General Dynamics Corp.		16,515		2,457,762
IDEX Corp.		30,429		6,061,457
Illinois Tool Works, Inc.		18,234		3,717,548
L3Harris Technologies, Inc.		23,327		4,409,270
Nordson Corp.		7,338		1,474,571
Republic Services, Inc.		51,409		4,950,686
Roper Technologies, Inc.		3,726		1,606,241
W.W. Grainger, Inc.		12,323		5,031,974
Waste Management, Inc.		32,800		3,868,104
				62,055,229
Information Technology (11.0%):
Automatic Data Processing, Inc.		25,047		4,413,281
Intuit, Inc.		19,152		7,274,887
Jack Henry & Associates, Inc.		31,964		5,177,848
Mastercard, Inc., Class A		14,877		5,310,196
Microsoft Corp.		19,930		4,432,831
Texas Instruments, Inc.		30,120		4,943,596
Visa, Inc., Class A		16,472		3,602,921
				35,155,560
Materials (5.1%):
Air Products & Chemicals, Inc.		11,881		3,246,127
Ecolab, Inc.		10,569		2,286,709
Nucor Corp.		22,183		1,179,914
PPG Industries, Inc.		20,002		2,884,688
Sonoco Products Co.		78,910		4,675,418
The Sherwin-Williams Co.		2,599		1,910,031
				16,182,887

See notes to financial statements.

94

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Security Description	Shares		Value
Utilities (4.2%):
Consolidated Edison, Inc.		72,445	$	5,235,600
Xcel Energy, Inc.		122,527		8,168,875
				13,404,475
Total Common Stocks (Cost $267,942,254)				318,247,596
Total Investments (Cost $267,942,254) — 99.6%				318,247,596
Other assets in excess of liabilities — 0.4%				1,188,519
NET ASSETS — 100.00%			$	319,436,115

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		5	3/19/21	$	922,633	$	937,200	$	14,567
	Total unrealized appreciation							$	14,567
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	14,567

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (3.1%):
Verizon Communications, Inc.		76,704	$	4,506,360
Consumer Discretionary (11.6%):
AutoZone, Inc. (a)		2,455		2,910,255
Best Buy Co., Inc.		3,100		309,349
BorgWarner, Inc.		8,905		344,089
eBay, Inc.		82,328		4,136,982
Helen of Troy Ltd. (a)		1,782		395,943
Lowe's Cos., Inc.		3,290		528,078
Mohawk Industries, Inc. (a)		3,535		498,258
NVR, Inc. (a)		85		346,788
Target Corp.		28,481		5,027,751
Tractor Supply Co.		18,184		2,556,307
				17,053,800
Consumer Staples (17.8%):
Altria Group, Inc.		8,928		366,048
Campbell Soup Co.		38,189		1,846,438
Casey's General Stores, Inc.		2,392		427,259
Church & Dwight Co., Inc.		3,681		321,094
Flowers Foods, Inc.		14,180		320,893
Kimberly-Clark Corp.		7,454		1,005,023
Philip Morris International, Inc.		4,600		380,834
The Clorox Co.		20,157		4,070,101
The J.M. Smucker Co.		21,839		2,524,589
The Kroger Co.		124,914		3,967,269
The Procter & Gamble Co.		38,293		5,328,088
Walgreens Boots Alliance, Inc.		9,605		383,047
Walmart, Inc.		35,953		5,182,625
				26,123,308
Energy (0.2%):
Cabot Oil & Gas Corp.		19,873		323,532
Financials (10.1%):
Erie Indemnity Co., Class A		2,113		518,953
Everest Re Group Ltd.		2,538		594,120
Fidelity National Financial, Inc.		58,536		2,288,172
First American Financial Corp.		15,048		776,928
Huntington Bancshares, Inc.		37,623		475,178
Jefferies Financial Group, Inc.		19,167		471,508
The Allstate Corp.		38,923		4,278,806
The Travelers Cos., Inc.		39,205		5,503,207
				14,906,872
Health Care (17.9%):
AbbVie, Inc.		47,303		5,068,517
Biogen, Inc. (a)		2,169		531,101
Cardinal Health, Inc.		7,348		393,559
Cerner Corp.		46,757		3,669,489

See notes to financial statements.

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Security Description	Shares		Value
DaVita, Inc. (a)		4,028	$	472,887
Gilead Sciences, Inc.		59,185		3,448,118
Johnson & Johnson		39,753		6,256,327
McKesson Corp.		2,316		402,799
Medpace Holdings, Inc. (a)		3,087		429,710
Merck & Co., Inc.		60,706		4,965,751
Universal Health Services, Inc., Class B		3,224		443,300
				26,081,558
Industrials (14.8%):
3M Co.		26,524		4,636,130
AO Smith Corp.		6,535		358,248
C.H. Robinson Worldwide, Inc.		27,783		2,607,990
Dover Corp.		3,184		401,980
Fortune Brands Home & Security, Inc.		3,987		341,766
Hubbell, Inc.		2,521		395,268
Huntington Ingalls Industries, Inc.		2,451		417,846
J.B. Hunt Transport Services, Inc.		2,729		372,918
Lockheed Martin Corp.		6,821		2,421,319
Masco Corp.		6,258		343,752
Republic Services, Inc.		43,772		4,215,244
Robert Half International, Inc.		6,517		407,182
Tetra Tech, Inc.		3,613		418,313
W.W. Grainger, Inc.		967		394,865
Waste Management, Inc.		31,966		3,769,750
				21,502,571
Information Technology (24.1%):
Apple, Inc.		66,096		8,770,278
Automatic Data Processing, Inc.		2,473		435,743
CDW Corp.		5,295		697,828
Citrix Systems, Inc.		24,781		3,224,008
F5 Networks, Inc. (a)		2,810		494,391
International Business Machines Corp.		27,105		3,411,977
Microsoft Corp.		38,022		8,456,854
NetApp, Inc.		24,974		1,654,278
Oracle Corp.		76,498		4,948,656
Paychex, Inc.		4,325		403,004
QUALCOMM, Inc.		4,903		746,923
Texas Instruments, Inc.		2,417		396,702
The Western Union Co.		64,861		1,423,050
				35,063,692
Total Common Stocks (Cost $129,791,152)				145,561,693
Total Investments (Cost $129,791,152) — 99.6%				145,561,693
Other assets in excess of liabilities — 0.4%				583,764
NET ASSETS — 100.00%			$	146,145,457

(a)  Non-income producing security.

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		3	3/19/21	$	552,637	$	562,320	$	9,683
	Total unrealized appreciation							$	9,683
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	9,683

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (5.1%):
Activision Blizzard, Inc.		20,035	$	1,860,250
Alphabet, Inc., Class A (a)		1,045		1,831,509
Altice USA, Inc., Class A (a) (b)		48,914		1,852,373
ANGI Homeservices, Inc., Class A (a) (b)		69,580		918,108
AT&T, Inc.		58,582		1,684,818
Cable One, Inc.		755		1,681,929
CenturyLink, Inc.		110,193		1,074,382
Charter Communications, Inc., Class A (a)		3,078		2,036,251
Comcast Corp., Class A		37,295		1,954,258
Discovery, Inc., Class A (a) (b)		58,124		1,748,951
DISH Network Corp., Class A (a)		28,230		912,958
Electronic Arts, Inc.		13,077		1,877,857
Facebook, Inc., Class A (a)		4,914		1,342,308
Fox Corp., Class A		47,481		1,382,647
Liberty Broadband Corp., Class C (a)		12,265		1,942,408
Netflix, Inc. (a)		2,758		1,491,333
Omnicom Group, Inc.		25,464		1,588,190
Sirius XM Holdings, Inc. (b)		253,814		1,616,795
Take-Two Interactive Software, Inc. (a)		9,130		1,897,123
The Interpublic Group of Cos., Inc.		62,623		1,472,893
The New York Times Co., Class A		36,985		1,914,713
T-Mobile U.S., Inc. (a)		13,151		1,773,412
Verizon Communications, Inc.		41,735		2,451,931
ViacomCBS, Inc., Class B		30,356		1,131,065
				39,438,462
Consumer Discretionary (9.5%):
Advance Auto Parts, Inc.		8,382		1,320,249
Amazon.com, Inc. (a)		521		1,696,861
Aptiv PLC		9,859		1,284,529
AutoZone, Inc. (a)		1,250		1,481,800
Best Buy Co., Inc.		11,018		1,099,486
Booking Holdings, Inc. (a)		687		1,530,134
BorgWarner, Inc.		31,350		1,211,364
Bright Horizons Family Solutions, Inc. (a)		7,387		1,277,877
CarMax, Inc. (a)		10,094		953,479
Chegg, Inc. (a)		14,205		1,283,138
Chipotle Mexican Grill, Inc. (a)		967		1,340,949
D.R. Horton, Inc.		15,261		1,051,788
Dollar General Corp.		10,119		2,128,026
Dollar Tree, Inc. (a)		14,001		1,512,668
Domino's Pizza, Inc.		3,516		1,348,245
eBay, Inc.		34,136		1,715,334
Etsy, Inc. (a)		8,036		1,429,685
Floor & Decor Holdings, Inc., Class A (a)		13,473		1,250,968
Garmin Ltd.		16,246		1,943,996
General Motors Co.		34,978		1,456,484
Gentex Corp.		59,573		2,021,312

See notes to financial statements.

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Security Description	Shares		Value
Genuine Parts Co.		12,731	$	1,278,574
Hasbro, Inc. (b)		14,456		1,352,214
Hilton Worldwide Holdings, Inc.		14,104		1,569,211
Las Vegas Sands Corp.		21,305		1,269,778
Lear Corp.		9,449		1,502,674
Lennar Corp., Class A		12,395		944,871
LKQ Corp. (a)		29,686		1,046,135
Lowe's Cos., Inc.		7,591		1,218,431
Marriott International, Inc., Class A		9,263		1,221,975
McDonald's Corp.		7,036		1,509,785
MGM Resorts International		28,791		907,204
Mohawk Industries, Inc. (a)		9,172		1,292,793
NIKE, Inc., Class B		13,583		1,921,587
NVR, Inc. (a)		244		995,486
O'Reilly Automotive, Inc. (a)		3,123		1,413,376
Pool Corp.		4,422		1,647,195
PulteGroup, Inc.		21,231		915,481
Ross Stores, Inc.		12,414		1,524,563
Service Corp. International		31,946		1,568,548
Starbucks Corp.		16,010		1,712,750
Target Corp.		10,847		1,914,821
Tesla, Inc. (a)		1,514		1,068,384
The Home Depot, Inc.		4,926		1,308,444
The TJX Cos., Inc.		22,782		1,555,783
Tractor Supply Co.		11,232		1,578,996
Ulta Beauty, Inc. (a)		4,205		1,207,508
Vail Resorts, Inc.		5,797		1,617,131
VF Corp.		16,620		1,419,514
Whirlpool Corp.		5,576		1,006,412
Williams-Sonoma, Inc.		10,693		1,088,975
Yum! Brands, Inc.		14,444		1,568,041
				72,485,012
Consumer Staples (7.0%):
Archer-Daniels-Midland Co.		35,283		1,778,616
Brown-Forman Corp., Class B		21,821		1,733,242
Campbell Soup Co.		38,284		1,851,031
Casey's General Stores, Inc.		8,053		1,438,427
Church & Dwight Co., Inc.		20,261		1,767,367
Colgate-Palmolive Co.		24,374		2,084,221
Conagra Brands, Inc.		43,388		1,573,249
Costco Wholesale Corp.		6,284		2,367,686
General Mills, Inc.		32,051		1,884,599
Herbalife Nutrition Ltd. (a) (b)		23,362		1,122,544
Hormel Foods Corp.		41,081		1,914,786
Kellogg Co.		27,902		1,736,341
Kimberly-Clark Corp.		12,845		1,731,891
Lamb Weston Holdings, Inc.		17,450		1,374,013
McCormick & Co., Inc.		15,946		1,524,438
Mondelez International, Inc., Class A		30,935		1,808,769
Monster Beverage Corp. (a)		21,137		1,954,750

See notes to financial statements.

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Security Description	Shares		Value
PepsiCo, Inc.		11,889	$	1,763,139
Philip Morris International, Inc.		19,825		1,641,312
Sysco Corp.		15,244		1,132,019
The Boston Beer Co., Inc., Class A (a)		1,311		1,303,514
The Clorox Co.		9,340		1,885,933
The Coca-Cola Co.		36,912		2,024,254
The Estee Lauder Cos., Inc., Class A		6,830		1,818,078
The Hershey Co.		10,982		1,672,888
The J.M. Smucker Co.		15,956		1,844,514
The Kroger Co.		57,163		1,815,497
The Procter & Gamble Co.		13,541		1,884,095
Tyson Foods, Inc., Class A		20,096		1,294,986
Walgreens Boots Alliance, Inc.		36,488		1,455,141
Walmart, Inc.		14,371		2,071,580
				53,252,920
Energy (1.4%):
Cabot Oil & Gas Corp.		63,994		1,041,822
Cheniere Energy, Inc. (a)		22,702		1,362,802
ConocoPhillips		23,761		950,202
EOG Resources, Inc.		19,798		987,326
Exxon Mobil Corp.		31,709		1,307,045
Kinder Morgan, Inc.		80,837		1,105,042
ONEOK, Inc.		24,174		927,798
Pioneer Natural Resources Co.		7,905		900,300
The Williams Cos., Inc.		46,029		922,881
Valero Energy Corp.		16,594		938,723
				10,443,941
Financials (13.8%):
Aflac, Inc.		29,539		1,313,599
Ally Financial, Inc.		35,481		1,265,252
American Express Co.		9,935		1,201,241
Ameriprise Financial, Inc.		5,623		1,092,718
Arch Capital Group Ltd. (a)		34,705		1,251,809
Ares Management Corp., Class A		29,015		1,365,156
Arthur J. Gallagher & Co.		14,308		1,770,043
Assurant, Inc.		10,297		1,402,657
Athene Holding Ltd., Class A (a)		20,401		880,099
Bank of America Corp.		42,063		1,274,930
Berkshire Hathaway, Inc., Class B (a)		8,143		1,888,117
BlackRock, Inc., Class A		2,177		1,570,793
Brown & Brown, Inc.		35,064		1,662,384
Cboe Global Markets, Inc.		15,729		1,464,684
Chubb Ltd.		10,516		1,618,623
Cincinnati Financial Corp.		13,838		1,209,026
Citigroup, Inc.		18,106		1,116,416
Citizens Financial Group, Inc.		32,502		1,162,272
CME Group, Inc.		7,438		1,354,088
Commerce Bancshares, Inc. (b)		22,544		1,481,140
Credit Acceptance Corp. (a) (b)		2,482		859,119

See notes to financial statements.

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Security Description	Shares		Value
Discover Financial Services		13,888	$	1,257,281
Erie Indemnity Co., Class A		5,905		1,450,268
Everest Re Group Ltd.		5,828		1,364,276
FactSet Research Systems, Inc.		3,945		1,311,713
Fidelity National Financial, Inc.		34,686		1,355,876
Fifth Third Bancorp		41,222		1,136,491
First Republic Bank		11,602		1,704,681
Franklin Resources, Inc. (b)		57,603		1,439,499
Globe Life, Inc.		14,186		1,347,103
Huntington Bancshares, Inc.		107,146		1,353,254
Interactive Brokers Group, Inc.		25,227		1,536,829
Intercontinental Exchange, Inc.		15,252		1,758,403
JPMorgan Chase & Co.		11,629		1,477,697
KeyCorp		68,599		1,125,710
KKR & Co., Inc.		31,924		1,292,603
Lincoln National Corp.		18,530		932,244
LPL Financial Holdings, Inc.		11,486		1,197,071
M&T Bank Corp.		10,565		1,344,925
Markel Corp. (a)		1,127		1,164,529
MarketAxess Holdings, Inc.		2,870		1,637,507
Marsh & McLennan Cos., Inc.		14,817		1,733,589
MetLife, Inc.		27,276		1,280,608
Moody's Corp.		4,140		1,201,594
Morgan Stanley		20,806		1,425,835
Morningstar, Inc.		12,386		2,868,225
MSCI, Inc.		3,227		1,440,952
Nasdaq, Inc.		10,906		1,447,662
Northern Trust Corp.		14,801		1,378,565
Principal Financial Group, Inc.		22,922		1,137,160
Raymond James Financial, Inc.		14,260		1,364,254
Regions Financial Corp.		79,084		1,274,834
RenaissanceRe Holdings Ltd.		7,858		1,303,014
S&P Global, Inc.		3,642		1,197,235
SEI Investments Co.		26,271		1,509,794
State Street Corp.		15,964		1,161,860
SVB Financial Group (a)		3,758		1,457,465
Synchrony Financial		33,328		1,156,815
T. Rowe Price Group, Inc.		9,383		1,420,492
The Allstate Corp.		15,270		1,678,631
The Bank of New York Mellon Corp.		35,847		1,521,347
The Blackstone Group, Inc., Class A		21,980		1,424,524
The Charles Schwab Corp.		33,488		1,776,204
The Goldman Sachs Group, Inc.		5,815		1,533,474
The Hartford Financial Services Group, Inc.		23,808		1,166,116
The PNC Financial Services Group, Inc.		9,848		1,467,352
The Progressive Corp.		18,080		1,787,751
The Travelers Cos., Inc.		11,107		1,559,090
Tradeweb Markets, Inc., Class A (b)		26,352		1,645,682
Truist Financial Corp.		24,402		1,169,588
U.S. Bancorp		29,882		1,392,202

See notes to financial statements.

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Security Description	Shares		Value
Voya Financial, Inc.		24,832	$	1,460,370
W.R. Berkley Corp.		20,991		1,394,222
Wells Fargo & Co.		42,973		1,296,925
				103,425,557
Health Care (16.6%):
Abbott Laboratories		14,624		1,601,182
AbbVie, Inc.		19,662		2,106,783
ABIOMED, Inc. (a)		4,727		1,532,493
Agilent Technologies, Inc.		17,151		2,032,222
Alexion Pharmaceuticals, Inc. (a)		14,742		2,303,290
Align Technology, Inc. (a)		3,341		1,785,364
Amedisys, Inc. (a)		5,232		1,534,703
AmerisourceBergen Corp.		15,305		1,496,217
Amgen, Inc.		6,608		1,519,311
Anthem, Inc.		4,119		1,322,570
Avantor, Inc. (a)		43,435		1,222,695
Baxter International, Inc.		19,215		1,541,812
Becton, Dickinson & Co.		7,090		1,774,060
Biogen, Inc. (a)		4,811		1,178,021
BioMarin Pharmaceutical, Inc. (a)		14,090		1,235,552
Bio-Rad Laboratories, Inc., Class A (a)		3,313		1,931,280
Bio-Techne Corp.		6,857		2,177,440
Boston Scientific Corp. (a)		35,195		1,265,260
Catalent, Inc. (a)		12,966		1,349,372
Centene Corp. (a)		19,320		1,159,780
Cerner Corp.		27,388		2,149,410
Charles River Laboratories International, Inc. (a)		5,728		1,431,198
Chemed Corp.		2,870		1,528,591
Cigna Corp.		6,890		1,434,360
CRISPR Therapeutics AG (a) (b)		11,687		1,789,397
CVS Health Corp.		26,812		1,831,260
Danaher Corp.		9,282		2,061,903
DaVita, Inc. (a)		17,922		2,104,042
DexCom, Inc. (a)		2,876		1,063,315
Edwards Lifesciences Corp. (a)		16,957		1,546,987
Eli Lilly & Co.		10,693		1,805,406
Encompass Health Corp.		22,560		1,865,486
Exelixis, Inc. (a)		53,750		1,078,763
HCA Healthcare, Inc.		7,539		1,239,864
Henry Schein, Inc. (a)		22,365		1,495,324
Hologic, Inc. (a)		23,384		1,703,057
Horizon Therapeutics PLC (a)		15,701		1,148,528
Humana, Inc.		2,946		1,208,655
IDEXX Laboratories, Inc. (a)		4,149		2,073,961
Illumina, Inc. (a)		4,176		1,545,120
Insulet Corp. (a)		6,364		1,626,829
Intuitive Surgical, Inc. (a)		1,922		1,572,388
Ionis Pharmaceuticals, Inc. (a)		28,556		1,614,556
IQVIA Holdings, Inc. (a)		7,678		1,375,667
Jazz Pharmaceuticals PLC (a)		10,453		1,725,268

See notes to financial statements.

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Security Description	Shares		Value
Johnson & Johnson		13,442	$	2,115,501
Laboratory Corp. of America Holdings (a)		6,748		1,373,555
LHC Group, Inc. (a)		6,034		1,287,173
Masimo Corp. (a)		7,898		2,119,665
McKesson Corp.		8,990		1,563,541
Medtronic PLC		14,342		1,680,022
Merck & Co., Inc.		23,014		1,882,545
Mettler-Toledo International, Inc. (a)		1,609		1,833,745
Molina Healthcare, Inc. (a)		6,572		1,397,733
Neurocrine Biosciences, Inc. (a)		13,053		1,251,130
Novocure Ltd. (a)		13,669		2,365,284
Penumbra, Inc. (a) (b)		6,661		1,165,675
PerkinElmer, Inc.		15,222		2,184,358
Perrigo Co. PLC		26,804		1,198,675
Pfizer, Inc.		51,692		1,902,783
PRA Health Sciences, Inc. (a)		11,218		1,407,186
Quest Diagnostics, Inc.		13,588		1,619,282
Quidel Corp. (a)		4,559		819,024
Regeneron Pharmaceuticals, Inc. (a)		2,469		1,192,799
Repligen Corp. (a)		8,819		1,689,985
ResMed, Inc.		6,987		1,485,157
Stryker Corp.		6,440		1,578,058
Syneos Health, Inc. (a)		15,447		1,052,404
Teleflex, Inc.		3,663		1,507,581
The Cooper Cos., Inc.		5,078		1,844,939
Thermo Fisher Scientific, Inc.		4,161		1,938,111
UnitedHealth Group, Inc.		4,155		1,457,075
Universal Health Services, Inc., Class B		8,594		1,181,675
Veeva Systems, Inc., Class A (a)		4,979		1,355,533
Vertex Pharmaceuticals, Inc. (a)		5,531		1,307,197
Waters Corp. (a)		7,276		1,800,228
West Pharmaceutical Services, Inc.		5,879		1,665,579
Zimmer Biomet Holdings, Inc.		9,035		1,392,203
Zoetis, Inc.		9,979		1,651,525
				125,355,668
Industrials (15.5%):
3M Co.		10,161		1,776,041
Allegion PLC		13,516		1,572,992
AMERCO, Inc.		3,907		1,773,622
AMETEK, Inc.		13,332		1,612,373
AO Smith Corp.		34,747		1,904,831
C.H. Robinson Worldwide, Inc.		21,185		1,988,636
Carlisle Cos., Inc.		10,301		1,608,810
Caterpillar, Inc.		10,113		1,840,768
Cintas Corp.		3,588		1,268,214
Copart, Inc. (a)		13,637		1,735,308
CoStar Group, Inc. (a)		1,660		1,534,305
CSX Corp.		17,499		1,588,034
Cummins, Inc.		6,855		1,556,771
Deere & Co.		6,488		1,745,596

See notes to financial statements.

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Security Description	Shares		Value
Dover Corp.		12,061	$	1,522,701
Eaton Corp. PLC		11,640		1,398,430
Emerson Electric Co.		16,743		1,345,635
Enphase Energy, Inc. (a)		7,989		1,401,830
Equifax, Inc.		9,262		1,786,084
Expeditors International of Washington, Inc.		22,296		2,120,572
Fastenal Co.		33,958		1,658,169
FedEx Corp.		5,308		1,378,063
Fortive Corp.		22,270		1,577,161
Fortune Brands Home & Security, Inc.		12,802		1,097,387
Generac Holdings, Inc. (a)		6,491		1,476,118
General Dynamics Corp.		10,473		1,558,592
General Electric Co.		161,038		1,739,210
Graco, Inc.		25,733		1,861,783
HEICO Corp.		10,077		1,334,195
Honeywell International, Inc.		8,407		1,788,170
Howmet Aerospace, Inc. (a)		48,553		1,385,703
Hubbell, Inc.		9,348		1,465,673
IAA, Inc. (a)		21,510		1,397,720
IDEX Corp.		9,277		1,847,978
Illinois Tool Works, Inc.		7,373		1,503,207
J.B. Hunt Transport Services, Inc.		11,134		1,521,461
Jacobs Engineering Group, Inc.		16,511		1,799,039
Johnson Controls International PLC		36,300		1,691,217
Kansas City Southern		6,746		1,377,061
Knight-Swift Transportation Holdings, Inc.		35,565		1,487,328
L3Harris Technologies, Inc.		8,413		1,590,225
Lennox International, Inc.		5,753		1,576,149
Lockheed Martin Corp.		3,826		1,358,153
Masco Corp.		26,128		1,435,211
Nordson Corp.		6,549		1,316,022
Norfolk Southern Corp.		6,043		1,435,877
Northrop Grumman Corp.		4,576		1,394,399
Old Dominion Freight Line, Inc.		7,477		1,459,361
PACCAR, Inc.		20,385		1,758,818
Parker-Hannifin Corp.		5,067		1,380,301
Quanta Services, Inc.		25,109		1,808,350
Republic Services, Inc.		19,143		1,843,471
Rockwell Automation, Inc.		5,487		1,376,194
Rollins, Inc.		49,044		1,916,149
Roper Technologies, Inc.		3,668		1,581,238
Snap-on, Inc.		8,764		1,499,871
Southwest Airlines Co.		26,876		1,252,690
Stanley Black & Decker, Inc.		6,017		1,074,396
Teledyne Technologies, Inc. (a)		3,894		1,526,370
Textron, Inc.		23,522		1,136,818
The Toro Co.		22,264		2,111,519
Trane Technologies PLC		11,727		1,702,290
TransDigm Group, Inc. (a)		1,723		1,066,279
TransUnion		15,926		1,580,178

See notes to financial statements.

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Security Description	Shares		Value
Trex Co., Inc. (a)		13,351	$	1,117,746
Union Pacific Corp.		7,757		1,615,163
United Parcel Service, Inc., Class B		9,485		1,597,274
United Rentals, Inc. (a)		5,309		1,231,210
Verisk Analytics, Inc.		8,728		1,811,845
W.W. Grainger, Inc.		4,009		1,637,035
Waste Management, Inc.		15,650		1,845,605
Watsco, Inc.		7,051		1,597,404
Westinghouse Air Brake Technologies Corp.		17,697		1,295,420
XPO Logistics, Inc. (a)		9,994		1,191,285
Xylem, Inc.		16,699		1,699,791
				116,846,895
Information Technology (19.3%):
Accenture PLC, Class A		6,355		1,659,990
Adobe, Inc. (a)		2,625		1,312,815
Advanced Micro Devices, Inc. (a)		11,479		1,052,739
Akamai Technologies, Inc. (a)		14,859		1,560,046
Amphenol Corp., Class A		13,895		1,817,049
Analog Devices, Inc.		10,498		1,550,870
ANSYS, Inc. (a)		4,124		1,500,311
Apple, Inc.		11,210		1,487,455
Applied Materials, Inc.		17,334		1,495,924
Arista Networks, Inc. (a)		6,001		1,743,711
Aspen Technology, Inc. (a)		8,960		1,167,040
Autodesk, Inc. (a)		5,142		1,570,058
Automatic Data Processing, Inc.		9,963		1,755,481
Black Knight, Inc. (a)		22,205		1,961,813
Booz Allen Hamilton Holding Corp.		20,282		1,768,185
Broadcom, Inc.		3,468		1,518,464
Broadridge Financial Solutions, Inc.		12,566		1,925,111
Cadence Design Systems, Inc. (a)		12,823		1,749,442
CDW Corp.		11,063		1,457,993
Ceridian HCM Holding, Inc. (a)		13,238		1,410,641
Ciena Corp. (a)		26,095		1,379,121
Cisco Systems, Inc.		34,950		1,564,013
Citrix Systems, Inc.		10,839		1,410,154
Cognex Corp.		15,814		1,269,627
Cognizant Technology Solutions Corp., Class A		18,937		1,551,887
Corning, Inc.		37,569		1,352,484
Datadog, Inc., Class A (a)		12,002		1,181,477
Dell Technologies, Inc., Class C (a)		18,289		1,340,401
Dolby Laboratories, Inc., Class A		21,068		2,046,334
Dropbox, Inc., Class A (a)		57,085		1,266,716
Entegris, Inc.		17,951		1,725,091
EPAM Systems, Inc. (a)		3,575		1,281,101
F5 Networks, Inc. (a)		11,854		2,085,592
Fair Isaac Corp. (a)		2,554		1,305,196
Fidelity National Information Services, Inc.		9,329		1,319,680
First Solar, Inc. (a)		14,835		1,467,478
Fiserv, Inc. (a)		13,571		1,545,194

See notes to financial statements.

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Security Description	Shares		Value
FleetCor Technologies, Inc. (a)		4,813	$	1,313,131
Fortinet, Inc. (a)		8,804		1,307,658
Gartner, Inc. (a)		10,107		1,619,040
Genpact Ltd.		30,759		1,272,192
Global Payments, Inc.		6,471		1,393,983
HP, Inc.		57,383		1,411,048
Intel Corp.		23,049		1,148,301
International Business Machines Corp.		12,653		1,592,760
Intuit, Inc.		3,890		1,477,617
IPG Photonics Corp. (a)		7,273		1,627,625
Jack Henry & Associates, Inc.		9,686		1,569,035
Juniper Networks, Inc.		71,565		1,610,928
Keysight Technologies, Inc. (a)		14,236		1,880,433
KLA Corp.		5,094		1,318,888
Lam Research Corp.		2,944		1,390,363
Leidos Holdings, Inc.		15,802		1,661,106
Marvell Technology Group Ltd.		31,437		1,494,515
Mastercard, Inc., Class A		3,667		1,308,899
Microchip Technology, Inc.		9,216		1,272,822
Micron Technology, Inc. (a)		24,051		1,808,154
Microsoft Corp.		6,464		1,437,723
MKS Instruments, Inc.		8,596		1,293,268
Monolithic Power Systems, Inc.		3,940		1,442,946
Motorola Solutions, Inc.		9,167		1,558,940
NetApp, Inc.		26,111		1,729,592
NortonLifeLock, Inc.		48,472		1,007,248
Nuance Communications, Inc. (a)		47,900		2,111,911
NVIDIA Corp.		2,122		1,108,108
Oracle Corp.		26,265		1,699,083
Paychex, Inc.		16,568		1,543,806
Paycom Software, Inc. (a)		3,225		1,458,506
Paylocity Holding Corp. (a)		7,321		1,507,467
PayPal Holdings, Inc. (a)		6,275		1,469,605
PTC, Inc. (a) (b)		15,822		1,892,469
Qorvo, Inc. (a)		8,999		1,496,264
QUALCOMM, Inc.		10,457		1,593,019
salesforce.com, Inc. (a)		4,457		991,816
Seagate Technology PLC		30,366		1,887,551
ServiceNow, Inc. (a)		2,683		1,476,804
Skyworks Solutions, Inc.		7,999		1,222,887
SolarWinds Corp. (a) (b)		60,098		898,465
Square, Inc., Class A (a)		5,653		1,230,319
SS&C Technologies Holdings, Inc.		21,459		1,561,142
SYNNEX Corp.		16,963		1,381,467
Synopsys, Inc. (a)		7,003		1,815,458
Teradyne, Inc.		14,061		1,685,773
Texas Instruments, Inc.		10,136		1,663,622
The Trade Desk, Inc., Class A (a)		1,876		1,502,676
The Western Union Co.		62,288		1,366,599
Trimble, Inc. (a)		22,032		1,471,077
Tyler Technologies, Inc. (a)		5,260		2,296,096

See notes to financial statements.

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Security Description	Shares		Value
Universal Display Corp.		6,682	$	1,535,524
VeriSign, Inc. (a)		7,352		1,590,973
Visa, Inc., Class A		6,906		1,510,549
VMware, Inc., Class A (a) (b)		9,938		1,393,904
WEX, Inc. (a)		5,079		1,033,729
Xilinx, Inc.		13,493		1,912,903
Zebra Technologies Corp. (a)		4,567		1,755,235
Zoom Video Communications, Inc., Class A (a)		2,947		994,082
				144,563,788
Materials (5.7%):
Air Products & Chemicals, Inc.		5,026		1,373,204
Albemarle Corp.		12,021		1,773,337
AptarGroup, Inc.		15,583		2,133,157
Avery Dennison Corp.		11,186		1,735,060
Ball Corp.		19,697		1,835,366
Berry Global Group, Inc. (a)		27,238		1,530,503
Celanese Corp.		11,478		1,491,451
CF Industries Holdings, Inc.		33,700		1,304,527
Corteva, Inc.		42,366		1,640,412
Crown Holdings, Inc. (a)		16,340		1,637,268
Eastman Chemical Co.		17,121		1,716,894
FMC Corp.		11,178		1,284,688
International Flavors & Fragrances, Inc. (b)		12,126		1,319,794
International Paper Co.		33,717		1,676,409
LyondellBasell Industries NV, Class A		13,895		1,273,616
Martin Marietta Materials, Inc.		5,627		1,597,899
Newmont Corp.		20,574		1,232,177
Nucor Corp.		28,571		1,519,691
Packaging Corp. of America		13,682		1,886,885
PPG Industries, Inc.		11,995		1,729,919
Reliance Steel & Aluminum Co.		12,873		1,541,542
Royal Gold, Inc.		8,141		865,877
RPM International, Inc.		16,477		1,495,782
The Scotts Miracle-Gro Co.		7,109		1,415,686
The Sherwin-Williams Co.		2,157		1,585,201
Vulcan Materials Co.		9,867		1,463,375
Westlake Chemical Corp.		15,547		1,268,635
Westrock Co.		31,450		1,369,019
				42,697,374
Real Estate (0.2%):
CBRE Group, Inc., Class A (a)		21,988		1,379,087
Utilities (5.6%):
Alliant Energy Corp. (b)		29,621		1,526,370
Ameren Corp.		17,775		1,387,517
American Electric Power Co., Inc.		20,192		1,681,388
American Water Works Co., Inc.		10,077		1,546,517
Atmos Energy Corp.		15,147		1,445,478
CMS Energy Corp.		26,226		1,600,048
Consolidated Edison, Inc.		20,935		1,512,972

See notes to financial statements.

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Security Description	Shares		Value
Dominion Energy, Inc.		17,102	$	1,286,070
DTE Energy Co.		10,928		1,326,768
Duke Energy Corp.		18,633		1,706,037
Edison International		26,152		1,642,869
Entergy Corp.		13,264		1,324,278
Essential Utilities, Inc.		29,761		1,407,398
Evergy, Inc.		23,071		1,280,671
Eversource Energy		15,772		1,364,436
Exelon Corp.		33,897		1,431,131
FirstEnergy Corp.		40,789		1,248,551
NextEra Energy, Inc.		21,396		1,650,701
NRG Energy, Inc.		38,147		1,432,420
Pinnacle West Capital Corp.		19,161		1,531,922
PPL Corp.		47,089		1,327,910
Public Service Enterprise Group, Inc.		29,268		1,706,325
Sempra Energy		10,611		1,351,948
The AES Corp.		58,934		1,384,949
The Southern Co.		25,085		1,540,972
UGI Corp.		35,511		1,241,465
Vistra Corp.		64,015		1,258,535
WEC Energy Group, Inc.		15,140		1,393,334
Xcel Energy, Inc.		22,675		1,511,742
				42,050,722
Total Common Stocks (Cost $588,596,199)				751,939,426
Investment Companies (0.2%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.02% (c)		1,579,670		1,579,670
Total Investment Companies (Cost $1,579,670)				1,579,670
Collateral for Securities Loaned^ (1.7%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (c)		215,895		215,895
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (c)		7,417,274		7,417,274
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (c)		107,743		107,743
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (c)		859,105		859,105
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (c)		3,862,705		3,862,705
Total Collateral for Securities Loaned (Cost $12,462,722)				12,462,722
Total Investments (Cost $602,638,591) — 101.6%				765,981,818
Liabilities in excess of other assets — (1.6)%				(11,799,850	)
NET ASSETS — 100.00%			$	754,181,968

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

(c)  Rate disclosed is the daily yield on December 31, 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		10	3/19/21	$	1,838,390	$	1,874,400	$	36,010
	Total unrealized appreciation							$	36,010
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	36,010

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Banks (10.6%):
Citigroup, Inc.		80,705	$	4,976,270
Citizens Financial Group, Inc.		144,886		5,181,123
Fifth Third Bancorp		183,758		5,066,208
Huntington Bancshares, Inc.		477,617		6,032,303
JPMorgan Chase & Co.		51,839		6,587,182
KeyCorp		305,792		5,018,047
M&T Bank Corp.		47,084		5,993,793
Regions Financial Corp.		352,522		5,682,655
The PNC Financial Services Group, Inc.		43,887		6,539,163
Truist Financial Corp.		108,766		5,213,154
U.S. Bancorp		133,214		6,206,440
Wells Fargo & Co.		191,550		5,780,979
				68,277,317
Capital Markets (5.7%):
Ares Management Corp., Class A		129,330		6,084,977
Franklin Resources, Inc.		256,775		6,416,807
Northern Trust Corp.		65,978		6,145,191
State Street Corp.		71,159		5,178,952
The Bank of New York Mellon Corp.		159,790		6,781,488
The Blackstone Group, Inc., Class A		97,972		6,349,565
				36,956,980
Communication Services (6.5%):
AT&T, Inc.		261,143		7,510,473
CenturyLink, Inc.		491,206		4,789,259
Omnicom Group, Inc.		113,511		7,079,681
The Interpublic Group of Cos., Inc.		279,146		6,565,514
Verizon Communications, Inc.		186,049		10,930,378
ViacomCBS, Inc., Class B (a)		135,322		5,042,098
				41,917,403
Consumer Discretionary (5.8%):
General Motors Co.		155,913		6,492,217
Genuine Parts Co.		56,746		5,699,001
Hasbro, Inc.		64,432		6,026,969
Las Vegas Sands Corp.		94,967		5,660,033
Vail Resorts, Inc.		25,840		7,208,327
VF Corp.		74,085		6,327,600
				37,414,147
Consumer Finance (2.5%):
Ally Financial, Inc.		158,156		5,639,843
Discover Financial Services		61,916		5,605,255
Synchrony Financial		148,560		5,156,518
				16,401,616

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (10.5%):
Archer-Daniels-Midland Co.		157,280	$	7,928,485
General Mills, Inc. (a)		142,881		8,401,402
Kellogg Co.		124,381		7,740,230
PepsiCo, Inc.		52,997		7,859,455
Philip Morris International, Inc.		88,370		7,316,152
Sysco Corp.		67,949		5,045,893
The Coca-Cola Co.		164,531		9,022,880
The J.M. Smucker Co.		71,121		8,221,588
Walgreens Boots Alliance, Inc.		162,649		6,486,442
				68,022,527
Energy (4.9%):
ConocoPhillips		105,922		4,235,821
EOG Resources, Inc.		88,243		4,400,678
Exxon Mobil Corp.		141,342		5,826,117
Kinder Morgan, Inc.		360,343		4,925,889
ONEOK, Inc.		107,752		4,135,522
The Williams Cos., Inc.		205,179		4,113,839
Valero Energy Corp.		73,967		4,184,313
				31,822,179
Health Care (5.4%):
AbbVie, Inc.		87,652		9,391,912
CVS Health Corp.		119,520		8,163,216
Merck & Co., Inc.		102,587		8,391,617
Pfizer, Inc.		230,764		8,494,422
				34,441,167
Industrials (6.5%):
3M Co.		45,294		7,916,938
Caterpillar, Inc.		45,073		8,204,187
Eaton Corp. PLC		51,887		6,233,704
Emerson Electric Co.		74,637		5,998,576
General Dynamics Corp.		46,690		6,948,406
Snap-on, Inc.		39,070		6,686,440
				41,988,251
Information Technology (9.8%):
Broadcom, Inc.		15,470		6,773,540
Cisco Systems, Inc.		155,800		6,972,050
HP, Inc.		255,798		6,290,073
International Business Machines Corp.		56,411		7,101,017
Juniper Networks, Inc.		319,004		7,180,780
NetApp, Inc.		116,386		7,709,408
Paychex, Inc.		73,863		6,882,554
Seagate Technology PLC		135,372		8,414,724
The Western Union Co.		277,662		6,091,904
				63,416,050

See notes to financial statements.

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Security Description	Shares		Value
Insurance (6.9%):
Aflac, Inc.		131,672	$	5,855,454
Cincinnati Financial Corp.		61,690		5,389,855
Fidelity National Financial, Inc.		154,622		6,044,174
Lincoln National Corp.		82,595		4,155,354
MetLife, Inc.		121,586		5,708,463
Principal Financial Group, Inc.		102,178		5,069,051
The Hartford Financial Services Group, Inc.		106,135		5,198,492
The Travelers Cos., Inc.		49,506		6,949,157
				44,370,000
Materials (7.4%):
CF Industries Holdings, Inc.		150,227		5,815,287
Eastman Chemical Co.		76,311		7,652,467
International Paper Co.		150,303		7,473,065
LyondellBasell Industries NV, Class A		61,950		5,678,337
Nucor Corp.		127,359		6,774,225
Packaging Corp. of America		60,984		8,410,304
Westrock Co.		140,189		6,102,427
				47,906,112
Utilities (17.1%):
American Electric Power Co., Inc.		90,020		7,495,965
Consolidated Edison, Inc.		93,314		6,743,803
Dominion Energy, Inc.		76,233		5,732,722
DTE Energy Co.		48,716		5,914,610
Duke Energy Corp.		83,057		7,604,700
Edison International		116,577		7,323,367
Entergy Corp.		59,118		5,902,341
Evergy, Inc.		102,849		5,709,148
Exelon Corp.		151,100		6,379,442
FirstEnergy Corp.		181,813		5,565,296
Pinnacle West Capital Corp.		85,415		6,828,929
PPL Corp.		209,899		5,919,152
Public Service Enterprise Group, Inc.		130,460		7,605,817
Sempra Energy		47,292		6,025,474
The AES Corp.		262,695		6,173,333
The Southern Co.		111,814		6,868,734
UGI Corp.		158,294		5,533,958
				109,326,791
Total Common Stocks (Cost $543,135,711)				642,260,540
Investment Companies (0.2%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.02% (b)		1,498,833		1,498,833
Total Investment Companies (Cost $1,498,833)				1,498,833

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.7%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (b)		77,152	$	77,152
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (b)		2,650,619		2,650,619
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (b)		38,503		38,503
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (b)		307,008		307,008
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (b)		1,380,367		1,380,367
Total Collateral for Securities Loaned (Cost $4,453,649)				4,453,649
Total Investments (Cost $549,088,193) — 100.5%				648,213,022
Liabilities in excess of other assets — (0.5)%				(2,949,964	)
NET ASSETS — 100.00%			$	645,263,058

^  Purchased with cash collateral from securities on loan.

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

(b)  Rate disclosed is the daily yield on December 31, 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		9	3/19/21	$	1,654,249	$	1,686,960	$	32,711
	Total unrealized appreciation							$	32,711
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	32,711

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (2.7%):
AMC Networks, Inc., Class A (a) (b)		3,098	$	110,815
Cargurus, Inc. (a)		2,871		91,097
Consolidated Communications Holdings, Inc. (a)		7,770		37,995
Gray Television, Inc. (a)		3,745		66,998
MSG Networks, Inc., Class A (a) (b)		9,227		136,006
National CineMedia, Inc.		11,792		43,866
QuinStreet, Inc. (a)		5,421		116,226
Sciplay Corp., Class A (a)		6,202		85,898
Shenandoah Telecommunications Co.		1,612		69,719
Sinclair Broadcast Group, Inc., Class A		2,866		91,282
TechTarget, Inc. (a)		2,638		155,932
TEGNA, Inc.		6,149		85,779
Telephone & Data Systems, Inc.		3,589		66,648
WideOpenWest, Inc. (a)		9,962		106,295
				1,264,556
Consumer Discretionary (11.9%):
1-800-Flowers.com, Inc., Class A (a)		2,571		66,846
Acushnet Holdings Corp.		3,196		129,566
Adtalem Global Education, Inc. (a)		3,102		105,312
American Public Education, Inc. (a)		2,434		74,188
America's Car-Mart, Inc. (a)		572		62,828
Asbury Automotive Group, Inc. (a)		616		89,776
Big Lots, Inc.		1,003		43,059
Boot Barn Holdings, Inc. (a)		1,799		78,005
Brinker International, Inc.		847		47,915
Cavco Industries, Inc. (a)		336		58,951
Century Communities, Inc. (a)		1,439		62,999
Cooper Tire & Rubber Co.		2,305		93,353
Core-Mark Holding Co., Inc.		2,677		78,623
Crocs, Inc. (a)		1,326		83,087
Dana, Inc.		3,678		71,795
Dave & Buster's Entertainment, Inc.		1,740		52,235
Denny's Corp. (a)		4,120		60,482
Dorman Products, Inc. (a)		1,132		98,280
El Pollo Loco Holdings, Inc. (a) (b)		4,013		72,635
Franchise Group, Inc.		1,650		50,243
Gentherm, Inc. (a)		2,219		144,722
G-III Apparel Group Ltd. (a)		3,036		72,075
Graham Holdings Co., Class B		188		100,275
Green Brick Partners, Inc. (a)		5,186		119,072
Group 1 Automotive, Inc.		616		80,782
GrowGeneration Corp. (a)		2,822		113,501
H&R Block, Inc.		5,222		82,821
Hibbett Sports, Inc. (a)		1,670		77,121
Hilton Grand Vacations, Inc. (a)		2,641		82,795
Installed Building Products, Inc. (a)		638		65,031
iRobot Corp. (a) (b)		1,077		86,472

See notes to financial statements.

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Jack in the Box, Inc.		628	$	58,278
Johnson Outdoors, Inc., Class A		1,161		130,763
Kontoor Brands, Inc.		2,749		111,499
La-Z-Boy, Inc.		2,356		93,863
LCI Industries		698		90,517
LGI Homes, Inc. (a)		519		54,936
Lumber Liquidators Holdings, Inc. (a)		1,948		59,882
M/I Homes, Inc. (a)		1,094		48,453
Malibu Boats, Inc., Class A (a)		1,275		79,611
MarineMax, Inc. (a)		2,031		71,146
MDC Holdings, Inc.		1,404		68,234
Monarch Casino & Resort, Inc. (a)		1,171		71,689
Monro, Inc.		1,807		96,313
Perdoceo Education Corp. (a)		5,793		73,166
PetMed Express, Inc. (b)		2,104		67,454
Rent-A-Center, Inc.		2,388		91,437
Revolve Group, Inc. (a)		2,848		88,772
Sally Beauty Holdings, Inc. (a)		5,659		73,793
Shoe Carnival, Inc.		1,570		61,513
Shutterstock, Inc.		1,802		129,204
Skyline Champion Corp. (a)		2,239		69,275
Sleep Number Corp. (a)		1,134		92,829
Sportsman's Warehouse Holdings, Inc. (a)		4,396		77,150
Standard Motor Products, Inc.		2,264		91,601
Steven Madden Ltd.		3,098		109,421
Strategic Education, Inc.		781		74,453
Stride, Inc. (a)		1,850		39,276
Sturm Ruger & Co., Inc.		1,729		112,506
The Buckle, Inc. (b)		3,990		116,507
The Michaels Cos., Inc. (a)		2,856		37,157
TRI Pointe Group, Inc. (a)		3,411		58,840
Universal Electronics, Inc. (a)		2,114		110,901
W.W. International, Inc. (a)		2,254		54,998
Winmark Corp.		659		122,441
Winnebago Industries, Inc.		1,115		66,833
Wolverine World Wide, Inc.		2,682		83,813
XPEL, Inc. (a)		2,455		126,580
Zumiez, Inc. (a)		2,769		101,844
				5,671,793
Consumer Staples (6.4%):
B&G Foods, Inc. (b)		2,360		65,443
BellRing Brands, Inc., Class A (a)		4,620		112,313
Calavo Growers, Inc.		1,482		102,895
Cal-Maine Foods, Inc. (a)		2,970		111,494
Central Garden & Pet Co., Class A (a)		2,975		108,082
Coca-Cola Consolidated, Inc.		336		89,467
Edgewell Personal Care Co.		2,279		78,808
elf Beauty, Inc. (a)		3,565		89,802
Fresh Del Monte Produce, Inc.		3,260		78,468
Hostess Brands, Inc. (a)		12,800		187,392

See notes to financial statements.

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Security Description	Shares		Value
Ingles Markets, Inc., Class A		2,322	$	99,057
Inter Parfums, Inc.		1,516		91,703
J & J Snack Foods Corp.		627		97,417
John B Sanfilippo & Son, Inc.		1,521		119,946
Medifast, Inc.		506		99,348
MGP Ingredients, Inc.		2,144		100,896
Nu Skin Enterprises, Inc., Class A		1,072		58,563
PriceSmart, Inc.		1,673		152,393
SpartanNash Co.		3,409		59,351
Sprouts Farmers Market, Inc. (a)		4,122		82,852
The Simply Good Foods Co. (a)		3,138		98,408
Tootsie Roll Industries, Inc. (b)		5,122		152,123
Turning Point Brands, Inc.		2,700		120,312
Universal Corp.		2,889		140,435
USANA Health Sciences, Inc. (a)		1,003		77,331
Vector Group Ltd.		9,965		116,092
WD-40 Co. (b)		589		156,485
Weis Markets, Inc.		2,575		123,111
				2,969,987
Energy (1.8%):
Arch Resources, Inc.		1,616		70,732
Brigham Minerals, Inc.		4,897		53,818
Cactus, Inc., Class A		2,300		59,961
Clean Energy Fuels Corp. (a)		17,343		136,315
CVR Energy, Inc.		3,222		48,008
Helix Energy Solutions Group, Inc. (a)		9,565		40,173
International Seaways, Inc.		3,958		64,634
Murphy Oil Corp.		3,365		40,717
ProPetro Holding Corp. (a)		5,560		41,088
Renewable Energy Group, Inc. (a)		1,513		107,151
SEACOR Holdings, Inc. (a)		2,273		94,216
Talos Energy, Inc. (a)		6,141		50,602
World Fuel Services Corp.		2,445		76,186
				883,601
Financials (24.5%):
1st Source Corp.		2,419		97,486
American Equity Investment Life Holding Co.		2,104		58,197
American National Group, Inc.		1,390		133,606
Ameris Bancorp		2,594		98,754
AMERISAFE, Inc.		1,581		90,797
Associated Bancorp		5,642		96,196
Assured Guaranty Ltd.		3,009		94,753
Atlantic Union Bankshares Corp.		3,038		100,072
Axos Financial, Inc. (a)		2,673		100,318
B. Riley Financial, Inc.		2,983		131,908
BancFirst Corp.		1,407		82,591
BancorpSouth Bank		3,384		92,857
Bank of Hawaii Corp.		1,547		118,530
Bank OZK		3,094		96,749

See notes to financial statements.

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Security Description	Shares		Value
BankUnited, Inc.		2,550	$	88,689
Banner Corp.		1,859		86,611
BGC Partners, Inc., Class A		25,121		100,484
Brighthouse Financial, Inc. (a)		1,710		61,911
Brightsphere Investment Group, Inc.		4,126		79,549
Brookline Bancorp, Inc.		8,926		107,469
Capitol Federal Financial, Inc.		11,715		146,437
Cathay General Bancorp		3,005		96,731
City Holding Co.		1,544		107,385
CNO Financial Group, Inc.		4,049		90,009
Cohen & Steers, Inc.		1,152		85,594
Columbia Banking System, Inc.		2,650		95,135
Columbia Financial, Inc. (a)		11,714		182,269
CVB Financial Corp.		5,129		100,016
Eagle Bancorp, Inc.		2,681		110,725
Employers Holdings, Inc.		3,204		103,137
Encore Capital Group, Inc. (a)		998		38,872
Enterprise Financial Services Corp.		2,402		83,950
Evercore, Inc.		1,181		129,485
FB Financial Corp.		2,698		93,702
FBL Financial Group, Inc., Class A		1,770		92,943
Federal Agricultural Mortgage Corp., Class C		1,212		89,991
Federated Hermes, Inc.		2,950		85,226
First Bancorp, Inc.		10,535		97,133
First Busey Corp.		4,274		92,105
First Commonwealth Financial Corp.		9,749		106,654
First Financial Bancorp		4,832		84,705
First Hawaiian, Inc.		4,997		117,828
First Interstate BancSystem, Inc., Class A		2,539		103,515
First Merchants Corp.		3,090		115,596
First Midwest Bancorp, Inc.		6,480		103,162
FirstCash, Inc.		1,593		111,574
Flagstar Bancorp, Inc.		2,271		92,566
FNB Corp.		8,287		78,727
Focus Financial Partners, Inc., Class A (a)		1,840		80,040
Fulton Financial Corp.		7,768		98,809
German American Bancorp, Inc.		3,373		111,613
Green Dot Corp., Class A (a)		1,071		59,762
Heartland Financial USA, Inc.		2,108		85,100
Heritage Financial Corp.		4,099		95,876
Hilltop Holdings, Inc.		3,520		96,835
Home BancShares, Inc.		4,151		80,861
Hope Bancorp, Inc.		9,370		102,227
Horace Mann Educators Corp.		2,363		99,341
Independent Bank Corp.		1,359		99,261
Independent Bank Group, Inc.		1,338		83,652
International Bancshares Corp.		2,103		78,736
Investors Bancorp, Inc.		9,901		104,555
Kearny Financial Corp.		12,398		130,923	��
Lakeland Financial Corp.		1,806		96,765

See notes to financial statements.

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Security Description	Shares		Value
Live Oak Bancshares, Inc. (b)		2,845	$	135,023
Mercury General Corp.		2,348		122,589
Moelis & Co., Class A		2,966		138,690
Mr. Cooper Group, Inc. (a)		2,906		90,173
National Bank Holdings Corp., Class A		3,165		103,685
National Western Life Group, Inc., Class A		320		66,061
Navient Corp.		6,507		63,899
NBT Bancorp, Inc.		3,122		100,216
Nelnet, Inc., Class A		1,608		114,554
NMI Holdings, Inc., Class A (a)		3,327		75,357
Northwest Bancshares, Inc.		9,763		124,381
Oceanfirst Financial Corp.		5,121		95,404
Old National Bancorp		6,554		108,534
Pacific Premier Bancorp, Inc.		2,942		92,173
Palomar Holdings, Inc. (a)		667		59,256
Park National Corp. (b)		878		92,199
Piper Sandler Cos.		972		98,075
PJT Partners, Inc., Class A		1,344		101,136
PRA Group, Inc. (a)		1,467		58,181
Premier Financial Corp.		3,477		79,971
Provident Financial Services, Inc.		5,165		92,763
Radian Group, Inc.		3,331		67,453
Renasant Corp. (b)		3,260		109,797
S&T Bancorp, Inc.		4,111		102,117
Safety Insurance Group, Inc.		1,520		118,408
Sandy Spring Bancorp, Inc.		3,178		102,300
Seacoast Banking Corp. of Florida (a)		3,522		103,723
ServisFirst Bancshares, Inc.		2,120		85,415
Simmons First National Corp., Class A		4,498		97,112
SLM Corp.		10,677		132,288
Southside Bancshares, Inc.		3,357		104,168
Sterling Bancorp		4,454		80,083
Stewart Information Services Corp.		1,928		93,238
Stock Yards Bancorp, Inc.		1,950		78,936
StoneX Group, Inc. (a)		1,304		75,502
Tompkins Financial Corp. (b)		1,258		88,815
Towne Bank		4,588		107,726
TriCo Bancshares		3,177		112,085
Triumph Bancorp, Inc. (a)		2,139		103,848
Trupanion, Inc. (a)		1,048		125,455
Trustmark Corp.		3,728		101,812
UMB Financial Corp.		1,541		106,314
United Community Banks, Inc.		3,875		110,205
Veritex Holdings, Inc.		3,583		91,940
Victory Capital Holdings, Inc., Class A (c)		5,002		124,100
Virtus Investment Partners, Inc.		495		107,415
Waddell & Reed Financial, Inc., Class A		6,554		166,929
Walker & Dunlop, Inc.		1,134		104,351
Washington Federal, Inc.		3,547		91,300
Webster Financial Corp.		2,264		95,428

See notes to financial statements.

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Security Description	Shares		Value
WesBanco, Inc.		3,671	$	109,983
Westamerica Bancorp		1,706		94,325
White Mountains Insurance Group Ltd.		126		126,083
Wintrust Financial Corp.		1,362		83,205
WSFS Financial Corp.		2,395		107,488
				11,778,722
Health Care (9.5%):
Acadia Healthcare Co., Inc. (a)		1,794		90,166
Addus HomeCare Corp. (a)		724		84,773
AMN Healthcare Services, Inc. (a)		1,439		98,212
Amphastar Pharmaceuticals, Inc. (a)		5,350		107,589
Anika Therapeutics, Inc. (a)		2,046		92,602
Antares Pharma, Inc. (a)		24,618		98,226
Atrion Corp.		171		109,823
BioLife Solutions, Inc. (a)		2,976		118,713
BioTelemetry, Inc. (a)		2,098		151,224
Brookdale Senior Living, Inc. (a)		15,221		67,429
Cantel Medical Corp.		985		77,677
Castle Biosciences, Inc. (a)		1,468		98,576
Coherus Biosciences, Inc. (a)		4,102		71,293
Corcept Therapeutics, Inc. (a)		8,033		210,143
CorVel Corp. (a)		937		99,322
Enanta Pharmaceuticals, Inc. (a) (b)		1,756		73,928
Fulgent Genetics, Inc. (a) (b)		1,341		69,866
Hanger, Inc. (a)		3,562		78,328
HealthStream, Inc. (a)		4,837		105,640
HMS Holdings Corp. (a)		4,574		168,095
Innoviva, Inc. (a)		7,893		97,794
Inogen, Inc. (a)		2,176		97,224
Integer Holdings Corp. (a)		1,096		88,984
Ironwood Pharmaceuticals, Inc. (a)		9,456		107,704
Lantheus Holdings, Inc. (a)		5,519		74,451
LeMaitre Vascular, Inc. (b)		2,392		96,876
Luminex Corp.		3,234		74,770
Magellan Health, Inc. (a)		982		81,349
Meridian Bioscience, Inc. (a)		4,392		82,086
National Healthcare Corp.		1,681		111,635
National Research Corp.		1,292		55,233
NextGen Healthcare, Inc. (a)		3,736		68,145
Omnicell, Inc. (a)		1,451		174,148
Phibro Animal Health Corp., Class A		3,592		69,757
Prestige Consumer Healthcare, Inc. (a)		3,094		107,888
R1 RCM, Inc. (a)		5,275		126,706
Select Medical Holdings Corp. (a)		2,931		81,071
SIGA Technologies, Inc. (a)		12,607		91,653
Simulations Plus, Inc.		1,387		99,753
STAAR Surgical Co. (a)		1,701		134,754
Supernus Pharmaceuticals, Inc. (a)		4,151		104,439
Surmodics, Inc. (a)		1,822		79,293
The Pennant Group, Inc. (a)		1,227		71,240

See notes to financial statements.

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Security Description	Shares		Value
U.S. Physical Therapy, Inc.		726	$	87,302
Vanda Pharmaceuticals, Inc. (a)		8,230		108,142
Zynex, Inc. (a) (b)		3,731		50,219
				4,494,241
Industrials (19.4%):
AAON, Inc.		1,522		101,411
AAR Corp.		2,251		81,531
ACCO Brands Corp.		11,431		96,592
AeroVironment, Inc. (a)		1,148		99,761
Alamo Group, Inc.		817		112,705
Albany International Corp.		1,336		98,089
Ameresco, Inc., Class A (a)		2,083		108,816
American Woodmark Corp. (a)		576		54,058
Apogee Enterprises, Inc.		2,684		85,029
Applied Industrial Technologies, Inc.		1,239		96,630
ArcBest Corp.		2,306		98,397
Arcosa, Inc.		1,735		95,304
Astec Industries, Inc.		1,757		101,695
Atkore International Group, Inc. (a)		1,949		80,123
AZZ, Inc.		2,355		111,721
Barnes Group, Inc.		1,610		81,611
Brady Corp., Class A		2,039		107,700
Casella Waste Systems, Inc. (a)		1,699		105,253
CBIZ, Inc. (a)		4,388		116,765
Chart Industries, Inc. (a)		725		85,398
Cimpress PLC (a)		513		45,011
Columbus McKinnon Corp.		2,003		76,995
Comfort Systems USA, Inc.		1,454		76,568
Construction Partners, Inc., Class A (a)		3,943		114,781
CSW Industrials, Inc.		1,377		154,099
Dycom Industries, Inc. (a)		812		61,322
Echo Global Logistics, Inc. (a)		3,059		82,042
Encore Wire Corp.		1,883		114,053
Energy Recovery, Inc. (a)		9,545		130,193
Ennis, Inc.		5,820		103,887
EnPro Industries, Inc.		1,212		91,530
ESCO Technologies, Inc.		1,052		108,587
Evoqua Water Technologies Corp. (a)		2,878		77,648
Federal Signal Corp.		3,218		106,741
Forrester Research, Inc. (a)		1,842		77,180
Forward Air Corp.		1,672		128,477
Foundation Building Materials, Inc. (a)		3,854		74,035
Franklin Electric Co., Inc.		1,464		101,323
GATX Corp.		1,293		107,552
Gibraltar Industries, Inc. (a)		1,349		97,047
GMS, Inc. (a)		2,288		69,738
GrafTech International Ltd.		9,425		100,471
Great Lakes Dredge & Dock Corp. (a)		9,054		119,240
Griffon Corp.		2,762		56,290
H&E Equipment Services, Inc.		3,089		92,083

See notes to financial statements.

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Security Description	Shares		Value
Healthcare Services Group		3,607	$	101,357
Heartland Express, Inc.		6,220		112,582
Helios Technologies, Inc.		1,799		95,869
Herc Holdings, Inc. (a)		1,161		77,102
HNI Corp.		2,235		77,018
Hub Group, Inc., Class A (a)		1,954		111,378
Hyster-Yale Materials Handling, Inc.		1,794		106,833
ICF International, Inc.		1,319		98,041
Insperity, Inc.		879		71,568
JELD-WEN Holding, Inc. (a)		2,327		59,013
Kadant, Inc.		713		100,519
Kaman Corp.		1,580		90,265
KAR Auction Services, Inc.		3,923		73,007
Kforce, Inc.		2,450		103,121
Knoll, Inc.		5,122		75,191
Korn Ferry		2,688		116,927
Kratos Defense & Security Solutions, Inc. (a)		3,692		101,272
Lindsay Corp.		945		121,395
Macquarie Infrastructure Corp.		1,926		72,321
Marten Transport Ltd.		4,811		82,894
Matson, Inc.		1,778		101,293
McGrath RentCorp		1,274		85,485
Meritor, Inc. (a)		3,116		86,968
Moog, Inc., Class A		1,074		85,168
Mueller Industries, Inc.		2,357		82,754
Mueller Water Products, Inc., Class A		8,126		100,600
MYR Group, Inc. (a)		1,687		101,389
National Presto Industries, Inc.		1,253		110,803
NV5 Global, Inc. (a)		1,197		94,300
Patrick Industries, Inc.		900		61,515
PGT Innovations, Inc. (a)		3,532		71,841
Primoris Services Corp.		3,229		89,153
Raven Industries, Inc.		3,032		100,329
Rush Enterprises, Inc., Class A		2,884		119,455
SkyWest, Inc.		1,214		48,936
Spirit Airlines, Inc. (a)		2,245		54,891
SPX Corp. (a)		1,872		102,099
Standex International Corp.		1,317		102,094
Steelcase, Inc., Class A		6,155		83,400
Systemax, Inc.		4,336		155,619
Tennant Co.		1,291		90,589
Terex Corp.		3,549		123,825
The Brink's Co.		1,358		97,776
The Gorman-Rupp Co.		2,628		85,279
The Greenbrier Cos., Inc.		2,339		85,093
TriMas Corp. (a)		3,850		121,930
Trinity Industries, Inc.		4,543		119,890
Triton International Ltd.		2,488		120,693
Valmont Industries, Inc.		791		138,369
Vectrus, Inc. (a)		1,971		97,998

See notes to financial statements.

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Security Description	Shares		Value
Welbilt, Inc. (a)		6,683	$	88,216
WESCO International, Inc. (a)		1,255		98,518
				9,239,423
Information Technology (11.9%):
A10 Networks, Inc. (a)		9,072		89,450
ACM Research, Inc., Class A (a)		492		39,975
Advanced Energy Industries, Inc. (a)		932		90,376
Alarm.com Holdings, Inc. (a)		1,521		157,347
Amkor Technology, Inc.		5,181		78,129
Axcelis Technologies, Inc. (a)		2,747		79,993
Badger Meter, Inc.		1,449		136,293
Benchmark Electronics, Inc.		3,598		97,182
Cass Information Systems, Inc.		2,313		89,999
CEVA, Inc. (a)		1,922		87,451
ChannelAdvisor Corp. (a)		3,281		52,430
CommVault Systems, Inc. (a)		2,272		125,801
CSG Systems International, Inc.		3,102		139,807
CTS Corp.		4,244		145,697
Digital Turbine, Inc. (a)		2,102		118,889
Diodes, Inc. (a)		1,812		127,746
Ebix, Inc.		1,940		73,662
Endurance International Group Holdings, Inc. (a)		8,056		76,129
ePlus, Inc. (a)		1,093		96,129
EVERTEC, Inc.		2,623		103,136
ExlService Holdings, Inc. (a)		1,277		108,711
FormFactor, Inc. (a)		3,028		130,264
GreenSky, Inc., Class A (a)		12,855		59,519
Ichor Holdings Ltd. (a)		2,210		66,620
Insight Enterprises, Inc. (a)		1,421		108,124
InterDigital, Inc.		1,377		83,556
Knowles Corp. (a)		6,700		123,481
Methode Electronics, Inc.		3,332		127,549
MicroStrategy, Inc. (a)		768		298,407
Mitek Systems, Inc. (a)		7,835		139,306
MTS Systems Corp.		2,235		129,988
NCR Corp. (a)		2,676		100,537
NETGEAR, Inc. (a)		2,692		109,376
NetScout Systems, Inc. (a)		4,048		110,996
NIC, Inc.		5,783		149,374
OneSpan, Inc. (a)		2,949		60,985
OSI Systems, Inc. (a)		1,388		129,389
PC Connection, Inc.		1,898		89,756
Perficient, Inc. (a)		1,427		67,997
Photronics, Inc. (a)		8,281		92,416
Plexus Corp. (a)		1,105		86,422
Progress Software Corp.		3,278		148,133
Rogers Corp. (a)		698		108,392
Sanmina Corp. (a)		3,000		95,670
SPS Commerce, Inc. (a)		1,288		139,864
SunPower Corp. (a) (b)		4,631		118,739

See notes to financial statements.

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Security Description	Shares		Value
Super Micro Computer, Inc. (a)		2,862	$	90,611
Sykes Enterprises, Inc. (a)		2,759		103,932
Synaptics, Inc. (a)		889		85,700
Teradata Corp. (a)		4,005		89,992
TTEC Holdings, Inc.		1,562		113,917
Ultra Clean Holdings, Inc. (a)		2,530		78,810
Verra Mobility Corp. (a)		6,459		86,680
Vishay Intertechnology, Inc.		5,152		106,698
				5,745,532
Materials (7.0%):
Avient Corp.		2,345		94,457
Boise Cascade Co.		1,673		79,969
Cabot Corp.		2,090		93,799
Carpenter Technology Corp.		2,777		80,866
Chase Corp.		659		66,566
Clearwater Paper Corp. (a)		1,536		57,984
Cleveland-Cliffs, Inc. (b)		8,920		129,876
Commercial Metals Co.		3,760		77,230
Compass Minerals International, Inc.		1,549		95,604
Domtar Corp.		2,312		73,175
Element Solutions, Inc.		8,103		143,666
Forterra, Inc. (a)		3,381		58,136
Futurefuel Corp.		6,712		85,242
GCP Applied Technologies, Inc. (a)		2,870		67,876
Greif, Inc., Class A		2,070		97,042
H.B. Fuller Co.		1,802		93,488
Hawkins, Inc.		1,704		89,136
Ingevity Corp. (a)		1,221		92,466
Innospec, Inc.		1,100		99,803
Kaiser Aluminum Corp.		1,223		120,955
Koppers Holdings, Inc. (a)		1,868		58,207
Livent Corp. (a) (b)		6,590		124,156
Materion Corp.		1,434		91,374
Minerals Technologies, Inc.		1,460		90,695
Myers Industries, Inc.		3,894		80,917
Orion Engineered Carbons SA		4,934		84,569
PQ Group Holdings, Inc.		8,093		115,406
Schnitzer Steel Industries, Inc.		3,731		119,056
Schweitzer-Mauduit International, Inc.		2,720		109,371
Sensient Technologies Corp.		2,010		148,278
Stepan Co.		753		89,848
Summit Materials, Inc., Class A (a)		3,173		63,714
Tredegar Corp.		6,015		100,451
W.R. Grace & Co.		2,104		115,341
Warrior Met Coal, Inc.		3,878		82,679
Worthington Industries, Inc.		1,647		84,557
				3,355,955
Real Estate (1.4%):
Forestar Group, Inc. (a)		4,407		88,933

See notes to financial statements.

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Security Description	Shares		Value
Kennedy-Wilson Holdings, Inc.		5,773	$	103,279
Marcus & Millichap, Inc. (a) (b)		2,798		104,170
Newmark Group, Inc., Class A		8,371		61,025
The RMR Group, Inc., Class A		3,038		117,328
The St. Joe Co.		4,554		193,316
				668,051
Utilities (3.2%):
ALLETE, Inc.		1,653		102,387
American States Water Co.		1,167		92,788
Avista Corp.		2,391		95,975
California Water Service Group		1,965		106,169
Chesapeake Utilities Corp.		1,132		122,493
MGE Energy, Inc.		1,241		86,907
Middlesex Water Co.		1,494		108,270
New Jersey Resources Corp.		2,429		86,351
Northwest Natural Holding Co.		1,518		69,813
NorthWestern Corp.		1,697		98,952
Otter Tail Corp.		2,039		86,882
SJW Group		1,303		90,376
South Jersey Industries, Inc.		3,933		84,756
Spire, Inc.		1,616		103,489
The York Water Co.		1,791		83,461
Unitil Corp.		2,196		97,217
				1,516,286
Total Common Stocks (Cost $35,973,436)				47,588,147
Investment Companies (0.2%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.02% (d)		106,420		106,420
Total Investment Companies (Cost $106,420)				106,420
Collateral for Securities Loaned^ (2.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (d)		20,769		20,769
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		713,533		713,533
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (d)		10,365		10,365
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (d)		82,645		82,645
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (d)		371,588		371,588
Total Collateral for Securities Loaned (Cost $1,198,900)				1,198,900
Total Investments (Cost $37,278,756) — 102.4%				48,893,467
Liabilities in excess of other assets — (2.4)%				(1,160,800	)
NET ASSETS — 100.00%			$	47,732,667

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

See notes to financial statements.

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(c)  Affiliated security (See Note 8).

(d)  Rate disclosed is the daily yield on December 31, 2020.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini Russell 2000 Index Futures		1	3/19/21	$	95,082	$	98,740	$	3,658
	Total unrealized appreciation							$	3,658
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	3,658

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.1%)
Australia (4.3%):
Communication Services (0.5%):
REA Group Ltd.		687	$	78,828
Telstra Corp. Ltd.		46,572		106,975
				185,803
Consumer Discretionary (0.1%):
Aristocrat Leisure Ltd.		2,380		56,870
Consumer Staples (0.7%):
Coles Group Ltd.		7,112		99,443
Wesfarmers Ltd.		2,324		90,284
Woolworths Group Ltd.		3,309		100,263
				289,990
Financials (1.5%):
ASX Ltd.		1,429		79,306
Australia & New Zealand Banking Group Ltd.		4,329		75,745
Commonwealth Bank of Australia		1,360		86,075
Insurance Australia Group Ltd.		21,652		78,440
Macquarie Group Ltd.		630		67,247
Magellan Financial Group Ltd.		1,120		46,325
National Australia Bank Ltd.		4,700		81,875
Suncorp Group Ltd.		9,107		68,372
Westpac Banking Corp.		4,771		71,233
				654,618
Health Care (0.5%):
CSL Ltd.		326		71,158
Ramsay Health Care Ltd.		1,353		64,847
Sonic Healthcare Ltd.		3,120		77,318
				213,323
Industrials (0.2%):
Brambles Ltd.		10,554		86,231
Materials (0.8%):
BHP Group Ltd.		2,597		84,935
Fortescue Metals Group Ltd.		4,650		83,979
Newcrest Mining Ltd.		2,607		51,804
Rio Tinto Ltd.		1,316		115,466
				336,184
				1,823,019
Austria (0.5%):
Energy (0.1%):
OMV AG		1,432		57,723
Financials (0.2%):
Erste Group Bank AG (a)		2,221		67,660

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.2%):
Verbund AG (b)		1,036	$	88,393
				213,776
Belgium (1.2%):
Consumer Staples (0.2%):
Etablissements Franz Colruyt		1,071		63,410
Financials (0.7%):
Ageas SA/NV		1,318		70,160
Groupe Bruxelles Lambert SA		797		80,336
KBC Group NV (a)		891		62,341
Sofina SA		275		93,047
				305,884
Health Care (0.2%):
Galapagos NV (a)		379		37,258
UCB SA		612		63,153
				100,411
Materials (0.1%):
Umicore SA		1,321		63,398
				533,103
Canada (7.6%):
Communication Services (0.7%):
BCE, Inc.		1,866		79,804
Rogers Communications, Inc.		1,741		81,065
Shaw Communications, Inc., Class B		4,025		70,652
TELUS Corp. (b)		4,297		85,116
				316,637
Consumer Discretionary (0.4%):
Dollarama, Inc.		2,253		91,841
Restaurant Brands International, Inc.		966		59,074
				150,915
Consumer Staples (1.1%):
Alimentation Couche-Tard, Inc., Class B		2,269		77,339
George Weston Ltd. (b)		1,138		85,017
Loblaw Cos. Ltd.		1,678		82,812
Metro, Inc.		2,425		108,227
Saputo, Inc.		3,357		93,981
				447,376
Energy (0.4%):
Canadian Natural Resources Ltd.		1,825		43,865
Enbridge, Inc.		1,812		57,961
Pembina Pipeline Corp. (b)		1,349		31,904
TC Energy Corp.		1,201		48,835
				182,565

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.0%):
Bank of Montreal		902	$	68,591
Brookfield Asset Management, Inc., Class A		1,631		67,434
Canadian Imperial Bank of Commerce		794		67,827
Great-West Lifeco, Inc.		2,807		66,938
Intact Financial Corp.		749		88,701
Manulife Financial Corp.		3,522		62,680
National Bank of Canada		990		55,727
Power Corp. of Canada (b)		2,406		55,259
Royal Bank of Canada		936		76,920
Sun Life Financial, Inc.		1,556		69,199
The Bank of Nova Scotia		1,511		81,682
The Toronto-Dominion Bank		1,297		73,293
				834,251
Industrials (0.8%):
Canadian National Railway Co.		805		88,514
Canadian Pacific Railway Ltd. (b)		236		81,874
Thomson Reuters Corp.		1,237		101,258
Waste Connections, Inc.		853		87,478
				359,124
Information Technology (0.6%):
CGI, Inc. (a)		1,246		98,871
Constellation Software, Inc.		76		98,705
Open Text Corp.		1,698		77,169
Topicus.com, Inc. (a) (c) (f)		141		534
				275,279
Materials (0.8%):
Aginco Eagle Mines Ltd.		669		47,093
Barrick Gold Corp.		1,965		44,775
Franco-Nevada Corp.		444		55,679
Kinross Gold Corp.		4,831		35,454
Kirkland Lake Gold Ltd. (b)		857		35,419
Nutrien Ltd. (b)		1,711		82,330
Wheaton Precious Metals Corp.		1,175		49,079
				349,829
Utilities (0.8%):
Algonquin Power & Utilities Corp.		4,553		74,947
Emera, Inc.		1,860		79,065
Fortis, Inc.		1,882		76,895
Hydro One Ltd. (d)		4,317		97,181
				328,088
				3,244,064
Denmark (2.9%):
Consumer Staples (0.2%):
Carlsberg A/S, Class B		664		106,303

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.4%):
Danske Bank A/S		4,556	$	75,280
Tryg A/S		3,012		94,987
				170,267
Health Care (0.9%):
Coloplast A/S, Class B		592		90,344
Genmab A/S (a)		204		82,486
GN Store Nord A/S		977		78,142
Novo Nordisk A/S, Class B		1,716		120,191
				371,163
Industrials (0.7%):
AP Moller — Maersk A/S, Class B		40		89,273
DSV PANALPINA A/S		460		77,027
Vestas Wind Systems A/S		470		111,069
				277,369
Materials (0.4%):
Christian Hansen Holding A/S (a)		798		82,061
Novozymes A/S, B Shares		1,654		94,900
				176,961
Utilities (0.3%):
Orsted A/S (b) (d)		643		131,262
				1,233,325
Finland (1.9%):
Communication Services (0.2%):
Elisa Oyj		1,487		81,500
Consumer Staples (0.2%):
Kesko Oyj, Class B		3,306		84,965
Energy (0.2%):
Neste Oyj		1,104		79,779
Financials (0.3%):
Nordea Bank Abp (a)		8,907		72,804
Sampo Oyj, Class A (b)		1,520		64,185
				136,989
Industrials (0.2%):
Kone Oyj, Class B		1,350		109,594
Information Technology (0.1%):
Nokia Oyj (a)		13,168		50,683
Materials (0.5%):
Stora Enso Oyj, Class R		4,998		95,513
UPM-Kymmene Oyj		2,907		108,195
				203,708
Utilities (0.2%):
Fortum Oyj		3,453		83,091
				830,309

See notes to financial statements.

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Security Description	Shares		Value
France (8.0%):
Communication Services (0.8%):
Iliad SA		350	$	71,866
Orange SA		8,332		99,068
Publicis Groupe SA		1,620		80,657
Vivendi SA		2,933		94,510
				346,101
Consumer Discretionary (1.2%):
Cie Generale des Etablissements Michelin SCA		626		80,251
Hermes International		109		117,112
Kering SA		113		82,044
LVMH Moet Hennessy Louis Vuitton SE		172		107,339
SEB SA		421		76,623
Sodexo SA		776		65,612
				528,981
Consumer Staples (1.2%):
Carrefour SA		5,032		86,236
Danone SA		1,561		102,507
L'Oreal SA		283		107,438
Pernod Ricard SA		626		119,898
Remy Cointreau SA		441		82,041
				498,120
Financials (0.9%):
Amundi SA (d)		839		68,459
AXA SA		3,033		72,288
BNP Paribas SA (a)		1,242		65,394
CNP Assurances		2,883		46,414
Credit Agricole SA		5,295		66,748
Natixis SA (a)		12,318		41,964
				361,267
Health Care (0.5%):
BioMerieux		421		59,344
Sanofi		1,099		105,649
Sartorius Stedim Biotech (b)		179		63,670
				228,663
Industrials (2.3%):
Alstom SA (a)		1,302		74,128
Bollore SA		16,963		70,076
Bouygues SA		1,348		55,407
Bureau Veritas SA		3,371		89,600
Cie de Saint-Gobain (a)		1,467		67,198
Edenred		1,336		75,737
Eiffage SA		636		61,404
Getlink SE (b)		4,150		71,881
Legrand SA		878		78,290
Safran SA (a)		336		47,589
Schneider Electric SE		586		84,679

See notes to financial statements.

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Security Description	Shares		Value
Teleperformance		208	$	68,929
Thales SA		819		74,930
Vinci SA		576		57,243
				977,091
Information Technology (0.5%):
Atos SE (a)		822		75,084
Capgemini SE		465		72,022
Dassault Systemes SA		397		80,571
				227,677
Materials (0.4%):
Air Liquide SA		556		91,176
Arkema SA		566		64,643
				155,819
Utilities (0.2%):
Veolia Environnement SA		2,896		70,784
				3,394,503
Germany (7.3%):
Communication Services (0.6%):
Deutsche Telekom AG		5,324		97,256
Scout24 AG (d)		1,149		94,105
United Internet AG, Registered Shares		1,791		75,322
				266,683
Consumer Discretionary (0.8%):
adidas AG (a) (b)		227		82,601
Bayerische Motoren Werke AG		857		75,612
Puma SE (a) (b)		704		79,354
Zalando SE (a) (b) (d)		771		85,758
				323,325
Consumer Staples (0.2%):
Beiersdorf AG		947		109,244
Financials (0.8%):
Allianz SE		303		74,282
Deutsche Boerse AG		420		71,439
Hannover Rueck SE		401		63,823
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		210		62,282
Talanx AG		1,605		62,265
				334,091
Health Care (0.9%):
Carl Zeiss Meditec AG		605		80,478
Fresenius Medical Care AG & Co. KGaA		1,286		107,131
Fresenius SE & Co. KGaA		1,552		71,735
Merck KGaA		671		115,034
				374,378

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.9%):
Brenntag AG		1,149	$	88,898
Deutsche Post AG, Registered Shares		1,571		77,718
KION Group AG (b)		714		62,062
MTU Aero Engines AG		224		58,389
Siemens AG, Registered Shares		562		80,675
				367,742
Information Technology (0.8%):
Bechtle AG		378		82,372
Infineon Technologies AG		1,903		72,966
Nemetschek SE		754		55,629
SAP SE (b)		522		68,365
TeamViewer AG (a) (d)		1,050		56,215
				335,547
Materials (1.0%):
BASF SE		1,121		88,621
Covestro AG (d)		1,448		89,285
Evonik Industries AG		2,345		76,422
HeidelbergCement AG		922		68,947
Symrise AG		730		96,659
				419,934
Real Estate (0.7%):
Deutsche Wohnen SE		2,130		113,672
LEG Immobilien AG		600		93,122
Vonovia SE		1,332		97,231
				304,025
Utilities (0.6%):
E.ON SE		7,972		88,263
RWE AG		1,850		78,120
Uniper SE		2,857		98,552
				264,935
				3,099,904
Hong Kong (4.4%):
Consumer Discretionary (0.3%):
Galaxy Entertainment Group Ltd.		8,546		66,419
Techtronic Industries Co. Ltd.		5,025		71,691
				138,110
Consumer Staples (0.3%):
Sun Art Retail Group Ltd.		55,686		56,604
WH Group Ltd. (d)		83,893		70,342
				126,946
Financials (0.8%):
AIA Group Ltd.		8,427		103,269
Hang Seng Bank Ltd.		6,585		113,570
Hong Kong Exchanges and Clearing Ltd.		1,855		101,697
				318,536

See notes to financial statements.

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Security Description	Shares			Value
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		61,394		$	59,397
Industrials (0.5%):
CK Hutchison Holdings Ltd.		13,523			94,372
MTR Corp. Ltd.		21,661			121,128
					215,500
Real Estate (1.4%):
CK Asset Holdings Ltd.		14,729			75,619
Hang Lung Properties Ltd.		32,315			85,246
Henderson Land Development Co. Ltd.		27,618			107,769
New World Development Co. Ltd.		16,899			78,694
Shimao Group Holdings Ltd.		14,697			46,827
Sino Land Co. Ltd.		75,959			98,964
Sun Hung Kai Properties Ltd.		7,864			101,442
					594,561
Utilities (1.0%):
China Common Rich Renewable Energy INV Ltd. (a) (c) (f)		26,000			671
CK Infrastructure Holdings Ltd.		16,422			88,230
CLP Holdings Ltd.		13,950			129,023
Hong Kong and China Gas Co. Ltd.		79,394			118,596
Power Assets Holdings Ltd.		19,687			106,661
					443,181
					1,896,231
Ireland (1.4%):
Consumer Discretionary (0.2%):
Flutter Entertainment PLC		363			74,995
Consumer Staples (0.2%):
Kerry Group PLC		728			108,399
Industrials (0.6%):
DCC PLC		812			57,489
Experian PLC		1,890			71,763
Kingspan Group PLC (a)		803			59,489
Ryanair Holdings PLC, ADR (a)		707			77,756
					266,497
Materials (0.4%):
CRH PLC		1,606			68,327
Smurfit Kappa Group PLC		1,862			87,565
					155,892
					605,783
Israel (0.6%):
Financials (0.2%):
Bank Hapoalim BM		13,417			91,898
Isracard Ltd.		—	(e)		2
					91,900

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.1%):
Teva Pharmaceutical Industries Ltd. (a)		5,123	$	48,749
Information Technology (0.3%):
Nice Ltd. (a)		338		94,751
				235,400
Italy (2.3%):
Communication Services (0.4%):
Infrastrutture Wireless Italiane SpA (b) (d)		7,778		94,343
Telecom Italia SpA		117,184		54,021
				148,364
Consumer Discretionary (0.2%):
Moncler SpA		1,697		103,934
Energy (0.2%):
Snam SpA		13,430		75,478
Financials (0.7%):
Assicurazioni Generali SpA		5,464		95,174
FinecoBank Banca Fineco SpA (a) (b)		4,152		67,960
Intesa Sanpaolo SpA (a)		30,015		70,122
Poste Italiane SpA (d)		6,694		68,030
				301,286
Health Care (0.3%):
DiaSorin SpA		350		72,721
Recordati Industria Chimica e Farmaceutica SpA		1,269		70,265
				142,986
Information Technology (0.1%):
Nexi SpA (a) (d)		2,972		59,319
Utilities (0.4%):
Enel SpA		8,370		84,613
Terna Rete Elettrica Nazionale SpA		11,010		84,054
				168,667
				1,000,034
Japan (19.8%):
Communication Services (1.5%):
KDDI Corp.		3,508		104,180
Nexon Co. Ltd.		2,800		86,246
Nintendo Co. Ltd.		200		127,528
Nippon Telegraph & Telephone Corp.		4,928		126,279
Softbank Corp.		11,000		137,766
Z Holdings Corp.		8,830		53,404
				635,403
Consumer Discretionary (3.4%):
Bandai Namco Holdings, Inc.		1,500		129,688
Bridgestone Corp.		3,160		103,578
Fast Retailing Co. Ltd.		100		89,568

See notes to financial statements.

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Security Description	Shares		Value
Honda Motor Co. Ltd.		2,700	$	75,254
Nitori Holdings Co. Ltd.		530		110,990
Oriental Land Co. Ltd.		608		100,352
Pan Pacific International Holdings Corp.		3,400		78,644
Panasonic Corp.		7,600		87,639
Sekisui House Ltd.		4,472		90,965
Shimano, Inc.		440		102,648
Sony Corp.		1,300		129,509
Subaru Corp.		3,300		65,926
Suzuki Motor Corp.		1,300		60,215
Toyota Industries Corp.		1,508		119,629
Toyota Motor Corp.		1,424		109,752
				1,454,357
Consumer Staples (1.5%):
Asahi Group Holdings Ltd.		2,360		97,015
Japan Tobacco, Inc.		6,444		131,202
Kao Corp.		1,418		109,468
Kirin Holdings Co. Ltd.		4,200		99,020
Seven & i Holdings Co. Ltd.		2,400		85,060
Unicharm Corp.		2,194		103,962
				625,727
Financials (2.6%):
Dai-ichi Life Holdings, Inc.		4,688		70,474
Japan Exchange Group, Inc.		3,600		91,988
Japan Post Bank Co. Ltd.		11,812		96,908
Japan Post Holdings Co. Ltd.		12,600		97,978
Mitsubishi UFJ Financial Group, Inc.		21,500		94,984
Mizuho Financial Group, Inc.		6,600		83,587
MS&AD Insurance Group Holdings, Inc.		4,100		124,740
Nomura Holdings, Inc.		14,500		76,545
ORIX Corp.		5,768		88,526
Sompo Holdings, Inc.		2,000		80,841
Sumitomo Mitsui Financial Group, Inc.		3,084		95,232
Tokio Marine Holdings, Inc.		2,000		102,828
				1,104,631
Health Care (3.0%):
Astellas Pharma, Inc.		5,552		85,721
Chugai Pharmaceutical Co. Ltd.		1,890		100,743
Daiichi Sankyo Co. Ltd.		2,500		85,601
Eisai Co. Ltd.		854		60,981
Hoya Corp.		918		126,887
Kyowa Kirin Co. Ltd.		3,300		89,948
M3, Inc.		1,200		113,247
Olympus Corp.		3,000		65,571
Ono Pharmaceutical Co. Ltd.		3,384		101,874
Otsuka Holdings Co. Ltd.		2,000		85,587
Shionogi & Co. Ltd.		1,528		83,401
Sysmex Corp.		974		116,986

See notes to financial statements.

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Security Description	Shares		Value
Takeda Pharmaceutical Co. Ltd.		2,500	$	90,929
Terumo Corp.		2,000		83,533
				1,291,009
Industrials (3.4%):
Central Japan Railway Co.		554		78,292
Daikin Industries Ltd.		466		103,455
FANUC Corp.		430		105,626
ITOCHU Corp.		4,200		120,581
Komatsu Ltd.		3,488		95,190
Kubota Corp.		4,804		104,744
Mitsubishi Corp.		4,692		115,482
Mitsubishi Electric Corp.		6,852		103,337
Mitsui & Co. Ltd.		4,986		91,254
Nidec Corp.		954		119,943
Recruit Holdings Co. Ltd.		1,520		63,618
Secom Co. Ltd.		1,210		111,542
SG Holdings Co. Ltd.		3,400		92,608
SMC Corp.		114		69,511
Sumitomo Corp.		6,898		91,236
				1,466,419
Information Technology (3.2%):
Canon, Inc. (b)		4,614		88,401
FUJIFILM Holdings Corp.		1,660		87,438
Fujitsu Ltd.		600		86,623
Hitachi Ltd.		2,200		86,623
Keyence Corp.		228		128,090
Kyocera Corp.		1,700		104,167
Murata Manufacturing Co. Ltd.		1,602		144,621
NEC Corp.		1,400		75,126
Nomura Research Institute Ltd.		2,874		102,862
NTT Data Corp.		6,708		91,680
Obic Co. Ltd.		500		100,397
Omron Corp.		1,200		106,935
Oracle Corp.		700		91,195
Tokyo Electron Ltd.		226		84,060
				1,378,218
Materials (0.5%):
Nippon Paint Holdings Co. Ltd.		838		91,966
Shin-Etsu Chemical Co. Ltd.		570		99,601
				191,567
Real Estate (0.7%):
Daiwa House Industry Co. Ltd.		2,900		86,067
Mitsubishi Estate Co. Ltd.		4,452		71,455
Mitsui Fudosan Co. Ltd.		3,678		76,898
Sumitomo Realty & Development Co. Ltd.		2,000		61,623
				296,043
				8,443,374

See notes to financial statements.

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Security Description	Shares		Value
Korea, Republic Of (5.5%):
Communication Services (0.7%):
NAVER Corp.		266	$	71,631
NCSoft Corp.		94		80,569
Netmarble Corp. (a) (d)		500		60,532
SK Telecom Co. Ltd.		500		109,556
				322,288
Consumer Discretionary (0.9%):
Hyundai Mobis Co. Ltd.		321		75,507
Hyundai Motor Co.		383		67,700
Kia Motors Corp.		1,720		98,811
LG Electronics, Inc.		1,023		127,145
				369,163
Consumer Staples (0.7%):
Amorepacific Corp.		476		90,274
KT&G Corp.		1,419		108,561
LG Household & Health Care Ltd.		62		92,469
				291,304
Financials (0.5%):
KB Financial Group, Inc.		1,914		76,475
Samsung Life Insurance Co. Ltd.		995		72,459
Shinhan Financial Group Co. Ltd.		2,596		76,599
				225,533
Health Care (0.6%):
Celltrion Healthcare Co. Ltd. (a)		628		94,288
Celltrion, Inc. (a)		226		74,841
Samsung Biologics Co. Ltd. (a) (d)		92		69,961
				239,090
Industrials (0.4%):
LG Corp.		918		73,951
Samsung C&T Corp.		728		92,491
				166,442
Information Technology (1.3%):
Samsung Electro-Mechanics Co. Ltd.		596		97,669
Samsung Electronics Co. Ltd.		1,921		143,253
Samsung SDI Co. Ltd.		135		78,052
Samsung SDS Co. Ltd.		620		101,887
SK Hynix, Inc.		1,136		123,933
				544,794
Materials (0.4%):
LG Chem Ltd.		81		61,447
POSCO		484		121,201
				182,648
				2,341,262

See notes to financial statements.

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Security Description	Shares		Value
Luxembourg (0.3%):
Health Care (0.1%):
Eurofins Scientific SE (a)		839	$	70,334
Real Estate (0.2%):
Aroundtown SA		10,355		77,409
				147,743
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		15,747		69,166
Netherlands (3.3%):
Communication Services (0.2%):
Koninklijke KPN NV		31,275		95,009
Consumer Staples (0.9%):
Davide Campari-Milano NV (b)		6,994		79,793
Heineken Holding NV		1,143		107,575
Heineken NV		1,068		119,001
Koninklijke Ahold Delhaize NV		3,640		102,752
				409,121
Financials (0.6%):
ABN AMRO Bank NV (a) (b) (d)		4,916		48,159
Euronext NV (d)		605		66,621
ING Groep NV (a)		5,817		54,293
NN Group NV		1,644		71,349
				240,422
Health Care (0.2%):
Koninklijke Philips NV		1,875		100,269
Industrials (0.4%):
Randstad NV		1,198		77,909
Wolters Kluwer NV		1,254		105,783
				183,692
Information Technology (0.5%):
Adyen NV (a) (d)		48		111,693
ASML Holding NV		186		90,323
				202,016
Materials (0.5%):
Akzo Nobel NV		835		89,613
Koninklijke DSM NV		635		109,211
				198,824
				1,429,353
New Zealand (0.5%):
Consumer Staples (0.1%):
a2 Milk Co. Ltd. (a)		7,454		64,715

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.2%):
Fisher & Paykel Healthcare Corp. Ltd.		2,906	$	68,917
Information Technology (0.2%):
Xero Ltd. (a)		892		100,947
				234,579
Norway (1.5%):
Communication Services (0.4%):
Schibsted ASA, Class A (a)		1,711		73,210
Telenor ASA		6,405		109,158
				182,368
Consumer Staples (0.5%):
Mowi ASA		3,984		88,886
Orkla ASA, Class A		9,633		97,895
				186,781
Financials (0.4%):
DNB ASA (a)		4,173		81,891
Gjensidige Forsikring ASA		4,537		101,436
				183,327
Materials (0.2%):
Yara International ASA		2,161		89,864
				642,340
Portugal (0.5%):
Consumer Staples (0.3%):
Jeronimo Martins SGPS SA		5,842		98,619
Utilities (0.2%):
Energias de Portugal SA (b)		15,454		97,330
				195,949
Russian Federation (0.1%):
Materials (0.1%):
Polymetal International PLC		2,404		55,369
Singapore (1.6%):
Communication Services (0.3%):
Singapore Telecommunications Ltd.		64,500		112,764
Consumer Staples (0.2%):
Wilmar International Ltd.		23,162		81,513
Financials (0.9%):
DBS Group Holdings Ltd.		6,478		122,765
Oversea-Chinese Banking Corp. Ltd.		16,938		128,961
United Overseas Bank Ltd.		7,192		122,960
				374,686
Real Estate (0.2%):
CapitaLand Ltd.		43,536		108,074
				677,037

See notes to financial statements.

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Security Description	Shares		Value
Spain (1.7%):
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		2,681	$	85,276
Financials (0.2%):
CaixaBank SA		26,752		68,655
Health Care (0.2%):
Grifols SA		2,997		87,420
Industrials (0.1%):
Aena SME SA (a) (d)		357		62,010
Information Technology (0.1%):
Amadeus IT Group SA		929		67,587
Utilities (0.9%):
Endesa SA		3,061		83,567
Iberdrola SA		6,779		96,882
Naturgy Energy Group SA		3,971		91,966
Red Electrica Corp. SA		4,986		102,166
				374,581
				745,529
Sweden (5.6%):
Communication Services (0.4%):
Tele2 AB, B Shares		6,568		86,734
Telia Co. AB		23,907		98,724
				185,458
Consumer Discretionary (0.4%):
Evolution Gaming Group AB (b) (d)		707		71,768
Hennes & Mauritz AB, Class B (a)		3,561		74,478
				146,246
Consumer Staples (0.7%):
Essity AB, Class B		3,032		97,518
ICA Gruppen AB (b)		1,722		86,039
Swedish Match AB		1,203		93,299
				276,856
Financials (1.5%):
EQT AB (b)		2,379		60,865
Industrivarden AB, Class C		2,938		94,851
Investor AB, Class B		1,352		98,509
Kinnevik AB, Class B		1,827		92,308
L E Lundbergforetagen AB, Class B (a)		1,778		95,258
Skandinaviska Enskilda Banken AB, Class A (a)		7,103		72,984
Svenska Handelsbanken AB, Class A (a)		6,982		70,127
Swedbank AB, Class A (a)		4,194		73,499
				658,401

See notes to financial statements.

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Security Description	Shares		Value
Industrials (1.8%):
Alfa Laval AB (a)		2,805	$	77,187
Assa Abloy AB, Class B		3,450		84,952
Atlas Copco AB, Class A		1,628		83,362
Epiroc AB, Class A		5,118		93,133
Nibe Industrier AB, Class B		2,448		80,282
Sandvik AB (a)		3,369		82,466
Skanska AB, Class B		3,653		93,148
SKF AB, Class B		3,274		84,957
Volvo AB, Class B		3,553		83,729
				763,216
Information Technology (0.4%):
Hexagon AB, Class B		991		90,354
Telefonaktiebolaget LM Ericsson, Class B		6,196		73,564
				163,918
Materials (0.4%):
Boliden AB		2,090		74,056
Svenska Cellulosa AB SCA, Class B (a)		6,115		106,554
				180,610
				2,374,705
Switzerland (7.5%):
Communication Services (0.2%):
Swisscom AG, Registered Shares		195		105,124
Consumer Discretionary (0.5%):
Cie Financiere Richemont SA, Registered Shares		1,183		107,045
The Swatch Group AG, B Shares (b)		353		96,327
				203,372
Consumer Staples (1.1%):
Barry Callebaut AG, Registered Shares		63		149,776
Chocoladefabriken Lindt & Spruengli AG		12		117,017
Coca-Cola HBC AG		2,342		76,117
Nestle SA, Registered Shares		1,058		124,641
				467,551
Financials (1.3%):
Banque Cantonale Vaudoise, Registered Shares		1,059		115,234
Credit Suisse Group AG, Registered Shares		5,043		64,961
Julius Baer Group Ltd.		1,262		72,725
Partners Group Holding AG		75		88,136
Swiss Life Holding AG		165		76,888
UBS Group AG		5,422		76,398
Zurich Insurance Group AG		191		80,608
				574,950
Health Care (1.3%):
Lonza Group AG, Registered Shares		144		92,551
Novartis AG, Registered Shares		1,272		120,229

See notes to financial statements.

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Security Description	Shares		Value
Roche Holding AG		302	$	105,444
Sonova Holding AG (a)		342		88,881
Straumann Holding AG, Class R (b)		69		80,422
Vifor Pharma AG		472		74,133
				561,660
Industrials (1.5%):
ABB Ltd., Registered Shares		3,007		83,958
Adecco Group AG		1,233		82,423
Geberit AG, Registered Shares		167		104,578
Kuehne + Nagel International AG		495		112,312
Schindler Holding AG		452		121,861
SGS SA, Registered Shares		39		117,661
				622,793
Information Technology (0.6%):
Logitech International SA, Class R		1,133		109,997
Stmicroelectronics NV		1,757		65,565
Temenos AG		415		57,983
				233,545
Materials (1.0%):
EMS-Chemie Holding AG		125		120,480
Givaudan SA, Registered Shares		27		113,797
LafargeHolcim Ltd.		1,562		85,813
Sika AG, Registered Shares		334		91,255
				411,345
				3,180,340
United Kingdom (8.6%):
Communication Services (0.3%):
BT Group PLC (a)		45,090		81,534
Informa PLC (a)		9,416		70,681
				152,215
Consumer Discretionary (0.5%):
Compass Group PLC		3,571		66,550
JD Sports Fashion PLC (a)		4,321		50,810
Next PLC (a)		669		64,817
Persimmon PLC		1,427		53,988
				236,165
Consumer Staples (1.4%):
Associated British Foods PLC (a)		2,423		75,006
British American Tobacco PLC		2,543		94,158
Diageo PLC		2,455		96,606
Imperial Brands PLC		4,846		101,741
Tesco PLC		38,110		120,577
Unilever PLC		1,680		100,887
				588,975

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.1%):
3i Group PLC		4,550	$	72,042
Admiral Group PLC		2,732		108,552
Aviva PLC		15,765		70,098
Barclays PLC		32,545		65,271
Hargreaves Lansdown PLC		2,552		53,213
Legal & General Group PLC		15,242		55,477
Lloyds Banking Group PLC (a)		151,859		75,663
London Stock Exchange Group PLC		689		84,861
Natwest Group PLC		36,282		83,168
Phoenix Group Holdings PLC		6,745		64,612
Schroders PLC		1,668		76,105
Standard Chartered PLC		11,715		74,627
				883,689
Health Care (0.6%):
AstraZeneca PLC		836		83,718
GlaxoSmithKline PLC		5,247		96,278
Smith & Nephew PLC		3,326		68,669
				248,665
Industrials (1.5%):
Ashtead Group PLC		1,346		63,273
BAE Systems PLC		11,315		75,622
Bunzl PLC		2,355		78,664
Ferguson PLC		638		77,498
Intertek Group PLC		995		76,839
RELX PLC		3,997		97,962
Rentokil Initial PLC (a)		9,578		66,737
Spirax-Sarco Engineering PLC		647		99,920
				636,515
Information Technology (0.5%):
AVEVA Group PLC		823		36,032
Halma PLC		2,815		94,261
The Sage Group PLC		9,058		72,080
				202,373
Materials (1.3%):
Anglo American PLC		2,062		68,356
Antofagasta PLC		4,147		81,679
BHP Group PLC		2,544		66,959
Croda International PLC		1,346		121,392
Fresnillo PLC		3,186		49,203
Mondi PLC		3,856		90,657
Rio Tinto PLC		1,100		82,270
				560,516

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.4%):
National Grid PLC		7,527	$	89,022
SSE PLC		3,792		77,772
				166,794
				3,675,907
Total Common Stocks (Cost $36,698,372)				42,322,104
Investment Companies (0.2%)
United States (0.2%):
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.02% (g)		63,180		63,180
Total Investment Companies (Cost $63,180)				63,180
Collateral for Securities Loaned^ (3.7%)
United States (3.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (g)		27,672		27,672
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (g)		950,689		950,689
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (g)		13,810		13,810
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (g)		110,113		110,113
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (g)		495,092		495,092
Total Collateral for Securities Loaned (Cost $1,597,376)				1,597,376
Total Investments (Cost $38,358,928) — 103.0%				43,982,660
Liabilities in excess of other assets — (3.0)%				(1,296,253	)
NET ASSETS — 100.00%			$	42,686,407

^  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)  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 December 31, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(d)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $1,405,043 and amounted to 3.3% of net assets.

(e)  Rounds to less than 1.

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(g)  Rate disclosed is the daily yield on December 31, 2020.

ADR — American Depositary Receipt

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 MSCI EAFE Index Futures		1	3/19/21	$	104,904	$	106,540	$	1,636
	Total unrealized appreciation							$	1,636
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	1,636

See notes to financial statements.

146

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December 31, 2020

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Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (9.4%):
Liberty Broadband Corp., Class C (a)		17,638	$	2,793,330
Take-Two Interactive Software, Inc. (a)		13,567		2,819,087
ViacomCBS, Inc., Class B		66,631		2,482,671
Yandex NV, Class A (a)		37,348		2,598,674
				10,693,762
Consumer Discretionary (16.9%):
DraftKings, Inc., Class A (a)		46,197		2,150,932
Etsy, Inc. (a)		14,872		2,645,878
Expedia Group, Inc.		16,033		2,122,769
Garmin Ltd.		22,555		2,698,931
Pool Corp.		4,738		1,764,905
Roku, Inc. (a)		12,855		4,268,117
Tractor Supply Co.		13,740		1,931,569
Ulta Beauty, Inc. (a)		6,643		1,907,604
				19,490,705
Electronic Equipment, Instruments & Components (5.3%):
Cognex Corp.		20,594		1,653,389
Trimble, Inc. (a)		29,501		1,969,782
Zebra Technologies Corp. (a)		6,286		2,415,898
				6,039,069
Health Care (17.7%):
Alnylam Pharmaceuticals, Inc. (a)		13,699		1,780,459
AstraZeneca PLC, ADR		57,685		2,883,673
BeiGene Ltd., ADR (a)		5,576		1,440,783
BioMarin Pharmaceutical, Inc. (a)		21,410		1,877,443
Hologic, Inc. (a)		30,309		2,207,404
Horizon Therapeutics PLC (a)		26,031		1,904,168
Insulet Corp. (a)		7,777		1,988,035
Masimo Corp. (a)		6,494		1,742,860
Novocure Ltd. (a)		12,006		2,077,518
Royalty Pharma PLC, Class A (b)		45,774		2,290,989
				20,193,332
Industrials (9.1%):
C.H. Robinson Worldwide, Inc.		16,034		1,505,112
Enphase Energy, Inc. (a)		14,900		2,614,503
Expeditors International of Washington, Inc.		19,963		1,898,681
J.B. Hunt Transport Services, Inc.		12,463		1,703,069
Old Dominion Freight Line, Inc.		13,835		2,700,315
				10,421,680
IT Services (7.2%):
Akamai Technologies, Inc. (a)		19,196		2,015,388
MongoDB, Inc. (a)		6,943		2,492,815
StoneCo Ltd., Class A (a)		26,635		2,235,209
Wix.com Ltd. (a)		6,560		1,639,738
				8,383,150

See notes to financial statements.

147

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Semiconductors & Semiconductor Equipment (7.4%):
Monolithic Power Systems, Inc.		5,320	$	1,948,344
Qorvo, Inc. (a)		13,452		2,236,664
SolarEdge Technologies, Inc. (a)		6,041		1,927,804
Teradyne, Inc.		19,583		2,347,805
				8,460,617
Software (22.0%):
Citrix Systems, Inc.		14,519		1,888,922
Coupa Software, Inc. (a)		8,119		2,751,610
Crowdstrike Holdings, Inc., Class A (a)		21,748		4,606,660
Datadog, Inc., Class A (a)		24,534		2,415,127
Fortinet, Inc. (a)		19,144		2,843,458
NortonLifeLock, Inc.		69,797		1,450,382
SS&C Technologies Holdings, Inc.		30,185		2,195,959
The Trade Desk, Inc., Class A (a)		4,946		3,961,746
Zscaler, Inc. (a)		15,822		3,159,812
				25,273,676
Technology Hardware, Storage & Peripherals (3.3%):
Logitech International SA, Class R (b)		19,950		1,938,941
Seagate Technology PLC		30,300		1,883,448
				3,822,389
Utilities (1.3%):
Alliant Energy Corp.		29,454		1,517,765
Total Common Stocks (Cost $99,277,592)				114,296,145
Collateral for Securities Loaned^ (1.7%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (c)		33,553		33,553
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (c)		1,152,725		1,152,725
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (c)		16,744		16,744
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (c)		133,514		133,514
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (c)		600,306		600,306
Total Collateral for Securities Loaned (Cost $1,936,842)				1,936,842
Total Investments (Cost $101,214,434) — 101.3%				116,232,987
Liabilities in excess of other assets — (1.3)%				(1,477,854	)
NET ASSETS — 100.00%			$	114,755,133

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

(c)  Rate disclosed is the daily yield on December 31, 2020.

ADR — American Depositary Receipt

PLC — Public Limited Company

See notes to financial statements.

148

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December 31, 2020

  (Unaudited)

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
NASDAQ 100 E-Mini Futures		2	3/19/21	$	510,723	$	515,420	$	4,697
	Total unrealized appreciation							$	4,697
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	4,697

See notes to financial statements.

149

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VictoryShares Top Veteran Employers ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.7%)
Aerospace & Defense (7.9%):
General Dynamics Corp.		378	$	56,254
Lockheed Martin Corp.		155		55,022
Northrop Grumman Corp.		187		56,983
The Boeing Co.		268		57,368
				225,627
Airlines (2.0%):
Southwest Airlines Co.		1,220		56,864
Commercial Services & Supplies (2.0%):
Waste Management, Inc.		474		55,899
Communication Services (6.0%):
AT&T, Inc.		1,966		56,542
Comcast Corp., Class A		1,125		58,950
Verizon Communications, Inc.		936		54,990
				170,482
Construction & Engineering (1.9%):
AECOM (a)		1,089		54,210
Consumer Discretionary (8.0%):
Amazon.com, Inc. (a)		18		58,625
General Motors Co.		1,289		53,674
Hilton Worldwide Holdings, Inc.		545		60,637
The Home Depot, Inc.		204		54,186
				227,122
Consumer Staples (7.8%):
Brown-Forman Corp., Class B		701		55,680
Hormel Foods Corp.		1,198		55,839
Kellogg Co.		884		55,011
Walmart, Inc.		370		53,336
				219,866
Electrical Equipment (2.0%):
Eaton Corp. PLC		467		56,105
Financials (23.6%):
Bank of America Corp.		2,007		60,832
Capital One Financial Corp.		660		65,241
Citigroup, Inc.		1,026		63,263
JPMorgan Chase & Co.		479		60,867
Marsh & McLennan Cos., Inc.		493		57,681
Prudential Financial, Inc.		747		58,318
The Allstate Corp.		552		60,681
The Charles Schwab Corp.		1,159		61,473
The Progressive Corp.		649		64,174
The Travelers Cos., Inc.		436		61,201
U.S. Bancorp		1,308		60,940
				674,671

See notes to financial statements.

150

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Health Care (8.2%):
CVS Health Corp.		834	$	56,962
DaVita, Inc. (a)		514		60,344
Humana, Inc.		141		57,848
Merck & Co., Inc.		703		57,505
				232,659
Industrial Conglomerates (2.1%):
General Electric Co.		5,552		59,962
Information Technology (12.2%):
Accenture PLC, Class A		227		59,295
Booz Allen Hamilton Holding Corp.		651		56,754
CACI International, Inc., Class A (a)		238		59,341
CDW Corp.		433		57,065
Fiserv, Inc. (a)		491		55,905
Leidos Holdings, Inc.		561		58,972
				347,332
Road & Rail (6.0%):
J.B. Hunt Transport Services, Inc.		418		57,120
Union Pacific Corp.		277		57,677
Werner Enterprises, Inc.		1,401		54,947
				169,744
Trading Companies & Distributors (2.0%):
United Rentals, Inc. (a)		249		57,746
Utilities (8.0%):
Dominion Energy, Inc.		720		54,144
Exelon Corp.		1,376		58,095
The Southern Co.		944		57,990
Xcel Energy, Inc.		839		55,936
				226,165
Total Common Stocks (Cost $2,577,619)				2,834,454
Total Investments (Cost $2,577,619) — 99.7%				2,834,454
Other assets in excess of liabilities — 0.3%				7,506
NET ASSETS — 100.00%			$	2,841,960

(a)  Non-income producing security.

PLC — Public Limited Company

See notes to financial statements.

151

Victory Portfolios II
VictoryShares Protect America ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.8%)
Aerospace & Defense (54.6%):
AeroVironment, Inc. (a)		208	$	18,075
CAE, Inc. (a)		983		27,268
Cubic Corp.		229		14,207
General Dynamics Corp.		1,445		215,045
Huntington Ingalls Industries, Inc.		710		121,041
L3Harris Technologies, Inc.		442		83,547
Lockheed Martin Corp.		523		185,655
Maxar Technologies, Inc.		1,110		42,835
Moog, Inc., Class A		148		11,736
Northrop Grumman Corp.		635		193,497
Parsons Corp. (a)		1,342		48,862
Raytheon Technologies Corp.		3,478		248,712
Teledyne Technologies, Inc. (a)		48		18,815
Textron, Inc.		403		19,477
The Boeing Co.		1,210		259,014
Vectrus, Inc. (a)		1,731		86,065
				1,593,851
Air Freight & Logistics (1.4%):
FedEx Corp.		152		39,462
United Parcel Service, Inc., Class B		4		674
				40,136
Communication Services (1.1%):
AT&T, Inc.		288		8,283
Gogo, Inc. (a)		40		385
Iridium Communications, Inc. (a)		436		17,146
Verizon Communications, Inc.		99		5,816
				31,630
Construction & Engineering (5.2%):
AECOM (a)		377		18,767
Jacobs Engineering Group, Inc.		1,078		117,459
Tutor Perini Corp. (a)		1,311		16,977
				153,203
Health Care (4.4%):
Cigna Corp.		138		28,729
Humana, Inc.		241		98,875
				127,604
Industrial Conglomerates (6.6%):
3M Co.		100		17,479
General Electric Co.		16,057		173,415
Honeywell International, Inc.		8		1,702
				192,596
Information Technology (20.2%):
Booz Allen Hamilton Holding Corp.		1,205		105,052
CACI International, Inc., Class A (a)		344		85,770

See notes to financial statements.

152

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Cisco Systems, Inc.		40	$	1,790
Conduent, Inc. (a)		4,210		20,208
DXC Technology Co.		830		21,373
FLIR Systems, Inc.		74		3,243
KBR, Inc.		526		16,269
Leidos Holdings, Inc.		1,123		118,049
ManTech International Corp., Class A		439		39,045
Microsoft Corp.		116		25,801
Science Applications International Corp.		1,276		120,760
ViaSat, Inc. (a)		1,038		33,891
				591,251
Machinery (3.9%):
Caterpillar, Inc.		76		13,834
Cummins, Inc.		56		12,718
Oshkosh Corp.		1,026		88,307
				114,859
Materials (0.8%):
Ball Corp.		244		22,736
Professional Services (0.7%):
ASGN, Inc. (a)		228		19,045
Real Estate (0.3%):
The GEO Group, Inc.		950		8,417
Utilities (0.6%):
Duke Energy Corp.		204		18,678
Total Common Stocks (Cost $2,580,846)				2,914,006
Total Investments (Cost $2,580,846) — 99.8%				2,914,006
Other assets in excess of liabilities — 0.2%				6,510
NET ASSETS — 100.00%			$	2,920,516

(a)  Non-income producing security.

See notes to financial statements.

153

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
ASSETS:
Affiliated investments, at value (Cost $—, $38,567 and $—)	$	—		$	55,947		$	—
Unaffiliated investments, at value (Cost $543,278,613, $18,231,167 and $96,769,389)		689,336,275	(a)		21,743,181	(b)		114,452,835	(c)
Foreign currency, at value (Cost $—, $— and $26,699)		—			—			26,777
Cash and cash equivalents		1,385,237			72,278			8,423
Deposit with brokers for futures contracts		241,869			19,454			30,220
Receivables:
Interest and dividends		563,387			12,605			173,086
Variation margin on open futures contracts		11,076			—			—
Reclaims		—			—			88,611
From Adviser		7,131			3,558			11,653
Prepaid expenses		10,515			282			1,378
Total Assets		691,555,490			21,907,305			114,792,983
LIABILITIES:
Payables:
Collateral received on loaned securities		9,138,419			345,054			2,675,646
Variation margin on open futures contracts		—			85			299
Accrued expenses and other payables:
Investment advisory fees		170,854			5,331			37,339
Administration fees		8,699			240			1,859
Custodian fees		5,803			451			5,157
Compliance fees		474			17			68
Trustees' fees		1,889			—			—
Other accrued expenses		53,151			10,235			19,611
Total Liabilities		9,379,289			361,413			2,739,979
NET ASSETS:
Capital		577,094,966			26,121,634			102,422,273
Total accumulated earnings/(loss)		105,081,235			(4,575,742	)		9,630,731
Net Assets	$	682,176,201		$	21,545,892		$	112,053,004
Shares Outstanding (unlimited shares authorized, no par value):		10,950,000			400,000			2,700,000
Net asset value:	$	62.30		$	53.86		$	41.50

(a)  Includes $8,941,082 of securities on loan.

(b)  Includes $337,004 of securities on loan.

(c)  Includes $2,538,487 of securities on loan.

See notes to financial statements.

154

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $6,928,446, $173,077,090 and $87,541,637)	$	9,474,566		$	185,581,780		$	101,923,292	(a)
Foreign currency, at value (Cost $14,519, $— and $—)		14,814			—			—
Cash and cash equivalents		8,892			229,989			299,567
Deposit with brokers for futures contracts		11,314			131,908			67,363
Receivables:
Interest and dividends		12,435			422,100			145,541
Investments sold		2,038			—			—
Variation margin on open futures contracts		—			2,466			—
From Adviser		31,261			5,134			3,419
Prepaid expenses		705			3,244			1,059
Total Assets		9,556,025			186,376,621			102,440,241
LIABILITIES:
Payables:
Collateral received on loaned securities		—			—			2,884,542
Variation margin on open futures contracts		—			—			249
Accrued foreign capital gains taxes		58,697			—			—
Accrued expenses and other payables:
Investment advisory fees		3,503			47,067			23,566
Administration fees		24			2,375			1,453
Custodian fees		—			2,503			898
Compliance fees		19			171			58
Trustees' fees		—			536			—
Other accrued expenses		34,046			29,563			14,114
Total Liabilities		96,289			82,215			2,924,880
NET ASSETS:
Capital		13,216,763			219,065,559			107,494,084
Total accumulated earnings/(loss)		(3,757,027	)		(32,771,153	)		(7,978,723	)
Net Assets	$	9,459,736		$	186,294,406		$	99,515,361
Shares Outstanding (unlimited shares authorized, no par value):		350,000			3,950,000			2,000,000
Net asset value:	$	27.03		$	47.16		$	49.76

(a)  Includes $2,796,236 of securities on loan.

See notes to financial statements.

155

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
ASSETS:
Investments, at value (Cost $21,619,567, $16,289,140 and $267,942,254)	$	22,438,058	(a)	$	16,535,848		$	318,247,596
Foreign currency, at value (Cost $11,370, $195,099 and $—)		11,372			194,955			—
Cash and cash equivalents		80,343			—			735,926
Deposit with brokers for futures contracts		23,353			51,879			108,090
Receivables:
Interest and dividends		95,665			31,059			420,920
Capital shares issued		—			—			1,984,075
Investments sold		—			72,210			—
Variation margin on open futures contracts		—			—			6,156
Reclaims		75,282			2,512			—
From Adviser		6,289			13,848			5,550
Prepaid expenses		1,057			380			3,917
Total Assets		22,731,419			16,902,691			321,512,230
LIABILITIES:
Payables:
Collateral received on loaned securities		298,358			—			—
Payable to custodian		—			117,255			—
Investments purchased		—			46,260			1,975,836
Variation margin on open futures contracts		860			105			—
Accrued expenses and other payables:
Investment advisory fees		7,543			7,958			78,301
Administration fees		111			107			5,283
Custodian fees		2,454			8,693			1,631
Compliance fees		40			22			163
Trustees' fees		—			—			172
Other accrued expenses		13,953			21,837			14,729
Total Liabilities		323,319			202,237			2,076,115
NET ASSETS:
Capital		35,571,362			22,717,869			274,647,888
Total accumulated earnings/(loss)		(13,163,262	)		(6,017,415	)		44,788,227
Net Assets	$	22,408,100		$	16,700,454		$	319,436,115
Shares Outstanding (unlimited shares authorized, no par value):		750,000			750,000			8,050,000
Net asset value:	$	29.88		$	22.27		$	39.68

(a)  Includes $283,989 of securities on loan.

See notes to financial statements.

156

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares US Multi-Factor Minimum Volatility ETF		VictoryShares US 500 Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $129,791,152, $602,638,591 and $549,088,193)	$	145,561,693	$	765,981,818	(a)	$	648,213,022	(b)
Cash and cash equivalents		428,123		—			—
Deposit with brokers for futures contracts		40,243		266,607			241,864
Receivables:
Interest and dividends		158,536		621,193			1,449,735
Variation margin on open futures contracts		3,696		12,306			11,082
From Adviser		3,910		6,901			8,283
Prepaid expenses		2,562		10,126			9,277
Total Assets		146,198,763		766,898,951			649,933,263
LIABILITIES:
Payables:
Collateral received on loaned securities		—		12,462,722			4,453,649
Accrued expenses and other payables:
Investment advisory fees		36,725		188,259			162,446
Administration fees		2,360		9,108			8,616
Custodian fees		1,463		6,780			6,489
Compliance fees		87		514			443
Trustees' fees		—		2,739			2,031
Other accrued expenses		12,671		46,861			36,531
Total Liabilities		53,306		12,716,983			4,670,205
NET ASSETS:
Capital		136,572,601		659,744,736			626,778,562
Total accumulated earnings/(loss)		9,572,856		94,437,232			18,484,496
Net Assets	$	146,145,457	$	754,181,968		$	645,263,058
Shares Outstanding (unlimited shares authorized, no par value):		4,300,000		12,100,000			12,000,000
Net asset value:	$	33.99	$	62.33		$	53.77

(a)  Includes $12,140,263 of securities on loan.

(b)  Includes $4,399,668 of securities on loan.

See notes to financial statements.

157

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares Nasdaq Next 50 ETF
ASSETS:
Affiliated investments, at value (Cost $86,490, $— and $—)	$	124,100		$	—		$	—
Unaffiliated investments, at value (Cost $37,192,266, $38,358,928 and $101,214,434)		48,769,367	(a)		43,982,660	(b)		116,232,987	(c)
Foreign currency, at value (Cost $—, $22,024 and $—)		—			22,154			—
Cash and cash equivalents		—			—			362,694
Deposit with brokers for futures contracts		32,306			50,736			61,082
Receivables:
Interest and dividends		28,007			65,913			51,864
Variation margin on open futures contracts		—			—			1,760
Reclaims		—			202,391			—
From Adviser		4,038			22,941			6,875
Prepaid expenses		672			813			420
Total Assets		48,958,490			44,347,608			116,717,682
LIABILITIES:
Payables:
Collateral received on loaned securities		1,198,900			1,597,376			1,936,842
Variation margin on open futures contracts		85			860			—
Accrued expenses and other payables:
Investment advisory fees		11,885			14,230			13,947
Administration fees		393			105			10
Custodian fees		676			23,433			—
Compliance fees		42			48			74
Trustees' fees		—			—			875
Other accrued expenses		13,842			25,149			10,801
Total Liabilities		1,225,823			1,661,201			1,962,549
NET ASSETS:
Capital		70,174,628			62,664,085			95,920,559
Total accumulated earnings/(loss)		(22,441,961	)		(19,977,678	)		18,834,574
Net Assets	$	47,732,667		$	42,686,407		$	114,755,133
Shares Outstanding (unlimited shares authorized, no par value):		950,000			1,350,000			3,625,000
Net asset value:	$	50.24		$	31.62		$	31.66

(a)  Includes $1,172,578 of securities on loan.

(b)  Includes $1,513,094 of securities on loan.

(c)  Includes $1,910,686 of securities on loan.

See notes to financial statements.

158

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares Top Veteran Employers ETF		VictoryShares Protect America ETF
ASSETS:
Investments, at value (Cost $2,577,619 and $2,580,846)	$	2,834,454	$	2,914,006
Cash and cash equivalents		515		1,363
Deposit with brokers for futures contracts		1,000		1,000
Receivables:
Interest and dividends		2,229		372
From Adviser		4,453		4,460
Prepaid expenses		7,162		7,173
Total Assets		2,849,813		2,928,374
LIABILITIES:
Accrued expenses and other payables:
Investment advisory fees		1,312		1,361
Administration fees		51		51
Custodian fees		461		452
Compliance fees		38		37
Trustees' fees		149		146
Other accrued expenses		5,842		5,811
Total Liabilities		7,853		7,858
NET ASSETS:
Capital		2,562,420		2,586,933
Total accumulated earnings/(loss)		279,540		333,583
Net Assets	$	2,841,960	$	2,920,516
Shares Outstanding (unlimited shares authorized, no par value):		100,000		100,000
Net asset value:	$	28.42	$	29.21

See notes to financial statements.

159

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
Investment Income:
Dividends	$	5,265,403		$	176,982		$	1,076,038
Income distributed from affiliated investments		—			254			—
Interest		185			7			—
Securities lending (net of fees)		17,845			685			14,150
Foreign tax withholding		—			(122	)		(140,558	)
Total Income		5,283,433			177,806			949,630
Expenses:
Investment advisory fees		999,353			27,080			187,466
Administration fees		201,540			5,452			28,309
Sub-Administration fees		8,925			8,925			8,925
Custodian fees		16,016			1,652			44,955
Servicing fees		2,106			2,065			2,065
Trustees' fees		28,841			965			3,799
Compliance fees		3,128			84			408
Legal and audit fees		32,020			4,175			7,988
Printing fees		41,689			2,799			2,440
Other expenses		9,539			2,485			9,949
Total Expenses		1,343,157			55,682			296,304
Expenses waived/reimbursed by Adviser		(173,977	)		(23,950	)		(84,464	)
Net Expenses		1,169,180			31,732			211,840
Net Investment Income (Loss)		4,114,253			146,074			737,790
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities and foreign currency translations		(9,191,720	)		(516,489	)		(1,187,098	)
Net realized gains (losses) from futures contracts		405,760			10,638			60,304
Net realized gains (losses) from in-kind redemptions on unaffiliated securities		26,356,778			—			—
Net change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations		121,467,628			5,966,941			18,495,851
Net change in unrealized appreciation/depreciation on affiliated investment securities		—			17,519			—
Net change in unrealized appreciation/depreciation on futures contracts		(16,866	)		842			3,555
Net realized/unrealized gains (losses) on investments		139,021,580			5,479,451			17,372,612
Change in net assets resulting from operations	$	143,135,833		$	5,625,525		$	18,110,402

See notes to financial statements.

160

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Income:
Dividends	$	655,519		$	3,673,373		$	1,736,570
Interest		14			88			60
Securities lending (net of fees)		4,560			688			6,015
Foreign tax withholding		(103,131	)		—			(1,282	)
Total Income		556,962			3,674,149			1,741,363
Expenses:
Investment advisory fees		69,010			277,613			105,627
Administration fees		9,347			55,996			21,248
Sub-Administration fees		10,410			8,925			8,925
Custodian fees		89,019			5,462			2,723
Servicing fees		2,064			2,065			2,065
Trustees' fees		1,820			8,709			3,080
Compliance fees		182			920			315
Legal and audit fees		14,529			11,264			5,731
Printing fees		1,870			19,924			6,588
Line of credit fees		64			—			—
Other expenses		9,683			3,787			2,511
Total Expenses		207,998			394,665			158,813
Expenses waived/reimbursed by Adviser		(131,501	)		(69,982	)		(34,928	)
Net Expenses		76,497			324,683			123,885
Net Investment Income (Loss)		480,465			3,349,466			1,617,478
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(1,820,054	)		(5,868,120	)		(1,716,115	)
Foreign taxes on realized gains		(89,279	)		—			—
Net realized gains (losses) from futures contracts		39,783			173,946			84,588
Net realized gains (losses) from in-kind redemptions		—			(121,808	)		(31,622	)
Net change in unrealized appreciation/ depreciation on investment securities and foreign currency translations		5,128,708			38,269,823			24,074,433
Net change in unrealized appreciation/ depreciation on futures contracts		(81	)		7,707			(4,223	)
Net change in accrued foreign taxes on unrealized gains		(58,697	)		—			—
Net realized/unrealized gains (losses) on investments		3,200,380			32,461,548			22,407,061
Change in net assets resulting from operations	$	3,680,845		$	35,811,014		$	24,024,539

See notes to financial statements.

161

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
Investment Income:
Dividends	$	1,177,092		$	660,545		$	3,033,187
Interest		—			7			97
Securities lending (net of fees)		14,142			6			61
Foreign tax withholding		(164,505	)		(88,240	)		—
Total Income		1,026,729			572,318			3,033,345
Expenses:
Investment advisory fees		107,524			48,397			415,654
Administration fees		16,331			6,508			83,692
Sub-Administration fees		8,925			9,916			8,947
Custodian fees		14,758			43,794			6,401
Servicing fees		2,065			2,010			2,010
Trustees' fees		2,806			1,209			10,524
Compliance fees		289			110			1,179
Legal and audit fees		6,549			7,067			15,662
Line of credit fees		—			42			—
Other expenses		8,023			8,360			12,918
Total Expenses		167,270			127,413			556,987
Expenses waived/reimbursed by Adviser		(46,462	)		(73,518	)		(69,946	)
Net Expenses		120,808			53,895			487,041
Net Investment Income (Loss)		905,921			518,423			2,546,304
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(2,375,967	)		(1,469,366	)		2,006,200
Net realized gains (losses) from futures contracts		48,701			58,383			196,233
Net realized gains (losses) from in-kind redemptions		1,456,257			106,717			1,388,307
Net change in unrealized appreciation/ depreciation on investment securities and foreign currency translations		9,618,312			3,920,478			45,682,714
Net change in unrealized appreciation/ depreciation on futures contracts		(73	)		789			9,112
Net realized/unrealized gains (losses) on investments		8,747,230			2,617,001			49,282,566
Change in net assets resulting from operations	$	9,653,151		$	3,135,424		$	51,828,870

See notes to financial statements.

162

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares US Multi-Factor Minimum Volatility ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	1,910,818		$	5,079,999		$	9,770,490
Interest		154			—			—
Securities lending (net of fees)		201			14,427			3,178
Total Income		1,911,173			5,094,426			9,773,668
Expenses:
Investment advisory fees		229,830			1,001,908			900,250
Administration fees		46,373			201,811			181,416
Sub-Administration fees		8,947			8,925			8,925
Custodian fees		4,695			13,615			13,143
Servicing fees		1,974			2,106			2,106
Trustees' fees		6,592			27,945			25,426
Compliance fees		708			3,024			2,748
Legal and audit fees		10,065			33,436			32,634
Other expenses		10,305			48,549			46,466
Total Expenses		319,489			1,341,319			1,213,114
Expenses waived/reimbursed by Adviser		(50,715	)		(167,886	)		(159,240	)
Net Expenses		268,774			1,173,433			1,053,874
Net Investment Income (Loss)		1,642,399			3,920,993			8,719,794
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		399,117			4,235,692			19,757,767
Net realized gains (losses) from futures contracts		81,832			412,036			585,293
Net realized gains (losses) from in-kind redemptions		4,402,329			1,425,159			3,048,577
Net change in unrealized appreciation/ depreciation on investment securities		10,142,769			117,490,350			63,972,663
Net change in unrealized appreciation/ depreciation on futures contracts		17,532			63,483			47,455
Net realized/unrealized gains (losses) on investments		15,043,579			123,626,720			87,411,755
Change in net assets resulting from operations	$	16,685,978		$	127,547,713		$	96,131,549

See notes to financial statements.

163

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares Nasdaq Next 50 ETF(a)
Investment Income:
Dividends	$	368,763		$	489,578		$	173,515
Income distributed from affiliated investments		535			—			—
Interest		—			155			16
Securities lending (net of fees)		1,540			5,501			7,802
Foreign tax withholding		(226	)		(64,206	)		(1,497	)
Total Income		370,612			431,028			179,836
Expenses:
Investment advisory fees		64,326			90,012			36,891
Administration fees		12,956			13,622			14,646
Sub-Administration fees		8,928			8,925			—
Custodian fees		2,098			73,929			—
Servicing fees		2,048			2,065			1,183
Trustees' fees		2,039			2,388			1,396
Compliance fees		202			233			178
Legal and audit fees		5,217			5,930			5,159
Printing fees		6,094			6,856			2,963
Other expenses		2,773			9,082			12,132
Total Expenses		106,681			213,042			74,548
Expenses waived/reimbursed by Adviser		(31,329	)		(111,571	)		(29,604	)
Net Expenses		75,352			101,471			44,944
Net Investment Income (Loss)		295,260			329,557			134,892
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities and foreign currency translations		2,257,044			(704,770	)		(466,702	)
Net realized gains (losses) from affiliated investment securities		9			—			—
Net realized gains (losses) from futures contracts		45,452			36,648			33,145
Net realized gains (losses) from in-kind redemptions on unaffiliated securities		985,068			1,717,516			4,248,059
Net realized gains (losses) from in-kind redemptions on affiliated securities		2,577			—			—
Net change in unrealized appreciation/ depreciation on unaffiliated investment securities		7,651,192			6,293,738			15,018,553
Net change in unrealized appreciation/ depreciation on affiliated investment securities		33,491			—			—
Net change in unrealized appreciation/ depreciation on futures contracts		(3,154	)		2,009			4,697
Net realized/unrealized gains (losses) on investments		10,971,679			7,345,141			18,837,752
Change in net assets resulting from operations	$	11,266,939		$	7,674,698		$	18,972,644

(a)  VictoryShares Nasdaq Next 50 ETF Fund commenced operations on September 9, 2020.

See notes to financial statements.

164

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares Top Veteran Employers ETF(a)			VictoryShares Protect America ETF(b)
Investment Income:
Dividends	$	8,518		$	7,430
Interest		—	(c)		—	(c)
Securities lending (net of fees)		—			1
Total Income		8,518			7,431
Expenses:
Investment advisory fees		2,421			2,448
Administration fees		261			264
Sub-Administration fees		2,731			2,683
Custodian fees		462			452
Servicing fees		360			360
Trustees' fees		149			146
Compliance fees		38			37
Legal and audit fees		1,680			1,654
Registration and filing fees		605			587
Printing fees		1,520			1,502
Other expenses		720			715
Total Expenses		10,947			10,848
Expenses waived/reimbursed by Adviser		(8,295	)		(8,165	)
Net Expenses		2,652			2,683
Net Investment Income (Loss)		5,866			4,748
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		22,681			409
Net change in unrealized appreciation/depreciation on investment securities		256,835			333,160
Net realized/unrealized gains (losses) on investments		279,516			333,569
Change in net assets resulting from operations	$	285,382		$	338,317

(a)  VictoryShares Top Veteran Employers ETF Fund commenced on November 3, 2020.

(b)  VictoryShares Protect America ETF Fund commenced on November 4, 2020.

(c)  Rounds to less than $1.

See notes to financial statements.

165

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US 500 Volatility Wtd ETF						VictoryShares US Small Cap Volatility Wtd ETF						VictoryShares International Volatility Wtd ETF
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	4,114,253		$	11,430,747		$	146,074		$	325,336		$	737,790		$	1,712,775
Net realized gains (losses) from investments		17,570,818			(8,106,151	)		(505,851	)		(2,962,991	)		(1,126,794	)		(4,588,893	)
Net change in unrealized appreciation/ depreciation on investments		121,450,762			(37,017,453	)		5,985,302			(729,592	)		18,499,406			(3,660,392	)
Change in net assets resulting from operations		143,135,833			(33,692,857	)		5,625,525			(3,367,247	)		18,110,402			(6,536,510	)
Change in net assets resulting from distributions to shareholders		(4,832,909	)		(11,639,455	)		(169,044	)		(333,395	)		(1,046,819	)		(1,636,991	)
Change in net assets resulting from capital transactions		(126,131,590	)		(16,437,793	)		—			(10,023,892	)		11,869,461			55,078,264
Change in net assets		12,171,334			(61,770,105	)		5,456,481			(13,724,534	)		28,933,044			46,904,763
Net Assets:
Beginning of period		670,004,867			731,774,972			16,089,411			29,813,945			83,119,960			36,215,197
End of period	$	682,176,201		$	670,004,867		$	21,545,892		$	16,089,411		$	112,053,004		$	83,119,960
Capital Transactions:
Proceeds from shares issued		3,066,868			176,174,573			—			4,863,773			11,869,461			63,002,989
Cost of shares redeemed		(129,198,458	)		(192,612,366	)		—			(14,887,665	)		—			(7,924,725	)
Change in net assets resulting from capital transactions		(126,131,590	)		(16,437,793	)		—			(10,023,892	)		11,869,461			55,078,264
Share Transactions:
Issued		50,000			3,300,000			—			100,000			300,000			1,700,000
Redeemed		(2,350,000	)		(4,000,000	)		—			(350,000	)		—			(250,000	)
Change in Shares		(2,300,000	)		(700,000	)		—			(250,000	)		300,000			1,450,000

See notes to financial statements.

166

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Emerging Market Volatility Wtd ETF						VictoryShares US Large Cap High Div Volatility Wtd ETF						VictoryShares US Small Cap High Div Volatility Wtd ETF
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	480,465		$	1,024,423		$	3,349,466		$	10,457,657		$	1,617,478		$	3,214,648
Net realized gains (losses) from investments		(1,869,550	)		(4,295,294	)		(5,815,982	)		(27,598,774	)		(1,663,149	)		(11,297,828	)
Net change in unrealized appreciation/ depreciation on investments		5,069,930			(3,714,989	)		38,277,530			(42,199,209	)		24,070,210			(8,242,123	)
Change in net assets resulting from operations		3,680,845			(6,985,860	)		35,811,014			(59,340,326	)		24,024,539			(16,325,303	)
Change in net assets resulting from distributions to shareholders		(648,898	)		(831,383	)		(3,653,099	)		(10,982,914	)		(2,060,082	)		(3,347,836	)
Change in net assets resulting from capital transactions		(36,210,638	)		32,121,357			(39,498,810	)		(67,568,336	)		11,409,162			10,537,591
Change in net assets		(33,178,691	)		24,304,114			(7,340,895	)		(137,891,576	)		33,373,619			(9,135,548	)
Net Assets:
Beginning of period		42,638,427			18,334,313			193,635,301			331,526,877			66,141,742			75,277,290
End of period	$	9,459,736		$	42,638,427		$	186,294,406		$	193,635,301		$	99,515,361		$	66,141,742
Capital Transactions:
Proceeds from shares issued		1,146,316			35,201,851			—			175,033,492			20,531,238			61,100,744
Cost of shares redeemed		(37,356,954	)		(3,080,494	)		(39,498,810	)		(242,601,828	)		(9,122,076	)		(50,563,153	)
Change in net assets resulting from capital transactions		(36,210,638	)		32,121,357			(39,498,810	)		(67,568,336	)		11,409,162			10,537,591
Share Transactions:
Issued		50,000			1,350,000			—			3,700,000			450,000			1,400,000
Redeemed		(1,600,000	)		(150,000	)		(950,000	)		(5,850,000	)		(250,000	)		(1,300,000	)
Change in Shares		(1,550,000	)		1,200,000			(950,000	)		(2,150,000	)		200,000			100,000

See notes to financial statements.

167

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares International High Div Volatility Wtd ETF						VictoryShares Emerging Market High Div Volatility Wtd ETF						VictoryShares Dividend Accelerator ETF
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	905,921		$	2,619,735		$	518,423		$	1,591,736		$	2,546,304		$	2,715,156
Net realized gains (losses) from investments		(871,009	)		(11,187,546	)		(1,304,266	)		(6,079,435	)		3,590,740			(5,716,266	)
Net change in unrealized appreciation/ depreciation on investments		9,618,239			(7,487,291	)		3,921,267			(3,444,499	)		45,691,826			3,435,766
Change in net assets resulting from operations		9,653,151			(16,055,102	)		3,135,424			(7,932,198	)		51,828,870			434,656
Change in net assets resulting from distributions to shareholders		(1,203,437	)		(2,460,188	)		(579,505	)		(1,690,396	)		(2,920,871	)		(2,413,888	)
Change in net assets resulting from capital transactions		(48,083,645	)		40,017,292			(7,534,639	)		(8,949,498	)		35,251,507			220,806,252
Change in net assets		(39,633,931	)		21,502,002			(4,978,720	)		(18,572,092	)		84,159,506			218,827,020
Net Assets:
Beginning of period		62,042,031			40,540,029			21,679,174			40,251,266			235,276,609			16,449,589
End of period	$	22,408,100		$	62,042,031		$	16,700,454		$	21,679,174		$	319,436,115		$	235,276,609
Capital Transactions:
Proceeds from shares issued		—			51,700,753			—			5,939,593			40,836,449			239,360,512
Cost of shares redeemed		(48,083,645	)		(11,683,461	)		(7,534,639	)		(14,889,091	)		(5,584,942	)		(18,554,260	)
Change in net assets resulting from capital transactions		(48,083,645	)		40,017,292			(7,534,639	)		(8,949,498	)		35,251,507			220,806,252
Share Transactions:
Issued		—			1,600,000			—			250,000			1,100,000			7,150,000
Redeemed		(1,700,000	)		(400,000	)		(350,000	)		(800,000	)		(150,000	)		(550,000	)
Change in Shares		(1,700,000	)		1,200,000			(350,000	)		(550,000	)		950,000			6,600,000

See notes to financial statements.

168

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Multi-Factor Minimum Volatility ETF						VictoryShares US 500 Enhanced Volatility Wtd ETF						VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	1,642,399		$	3,305,520		$	3,920,993		$	8,359,234		$	8,719,794		$	19,107,515
Net realized gains (losses) from investments		4,883,278			(6,565,700	)		6,072,887			54,278,678			23,391,637			6,923,829
Net change in unrealized appreciation/ depreciation on investments		10,160,301			2,884,358			117,553,833			(16,435,854	)		64,020,118			408,079
Change in net assets resulting from operations		16,685,978			(375,822	)		127,547,713			46,202,058			96,131,549			26,439,423
Change in net assets resulting from distributions to shareholders		(1,808,618	)		(3,232,593	)		(4,095,328	)		(9,141,838	)		(9,451,505	)		(19,790,977	)
Change in net assets resulting from capital transactions		(23,914,217	)		115,578,154			21,116,345			(256,176,351	)		(7,309,012	)		(137,570,641	)
Change in net assets		(9,036,857	)		111,969,739			144,568,730			(219,116,131	)		79,371,032			(130,922,195	)
Net Assets:
Beginning of period		155,182,314			43,212,575			609,613,238			828,729,369			565,892,026			696,814,221
End of period	$	146,145,457		$	155,182,314		$	754,181,968		$	609,613,238		$	645,263,058		$	565,892,026
Capital Transactions:
Proceeds from shares issued		8,105,277			153,857,553			26,579,724			2,604,112			12,681,671			39,877,087
Cost of shares redeemed		(32,019,494	)		(38,279,399	)		(5,463,379	)		(258,780,463	)		(19,990,683	)		(177,447,728	)
Change in net assets resulting from capital transactions		(23,914,217	)		115,578,154			21,116,345			(256,176,351	)		(7,309,012	)		(137,570,641	)
Share Transactions:
Issued		250,000			4,900,000			450,000			50,000			250,000			900,000
Redeemed		(1,000,000	)		(1,250,000	)		(100,000	)		(5,250,000	)		(400,000	)		(4,050,000	)
Change in Shares		(750,000	)		3,650,000			350,000			(5,200,000	)		(150,000	)		(3,150,000	)

See notes to financial statements.

169

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Discovery Enhanced Volatility Wtd ETF						VictoryShares Developed Enhanced Volatility Wtd ETF						VictoryShares Nasdaq Next 50 ETF
	Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Year Ended June 30, 2020			For the Period September 9, 2020(a) through December 31, 2020 (unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	295,260		$	666,883		$	329,557		$	1,380,661		$	134,892
Net realized gains (losses) from investments		3,290,150			(1,534,257	)		1,049,394			(11,742,934	)		3,814,502
Net change in unrealized appreciation/depreciation on investments		7,681,529			1,632,537			6,295,747			(2,332,722	)		15,023,250
Change in net assets resulting from operations		11,266,939			765,163			7,674,698			(12,694,995	)		18,972,644
Change in net assets resulting from distributions to shareholders		(314,273	)		(764,303	)		(401,549	)		(1,518,775	)		(138,070	)
Change in net assets resulting from capital transactions		(422,626	)		(55,411,980	)		(13,041,929	)		(48,077,018	)		95,920,559
Change in net assets		10,530,040			(55,411,120	)		(5,768,780	)		(62,290,788	)		114,755,133
Net Assets:
Beginning of period		37,202,627			92,613,747			48,455,187			110,745,975			—
End of period	$	47,732,667		$	37,202,627		$	42,686,407		$	48,455,187		$	114,755,133
Capital Transactions:
Proceeds from shares issued		4,039,461			6,387,747			—			—			116,637,798
Cost of shares redeemed		(4,462,087	)		(61,799,727	)		(13,041,929	)		(48,077,018	)		(20,717,239	)
Change in net assets resulting from capital transactions		(422,626	)		(55,411,980	)		(13,041,929	)		(48,077,018	)		95,920,559
Share Transactions:
Issued		100,000			200,000			—			—			4,275,000
Redeemed		(100,000	)		(1,700,000	)		(450,000	)		(1,650,000	)		(650,000	)
Change in Shares		—			(1,500,000	)		(450,000	)		(1,650,000	)		3,625,000

(a)  Commencement of operations.

See notes to financial statements.

170

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Top Veteran Employers ETF			VictoryShares Protect America ETF
	For the Period November 3, 2020(a) through December 31, 2020 (unaudited)			For the Period November 4, 2020(a) through December 31, 2020 (unaudited)
From Investment Activities:
Operations:
Net investment income (loss)	$	5,866		$	4,748
Net realized gains (losses) from investments		22,681			409
Net change in unrealized appreciation/depreciation on investments		256,835			333,160
Change in net assets resulting from operations		285,382			338,317
Change in net assets resulting from distributions to shareholders		(5,842	)		(4,734	)
Change in net assets resulting from capital transactions		2,562,420			2,586,933
Change in net assets		2,841,960			2,920,516
Net Assets:
Beginning of period		—			—
End of period	$	2,841,960		$	2,920,516
Capital Transactions:
Proceeds from shares issued		2,562,420			2,586,933
Change in net assets resulting from capital transactions		2,562,420			2,586,933
Share Transactions:
Issued		100,000			100,000
Change in Shares		100,000			100,000

(a)  Commencement of operations

See notes to financial statements.

171

Victory Portfolios II Financial Highlights

			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
Six Months Ended 12/31/20 (unaudited)	$	50.57		0.35		11.79			12.14			(0.41	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	40.22		0.37		13.69			14.06			(0.42	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	34.63		0.30		6.99			7.29			(0.42	)		—
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	)		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.

See notes to financial statements.

172

Victory Portfolios II Financial Highlights — continued

									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
Six Months Ended 12/31/20 (unaudited)		(0.41	)	$	62.30		24.10	%		0.35	%		1.23	%		0.40	%	$	682,176		20	%
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
Six Months Ended 12/31/20 (unaudited)		(0.42	)	$	53.86		35.12	%		0.35	%		1.61	%		0.61	%	$	21,546		37	%
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
Six Months Ended 12/31/20 (unaudited)		(0.42	)	$	41.50		21.16	%		0.45	%		1.57	%		0.63	%	$	112,053		25	%
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.

173

Victory Portfolios II Financial Highlights

			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
Six Months Ended 12/31/20 (unaudited)	$	22.44		0.37		4.57			4.94			(0.35	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	39.52		0.77		7.72			8.49			(0.85	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	36.75		0.95		13.22			14.17			(1.16	)		—
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 transactions.

(e)  Commencement of operations.

See notes to financial statements.

174

Victory Portfolios II Financial Highlights — continued

									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
Six Months Ended 12/31/20 (unaudited)		(0.35	)	$	27.03		22.22	%		0.50	%		3.14	%		1.36	%	$	9,460		49	%
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
Six Months Ended 12/31/20 (unaudited)		(0.85	)	$	47.16		21.73	%		0.35	%		3.61	%		0.43	%	$	186,294		35	%
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
Six Months Ended 12/31/20 (unaudited)		(1.16	)	$	49.76		39.13	%		0.35	%		4.57	%		0.45	%	$	99,515		49	%
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.

175

Victory Portfolios II Financial Highlights

			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
Six Months Ended 12/31/20 (unaudited)	$	25.32		0.46		4.72			5.18			(0.62	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	19.71		0.49		2.60			3.09			(0.53	)		—
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
Six Months Ended 12/31/20 (unaudited)	$	33.14		0.34		6.58			6.92			(0.38	)		—
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 transactions.

(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.

176

Victory Portfolios II Financial Highlights — continued

									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
Six Months Ended 12/31/20 (unaudited)		(0.62	)	$	29.88		20.68	%		0.45	%		3.37	%		0.62	%	$	22,408		62	%
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
Six Months Ended 12/31/20 (unaudited)		(0.53	)	$	22.27		15.97	%		0.50	%		4.81	%		1.18	%	$	16,700		52	%
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
Six Months Ended 12/31/20 (unaudited)		(0.38	)	$	39.68		20.99	%		0.35	%		1.83	%		0.40	%	$	319,436		11	%
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.

177

Victory Portfolios II Financial Highlights

			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 Multi-Factor Minimum Volatility ETF
Six Months Ended 12/31/20 (unaudited)	$	30.73		0.35		3.30			3.65			(0.39	)		—
Year Ended 6/30/20	$	30.87		0.70		(0.14	)(e)		0.56			(0.70	)		—
Year Ended 6/30/19	$	27.58		0.73		3.20			3.93			(0.64	)		—
Year Ended 6/30/18	$	24.83		0.63		2.69			3.32			(0.57	)		—
6/22/17(f) through 6/30/17	$	24.97		0.02		(0.16	)		(0.14	)		—			—
VictoryShares US 500 Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)	$	51.88		0.33		10.46			10.79			(0.34	)		—
Year Ended 6/30/20	$	48.89		0.60		3.04			3.64			(0.65	)		—
Year Ended 6/30/19	$	49.30		0.73		(0.42	)		0.31			(0.72	)		—
Year Ended 6/30/18	$	44.00		0.64		5.25			5.89			(0.59	)		—
Year Ended 6/30/17	$	37.23		0.58		6.71			7.29			(0.52	)		—
Year Ended 6/30/16	$	36.76		0.56		0.45			1.01			(0.54	)		—
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)	$	46.58		0.72		7.25			7.97			(0.78	)		—
Year Ended 6/30/20	$	45.54		1.39		1.09			2.48			(1.44	)		—
Year Ended 6/30/19	$	46.29		1.46		(0.80	)		0.66			(1.41	)		—
Year Ended 6/30/18	$	43.30		1.39		2.99			4.38			(1.39	)		—
Year Ended 6/30/17	$	38.59		1.28		4.58			5.86			(1.15	)		—
Year Ended 6/30/16	$	35.38		1.27		3.18			4.45			(1.24	)		—

(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 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.

(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.

178

Victory Portfolios II Financial Highlights — continued

									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 Multi-Factor Minimum Volatility ETF
Six Months Ended 12/31/20 (unaudited)		(0.39	)	$	33.99		11.94	%		0.35	%		2.14	%		0.42	%	$	146,145		29	%
Year Ended 6/30/20		(0.70	)	$	30.73		1.82	%		0.35	%		2.23	%		0.42	%	$	155,182		69	%
Year Ended 6/30/19		(0.64	)	$	30.87		14.47	%		0.35	%		2.50	%		0.48	%	$	43,213		34	%
Year Ended 6/30/18		(0.57	)	$	27.58		13.41	%		0.35	%		2.33	%		0.74	%	$	8,273		26	%
6/22/17(f) through 6/30/17		—		$	24.83		(0.54	)%		0.35	%		3.20	%		7.21	%	$	2,483		—	%
VictoryShares US 500 Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)		(0.34	)	$	62.33		20.86	%		0.35	%		1.17	%		0.40	%	$	754,182		22	%
Year Ended 6/30/20		(0.65	)	$	51.88		7.49	%		0.35	%		1.20	%		0.40	%	$	609,613		56	%
Year Ended 6/30/19		(0.72	)	$	48.89		0.69	%		0.35	%		1.51	%		0.40	%	$	828,729		116	%(g)
Year Ended 6/30/18		(0.59	)	$	49.30		13.42	%		0.35	%		1.32	%		0.41	%	$	951,411		37	%
Year Ended 6/30/17		(0.52	)	$	44.00		19.72	%		0.35	%		1.42	%		0.45	%	$	415,847		26	%
Year Ended 6/30/16		(0.54	)	$	37.23		2.79	%		0.35	%		1.56	%		0.58	%	$	141,470		36	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)		(0.78	)	$	53.77		17.27	%		0.35	%		2.90	%		0.40	%	$	645,263		33	%
Year Ended 6/30/20		(1.44	)	$	46.58		5.49	%		0.35	%		3.02	%		0.40	%	$	565,892		116	%
Year Ended 6/30/19		(1.41	)	$	45.54		1.52	%		0.35	%		3.22	%		0.40	%	$	696,814		143	%(g)
Year Ended 6/30/18		(1.39	)	$	46.29		10.23	%		0.35	%		3.06	%		0.41	%	$	738,260		52	%
Year Ended 6/30/17		(1.15	)	$	43.30		15.35	%		0.35	%		3.06	%		0.43	%	$	471,927		49	%
Year Ended 6/30/16		(1.24	)	$	38.59		12.89	%		0.35	%		3.51	%		0.56	%	$	156,278		52	%

See notes to financial statements.

179

Victory Portfolios II Financial Highlights

			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 Discovery Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)	$	39.16		0.30		11.10			11.40			(0.32	)		(0.32	)	$	50.24		29.23	%
Year Ended 6/30/20	$	37.80		0.44		1.42	(e)		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	)(g)		(5.37	)		(0.31	)		(0.31	)	$	33.55		(13.70	)%
VictoryShares Developed Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)	$	26.92		0.21		4.76			4.97			(0.27	)		(0.27	)	$	31.62		18.54	%
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	(g)		3.68			(0.46	)		(0.46	)	$	32.22		12.79	%(h)
Year Ended 6/30/16	$	35.19		0.67		(6.27	)		(5.60	)		(0.59	)		(0.59	)	$	29.00		(15.96	)%
VictoryShares Nasdaq Next 50 ETF
9/9/20(i) through 12/31/20	$	25.45		0.05		6.20			6.25			(0.04	)		(0.04	)	$	31.66		24.55	%

(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 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.

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

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

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

(i)  Commencement of operations.

See notes to financial statements.

180

Victory Portfolios II Financial Highlights — continued

	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 US Discovery Enhanced Volatility Wtd ETF
Six Months Ended 12/31/20 (unaudited)		0.35	%		1.37	%		0.50	%	$	47,733		37	%
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	%(f)
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
Six Months Ended 12/31/20 (unaudited)		0.45	%		1.46	%		0.94	%	$	42,686		36	%
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	%(f)
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	%
VictoryShares Nasdaq Next 50 ETF
9/9/20(i) through 12/31/20		0.18	%		0.54	%		0.30	%	$	114,755		46	%

See notes to financial statements.

181

Victory Portfolios II Financial Highlights

			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 Top Veteran Employers ETF
11/3/20(d) through 12/31/20	$	25.62		0.06		2.80		2.86		(0.06	)		(0.06	)	$	28.42		11.14	%
VictoryShares Protect America ETF
11/4/20(d) through 12/31/20	$	25.87		0.05		3.34		3.39		(0.05	)		(0.05	)	$	29.21		13.08	%

(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)  Commencement of operations.

(e)  Amount is less than 0.5%.

See notes to financial statements.

182

Victory Portfolios II Financial Highlights — continued

	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)
VictoryShares Top Veteran Employers ETF
11/3/20(d) through 12/31/20		0.60	%		1.33	%		2.48	%	$	2,842		5	%
VictoryShares Protect America ETF
11/4/20(d) through 12/31/20		0.60	%		1.06	%		2.43	%	$	2,921		—	%(e)

See notes to financial statements.

183

Victory Portfolios II Notes to Financial Statements
December 31, 2020

  (Unaudited)

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 27 funds, 25 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 17 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
VictoryShares Nasdaq Next 50 ETF	Nasdaq Next 50 ETF*
VictoryShares Top Veteran Employers ETF	Top Veteran Employers ETF**
VictoryShares Protect America ETF	Protect America ETF***

*  Commenced operations on September 9, 2020.

**  Commenced operations on November 3, 2020.

***  Commenced operations on November 4, 2020.

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, or 25,000 Share in the case of Nasdaq Next 50 ETF, Top Veteran Employers ETF, and Protect America ETF, (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

184

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 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	%
Nasdaq Next 50 ETF		250		2.00	%
Top Veteran Employers ETF		250		2.00	%
Protect America ETF		250		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.

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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.

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 NAV. 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 December 31, 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	$	680,197,856	$	—	$	—	$	680,197,856
Collateral for Securities Loaned		9,138,419		—		—		9,138,419
Total	$	689,336,275	$	—	$	—	$	689,336,275
Other Financial Investments^:
Assets:
Futures	$	30,911	$	—	$	—	$	30,911
Total	$	30,911	$	—	$	—	$	30,911
US Small Cap Volatility Wtd ETF
Common Stocks	$	21,454,074	$	—	$	—	$	21,454,074
Collateral for Securities Loaned		345,054		—		—		345,054
Total	$	21,799,128	$	—	$	—	$	21,799,128
Other Financial Investments^:
Assets:
Futures	$	3,658	$	—	$	—	$	3,658
Total	$	3,658	$	—	$	—	$	3,658

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	LEVEL 1			LEVEL 2		LEVEL 3		TOTAL
International Volatility Wtd ETF
Common Stocks	$	111,775,782		$	—	$	1,407	$	111,777,189
Collateral for Securities Loaned		2,675,646			—		—		2,675,646
Total	$	114,451,428		$	—	$	1,407	$	114,452,835
Other Financial Investments^:
Liabilities:
Futures	$	(299	)	$	—	$	—	$	(299	)
Total	$	(299	)	$	—	$	—	$	(299	)
Emerging Market Volatility Wtd ETF
Common Stocks	$	9,455,957		$	18,609	$	—	$	9,474,566
Total	$	9,455,957		$	18,609	$	—	$	9,474,566
US Large Cap High Div Volatility Wtd ETF
Common Stocks	$	185,581,780		$	—	$	—	$	185,581,780
Total	$	185,581,780		$	—	$	—	$	185,581,780
Other Financial Investments^:
Assets:
Futures	$	5,559		$	—	$	—	$	5,559
Total	$	5,559		$	—	$	—	$	5,559
US Small Cap High Div Volatility Wtd ETF
Common Stocks	$	99,038,750		$	—	$	—	$	99,038,750
Collateral for Securities Loaned		2,884,542			—		—		2,884,542
Total	$	101,923,292		$	—	$	—	$	101,923,292
Other Financial Investments^:
Assets:
Futures	$	2,491		$	—	$	—	$	2,491
Total	$	2,491		$	—	$	—	$	2,491
International High Div Volatility Wtd ETF
Common Stocks	$	22,139,700		$	—	$	—	$	22,139,700
Collateral for Securities Loaned		298,358			—		—		298,358
Total	$	22,438,058		$	—	$	—	$	22,438,058
Other Financial Investments^:
Liabilities:
Futures	$	(334	)	$	—	$	—	$	(334	)
Total	$	(334	)	$	—	$	—	$	(334	)
Emerging Market High Div Volatility Wtd ETF
Common Stocks	$	16,535,848		$	—	$	—	$	16,535,848
Total	$	16,535,848		$	—	$	—	$	16,535,848
Other Financial Investments^:
Assets:
Futures	$	2,141		$	—	$	—	$	2,141
Total	$	2,141		$	—	$	—	$	2,141

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	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Dividend Accelerator ETF
Common Stocks	$	318,247,596	$	—	$	—	$	318,247,596
Total	$	318,247,596	$	—	$	—	$	318,247,596
Other Financial Investments^:
Assets:
Futures	$	14,567	$	—	$	—	$	14,567
Total	$	14,567	$	—	$	—	$	14,567
US Multi-Factor Minimum Volatility ETF
Common Stocks	$	145,561,693	$	—	$	—	$	145,561,693
Total	$	145,561,693	$	—	$	—	$	145,561,693
Other Financial Investments^:
Assets:
Futures	$	9,683	$	—	$	—	$	9,683
Total	$	9,683	$	—	$	—	$	9,683
US 500 Enhanced Volatility Wtd ETF
Common Stocks	$	751,939,426	$	—	$	—	$	751,939,426
Investment Companies		1,579,670		—		—		1,579,670
Collateral for Securities Loaned		12,462,722		—		—		12,462,722
Total	$	765,981,818	$	—	$	—	$	765,981,818
Other Financial Investments^:
Assets:
Futures	$	36,010	$	—	$	—	$	36,010
Total	$	36,010	$	—	$	—	$	36,010
US EQ Income Enhanced Volatility Wtd ETF
Common Stocks	$	642,260,540	$	—	$	—	$	642,260,540
Investment Companies		1,498,833		—		—		1,498,833
Collateral for Securities Loaned		4,453,649		—		—		4,453,649
Total	$	648,213,022	$	—	$	—	$	648,213,022
Other Financial Investments^:
Assets:
Futures	$	32,711	$	—	$	—	$	32,711
Total	$	32,711	$	—	$	—	$	32,711
US Discovery Enhanced Volatility Wtd ETF
Common Stocks	$	47,588,147	$	—	$	—	$	47,588,147
Investment Companies		106,420		—		—		106,420
Collateral for Securities Loaned		1,198,900		—		—		1,198,900
Total	$	48,893,467	$	—	$	—	$	48,893,467
Other Financial Investments^:
Assets:
Futures	$	3,658	$	—	$	—	$	3,658
Total	$	3,658	$	—	$	—	$	3,658
Developed Enhanced Volatility Wtd ETF
Common Stocks	$	42,320,899	$	—	$	1,205	$	42,322,104
Investment Companies		63,180		—		—		63,180
Collateral for Securities Loaned		1,597,376		—		—		1,597,376
Total	$	43,981,455	$	—	$	1,205	$	43,982,660

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	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Other Financial Investments^:
Assets:
Futures	$	1,636	$	—	$	—	$	1,636
Total	$	1,636	$	—	$	—	$	1,636
Nasdaq Next 50 ETF
Common Stocks	$	114,296,145	$	—	$	—	$	114,296,145
Collateral for Securities Loaned		1,936,842		—		—		1,936,842
Total	$	116,232,987	$	—	$	—	$	116,232,987
Other Financial Investments^:
Assets:
Futures	$	4,697	$	—	$	—	$	4,697
Total	$	4,697	$	—	$	—	$	4,697
Top Veteran Employers ETF
Common Stocks	$	2,834,454	$	—	$	—	$	2,834,454
Total	$	2,834,454	$	—	$	—	$	2,834,454
Protect America ETF
Common Stocks	$	2,914,006	$	—	$	—	$	2,914,006
Total	$	2,914,006	$	—	$	—	$	2,914,006

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

For the six months ended December 31, 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:

Open-end Funds:

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

Derivative Instruments:

Foreign Exchange Currency Contracts:

The 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).

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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 foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Fund records realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 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 Deposit with broker for futures contracts.

As of December 31, 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 December 31, 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 not Offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for Offset		Cash Collateral Received			Net Amount
US 500 Volatility Wtd ETF
Futures Goldman Sachs & Co	$	11,076	$	—	$	11,076	$	—	$	—		$	11,076
US Large Cap High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		2,466		—		2,466		—		—			2,466
Dividend Accelerator ETF
Futures Goldman Sachs & Co		6,156		—		6,156		—		—			6,156
US Multi-Factor Minimum Volatility ETF
Futures Goldman Sachs & Co		3,696		—		3,696		—		—			3,696
US 500 Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		12,306		—		12,306		—		—			12,306
US EQ Income Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		11,082		—		11,082		—		—			11,082
Nasdaq Next 50 ETF
Futures Goldman Sachs & Co		1,760		—		1,760		—		—			1,760
							Gross Amounts not Offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for Offset		Cash Collateral Pledged**			Net Amount
US Small Cap Volatility Wtd ETF
Futures Goldman Sachs & Co	$	85	$	—	$	85	$	—	$	(85	)	$	—
International Volatility Wtd ETF
Futures Goldman Sachs & Co		299		—		299		—		(299	)		—
US Small Cap High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		249		—		249		—		(249	)		—
International High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		860		—		860		—		(860	)		—
Emerging Market High Div Volatility Wtd ETF
Futures Goldman Sachs & Co		105		—		105		—		(105	)		—
US Discovery Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		85		—		85		—		(85	)		—
Developed Enhanced Volatility Wtd ETF
Futures Goldman Sachs & Co		860		—		860		—		(860	)		—

**  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 December 31, 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	$	30,911	$	—
US Small Cap Volatility Wtd ETF		3,658		—
International Volatility Wtd ETF		—		299
US Large Cap High Div Volatility Wtd ETF		5,559		—
US Small Cap High Div Volatility Wtd ETF		2,491		—
International High Div Volatility Wtd ETF		—		334
Emerging Market High Div Volatility Wtd ETF		2,141		—
Dividend Accelerator ETF		14,567		—
US Multi-Factor Minimum Volatility ETF		9,683		—
US 500 Enhanced Volatility Wtd ETF		36,010		—
US EQ Income Enhanced Volatility Wtd ETF		32,711		—
US Discovery Enhanced Volatility Wtd ETF		3,658		—
Developed Enhanced Volatility Wtd ETF		1,636		—
Nasdaq Next 50 ETF		4,697		—

*  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 six months ended December 31, 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	$	405,760	$	(16,866	)
US Small Cap Volatility Wtd ETF		10,638		842
International Volatility Wtd ETF		60,304		3,555
Emerging Market Volatility Wtd ETF		39,783		(81	)
US Large Cap High Div Volatility Wtd ETF		173,946		7,707
US Small Cap High Div Volatility Wtd ETF		84,588		(4,223	)
International High Div Volatility Wtd ETF		48,701		(73	)
Emerging Market High Div Volatility Wtd ETF		58,383		789
Dividend Accelerator ETF		196,233		9,112
US Multi-Factor Minimum Volatility ETF		81,832		17,532
US 500 Enhanced Volatility Wtd ETF		412,036		63,483
US EQ Income Enhanced Volatility Wtd ETF		585,293		47,455
US Discovery Enhanced Volatility Wtd ETF		45,452		(3,154	)
Developed Enhanced Volatility Wtd ETF		36,648		2,009
Nasdaq Next 50 ETF		33,145		4,697

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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 period end is generally representative of the notional amount of open positions to net assets throughout the period.

Investment Transactions and Related Income:

Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is 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 December 31, 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	$	8,941,082	$	8,941,082	$	—	$	—	$	—	$	—
US Small Cap Volatility Wtd ETF		337,004		337,004		—		—		—		—
International Volatility Wtd ETF		2,538,487		2,538,487		—		—		—		—

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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
US Small Cap High Div Volatility Wtd ETF	$	2,796,236	$	2,796,236	$	—	$	—	$	—	$	—
International High Div Volatility Wtd ETF		283,989		283,989		—		—		—		—
US 500 Enhanced Volatility Wtd ETF		12,140,263		12,140,263		—		—		—		—
US EQ Income Enhanced Volatility Wtd ETF		4,399,668		4,399,668		—		—		—		—
US Discovery Enhanced Volatility Wtd ETF		1,172,578		1,172,578		—		—		—		—
Developed Enhanced Volatility Wtd ETF		1,513,094		1,513,094		—		—		—		—
Nasdaq Next 50 ETF		1,910,686		1,910,686		—		—		—		—

*  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 investments 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 transactions and foreign currency translations on the Statements of Operations.

Foreign Taxes:

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

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 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 six months ended December 31, 2020, were as follows:

	Excluding in-kind transactions				Associated with in-kind transactions
	Purchases		Sales		Purchases		Sales
US 500 Volatility Wtd ETF	$	131,264,003	$	131,336,696	$	3,058,314	$	128,698,769
US Small Cap Volatility Wtd ETF		6,567,310		6,612,704		—		—
International Volatility Wtd ETF		24,683,467		23,273,209		10,664,088		—
Emerging Market Volatility Wtd ETF		14,027,144		50,722,731		335,529		—
US Large Cap High Div Volatility Wtd ETF		63,598,452		63,208,398		—		39,244,481
US Small Cap High Div Volatility Wtd ETF		34,131,196		34,542,925		20,403,389		9,094,711
International High Div Volatility Wtd ETF		30,789,157		32,889,775		—		45,842,188
Emerging Market High Div Volatility Wtd ETF		10,633,065		13,391,101		—		4,693,822
Dividend Accelerator ETF		30,191,576		30,657,427		40,575,507		5,559,937
US Multi-Factor Minimum Volatility ETF		43,619,761		43,698,499		8,071,416		31,876,117
US 500 Enhanced Volatility Wtd ETF		408,943,563		130,233,176		26,449,739		5,438,098
US EQ Income Enhanced Volatility Wtd ETF		285,538,937		157,694,296		10,505,789		16,684,543
US Discovery Enhanced Volatility Wtd ETF		21,182,883		12,734,916		3,178,640		4,025,855
Developed Enhanced Volatility Wtd ETF		34,255,724		13,458,126		—		11,118,815
Nasdaq Next 50 ETF		32,379,430		32,781,832		116,508,794		20,610,158
Top Veteran Employers ETF		143,174		150,656		2,562,420		—
Protect America ETF		8,320		6,506		2,578,623		—

For the six months ended December 31, 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. Amounts incurred and paid to VCM for the six months ended December 31, 2020, are reflected on the Statements of Operations as Investment advisory fees.

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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	%
Nasdaq Next 50 ETF		0.25	%
Top Veteran Employers ETF		0.55	%
Protect America ETF		0.55	%

VCM also serves as the Funds' administrator and fund accountant. Under the 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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Administration fees.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator and sub-fund accountant to the Funds pursuant to the 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 out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Custodian fees.

Citibank also serves as the Funds' Transfer Agent. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Transfer agent fees.

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. Amounts incurred for the six ended December 31, 2020, are reflected on the Statements of Operations as Compliance fees.

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

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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 December 31, 2020, the expense limits (excluding voluntary waivers) are as follows:

	In effect through October 31, 2021
US 500 Volatility Wtd ETF		0.35	%
US Small Cap Volatility Wtd ETF		0.35	%
International Volatility Wtd ETF		0.45	%
Emerging Market Volatility Wtd ETF		0.50	%
US Large Cap High Div Volatility Wtd ETF		0.35	%
US Small Cap High Div Volatility Wtd ETF		0.35	%
International High Div Volatility Wtd ETF		0.45	%
Emerging Market High Div Volatility Wtd ETF		0.50	%
Dividend Accelerator ETF		0.35	%
US Multi-Factor Minimum Volatility ETF		0.35	%
US 500 Enhanced Volatility Wtd ETF		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		0.35	%
US Discovery Enhanced Volatility Wtd ETF		0.35	%
Developed Enhanced Volatility Wtd ETF		0.45	%
Nasdaq Next 50 ETF		0.18	%(a)
Top Veteran Employers ETF		0.60	%(b)
Protect America ETF		0.60	%(b)

(a)  In effect from June 1, 2020, until at least May 30, 2022.

(b)  In effect from June 18, 2020, until at least November 2, 2021.

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

As of December 31, 2020, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at December 31, 2020.

	Expires June 30, 2021		Expires June 30, 2022		Expires June 30, 2023		Expires June 30, 2024		Total
US 500 Volatility Wtd ETF	$	149,989	$	180,818	$	99,179	$	50,838	$	480,824
US Small Cap Volatility Wtd ETF		29,566		29,837		39,631		20,622		119,656
International Volatility Wtd ETF		91,734		76,477		121,119		67,181		356,511
Emerging Market Volatility Wtd ETF		194,086		159,736		212,048		125,769		691,639
US Large Cap High Div Volatility Wtd ETF		59,758		85,683		64,858		35,767		246,066
US Small Cap High Div Volatility Wtd ETF		29,681		35,161		45,375		21,962		132,179
International High Div Volatility Wtd ETF		47,955		48,516		63,200		36,464		196,135
Emerging Market High Div Volatility Wtd ETF		47,982		93,761		117,270		69,541		328,554
Dividend Accelerator ETF		20,087		21,708		51,403		18,854		112,052
US Multi-Factor Minimum Volatility ETF		16,990		28,089		47,372		22,375		114,826

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	Expires June 30, 2021		Expires June 30, 2022		Expires June 30, 2023		Expires June 30, 2024		Total
US 500 Enhanced Volatility Wtd ETF	$	219,577	$	226,258	$	90,547	$	44,656	$	581,038
US EQ Income Enhanced Volatility Wtd ETF		178,795		183,343		75,542		48,440		486,120
US Discovery Enhanced Volatility Wtd ETF		48,147		50,577		45,253		23,418		167,395
Developed Enhanced Volatility Wtd ETF		140,353		126,154		132,700		103,246		502,453
Nasdaq Next 50 ETF		N/A		N/A		N/A		18,734		18,734
Top Veteran Employers ETF		N/A		N/A		N/A		8,137		8,137
Protect America ETF		N/A		N/A		N/A		8,005		8,005

The Adviser voluntarily waived the following administration fees for the six months ended December 31, 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	$	123,139
US Small Cap Volatility Wtd ETF		3,328
International Volatility Wtd ETF		17,283
Emerging Market Volatility Wtd ETF		5,732
US Large Cap High Div Volatility Wtd ETF		34,215
US Small Cap High Div Volatility Wtd ETF		12,966
International High Div Volatility Wtd ETF		9,998
Emerging Market High Div Volatility Wtd ETF		3,977
Dividend Accelerator ETF		51,092
US Multi-Factor Minimum Volatility ETF		28,340
US 500 Enhanced Volatility Wtd ETF		123,230
US EQ Income Enhanced Volatility Wtd ETF		110,800
US Discovery Enhanced Volatility Wtd ETF		7,911
Developed Enhanced Volatility Wtd ETF		8,325
Nasdaq Next 50 ETF		10,870
Top Veteran Employers ETF		158
Protect America ETF		160

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, Custodian Distributor, and Legal Counsel.

5. Risks:

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

Equity Risk — 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.

Foreign Securities Risk — 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

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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.

Passive Investment Risk — Each Fund is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.

Geopolitical/Natural Disaster Risk — An outbreak of disease called COVID-19 has 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 last for an extended period of time, and 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 Fund's 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:

Line of Credit:

For the six months ended December 31, 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 six months ended December 31, 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.

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The average loans under the line of credit agreement with Citibank for the days outstanding and average interest rate for each Fund during the six months ended December 31, 2020, were as follows:

	Amount Outstanding at December 31, 2020		Average Borrowings*		Days Outstanding		Average Rate*			Maximum Borrowing During the Period
Emerging Market Volatility Wtd ETF	$	—	$	4,400,000		2		1.22	%	$	6,200,000
Emerging Market High Div Volatility Wtd ETF		—		4,600,000		1		1.23	%		4,600,000

*  For the six months ended December 31, 2020, based on the number of days borrowings were outstanding.

7. Federal Income Tax Information:

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 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.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2021.

As of the most current 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

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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 six months ended December 31, 2020, were as follows:

US Small Cap Volatility Wtd ETF	Fair Value 6/30/20		Purchases at Cost		Proceeds from Sales			Realized Gains (Losses)		Capital Gain Distribution		Net Change in Unrealized Appreciation/ Depreciation		Fair Value 12/31/20		Dividend Income
Victory Capital Holdings, Inc.	$	27,676	$	10,752	$	—		$	—	$	—	$	17,519	$	55,947	$	254
US Discovery Enhanced Volatility Wtd ETF	Fair Value 6/30/20		Purchases at Cost		Proceeds from Sales			Realized Gains (Losses)		Capital Gain Distribution		Net Change in Unrealized Appreciation/ Depreciation		Fair Value 12/31/20		Dividend Income
Victory Capital Holdings, Inc.	$	50,212	$	48,192	$	(10,381	)	$	2,586	$	—	$	33,491	$	124,100	$	535

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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 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 July 1, 2020, through December 31, 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 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
US 500 Volatility Wtd ETF	$	1,000.00	$	1,241.00	$	1,023.44	$	1.98	$	1.79		0.35	%
US Small Cap Volatility Wtd ETF		1,000.00		1,351.20		1,023.44		2.07		1.79		0.35	%
International Volatility Wtd ETF		1,000.00		1,211.60		1,022.94		2.51		2.29		0.45	%
Emerging Market Volatility Wtd ETF		1,000.00		1,222.20		1,022.68		2.80		2.55		0.50	%
US Large Cap High Div Volatility Wtd ETF		1,000.00		1,217.30		1,023.44		1.96		1.79		0.35	%

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	Beginning Account Value 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
US Small Cap High Div Volatility Wtd ETF	$	1,000.00	$	1,391.30	$	1,023.44	$	2.11	$	1.79		0.35	%
International High Div Volatility Wtd ETF		1,000.00		1,206.80		1,022.94		2.50		2.29		0.45	%
Emerging Market High Div Volatility Wtd ETF		1,000.00		1,159.70		1,022.68		2.72		2.55		0.50	%
Dividend Accelerator ETF		1,000.00		1,209.90		1,023.44		1.95		1.79		0.35	%
US Multi-Factor Minimum Volatility ETF		1,000.00		1,119.40		1,023.44		1.87		1.79		0.35	%
US 500 Enhanced Volatility Wtd ETF		1,000.00		1,208.60		1,023.44		1.95		1.79		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		1,000.00		1,172.70		1,023.44		1.92		1.79		0.35	%
US Discovery Enhanced Volatility Wtd ETF		1,000.00		1,292.30		1,023.44		2.02		1.79		0.35	%
Developed Enhanced Volatility Wtd ETF		1,000.00		1,185.40		1,022.94		2.48		2.29		0.45	%
Nasdaq Next 50 ETF**		1,000.00		1,245.50		1,024.30		0.63		0.92		0.18	%
Top Veteran Employers ETF***		1,000.00		1,111.40		1,022.18		1.01		3.06		0.60	%
Protect America ETF****		1,000.00		1,130.80		1,022.18		1.00		3.06		0.60	%

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

**  Actual Expenses Paid are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 113/365 to reflect the stub period from commencement of operations September 9, 2020, through December 31, 2020.

***  Actual Expenses Paid are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 58/365 to reflect the stub period from commencement of operations November 3, 2020, through December 31, 2020.

****  Actual Expenses Paid are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 57/365 to reflect the stub period from commencement of operations November 4, 2020, through December 31, 2020.

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

The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on December 2, 2020. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 27, 2020 called for the purpose of reviewing the Agreement. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated this information along with other information obtained throughout the year and was advised by legal counsel to the Funds, which also serves as independent legal counsel to the Independent Trustees. In addition, the Independent Trustees considered a past review of their overall process for conducting the annual review of the Funds' advisory arrangements by an independent consultant retained through their counsel.

The Board took into consideration regular reports from the Adviser throughout the COVID-19 pandemic public health crisis concerning how the ongoing pandemic has affected market volatility, investment risk and the implementation and effectiveness of business continuity plans. These reports also had confirmed that the pandemic had no material impact on the Adviser's operations.

The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

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

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

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

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

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

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

•  Total expenses of each Fund;

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

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

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

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

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between each Fund and the Adviser.

The Board reviewed each Fund's current management fee in the context of the Adviser's profitability with respect to each Fund. In addition, the Board compared each Fund's gross management fee and total expense ratio on a net and gross basis with the median gross management fee and median expense ratio of a universe of comparable exchange-traded funds ("ETFs") compiled by an independent consultant and a peer group of funds with similar investment strategies selected by that independent consultant from the universe. The Board reviewed the factors and methodology used by the independent consultant in the selection of each Fund's peer group, including the independent consultant's selection of a broad universe of funds, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among

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other factors. The Board also reviewed any changes to the independent consultant's methodology as compared to the prior year, including those resulting from the Adviser's input, if any.

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

The Board also reviewed the compliance and administrative services provided to the Funds by the Adviser and its affiliates, including the Adviser's oversight of the Funds' day-to-day operations and oversight of Fund accounting, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Funds and the Trust.

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

The Board reviewed each Fund's performance over one- and three-year periods against the performance of the Fund's selected peer group and benchmark index, noting that each Fund's investment objective is to track its proprietary benchmark index before fees and expenses. The Board noted that each Fund's investment objective is to track a custom index. The Board recognized that the performance of each Fund is net of expenses, while the performance of each benchmark index reflects gross returns, and as a result, each Fund will generally underperform its benchmark index due to fees and expenses. The Board also considered each Fund's tracking error as a factor in evaluating performance.

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

VictoryShares US 500 Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one-, three- and five-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for all of the periods reviewed, and outperformed the peer group median for all of the periods reviewed, with the exception of the one-year period. The Board noted the Fund's tracking error for the periods relative to its peers.

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

VictoryShares US Small Cap Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, underperformed the peer group median for the three-year period, and matched the peer group median for the one-year period. The Board noted the Fund's tracking error for the periods relative to its peers.

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

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

VictoryShares International Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, outperformed the peer group median for the three-year period, and underperformed the peer group median for the one-year period. The Board noted the Fund's tracking error for the periods relative to its peers.

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

VictoryShares Emerging Market Volatility Wtd ETF

Noting that the Fund commenced operations in 2016, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, outperformed the peer group median for the one-year period, and underperformed the peer group median for the three-year period. The Board noted the Fund's tracking error for the periods relative to its peers.

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

VictoryShares US Large Cap High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed both the benchmark index and the peer group median for both of the periods reviewed. The Board noted the Fund's tracking error for the periods relative to its peers.

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

VictoryShares US Small Cap High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, and outperformed the peer group median for both of the periods reviewed. The Board noted the Fund's tracking error for the periods relative to its peers.

Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's

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performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.

VictoryShares International High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2015, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed both the benchmark index and the peer group median for both of the periods reviewed. The Board noted the Fund's tracking error for the periods relative to its peers.

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

VictoryShares Emerging Market High Div Volatility Wtd ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group median. The Board noted the Fund's tracking error for the period relative to its peers.

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

VictoryShares Dividend Accelerator ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, and outperformed the peer group median for both of the periods reviewed. The Board noted the Fund's tracking error for the period relative to its peers.

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

VictoryShares US Multi-Factor Minimum Volatility ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one- and three-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, and outperformed the peer group median for both of the periods reviewed. The Board noted the Fund's tracking error for the period relative to its peers.

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

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VictoryShares US 500 Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one-, three- and five-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for all of the periods reviewed, outperformed the peer group median for the one-year period, underperformed the peer group median for the three-year period, and matched the peer group median for the five-year period. The Board noted the Fund's tracking error for the periods relative to its peers, and discussed with the Adviser the Fund's rules-based rebalancing in light of market conditions and that the Fund performed in accordance with the Adviser's expectations.

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

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one-, three- and five-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for all of the periods reviewed, and outperformed the peer group median for all of the periods reviewed. The Board noted the Fund's tracking error for the periods relative to its peers, and discussed with the Adviser the Fund's rules-based rebalancing in light of market conditions and that the Fund performed in accordance with the Adviser's expectations.

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

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one-, three- and five-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for all of the periods reviewed, and underperformed the peer group median for all of the periods reviewed, with the exception of the one-year period. The Board noted the Fund's tracking error for the periods relative to its peers, and discussed with the Adviser the Fund's rules-based rebalancing in light of market conditions and that the Fund performed in accordance with the Adviser's expectations.

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

VictoryShares Developed Enhanced Volatility Wtd ETF

Noting that the Fund commenced operations in 2014, the Board compared the Fund's one-, three- and five-year performance for the periods ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed both the benchmark index and the peer group median for all of the periods reviewed. The Board noted the Fund's tracking error for the periods relative to its peers, and discussed with the Adviser the Fund's rules-based rebalancing in light of market conditions and that the Fund performed in accordance with the Adviser's expectations.

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

Conclusion

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

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

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

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

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

•  The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams; and

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

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

The Board approved the Agreement on behalf of the VictoryShares Nasdaq Next 50 ETF (the "Fund") at meetings, which were called for that purpose, on May 12, 2020 and August 25, 2020. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated the information provided and its extensive experience with the Adviser and was advised by legal counsel to the Fund, which also serves as independent legal counsel to the Independent Trustees. The Board reviewed numerous factors with respect to the Fund. The Board recognized that management was proposing to add the Fund as an investment portfolio of the Trust and that the Fund had not yet commenced operations and thus had no performance record or historical expenses. In considering whether the compensation to be paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

•  The requirements of the Fund for the services to be provided by the Adviser;

•  The nature, quality and extent of the services provided to the other exchange-traded funds in the Trust and expected to be provided to the Fund;

•  The proposed fees to be paid for the services and whether the fee arrangements provide for economies of scale that would benefit Fund shareholders as the Fund grows;

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

•  The estimated total expenses of the Fund;

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•  Management's commitments to operating the Fund at a competitive expense level;

•  The expected profitability of the Adviser with respect to the Adviser's relationship with the Fund;

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

•  Other benefits expected to be received by the Adviser, including revenues to be paid to affiliates of the Adviser by the Fund for administration and fund accounting services;

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between the Trust and the Adviser.

The Board reviewed the Fund's proposed gross management fee both in the context of the Adviser's expected profitability from the Fund and the historical costs associated with operating similar funds. The Board acknowledged that the Fund's profitability is inherently difficult to estimate in a startup phase. In addition, the Board compared the Fund's expected operating expense ratio, with the understanding that no distribution or shareholder servicing fees were being proposed to be paid at this time, and management fee with comparable exchange-traded funds in a peer group of funds with similar investment strategies. The Board considered the Adviser's commitment to competitive total operating expense ratios through its contractual agreement to waive its fees and reimburse expenses for a specified period of time, noting that this could result in substantial initial subsidies by the Adviser. The Trustees noted that no breakpoints in the advisory fee schedule for the Fund were being proposed at this time.

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

Approval of the Agreement on Behalf of the Fund

Based on its review of the information requested and provided, and following extended discussions, the Board determined that the Agreement, on behalf of the Fund, was consistent with the best interests of the Fund and its future shareholders, and the Board unanimously approved the Agreement, on behalf of the Fund, for an initial two year period on the basis of the foregoing review and discussions and the following considerations, among others:

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

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

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

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

•  The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams; and

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

Considerations of the Board in Approving the Investment Advisory Agreements (the "Agreement")

The Board approved the Agreement on behalf of each of the VictoryShares Top Veteran Employers ETF and VictoryShares Protect America ETF (the "Funds") at a meeting, which was called for that purpose, on June 18,

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2020. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated the information provided and its extensive experience with the Adviser and was advised by legal counsel to the Funds, which also serves as independent legal counsel to the Independent Trustees. The Board reviewed numerous factors with respect to the Funds. The Board recognized that management was proposing to add the Funds as investment portfolios of the Trust and that the Funds had not yet commenced operations and thus had no performance record or historical expenses. In considering whether the compensation to be paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

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

•  The nature, quality and extent of the services provided to the other exchange-traded funds in the Trust and expected to be provided to the Funds;

•  The proposed fees to be paid for the services and whether the fee arrangements provide for economies of scale that would benefit shareholders as the Funds grow;

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

•  The estimated total expenses of the Funds;

•  Management's commitments to operating the Funds at competitive expense levels;

•  The expected profitability of the Adviser with respect to the Adviser's relationship with the Funds;

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

•  Other benefits expected to be received by the Adviser, including revenues to be paid to affiliates of the Adviser by the Funds for administration and fund accounting services;

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between the Trust and the Adviser.

The Board reviewed the Funds' proposed gross management fee both in the context of the Adviser's expected profitability from the Funds and the historical costs associated with operating similar funds. The Board acknowledged that each Fund's profitability is inherently difficult to estimate in a startup phase. In addition, the Board compared the Funds' expected operating expense ratio, with the understanding that no distribution or shareholder servicing fees were being proposed to be paid at this time, and management fee with comparable exchange-traded funds in a peer group of funds with similar investment strategies. The Board considered the Adviser's commitment to competitive total operating expense ratios through its contractual agreement to waive its fees and reimburse expenses for a specified period of time, noting that this could result in substantial initial subsidies by the Adviser. The Trustees noted that no breakpoints in the advisory fee schedule for the Funds were being proposed at this time.

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

Approval of the Agreement on Behalf of the Funds

Based on its review of the information requested and provided, and following extended discussions, the Board determined that the Agreement, on behalf of the Funds, was consistent with the best interests of the Funds and their future shareholders, and the Board unanimously approved the Agreement, on behalf of the Funds, for an

211

Victory Portfolios II Supplemental Information — continued
December 31, 2020

  (Unaudited)

initial two year period on the basis of the foregoing review and discussions and the following considerations, among others:

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

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

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

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

•  The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams; and

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

212

Privacy Policy

Protecting the Privacy of Information

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

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

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

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

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

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

VPII-VICTORYSHARESETF-SAR (12/20)

December 31, 2020

Semi Annual Report

VictoryShares USAA Core Short-Term Bond ETF

VictoryShares USAA Core Intermediate-Term Bond ETF

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the VictoryShares' shareholder reports may 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 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 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

Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares USAA Core Short-Term Bond ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	4
Statement of Assets and Liabilities	35
Statement of Operations	36
Statements of Changes in Net Assets	37
Financial Highlights	38-39
VictoryShares USAA Core Intermediate-Term Bond ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	17
Statement of Assets and Liabilities	35
Statement of Operations	36
Statements of Changes in Net Assets	37
Financial Highlights	38-39
Notes to Financial Statements	40
Supplemental Information (unaudited)
Proxy Voting and Portfolio Holdings Information	50
Expense Examples	50
Advisory Contract Approval	51
Privacy Policy (inside back cover)

1

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 866-376-7890.

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.

The VictoryShares are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.

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

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

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

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.

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

Call Victory at:

866-376-7890

Visit our website at:

www.vcm.com

2

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings:

VictoryShares USAA Core Short-Term
Bond ETF
Seeks high current income consistent with preservation of principal.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

VictoryShares USAA Core Intermediate-Term Bond ETF
Seeks high current income without undue risk to principal.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

3

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Asset-Backed Securities (9.4%)
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.18%, 7/18/23, Callable 4/18/22 @ 100	$	500,000	$	514,193
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 12t/18/21 @ 100		820,000		842,411
AmeriCredit Automobile Receivables Trust, Series 2017-4, Class C, 2.60%, 9/18/23, Callable 6/18/22 @ 100		500,000		508,052
Bank of The West Auto Trust, Series 2018-1, Class C, 3.98%, 5/15/24, Callable 3/15/22 @ 100 (a)		400,000		415,981
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 3/15/22 @ 100 (a)		500,000		513,149
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 2/19/22 @ 100 (a)		500,000		514,037
CarMax Auto Owner Trust, Series 2020-4, Class A3, 0.50%, 8/15/25, Callable 10/15/24 @ 100		1,000,000		1,000,006
CARS LP, Series 2020-1A, Class A1, 2.69%, 2/15/50, Callable 2/15/23 @ 100 (a)		605,309		623,460
CNH Equipment Trust, Series 2017-B, Class B, 2.47%, 12/16/24, Callable 6/15/21 @ 100		500,000		503,786
CNH Equipment Trust, Series 2018-B, Class B, 3.56%, 2/17/26, Callable 3/15/23 @ 100		350,000		371,823
Credit Acceptance Auto Loan Trust, Series 2018-1A, Class B, 3.60%, 4/15/27, Callable 6/15/21 @ 100 (a)		500,000		504,675
Drive Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26, Callable 11/15/23 @ 100		750,000		773,645
Drive Auto Receivables Trust, Series 2018-4, Class C, 3.66%, 11/15/24, Callable 9/15/22 @ 100		210,738		212,488
Evergreen Credit Card Trust, Series 2019-2, Class B, 2.27%, 9/15/24 (a)		750,000		770,031
Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.32%, 7/15/25, Callable 7/15/25 @ 100		472,000		473,641
Ford Credit Auto Owner Trust, Series 2018-B, Class A3, 3.24%, 4/15/23, Callable 8/15/22 @ 100		256,426		260,392
GM Financial Automobile Leasing Trust, Series 2020-1, Class B, 1.84%, 12/20/23, Callable 8/20/22 @ 100		489,000		497,843
GM Financial Automobile Leasing Trust, Series 2020-3, Class A4, 0.51%, 10/21/24, Callable 4/20/23 @ 100		1,000,000		1,003,559
GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A3, 3.02%, 5/16/23, Callable 5/16/22 @ 100		277,351		280,676
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A4, 2.83%, 6/17/24, Callable 11/15/21 @ 100 (a)		478,628		484,253
Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.37%, 10/18/24, Callable 11/18/23 @ 100		1,000,000		1,001,154
Hyundai Auto Receivables Trust, Series 2020-C, Class A3, 0.38%, 5/15/25, Callable 3/15/25 @ 100		1,000,000		1,000,284
InSite Issuer LLC, Series 2020-1A, Class A, 1.50%, 9/15/50, Callable 9/15/24 @ 100 (a)		554,000		556,557
Kubota Credit Owner Trust, Series 2020-1A, Class A2, 1.92%, 12/15/22, Callable 10/15/23 @ 100 (a)		949,551		956,649
Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A3, 0.40%, 11/15/23, Callable 5/15/23 @ 100		1,000,000		1,001,972

See notes to financial statements.

4

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
MMAF Equipment Finance LLC, Series 2016-A, Class A4, 1.76%, 1/17/23, Callable 6/15/25 @ 100 (a)	$	29,490	$	29,633
Nissan Auto Lease Trust 2020-B, Series 2020-B, Class A3, 0.43%, 10/16/23, Callable 6/15/23 @ 100		1,000,000		1,001,328
Nissan Auto Receivables Owner Trust, Series 2017-B, Class A4, 1.95%, 10/16/23, Callable 9/15/21 @ 100		761,104		765,513
OSCAR US Funding Trust LLC, Series 2017-1A, Class A4, 3.30%, 5/10/24 (a)		259,555		262,889
PSNH Funding LLC, Series 2018-1, Class A1, 3.09%, 2/1/26		297,496		309,558
Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, 1/15/26, Callable 11/15/25 @ 100		1,000,000		1,003,430
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25, Callable 4/15/23 @ 100		750,000		766,835
SCF Equipment Leasing LLC, Series 2019-2A, Class A2, 2.47%, 4/20/26, Callable 10/20/24 @ 100 (a)		750,000		772,898
SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23, Callable 1/20/21 @ 100 (a)		27,515		27,687
Synchrony Card Issuance Trust, Series 2018-A1, Class A, 3.38%, 9/15/24		370,000		378,008
Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100 (a)		1,000,000		1,001,059
Westlake Automobile Receivables Trust, Series 2019-2A, Class C, 2.84%, 7/15/24, Callable 3/15/23 @ 100 (a)		500,000		512,260
World Omni Select Auto Trust, Series 2020-A, Class A3, 0.55%, 7/15/25, Callable 3/15/24 @ 100		1,000,000		1,003,828
Total Asset-Backed Securities (Cost $23,163,974)				23,419,643
Collateralized Mortgage Obligations (2.5%)
BBCMS Mortgage Trust, Series 2020-BID, Class A, 2.30% (LIBOR01M+214bps), 10/15/37 (a) (b)		1,000,000		1,000,225
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class B, 4.38%, 1/10/36 (a)		500,000		536,743
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A5, 3.14%, 12/15/47, Callable 2/15/23 @ 100		981,542		1,027,949
Madison Park Funding Ltd., Series 2013-11A, Class AR, 1.37% (LIBOR03M+116bps), 7/23/29, Callable 1/23/21 @ 100 (a) (b)		500,000		499,887
Oaktree EIF Ltd., Series 2016-IIIA, Class B, 2.22% (LIBOR03M+200bps), 10/20/27, Callable 1/20/21 @ 100 (a) (b)		500,000		500,052
Palmer Square Loan Funding Ltd., Series 2018-2A, Class A1, 0.89% (LIBOR03M+65bps), 7/15/26, Callable 1/15/21 @ 100 (a) (b)		182,049		181,593
Palmer Square Loan Funding Ltd., Series 2018-2A, Class A2, 1.29% (LIBOR03M+105bps), 7/15/26, Callable 1/15/21 @ 100 (a) (b)		500,000		498,377
Palmer Square Loan Funding Ltd., Series 2020-1A, Class A1, 1.02% (LIBOR03M+80bps), 2/20/28, Callable 2/20/21 @ 100 (a) (b)		439,942		438,870
WFRBS Commercial Mortgage Trust, Series 2012-C9, Class ASB, 2.45%, 11/15/45, Callable 7/15/22 @ 100		228,491		232,165
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AS, 4.09%, 6/15/45 (c)		225,017		230,975
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44, Callable 9/15/21 @ 100		961,965		975,760
Total Collateralized Mortgage Obligations (Cost $6,077,465)				6,122,596

See notes to financial statements.

5

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Senior Secured Loans (0.8%)
Berry Global, Inc., Term W Loans, First Lien, 2.15% (LIBOR01M+200bps), 10/1/22 (b) (d)	$	1,000,000	$	998,320
The Boeing Company, First Lien, 2/6/22 (b) (k)		1,000,000		986,500
Total Senior Secured Loans (Cost $1,983,496)				1,984,820
Corporate Bonds (38.3%)
Communication Services (1.1%):
Qwest Corp., 6.75%, 12/1/21		1,000,000		1,045,160
Sprint Corp., 7.25%, 9/15/21		1,500,000		1,560,675
Sprint Spectrum, 3.36%, 3/20/23 (a)		234,375		236,538
				2,842,373
Consumer Discretionary (6.0%):
Association of American Medical Colleges, 2.12%, 10/1/24		750,000		752,556
Expedia Group, Inc., 6.25%, 5/1/25, Callable 2/1/25 @ 100 (a)		1,000,000		1,159,790
Howard University 2.64%, 10/1/21		500,000		505,140
2.74%, 10/1/22		500,000		518,450
Hyatt Hotels Corp., 5.38%, 8/15/21, Callable 5/15/21 @ 100		1,456,000		1,479,588
International Game Technology PLC, 6.25%, 2/15/22, Callable 8/15/21 @ 100 (a)		431,000		441,934
Lennar Corp. 6.25%, 12/15/21, Callable 6/15/21 @ 100		1,606,000		1,647,949
5.38%, 10/1/22		500,000		537,180
Macys Retail Holdings, Inc., 3.45%, 1/15/21 (e)		999,000		998,570
Meritage Homes Corp., 7.00%, 4/1/22		733,000		778,446
Newell Brands, Inc., 3.65%, 4/1/21, Callable 3/1/21 @ 100 (f)		750,000		746,955
PulteGroup, Inc., 4.25%, 3/1/21, Callable 2/1/21 @ 100		1,500,000		1,503,210
QVC, Inc., 4.38%, 3/15/23		667,000		701,150
Toll Brothers Finance Corp., 5.88%, 2/15/22, Callable 11/15/21 @ 100		2,154,000		2,240,289
Wyndham Destinations, Inc., 5.63%, 3/1/21		904,000		908,520
				14,919,727
Consumer Staples (1.9%):
Altria Group, Inc., 4.75%, 5/5/21		500,000		507,450
Energizer Holdings, Inc., 7.75%, 1/15/27 (a)		750,000		833,370
Nestle Holdings, Inc., 2.38%, 11/17/22		1,000,000		1,038,340
Smithfield Foods, Inc., 2.65%, 10/3/21, Callable 9/3/21 @ 100 (a)		920,000		936,735
Unilever Capital Corp., 2.60%, 5/5/24, Callable 3/5/24 @ 100		750,000		800,040
Walmart, Inc., 3.55%, 6/26/25, Callable 4/26/25 @ 100		750,000		848,933
				4,964,868
Energy (5.6%):
Continental Resources, Inc., 4.50%, 4/15/23, Callable 1/15/23 @ 100 (l)		1,230,000		1,267,588
DCP Midstream Operating LP, 4.75%, 9/30/21, Callable 6/30/21 @ 100 (a)		781,000		791,489
Energy Transfer Operating LP, 5.20%, 2/1/22, Callable 11/1/21 @ 100		1,000,000		1,035,930
EQM Midstream Partners LP 4.75%, 7/15/23, Callable 6/15/23 @ 100 (l)		400,000		419,676
4.00%, 8/1/24, Callable 5/1/24 @ 100		250,000		257,515
Exxon Mobil Corp., 2.99%, 3/19/25, Callable 2/19/25 @ 100 (l)		750,000		821,138

See notes to financial statements.

6

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Gray Oak Pipeline LLC, 2.00%, 9/15/23 (a)	$	833,000	$	847,369
HollyFrontier Corp., 2.63%, 10/1/23		1,000,000		1,022,120
Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100 (l)		1,000,000		1,086,209
Midwest Connector Capital Co. LLC, 3.63%, 4/1/22, Callable 3/1/22 @ 100 (a)		1,000,000		1,015,860
MPLX LP, 3.50%, 12/1/22, Callable 11/1/22 @ 100		271,000		284,677
Newfield Exploration Co., 5.75%, 1/30/22		1,307,000		1,356,404
Occidental Petroleum Corp., 2.70%, 8/15/22		750,000		754,388
Phillips 66, 0.90%, 2/15/24, Callable 11/19/21 @ 100		462,000		463,275
USX Corp., 8.13%, 7/15/23		400,000		461,576
Valero Energy Corp. 2.70%, 4/15/23 (l)		698,000		728,887
1.20%, 3/15/24		500,000		503,680
Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100		632,000		649,077
				13,766,858
Financials (11.9%):
Alexander Funding Trust, 1.84%, 11/15/23 (a)		1,800,000		1,821,006
American International Group, Inc., 3.30%, 3/1/21, Callable 2/1/21 @ 100		623,000		624,312
Ares Capital Corp., 3.25%, 7/15/25, Callable 6/15/25 @ 100		750,000		793,605
Associated Bank NA, 3.50%, 8/13/21, Callable 7/13/21 @ 100		500,000		505,500
Assurant, Inc., 1.50% (LIBOR03M+125bps), 3/26/21, Callable 1/27/21 @ 100 (b)		66,000		66,003
Athene Global Funding 2.80%, 5/26/23 (a)		750,000		783,638
1.20%, 10/13/23 (a)		500,000		504,425
Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (b)		500,000		477,825
CIT Group, Inc. 4.13%, 3/9/21, Callable 2/9/21 @ 100		750,000		751,628
5.00%, 8/15/22		1,740,000		1,850,002
Citigroup, Inc., 3.14% (LIBOR03M+72bps), 1/24/23, Callable 1/24/22 @ 100 (b)		400,000		411,392
First Citizens BancShares, Inc., 3.37% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,008,110
First Horizon National Corp., 3.55%, 5/26/23, Callable 4/26/23 @ 100		750,000		795,608
Flagstar Bancorp, Inc., 6.13%, 7/15/21		500,000		511,005
FNB Corp., 2.20%, 2/24/23, Callable 1/24/23 @ 100		476,000		485,715
Ford Motor Credit Co. LLC 3.20%, 1/15/21 (l)		1,750,000		1,748,618
3.38%, 11/13/25, Callable 10/13/25 @ 100		1,000,000		1,021,760
Fulton Financial Corp., 3.25% (SOFR+230bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,005,510
Harley-Davidson Financial Services, Inc., 2.85%, 1/15/21 (a)		1,500,000		1,501,140
HSBC Finance Corp., 6.68%, 1/15/21		1,480,000		1,482,131
Infinity Property & Casualty Corp., 5.00%, 9/19/22		500,000		532,915
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.88%, 8/1/21, Callable 1/27/21 @ 100 (a)		525,000		524,948
Main Street Capital Corp., 5.20%, 5/1/24		500,000		542,340
OneMain Finance Corp., 7.75%, 10/1/21		1,500,000		1,578,240
Primerica, Inc., 4.75%, 7/15/22		400,000		425,636
Protective Life Global Funding, 3.10%, 4/15/24 (a)		500,000		539,435
Reliance Standard Life Global Funding II, 2.75%, 5/7/25 (a)		750,000		793,664

See notes to financial statements.

7

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Santander Holdings USA, Inc. 3.40%, 1/18/23, Callable 12/18/22 @ 100	$	250,000	$	262,550
3.45%, 6/2/25, Callable 5/2/25 @ 100		314,000		343,105
Synovus Bank, 2.29% (SOFR+95bps), 2/10/23, Callable 2/10/22 @ 100 (b)		358,000		362,625
TCF National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (b)		750,000		780,660
TIAA FSB Holdings, Inc., 6.00% (LIBOR03M+470bps), 3/15/26, Callable 3/15/21 @ 100 (b)		750,000		752,573
Truist Bank, 1.25%, 3/9/23, Callable 2/9/23 @ 100		1,000,000		1,019,579
UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (b)		750,000		773,130
US Bank NA, 2.85%, 1/23/23, Callable 12/23/22 @ 100		500,000		525,380
WEA Finance LLC, 3.15%, 4/5/22, Callable 3/5/22 @ 100 (a)		700,000		712,495
Zions Bancorp NA, 3.35%, 3/4/22, Callable 2/4/22 @ 100 (l)		500,000		514,205
				29,132,413
Health Care (2.2%):
Centene Corp., 4.75%, 1/15/25, Callable 2/11/21 @ 102.38		1,070,000		1,098,291
Fresenius Medical Care U.S. Finance, Inc., 5.75%, 2/15/21 (a)		750,000		754,080
Gilead Sciences, Inc., 0.38% (LIBOR03M+15bps), 9/17/21 (b)		1,000,000		1,000,270
Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21		1,000,000		1,012,440
SSM Health Care Corp., 3.69%, 6/1/23, Callable 3/1/23 @ 100		500,000		534,555
Teva Pharmaceutical Finance Co. LLC, 0.25%, 2/1/26, Callable 2/1/21 @ 100		1,000,000		995,000
				5,394,636
Industrials (4.1%):
Air Lease Corp. 2.50%, 3/1/21		263,000		263,742
3.50%, 1/15/22		500,000		513,595
2.25%, 1/15/23		250,000		256,715
Aircastle Ltd. 5.13%, 3/15/21		1,000,000		1,007,570
4.25%, 6/15/26, Callable 4/15/26 @ 100		500,000		529,670
Carrier Global Corp., 1.92%, 2/15/23, Callable 1/15/23 @ 100		750,000		772,628
Delta Air Lines Pass Through Trust, 2.00%, 12/10/29		970,103		971,267
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, 10/20/25 (a)		1,370,000		1,468,982
Howmet Aerospace, Inc. 5.40%, 4/15/21, Callable 1/15/21 @ 100		1,136,000		1,137,681
6.88%, 5/1/25, Callable 4/1/25 @ 100 (l)		1,000,000		1,179,450
PACCAR Financial Corp., 2.65%, 4/6/23, MTN		750,000		789,210
Southwest Airlines Co. 4.75%, 5/4/23		500,000		543,355
5.25%, 5/4/25, Callable 4/4/25 @ 100		750,000		869,453
				10,303,318
Information Technology (1.0%):
Broadcom, Inc., 3.13%, 4/15/21		500,000		503,215
Microchip Technology, Inc., 3.92%, 6/1/21		600,000		607,740
Oracle Corp., 2.50%, 4/1/25, Callable 3/1/25 @ 100		500,000		537,285
VeriSign, Inc., 4.63%, 5/1/23, Callable 2/11/21 @ 100.77		1,000,000		1,010,490
				2,658,730

See notes to financial statements.

8

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Materials (1.9%):
Ball Corp., 5.00%, 3/15/22	$	1,126,000	$	1,177,660
Commercial Metals Co., 4.88%, 5/15/23, Callable 2/15/23 @ 100		125,000		131,644
Graphic Packaging International LLC, 4.75%, 4/15/21, Callable 1/15/21 @ 100		1,000,000		999,114
LYB Americas Finance Co. LLC, 3/29/22 (d) (f)		2,000,000		1,997,500
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		400,000		431,672
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.13%, 7/15/23, Callable 2/11/21 @ 101.28 (a)		38,000		38,466
				4,776,056
Real Estate (1.8%):
Boston Properties LP, 4.13%, 5/15/21, Callable 2/15/21 @ 100		750,000		753,015
Lexington Realty Trust, 4.25%, 6/15/23, Callable 3/15/23 @ 100		1,000,000		1,062,670
Office Properties Income Trust, 4.00%, 7/15/22, Callable 6/15/22 @ 100		1,000,000		1,021,820
SBA Tower Trust, 2.84%, 1/15/25 (a)		750,000		796,050
Senior Housing Properties Trust, 6.75%, 12/15/21, Callable 6/15/21 @ 100		500,000		508,290
VICI Properties LP/VICI Note Co., Inc., 3.50%, 2/15/25, Callable 2/15/22 @ 101.75 (a)		364,000		372,241
				4,514,086
Utilities (0.8%):
Dominion Energy, Inc., 2.72%, 8/15/21 (f) (g)		500,000		506,735
National Fuel Gas Co., 4.90%, 12/1/21, Callable 9/1/21 @ 100		500,000		513,675
Public Service Electric & Gas Co., 3.25%, 9/1/23, MTN, Callable 8/1/23 @ 100		500,000		536,760
Sierra Pacific Power Co., 3.38%, 8/15/23, Callable 5/15/23 @ 100		500,000		534,695
				2,091,865
Total Corporate Bonds (Cost $93,345,089)				95,364,930
Yankee Dollars (11.0%)
Communication Services (0.9%):
Pearson Funding Four PLC, 3.75%, 5/8/22 (a)		750,000		768,765
Videotron Ltd., 5.00%, 7/15/22		1,524,000		1,602,273
				2,371,038
Consumer Discretionary (0.8%):
Fiat Chrysler Automobiles NV, 5.25%, 4/15/23		1,000,000		1,072,640
Nissan Motor Co. Ltd., 3.04%, 9/15/23 (a)		1,000,000		1,045,870
				2,118,510
Consumer Staples (0.4%):
Alimentation Couche-Tard, Inc., 2.70%, 7/26/22, Callable 6/26/22 @ 100 (a)		500,000		516,310
Reckitt Benckiser Treasury Services PLC, 2.38%, 6/24/22, Callable 5/24/22 @ 100 (a)		400,000		411,332
				927,642
Energy (2.5%):
Aker BP ASA, 2.88%, 1/15/26, Callable 12/15/25 @ 100 (a)		437,000		448,786
BG Energy Capital PLC, 4.00%, 10/15/21 (a)		650,000		667,758
Cenovus Energy, Inc., 3.00%, 8/15/22, Callable 5/15/22 @ 100		1,000,000		1,018,210
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/27 (a)		500,000		508,750
Petroleos Mexicanos, 3.87% (LIBOR03M+365bps), 3/11/22 (b)		500,000		504,775

See notes to financial statements.

9

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Suncor Energy Ventures Corp., 4.50%, 4/1/22 (a)	$	1,597,000	$	1,647,704
TOTAL SE, 0.50%, 12/2/22		1,000,000		1,023,201
				5,819,184
Financials (2.2%):
BAT International Finance PLC, 1.67%, 3/25/26, Callable 2/25/26 @ 100		1,000,000		1,025,300
BBVA Bancomer SA, 6.50%, 3/10/21 (a)		1,400,000		1,414,028
Ontario Teachers' Finance Trust, 0.38%, 9/29/23 (a)		1,000,000		1,000,900
Park Aerospace Holdings Ltd., 3.63%, 3/15/21, Callable 2/15/21 @ 100 (a)		725,000		727,081
Santander UK Group Holdings PLC 3.13%, 1/8/21		1,040,000		1,040,225
3.37% (LIBOR03M+108bps), 1/5/24, Callable 1/5/23 @ 100 (b)		250,000		262,975
				5,470,509
Industrials (1.5%):
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.50%, 5/15/21		1,000,000		1,011,980
3.15%, 2/15/24, Callable 1/15/24 @ 100		1,000,000		1,050,080
CK Hutchison International Ltd., 2.75%, 3/29/23 (a)		750,000		782,017
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		475,000		484,581
Smiths Group PLC, 3.63%, 10/12/22 (a)		500,000		524,185
				3,852,843
Information Technology (0.4%):
TSMC Global Ltd., 0.75%, 9/28/25, Callable 8/28/25 @ 100 (a)		1,000,000		997,880
Materials (0.4%):
FMG Resources August 2006 Pty Ltd., 4.75%, 5/15/22, Callable 2/15/22 @ 100 (a)		1,000,000		1,030,820
Real Estate (0.7%):
Scentre Group Trust 1/Scentre Group Trust 2, 2.38%, 4/28/21, Callable 3/29/21 @ 100 (a) (l)		1,607,000		1,610,439
Sovereign Bond (0.4%):
Province of Alberta Canada, 3.35%, 11/1/23		1,000,000		1,084,110
Utilities (0.8%):
EDP Finance BV 5.25%, 1/14/21 (a) (e)		2,000,000		2,003,080
				2,003,080
Total Yankee Dollars (Cost $26,976,081)				27,286,055
Municipal Bonds (23.4%)
Alabama (0.4%):
City of Birmingham, GO, 0.86%, 3/1/24		1,015,000		1,020,938
California (2.6%):
California Statewide Communities Development Authority Revenue, 2.15%, 11/15/30, Continuously Callable @ 100		1,240,000		1,254,223
California Statewide Communities Development Authority Revenue (NBGA — California Health Insurance Construction Loan Insurance Program), 2.05%, 8/1/30		1,660,000		1,681,944
City of Gardena Revenue, 1.30%, 4/1/23		565,000		568,757

See notes to financial statements.

10

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
City of Montebello Revenue (INS — Assured Guaranty Corp.), 1.94%, 6/1/21	$	1,000,000	$	1,004,990
County of Riverside Revenue, 2.17%, 2/15/21		1,000,000		1,001,600
Placentia Public Financing Authority Revenue Series A, 1.72%, 6/1/22		200,000		198,694
Series A, 1.93%, 6/1/23		300,000		298,251
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 2.63%, 8/1/22		250,000		258,733
				6,267,192
Colorado (2.6%):
City & County of Denver Co. Airport System Revenue Series C, 0.88%, 11/15/23		500,000		501,640
Series C, 1.12%, 11/15/24		500,000		502,350
City of Loveland Electric & Communications Enterprise Revenue, 2.85%, 12/1/23		600,000		637,086
Colorado Health Facilities Authority Revenue 2.80%, 12/1/26		500,000		504,185
Series B, 2.24%, 11/1/22		750,000		774,555
County of El Paso Co. Revenue, Series B, 1.05%, 6/1/24		1,230,000		1,248,868
Denver City & County Housing Authority Revenue, 1.33%, 6/1/24, Continuously Callable @ 100		750,000		750,098
Denver City & County Housing Authority Revenue, 2.15%, 12/1/24		750,000		791,115
Park Creek Metropolitan District Revenue, Series B, 2.43%, 12/1/23		700,000		735,924
				6,445,821
Florida (0.5%):
Hillsborough County IDA Revenue, 2.16%, 8/1/25		1,250,000		1,275,425
Hawaii (0.8%):
State of Hawaii Airports System Revenue Series B, 0.90%, 7/1/23		300,000		300,399
Series E, 1.39%, 7/1/25		1,500,000		1,524,449
				1,824,848
Illinois (0.1%):
Chicago O'Hare International Airport Revenue, Series D, 0.96%, 1/1/23		165,000		164,627
Indiana (0.4%):
Indiana Finance Authority Revenue, 2.48%, 3/1/24 (l)		1,000,000		1,052,110
Maine (0.2%):
Maine State Housing Authority Revenue, Series H, 1.70%, 11/15/26		600,000		597,972
Maryland (0.2%):
County of Howard, GO, Series C, 1.34%, 8/15/23		500,000		513,620
Michigan (1.2%):
Ecorse Public School District, GO, 2.00%, 5/1/24		750,000		781,418
Michigan Finance Authority Revenue 2.21%, 12/1/23		185,000		192,796
2.31%, 12/1/24		105,000		110,822
2.37%, 9/1/49, (Put Date 9/1/23) (h)		446,000		463,577
Series A-1, 2.33%, 6/1/30		1,000,000		1,003,960
Ypsilanti School District, GO, 1.89%, 5/1/24		510,000		520,603
				3,073,176

See notes to financial statements.

11

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Mississippi (0.1%):
Medical Center Educational Building Corp. Revenue, 0.67%, 6/1/23	$	280,000	$	279,944
Missouri (0.6%):
Missouri State Environmental Improvement & Energy Resources Authority Revenue, Series B, 0.70%, 1/1/24		1,495,000		1,501,189
Nebraska (0.7%):
City of Grand Island Combined Utility System Revenue, Series B, 0.76%, 8/15/23		1,000,000		1,005,410
Papio-Missouri River Natural Resource District Special Tax, 2.09%, 12/15/24, Continuously Callable @ 100		670,000		700,626
				1,706,036
Nevada (0.9%):
State of Nevada Department of Business & Industry Revenue, Series A, 0.50%, 1/1/50, (Put Date 7/1/2021) (a) (h)		2,000,000		1,999,053
New Jersey (1.6%):
Essex County Improvement Authority Revenue, Series B, 1.96%, 8/1/22 (a)		350,000		349,766
New Jersey Educational Facilities Authority Revenue, 2.47%, 9/1/21		300,000		302,790
South Jersey Transportation Authority Revenue Series B, 2.10%, 11/1/24		750,000		753,135
Series B, 2.20%, 11/1/25		750,000		753,548
South Jersey Transportation Authority System Revenue, Series B, 3.02%, 11/1/25		425,000		443,012
Township of Weehawken, GO, 1.10%, 12/30/21		1,501,000		1,503,942
				4,106,193
New York (1.1%):
County of Suffolk, GO Series C, 1.05%, 6/15/23		1,250,000		1,250,375
Series D, 1.30%, 6/25/21		500,000		502,030
Madison County Capital Resource Corp. Revenue, 2.18%, 7/1/23		500,000		516,815
New York State Dormitory Authority Revenue, Series B, 3.18%, 3/15/22		500,000		515,440
				2,784,660
Ohio (0.1%):
Hamilton County Health Care Facilities Revenue, 2.37%, 6/1/22		325,000		332,628
Oklahoma (1.1%):
Oklahoma Turnpike Authority Revenue Series B, 0.49%, 1/1/22		750,000		749,580
Series B, 0.63%, 1/1/23		560,000		560,325
The University of Oklahoma Revenue Series B, 0.93%, 7/1/24		350,000		351,743
Series C, 0.72%, 7/1/23		1,250,000		1,252,875
				2,914,523
Pennsylvania (0.4%):
School District of Scranton, GO (INS — Build America Mutual Assurance Co.), 2.46%, 4/1/22		500,000		510,210
State Public School Building Authority Revenue, 2.75%, 4/1/25		500,000		517,875
				1,028,085

See notes to financial statements.

12

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Rhode Island (0.2%):
Rhode Island Commerce Corp. Revenue, 2.86%, 5/1/24	$	500,000	$	530,815
South Carolina (0.2%):
Charleston Educational Excellence Finance Corp. Revenue, 0.65%, 12/1/23		600,000		602,934
Tennessee (0.2%):
Metropolitan Government Nashville & Davidson County Sports Authority Revenue, 1.03%, 8/1/24		600,000		603,810
Texas (4.8%):
Boerne School District, GO 0.64%, 2/1/24		400,000		399,708
0.79%, 2/1/25		250,000		250,163
Central Texas Turnpike System Revenue, Series B, 1.98%, 8/15/42, (Put Date 8/15/22) (h)		1,000,000		1,005,270
City of Houston, GO 2.62%, 3/1/21		150,000		150,546
2.77%, 3/1/22		150,000		154,149
Clear Creek Independent School District, GO, Series B, 5.00%, 2/15/24		1,000,000		1,131,780
Dallas-Fort Worth International Airport Revenue, 2.04%, 11/1/24		750,000		784,800
Denton Independent School District, GO, Series A, 0.75%, 8/15/24		500,000		486,645
Harris County Cultural Education Facilities Finance Corp. Revenue 1.59%, 11/15/23		675,000		679,151
1.84%, 11/15/24		500,000		505,045
Series B, 2.30%, 5/15/24		600,000		619,968
Lubbock Texas Water & Wastewater System Revenue, Series B, 1.93%, 2/15/24		750,000		777,285
North Texas Tollway Authority Revenue, 0.92%, 1/1/24		1,000,000		1,003,090
Port of Port Arthur Navigation District Revenue, Series B, 0.17%, 4/1/40, Continuously Callable @ 100 (f)		500,000		500,000
State of Texas, GO, 3.11%, 10/1/23		500,000		537,845
Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.07%, 9/1/23 (d)		525,000		526,323
1.36%, 9/1/24 (d)		700,000		704,564
Texas A&M University Revenue, Series A, 2.95%, 5/15/23		500,000		530,945
White Settlement Independent School District, GO (NBGA — Texas Permanent School Fund), Series A, 1.01%, 8/15/25		920,000		878,315
				11,625,592
Virginia (1.4%):
County of Arlington, GO, Series B, 0.64%, 8/1/24		2,000,000		2,016,599
Virginia Small Business Financing Authority Revenue, 2.25%, 7/1/50, (Put Date 12/29/22) (a) (h)		1,250,000		1,252,263
				3,268,862
Washington (0.2%):
Washington State University Revenue, Series A, 0.86%, 10/1/23		480,000		478,781
West Virginia (0.6%):
Tobacco Settlement Finance Authority Revenue, Series A, 1.19%, 6/1/23		1,500,000		1,501,380

See notes to financial statements.

13

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December 31, 2020

  (Unaudited)

Security Description	Shares or Principal Amount		Value
Wisconsin (0.2%):
Public Finance Authority Revenue (LOC — Citizens Financial Group), 3.75%, 2/1/22, Continuously Callable @ 100	$	500,000	$	500,465
Total Municipal Bonds (Cost $57,192,318)				58,000,679
U.S. Treasury Obligations (0.2%)
U.S. Treasury Notes, 1.13%, 7/31/21 (l)		470,000		472,754
Total U.S. Treasury Obligations (Cost $465,564)				472,754
Commercial Papers (13.8%)
Albemarle Corp., 0.44%, 1/19/21 (i)		2,400,000		2,399,440
Ameren Corp., 0.15%, 1/4/21 (i)		2,400,000		2,399,960
American Honda Finance, 0.20%, 1/7/21 (i)		870,000		869,966
American Honda Finance, 0.20%, 1/6/21 (i)		1,600,000		1,599,947
CenterPoint Energy Resources Corp., 0.12%, 1/11/21 (i)		2,000,000		1,999,927
Dominion Resources, Inc., 0.16%, 1/12/21 (i)		700,000		699,962
Enable Midstream Partners LP, 0.40%, 1/5/21 (i)		1,000,000		999,944
Energy Transfer Operating LP, 0.44%, 1/21/21 (i)		1,400,000		1,399,639
Eversource Energy, 0.15%, 1/4/21 (a) (i)		1,500,000		1,499,975
Hyundai Capital America, 0.15%, 1/6/21 (i)		700,000		699,983
Hyundai Capital America, 0.15%, 1/7/21 (a) (i)		1,700,000		1,699,950
Intercontinental Exchange, Inc., 0.32%, 1/4/21 (i)		1,500,000		1,499,948
Jabil, Inc., 0.62%, 1/4/21 (i)		2,400,000		2,399,835
National Rural Utilities Cooperative Finance Corp., 0.14%, 1/29/21 (i)		2,400,000		2,399,739
Plains All American Pipeline, 0.15%, 1/6/21 (i)		1,000,000		999,975
Plains Midstream Canada, 0.47%, 1/14/21 (i)		1,400,000		1,399,745
Public Service Enterprise, 0.19%, 1/20/21 (i)		500,000		499,948
Puget Sound Energy, Inc., 0.17%, 1/14/21 (i)		2,100,000		2,099,864
Puget Sound Energy, Inc., 0.15%, 1/7/21 (i)		266,000		265,992
Starbucks Corp., 0.15%, 1/5/21 (i)		250,000		249,995
TransCanada PipeLine USA Ltd., 0.17%, 1/14/21 (a) (i)		2,400,000		2,399,843
Viatris, Inc., 0.65%, 3/22/21 (a) (i)		1,500,000		1,497,803
Wisconsin Power & Light Co., 0.10%, 1/4/21 (i)		2,400,000		2,399,973
Total Commercial Papers (Cost $34,380,577)				34,381,353
Collateral for Securities Loaned^ (0.8%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (j)		32,458		32,458
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (j)		1,115,110		1,115,110
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (j)		16,198		16,198
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (j)		129,158		129,158
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (j)		580,718		580,718
Total Collateral for Securities Loaned (Cost $1,873,642)				1,873,642
Total Investments (Cost $245,458,206) — 100.2%				248,906,472
Liabilities in excess of other assets — (0.2)%				(546,235	)
NET ASSETS — 100.00%			$	248,360,237

See notes to financial statements.

14

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December 31, 2020

  (Unaudited)

^  Purchased with cash collateral from securities on loan.

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $54,762,020 and amounted to 22.0% of net assets.

(b)  Variable or Floating-Rate Security. Rate disclosed is as of December 31, 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 December 31, 2020.

(d)  Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.

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

(f)  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.

(g)  Stepped-coupon security converts to coupon form on 8/15/21 with a rate of 2.715%.

(h)  Put Bond.

(i)  Rate represents the effective yield at December 31, 2020.

(j)  Rate disclosed is the daily yield on December 31, 2020.

(k)  The rates for this senior secured loan will be known on settlement date of the loan, subsequent to this report date. Senior secured loans have rates that will fluctuate over time in line with prevailing interest rates.

(l)  All or a portion of this security has been segregated as collateral for securities purchased on a when-issued basis.

bps — Basis points

Continuously callable — Investment is continuously callable or will be continuously callable on any date after the first call date until its maturity.

GO — General Obligation

H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of December 31, 2020.

IDA — Industrial Development Authority

LIBOR — London InterBank Offered Rate

LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of December 31, 2020, based on the last reset date of the security

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of December 31, 2020, based on the last reset date of the security

LLC — Limited Liability Company

LOC — Letter of Credit

LP — Limited Partnership

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.

See notes to financial statements.

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  (Unaudited)

  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.

  NBGA  Principal and interest payments or, under certain circumstances, underlying mortgages, are guaranteed by a nonbank guarantee agreement from the name listed.

See notes to financial statements.

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  (Unaudited)

Security Description	Principal Amount		Value
Asset-Backed Securities (6.6%)
American Express Credit Account Master Trust, Series 2019-2, Class B, 2.86%, 11/15/24	$	2,076,000	$	2,136,755
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 12/18/21 @ 100		1,000,000		1,027,331
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 8/15/28, Callable 3/15/23 @ 100 (a)		900,000		920,009
Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class B, 3.36%, 11/20/22, Callable 12/20/21 @ 100 (a)		1,250,000		1,263,054
Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class B, 3.55%, 9/22/25, Callable 10/20/24 @ 100 (a)		500,000		521,094
Bank of The West Auto Trust, Series 2019-1, Class C, 2.90%, 4/15/25, Callable 7/15/23 @ 100 (a)		1,062,000		1,111,908
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 3/15/22 @ 100 (a)		500,000		513,149
BCC Funding Corp. XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24, Callable 7/20/23 @ 100 (a)		754,630		762,566
BCC Funding XVII LLC, Series 2020-1, Class A2, 0.91%, 8/20/25, Callable 7/20/24 @ 100 (a)		1,250,000		1,253,544
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 2/19/22 @ 100 (a)		500,000		514,037
Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class A4, 1.89%, 3/19/25, Callable 7/19/23 @ 100 (a)		433,000		445,303
CarMax Auto Owner Trust, Series 2020-1, Class B, 2.21%, 9/15/25, Callable 11/15/23 @ 100		1,275,000		1,326,477
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.39%, 4/16/29 (a)		823,000		854,806
Dell Equipment Finance Trust, Series 2020-1, Class A3, 2.24%, 2/22/23, Callable 10/22/22 @ 100 (a)		687,500		706,388
DT Auto Owner Trust, Series 2018-2A, Class D, 4.15%, 3/15/24, Callable 6/15/22 @ 100 (a)		2,155,000		2,207,234
Enterprise Fleet Financing LLC, Series 2020-1, Class A3, 1.86%, 12/22/25 (a)		820,000		847,887
Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.26%, 4/15/24, Callable 6/15/23 @ 100 (a)		513,000		519,032
Exeter Automobile Receivables Trust, Series 2017-3A, Class D, 5.28%, 10/15/24, Callable 6/15/22 @ 100 (a)		500,000		525,114
Exeter Automobile Receivables Trust, Series 2019-1A, Class C, 3.82%, 12/16/24, Callable 1/15/23 @ 100 (a)		1,000,000		1,014,906
ExteNet LLC, Series 2019-1A, Class A2, 3.20%, 7/26/49, Callable 1/25/23 @ 100 (a)		500,000		518,255
Flagship Credit Auto Trust, Series 2020-2, Class D, 5.75%, 4/15/26, Callable 2/15/24 @ 100 (a)		1,000,000		1,128,468
Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31, Callable 2/15/25 @ 100 (a)		1,500,000		1,580,045
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A4, 1.90%, 3/17/25, Callable 5/16/23 @ 100		1,000,000		1,034,423
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 8/18/25, Callable 10/16/23 @ 100		750,000		775,316
Hertz Vehicle Financing II LP, Series 2019-3A, Class A, 2.67%, 12/26/25 (a)		187,986		188,220

See notes to financial statements.

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  (Unaudited)

Security Description	Principal Amount		Value
HPEFS Equipment Trust, Series 2020-1A, Class B, 1.89%, 2/20/30, Callable 2/20/23 @ 100 (a)	$	385,000	$	392,741
HPEFS Equipment Trust, Series 2019-1A, Class C, 2.49%, 9/20/29, Callable 7/20/22 @ 100 (a)		500,000		509,527
Hyundai Auto Receivables Trust, Series 2020-C, Class B, 0.81%, 11/16/26, Callable 3/15/25 @ 100		1,271,000		1,271,839
InSite Issuer LLC, Series 2016-1A, Class A, 2.88%, 11/15/46, Callable 11/15/22 @ 100 (a)		1,000,000		1,032,270
John Deere Owner Trust, Series 2020-A, Class A4, 1.21%, 11/16/26, Callable 8/15/23 @ 100		2,000,000		2,036,931
Kubota Credit Owner Trust, Series 2020-1A, Class A4, 2.26%, 7/15/26, Callable 10/15/23 @ 100 (a)		433,000		453,243
MMAF Equipment Finance LLC, Series 2017-B, Class A4, 2.41%, 11/15/24, Callable 10/15/27 @ 100 (a)		1,000,000		1,015,132
Navient Student Loan Trust, Series 2018-2A, Class B, 1.30% (LIBOR01M+115bps), 3/25/67, Callable 4/25/33 @ 100 (a) (b)		1,000,000		923,020
NP SPE LLC, Series 2019-1A, Class A2, 3.24%, 9/20/49 (a)		500,000		501,971
OSCAR US Funding Trust LLC, Series 2018-1A, Class A3, 3.23%, 5/10/22 (a)		106,392		106,795
Pawnee Equipment Receivables LLC, Series 2020-1, Class B, 1.84%, 1/15/26, Callable 4/15/24 @ 100 (a)		1,000,000		1,004,553
Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.31%, 11/16/26, Callable 12/15/24 @ 100 (a)		929,000		929,106
PSNH Funding LLC, Series 2018-1, Class A3, 3.81%, 2/1/35		1,000,000		1,149,630
Santander Consumer Auto Receivables Trust, Series 2020-AA, Class D, 5.49%, 4/15/26, Callable 5/15/24 @ 100 (a)		1,000,000		1,098,564
SCF Equipment Leasing LLC, Series 2019-1A, Class B, 3.49%, 1/20/26, Callable 1/20/21 @ 100 (a)		500,000		500,467
SCF Equipment Leasing LLC, Series 2019-1A, Class A2, 3.23%, 10/20/24, Callable 1/20/21 @ 100 (a)		327,269		327,573
SLM Student Loan Trust, Series 2006-10, Class B, 0.43% (LIBOR03M+22bps), 3/25/44, Callable 4/25/32 @ 100 (b)		234,537		210,356
SLM Student Loan Trust, Series 2007-1, Class B, 0.43% (LIBOR03M+22bps), 1/27/42, Callable 1/25/29 @ 100 (b)		372,122		340,210
Synchrony Credit Card Master Note Trust, Series 2018-2, Class A, 3.47%, 5/15/26		2,000,000		2,142,105
Transportation Finance Equipment Trust, Series 2019-1, Class A4, 1.88%, 3/25/24, Callable 7/23/23 @ 100 (a)		1,280,000		1,317,610
VB-S1 Issuer LLC, Series 2018-1A, Class C, 3.41%, 2/15/48, Callable 2/15/22 @ 100 (a)		500,000		513,666
Westlake Automobile Receivables Trust, Series 2018-2A, Class D, 4.00%, 1/16/24, Callable 3/15/22 @ 100 (a)		507,000		517,430
Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.00%, 10/16/23, Callable 5/15/22 @ 100 (a)		860,000		886,423
Total Asset-Backed Securities (Cost $42,080,842)				42,876,483
Collateralized Mortgage Obligations (2.9%)
Benchmark Mortgage Trust, Series 2020-B17, Class ASB, 2.18%, 3/15/53, Callable 11/15/29 @ 100		1,000,000		1,053,887
BX Commercial Mortgage Trust, Series 2019-XL, Class B, 1.24% (LIBOR01M+108bps), 10/15/36 (a) (b)		243,970		243,949

See notes to financial statements.

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  (Unaudited)

Security Description	Shares or Principal Amount		Value
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/9/41 (a)	$	923,077	$	1,010,777
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class AS, 3.79%, 9/15/50 (c)		500,000		565,853
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class AAB, 2.61%, 1/15/53		732,000		794,798
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class C, 4.68%, 1/10/24 (a)		500,000		530,607
Citigroup Commercial Mortgage Trust, Series 2020-555, Class A, 2.65%, 12/10/41 (a)		2,000,000		2,112,333
COMM Mortgage Trust, Series 2015-LC23, Class AM, 4.16%, 10/10/48 (c)		250,000		273,104
COMM Mortgage Trust, Series 2014-277P, Class A, 3.61%, 8/10/49, Callable 8/10/24 @ 100 (a) (c)		1,000,000		1,079,953
COMM Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46 (a)		1,500,000		1,564,060
COMM Mortgage Trust, Series 2015-PC1, Class B, 4.43%, 7/10/50, Callable 6/10/25 @ 100 (c)		865,000		909,958
DBJPM Mortgage Trust, Series 2016-SFC, Class A, 2.83%, 8/10/36 (a)		250,000		246,029
FREMF Mortgage Trust, Series 2019-K99, Class B, 3.65%, 9/25/29, Callable 9/25/29 @ 100 (a) (c)		1,000,000		1,106,275
GS Mortgage Securities Corp. Trust, Series 2012-ALOH, Class A, 3.55%, 4/10/34 (a)		1,000,000		1,008,904
GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A, 2.86%, 5/10/34 (a)		1,000,000		993,199
GS Mortgage Securities Trust, Series 2020-GC45, Class AAB, 2.84%, 2/13/53		357,000		392,763
Houston Galleria Mall Trust, Series 2015-HGLR, Class A1A2, 3.09%, 3/5/37 (a)		1,000,000		1,023,966
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class B, 5.07%, 11/15/43 (a) (c)		979,000		977,954
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class C, 5.65%, 11/15/43 (a) (c)		813,000		701,469
Manhattan West, Series 2020-1MW, Class A, 2.13%, 9/10/40 (a)		750,000		784,146
VLS Commercial Mortgage Trust, Series 2020-LAB, Class A, 2.13%, 10/10/42 (a)		1,000,000		1,036,391
Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A, 4.06%, 7/17/36 (a) (c)		250,000		278,736
Total Collateralized Mortgage Obligations (Cost $18,427,887)				18,689,111
Common Stocks (0.0%) (d)
Energy (0.0%): (d)
Whiting Petroleum Corp. (e)		7,782		194,550
Total Common Stocks (Cost $500,000)				194,550
Corporate Bonds (31.6%)
Communication Services (1.9%):
AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100		1,000,000		1,192,670
CenturyLink, Inc., 4.50%, 1/15/29, Callable 1/15/24 @ 102.25 (a)		1,000,000		1,017,400
Charter Communications Operating LLC/Charter Communications Operating Capital 4.50%, 2/1/24, Callable 1/1/24 @ 100		500,000		555,040
3.75%, 2/15/28, Callable 11/15/27 @ 100		500,000		560,710
2.30%, 2/1/32, Callable 11/1/31 @ 100		500,000		499,340

See notes to financial statements.

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Comcast Corp., 3.55%, 5/1/28, Callable 2/1/28 @ 100	$	750,000	$	863,978
Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100		1,000,000		1,214,190
Meredith Corp., 6.88%, 2/1/26, Callable 2/11/21 @ 103.44		500,000		489,805
The Walt Disney Co., 2.20%, 1/13/28		666,000		711,355
T-Mobile USA, Inc. 4.75%, 2/1/28, Callable 2/1/23 @ 102.38		643,000		690,826
3.88%, 4/15/30, Callable 1/15/30 @ 100 (a) (l)		1,039,000		1,201,178
2.25%, 11/15/31, Callable 8/15/31 @ 100 (a)		1,000,000		1,025,700
Verizon Communications, Inc. 3.15%, 3/22/30, Callable 12/22/29 @ 100		200,000		224,270
1.75%, 1/20/31, Callable 10/20/30 @ 100		1,000,000		996,280
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,123,310
				12,366,052
Consumer Discretionary (1.8%):
AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100		600,000		722,784
AutoZone, Inc., 3.75%, 6/1/27, Callable 3/1/27 @ 100		500,000		574,400
D.R. Horton, Inc., 4.75%, 2/15/23, Callable 11/15/22 @ 100 (l)		500,000		538,245
Daimler Finance North America LLC 3.70%, 5/4/23 (a)		1,000,000		1,072,320
3.45%, 1/6/27 (a)		1,000,000		1,115,150
General Motors Co., 6.80%, 10/1/27, Callable 8/1/27 @ 100 (l)		750,000		964,755
Hasbro, Inc. 3.55%, 11/19/26, Callable 9/19/26 @ 100		600,000		669,618
3.90%, 11/19/29, Callable 8/19/29 @ 100 (l)		1,350,000		1,532,615
Murphy Oil USA, Inc., 4.75%, 9/15/29, Callable 9/15/24 @ 102.38		1,000,000		1,065,340
Newell Brands, Inc., 4.70%, 4/1/26, Callable 1/1/26 @ 100		500,000		551,175
O'Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100		500,000		602,915
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100		500,000		552,555
Volkswagen Group of America Finance LLC, 3.20%, 9/26/26, Callable 7/26/26 @ 100 (a)		1,000,000		1,105,960
				11,067,832
Consumer Staples (2.3%):
Altria Group, Inc., 3.40%, 5/6/30, Callable 2/6/30 @ 100		435,000		486,117
Anheuser-Busch InBev Worldwide, Inc. 3.65%, 2/1/26, Callable 11/1/25 @ 100		1,000,000		1,131,050
4.38%, 4/15/38, Callable 10/15/37 @ 100		500,000		617,370
5.45%, 1/23/39, Callable 7/23/38 @ 100		500,000		677,090
BAT Capital Corp. 2.73%, 3/25/31, Callable 12/25/30 @ 100		1,000,000		1,035,230
4.39%, 8/15/37, Callable 2/15/37 @ 100		1,250,000		1,398,937
Bunge Ltd. Finance Corp. 4.35%, 3/15/24, Callable 2/15/24 @ 100		500,000		552,420
3.25%, 8/15/26, Callable 5/15/26 @ 100		502,000		558,701
Constellation Brands, Inc., 3.50%, 5/9/27, Callable 2/9/27 @ 100		750,000		851,160
General Mills, Inc., 4.55%, 4/17/38, Callable 10/17/37 @ 100		1,000,000		1,290,609
Kraft Heinz Foods Co., 3.75%, 4/1/30, Callable 1/1/30 @ 100 (a)		1,000,000		1,069,710
Mars, Inc., 3.88%, 4/1/39, Callable 10/1/38 @ 100 (a)		1,000,000		1,221,270
McCormick & Co., Inc., 2.50%, 4/15/30, Callable 1/15/30 @ 100		375,000		401,693
Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100		375,000		411,818

See notes to financial statements.

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100	$	1,000,000	$	1,117,640
Smithfield Foods, Inc., 5.20%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		597,075
Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100		391,000		514,016
The Kroger Co., 3.50%, 2/1/26, Callable 11/1/25 @ 100		500,000		562,165
				14,494,071
Energy (5.0%):
Boardwalk Pipelines LP 4.45%, 7/15/27, Callable 4/15/27 @ 100		1,500,000		1,691,129
4.80%, 5/3/29, Callable 2/3/29 @ 100 (l)		500,000		572,495
Buckeye Partners LP, 4.13%, 12/1/27, Callable 9/1/27 @ 100		1,000,000		1,020,430
Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100 (a)		1,091,000		1,227,626
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP 3.30%, 5/1/23, Callable 4/1/23 @ 100 (a)		250,000		264,738
3.70%, 6/1/28, Callable 3/1/28 @ 100 (a)		250,000		285,688
Continental Resources, Inc., 4.50%, 4/15/23, Callable 1/15/23 @ 100 (l)		109,000		112,331
Diamondback Energy, Inc., 3.25%, 12/1/26, Callable 10/1/26 @ 100		1,000,000		1,068,750
Enable Midstream Partners LP, 4.15%, 9/15/29, Callable 6/15/29 @ 100		1,000,000		985,300
Energy Transfer Operating LP 3.75%, 5/15/30, Callable 2/15/30 @ 100		1,000,000		1,077,690
3.23% (LIBOR03M+302bps), 11/1/66, Callable 2/11/21 @ 100 (b)		500,000		348,945
EnLink Midstream Partners LP, 4.85%, 7/15/26, Callable 4/15/26 @ 100		500,000		487,665
Enterprise Products Operating LLC, 2.80%, 1/31/30, Callable 10/31/29 @ 100 (f)		1,000,000		1,085,430
EOG Resources, Inc., 4.38%, 4/15/30, Callable 1/15/30 @ 100		231,000		281,557
EQM Midstream Partners LP, 4.75%, 7/15/23, Callable 6/15/23 @ 100 (l)		500,000		524,595
EQT Corp., 8.75%, 2/1/30, Callable 11/1/29 @ 100 (g)		514,000		630,627
Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100		1,500,000		1,638,044
Florida Gas Transmission Co. LLC, 2.55%, 7/1/30, Callable 4/1/30 @ 100 (a)		750,000		790,673
Gray Oak Pipeline LLC, 3.45%, 10/15/27, Callable 8/15/27 @ 100 (a)		1,334,000		1,397,939
HollyFrontier Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100 (f)		2,000,000		2,108,459
Marathon Petroleum Corp., 4.70%, 5/1/25, Callable 4/1/25 @ 100		469,000		537,587
Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		522,360
MPLX LP 4.25%, 12/1/27, Callable 9/1/27 @ 100		500,000		584,380
4.00%, 3/15/28, Callable 12/15/27 @ 100		750,000		863,243
4.80%, 2/15/29, Callable 11/15/28 @ 100 (l)		250,000		300,348
Murphy Oil Corp., 5.75%, 8/15/25, Callable 2/11/21 @ 104.31		500,000		498,700
Newfield Exploration Co., 5.38%, 1/1/26, Callable 10/1/25 @ 100		500,000		536,385
NuStar Logistics LP, 6.00%, 6/1/26, Callable 3/1/26 @ 100		500,000		540,515
Occidental Petroleum Corp. 3.40%, 4/15/26, Callable 1/15/26 @ 100		1,000,000		953,260
4.40%, 8/15/49, Callable 2/15/49 @ 100		500,000		421,275
ONEOK, Inc., 4.55%, 7/15/28, Callable 4/15/28 @ 100		500,000		571,830
Pioneer Natural Resources Co., 1.90%, 8/15/30, Callable 5/15/30 @ 100		750,000		743,535
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29, Callable 9/15/29 @ 100		2,280,000		2,387,182
Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100 (a)		2,000,000		2,078,659
Sabal Trail Transmission LLC, 4.25%, 5/1/28, Callable 2/1/28 @ 100 (a)		1,000,000		1,152,450
Southwestern Energy Co., 7.75%, 10/1/27, Callable 10/1/22 @ 103.88		500,000		537,075

See notes to financial statements.

21

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Valero Energy Corp., 2.15%, 9/15/27, Callable 7/15/27 @ 100	$	636,000	$	650,844
Western Midstream Operating LP, 3.10%, 2/1/25, Callable 1/1/25 @ 100		421,000		432,375
				31,912,114
Financials (7.9%):
Alexander Funding Trust, 1.84%, 11/15/23 (a)		1,000,000		1,011,670
Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100		1,250,000		1,399,063
American Equity Investment Life Holding Co., 5.00%, 6/15/27, Callable 3/15/27 @ 100		500,000		564,895
Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100		500,000		543,100
Athene Global Funding, 2.80%, 5/26/23 (a)		1,000,000		1,044,850
Athene Holding Ltd., 3.50%, 1/15/31, Callable 10/15/30 @ 100		1,000,000		1,062,580
AXA Equitable Holdings, Inc., 4.35%, 4/20/28, Callable 1/20/28 @ 100		1,000,000		1,181,690
Bank of America Corp., 3.70% (LIBOR03M+151bps), 4/24/28, Callable 4/24/27 @ 100 (b)		1,000,000		1,140,299
BB&T Corp., 4.25%, 9/30/24		750,000		835,673
Belrose Funding Trust, 2.33%, 8/15/30, Callable 5/15/30 @ 100 (a)		1,000,000		1,029,320
BMW US Capital LLC, 3.75%, 4/12/28, Callable 1/12/28 @ 100 (a)		1,000,000		1,154,630
Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (b)		500,000		477,825
Capital One Financial Corp., 3.75%, 7/28/26, Callable 6/28/26 @ 100		1,000,000		1,130,770
CIT Group, Inc., 5.25%, 3/7/25, Callable 12/7/24 @ 100		500,000		570,730
Citizens Financial Group, Inc., 2.50%, 2/6/30, Callable 11/6/29 @ 100		2,000,000		2,141,039
CNO Financial Group, Inc., 5.25%, 5/30/29, Callable 2/28/29 @ 100		500,000		603,085
Credit Acceptance Corp., 6.63%, 3/15/26, Callable 3/15/22 @ 103.31		500,000		532,450
Fifth Third Bancorp, 3.95%, 3/14/28, Callable 2/14/28 @ 100		500,000		590,780
First Citizens BancShares, Inc., 3.37% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,008,110
First Horizon Bank, 5.75%, 5/1/30, Callable 2/1/30 @ 100		500,000		585,380
Ford Motor Credit Co. LLC 4.54%, 8/1/26, Callable 6/1/26 @ 100		1,400,000		1,487,990
5.11%, 5/3/29, Callable 2/3/29 @ 100		500,000		557,060
FS KKR Capital Corp., 4.63%, 7/15/24, Callable 6/15/24 @ 100		1,000,000		1,053,910
Glencore Funding LLC 4.00%, 3/27/27, Callable 12/27/26 @ 100 (a)		500,000		565,345
2.50%, 9/1/30, Callable 6/1/30 @ 100 (a)		500,000		511,030
Global Atlantic Financial Co., 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a)		1,714,000		1,895,529
Hyundai Capital America 3.40%, 6/20/24 (a)		500,000		537,145
3.50%, 11/2/26, Callable 9/2/26 @ 100 (a)		500,000		550,525
ILFC E-Capital Trust I, 3.23%, 12/21/65, Callable 2/11/21 @ 100 (a) (g)		500,000		331,970
JPMorgan Chase & Co., 2.52% (SOFR+204bps), 4/22/31, Callable 4/22/30 @ 100 (b)		750,000		804,930
KeyBank NA 3.40%, 5/20/26, MTN		500,000		560,355
3.90%, 4/13/29		1,000,000		1,157,389
KeyCorp, 2.25%, 4/6/27, MTN		500,000		535,320
KKR Group Finance Co. LLC, 3.75%, 7/1/29, Callable 4/1/29 @ 100 (a)		500,000		583,200
Lincoln National Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100		500,000		577,215
Main Street Capital Corp., 4.50%, 12/1/22		500,000		524,740
Mercury General Corp., 4.40%, 3/15/27, Callable 12/15/26 @ 100		1,000,000		1,107,620

See notes to financial statements.

22

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
New York Community Bancorp, Inc., 5.90% (LIBOR03M+278bps), 11/6/28, Callable 11/6/23 @ 100 (b)	$	500,000	$	516,885
Old Republic International Corp., 3.88%, 8/26/26, Callable 7/26/26 @ 100		500,000		574,670
Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100 (a)		500,000		590,340
PPL Capital Funding, Inc., 4.13%, 4/15/30, Callable 1/15/30 @ 100		1,000,000		1,191,150
Prudential Financial, Inc., 4.35%, 2/25/50, Callable 8/25/49 @ 100		500,000		653,840
Regions Financial Corp., 2.25%, 5/18/25, Callable 4/18/25 @ 100		750,000		795,338
Santander Holdings USA, Inc. 4.45%, 12/3/21, Callable 11/3/21 @ 100		250,000		258,090
3.40%, 1/18/23, Callable 12/18/22 @ 100		250,000		262,550
4.40%, 7/13/27, Callable 4/14/27 @ 100		750,000		854,228
Synchrony Financial 4.50%, 7/23/25, Callable 4/23/25 @ 100		500,000		562,725
3.95%, 12/1/27, Callable 9/1/27 @ 100		500,000		561,850
5.15%, 3/19/29, Callable 12/19/28 @ 100		500,000		604,715
Synovus Bank/Columbus GA, 4.00% (H15T5Y+363bps), 10/29/30, Callable 10/29/25 @ 100 (b)		500,000		527,605
Synovus Financial Corp., 5.90% (USSW5+338bps), 2/7/29, Callable 2/7/24 @ 100 (b)		500,000		538,230
TCF National Bank, 4.12% (LIBOR03M+238bps), 7/2/29, Callable 7/2/24 @ 100 (b)		1,000,000		983,500
Texas Capital Bank NA, 5.25%, 1/31/26		250,000		268,938
The Goldman Sachs Group, Inc., 0.96% (LIBOR03M+75bps), 2/23/23 (b)		500,000		504,185
The PNC Financial Services Group, Inc., 2.55%, 1/22/30, Callable 10/24/29 @ 100		1,500,000		1,642,799
The Progressive Corp., 3.20%, 3/26/30, Callable 12/26/29 @ 100		400,000		461,880
Torchmark Corp., 4.55%, 9/15/28, Callable 6/15/28 @ 100		500,000		599,925
Toyota Motor Credit Corp., 3.38%, 4/1/30, MTN		536,000		628,916
Truist Bank, 2.25%, 3/11/30, Callable 12/11/29 @ 100		1,050,000		1,102,448
UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (b)		375,000		386,565
Wells Fargo & Co. 2.19% (SOFR+200bps), 4/30/26, Callable 4/30/25 @ 100 (b)		750,000		789,398
3.00%, 10/23/26		1,000,000		1,108,070
Zions Bancorp NA, 3.25%, 10/29/29, Callable 7/29/29 @ 100		1,000,000		1,050,890
				49,968,942
Health Care (2.4%):
AbbVie, Inc., 3.20%, 11/21/29, Callable 8/21/29 @ 100		1,000,000		1,126,400
Anthem, Inc., 2.88%, 9/15/29, Callable 6/15/29 @ 100		323,000		358,104
Boston Medical Center Corp., 3.91%, 7/1/28		500,000		574,050
Bristol Myers Squibb Co., 3.90%, 2/20/28, Callable 11/20/27 @ 100		500,000		593,445
CVS Health Corp. 4.30%, 3/25/28, Callable 12/25/27 @ 100		282,000		334,241
3.25%, 8/15/29, Callable 5/15/29 @ 100 (l)		500,000		563,055
1.75%, 8/21/30, Callable 5/21/30 @ 100		1,000,000		1,004,340
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100		750,000		835,088
Duke University Health System, Inc., 2.60%, 6/1/30		500,000		534,735
Eastern Maine Healthcare Systems, 3.71%, 7/1/26		435,000		455,686
Fresenius Medical Care U.S. Finance III, Inc., 2.38%, 2/16/31, Callable 11/16/30 @ 100 (a)		1,000,000		1,014,730

See notes to financial statements.

23

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Gilead Sciences, Inc., 1.20%, 10/1/27, Callable 8/1/27 @ 100	$	1,000,000	$	1,007,270
HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100		500,000		581,900
Mercy Health, 4.30%, 7/1/28		250,000		287,253
Orlando Health Obligated Group 3.78%, 10/1/28, Callable 7/1/28 @ 100		500,000		579,285
2.89%, 10/1/35		1,000,000		1,027,080
Premier Health Partners, 2.91%, 11/15/26, Callable 5/15/26 @ 100		750,000		749,543
Quest Diagnostics, Inc., 3.45%, 6/1/26, Callable 3/1/26 @ 100		1,250,000		1,407,549
Southern Illinois Healthcare Enterprises, Inc., 3.97%, 5/15/50, Callable 11/15/49 @ 100		1,000,000		1,154,390
Universal Health Services, Inc., 2.65%, 10/15/30, Callable 7/15/30 @ 100 (a)		333,000		345,864
Upjohn, Inc., 2.30%, 6/22/27, Callable 4/22/27 @ 100 (a)		1,250,000		1,327,513
				15,861,521
Industrials (4.1%):
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100		2,000,000		2,028,720
American Airlines Pass Through Trust 3.70%, 4/1/28		338,525		317,117
3.85%, 8/15/29		469,965		394,610
3.60%, 4/15/31		432,347		395,567
Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5 (a)		500,000		526,790
Arconic, Inc. 5.13%, 10/1/24, Callable 7/1/24 @ 100		250,000		274,958
5.90%, 2/1/27		250,000		295,103
Ashtead Capital, Inc., 4.25%, 11/1/29, Callable 11/1/24 @ 102.13 (a)		1,448,000		1,594,320
British Airways Pass Through Trust 3.35%, 12/15/30 (a)		475,813		449,710
3.80%, 3/20/33 (a)		651,119		653,671
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100		1,000,000		1,073,140
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100		1,000,000		1,096,520
Caterpillar, Inc., 2.60%, 4/9/30, Callable 1/9/30 @ 100		500,000		550,655
CNH Industrial Capital LLC, 1.88%, 1/15/26, Callable 12/15/25 @ 100		1,000,000		1,050,310
CoStar Group, Inc., 2.80%, 7/15/30, Callable 4/15/30 @ 100 (a)		224,000		233,175
FedEx Corp., 3.90%, 2/1/35		1,250,000		1,494,300
Georgia-Pacific LLC, 2.10%, 4/30/27, Callable 2/28/27 @ 100 (a)		500,000		528,495
Hawaiian Airlines Pass Through Certificates 4.95%, 7/15/23		588,767		529,890
3.90%, 7/15/27		108,031		95,278
Hillenbrand, Inc., 4.50%, 9/15/26, Callable 7/15/26 @ 100		1,000,000		1,121,570
Hubbell, Inc., 3.50%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,095,620
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100		500,000		551,455
Ingersoll-Rand Global Holding Co. Ltd., 3.75%, 8/21/28, Callable 5/21/28 @ 100		500,000		582,225
JetBlue Pass Through Trust, 2.95%, 11/15/29		235,075		219,156
Kennametal, Inc., 4.63%, 6/15/28, Callable 3/15/28 @ 100		1,058,000		1,175,851
Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100		500,000		565,795
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100		1,000,000		1,090,440
Penske Truck Leasing Co. LP/PTL Finance Corp. 3.95%, 3/10/25, Callable 1/10/25 @ 100 (a)		500,000		560,245
4.45%, 1/29/26, Callable 11/29/25 @ 100 (a)		1,000,000		1,156,760
Ryder System, Inc., 3.40%, 3/1/23, MTN, Callable 2/1/23 @ 100		1,000,000		1,059,590

See notes to financial statements.

24

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Southwest Airlines Co., 5.13%, 6/15/27, Callable 4/15/27 @ 100	$	800,000	$	949,896
The Boeing Co. 3.25%, 2/1/28, Callable 12/1/27 @ 100		1,500,000		1,607,939
5.71%, 5/1/40, Callable 11/1/39 @ 100		1,000,000		1,297,190
Union Pacific Corp., 4.30%, 3/1/49, Callable 9/1/48 @ 100		500,000		654,775
United Airlines Pass Through Trust, 3.70%, 9/1/31		454,122		430,985
				27,701,821
Information Technology (1.4%):
Amphenol Corp., 4.35%, 6/1/29, Callable 3/1/29 @ 100		500,000		615,415
Analog Devices, Inc., 2.95%, 4/1/25, Callable 3/1/25 @ 100		250,000		272,840
Broadcom, Inc., 4.30%, 11/15/32, Callable 8/15/32 @ 100		750,000		888,953
Hewlett Packard Enterprise Co., 4.65%, 10/1/24, Callable 9/1/24 @ 100		500,000		568,325
HP, Inc., 3.40%, 6/17/30, Callable 3/17/30 @ 100		743,000		827,487
Jabil, Inc., 3.00%, 1/15/31, Callable 10/15/30 @ 100		974,000		1,036,180
Leidos, Inc., 2.30%, 2/15/31, Callable 11/15/30 @ 100 (a)		1,500,000		1,535,970
Micron Technology, Inc., 4.66%, 2/15/30, Callable 11/15/29 @ 100		1,000,000		1,226,830
Motorola Solutions, Inc., 4.60%, 2/23/28, Callable 11/23/27 @ 100		750,000		905,768
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a)		500,000		515,905
Salesforce.com, Inc., 3.70%, 4/11/28, Callable 1/11/28 @ 100		1,000,000		1,179,200
				9,572,873
Materials (1.5%):
Avery Dennison Corp., 2.65%, 4/30/30, Callable 2/1/30 @ 100		800,000		859,960
Colonial Enterprises, Inc., 3.25%, 5/15/30, Callable 2/15/30 @ 100 (a)		375,000		424,965
Crown Americas LLC/Crown Americas Capital Corp., 4.25%, 9/30/26, Callable 3/31/26 @ 100		500,000		550,310
DuPont de Nemours, Inc., 4.73%, 11/15/28, Callable 8/15/28 @ 100		500,000		614,480
LafargeHolcim Finance US LLC, 3.50%, 9/22/26, Callable 6/22/26 @ 100 (a)		1,000,000		1,104,080
LYB International Finance III LLC 3.38%, 5/1/30, Callable 2/1/30 @ 100		750,000		842,235
2.25%, 10/1/30, Callable 7/1/30 @ 100		500,000		514,465
Martin Marietta Materials, Inc., 3.50%, 12/15/27, Callable 9/15/27 @ 100		625,000		711,013
Packaging Corp. of America, 3.40%, 12/15/27, Callable 9/15/27 @ 100		500,000		563,070
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		500,000		539,590
The Mosaic Co., 4.05%, 11/15/27, Callable 8/15/27 @ 100		1,000,000		1,133,110
Vulcan Materials Co.
3.90%, 4/1/27, Callable 1/1/27 @ 100		500,000		582,885
3.50%, 6/1/30, Callable 3/1/30 @ 100		1,000,000		1,144,220
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100 (l)		365,000		402,927
				9,987,310
Real Estate (1.0%):
AvalonBay Communities, Inc., 3.20%, 1/15/28, MTN, Callable 10/15/27 @ 100		750,000		836,438
Boston Properties LP, 3.25%, 1/30/31, Callable 10/30/30 @ 100		437,000		482,129
Essex Portfolio LP, 2.65%, 3/15/32, Callable 12/15/31 @ 100		1,500,000		1,607,534
GLP Capital LP/GLP Financing II, Inc., 4.00%, 1/15/31, Callable 10/15/30 @ 100		250,000		272,705
Hospitality Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 (f)		500,000		504,700
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100		311,000		327,847

See notes to financial statements.

25

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Hudson Pacific Properties LP 3.95%, 11/1/27, Callable 8/1/27 @ 100	$	500,000	$	549,880
4.65%, 4/1/29, Callable 1/1/29 @ 100		500,000		582,175
Office Properties Income Trust, 4.50%, 2/1/25, Callable 11/1/24 @ 100		1,000,000		1,061,210
Vornado Realty LP, 3.50%, 1/15/25, Callable 11/15/24 @ 100		500,000		527,900
				6,752,518	��
Utilities (2.3%):
AEP Texas, Inc., 3.45%, 1/15/50, Callable 7/15/49 @ 100		1,500,000		1,706,339
Ameren Corp., 3.50%, 1/15/31, Callable 10/15/30 @ 100		250,000		288,160
American Water Capital Corp., 2.95%, 9/1/27, Callable 6/1/27 @ 100		1,000,000		1,102,450
Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100		1,000,000		1,035,750
Dominion Energy, Inc., 3.07%, 8/15/24 (g) (h)		1,000,000		1,080,630
DTE Electric Co., 2.25%, 3/1/30, Callable 12/1/29 @ 100		1,000,000		1,073,530
Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100		1,000,000		1,246,450
Exelon Generation Co. LLC, 3.25%, 6/1/25, Callable 5/1/25 @ 100		750,000		818,543
IPALCO Enterprises, Inc., 4.25%, 5/1/30, Callable 2/1/30 @ 100 (a)		525,000		608,496
ITC Holdings Corp., 2.95%, 5/14/30, Callable 2/14/30 @ 100 (a)		750,000		821,550
National Fuel Gas Co., 4.75%, 9/1/28, Callable 6/1/28 @ 100 (f)		1,000,000		1,079,870
Southern Co. Gas Capital Corp., 1.75%, 1/15/31, Callable 10/15/30 @ 100		1,000,000		1,008,440
The AES Corp., 2.45%, 1/15/31, Callable 10/15/30 @ 100 (a)		1,000,000		1,012,720
The Cleveland Electric Illuminating Co., 4.55%, 11/15/30, Callable 8/15/30 @ 100 (a)		500,000		576,765
The Narragansett Electric Co., 3.40%, 4/9/30, Callable 1/9/30 @ 100 (a)		500,000		569,485
Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100 (a)		500,000		566,855
				14,596,033
Total Corporate Bonds (Cost $185,788,701)				204,281,087
Yankee Dollars (8.5%)
Communication Services (0.3%):
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a)		1,000,000		1,100,800
Vodafone Group PLC, 5.00%, 5/30/38		500,000		653,690
				1,754,490
Consumer Discretionary (0.3%):
Ascot Group Ltd., 4.25%, 12/15/30, Callable 12/15/25 @ 100 (a)		357,000		366,214
Nissan Motor Co. Ltd., 4.81%, 9/17/30, Callable 6/17/30 @ 100 (a)		1,000,000		1,124,310
				1,490,524
Consumer Staples (0.8%):
Alimentation Couche-Tard, Inc., 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a)		667,000		728,091
Bacardi Ltd. 4.45%, 5/15/25, Callable 3/15/25 @ 100 (a)		1,500,000		1,690,725
2.75%, 7/15/26, Callable 4/15/26 @ 100 (a)		500,000		529,220
Becle SAB de CV, 3.75%, 5/13/25 (a)		1,000,000		1,088,420
Imperial Brands Finance PLC, 3.88%, 7/26/29, Callable 4/26/29 @ 100 (a)		1,000,000		1,124,130
				5,160,586

See notes to financial statements.

26

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Energy (0.6%):
Aker BP ASA 5.88%, 3/31/25, Callable 3/31/21 @ 102.94 (a)	$	500,000	$	520,725
4.00%, 1/15/31, Callable 10/15/30 @ 100 (a)		750,000		812,573
Petroleos Mexicanos, 6.50%, 3/13/27		2,000,000		2,108,520
Petronas Capital Ltd., 3.50%, 4/21/30, Callable 1/21/30 @ 100 (a)		50,000		57,611
Transocean Guardian Ltd., 5.88%, 1/15/24, Callable 7/15/21 @ 102.94 (a)		390,000		331,321
				3,830,750
Financials (3.9%):
ABN AMRO Bank NV, 4.80%, 4/18/26 (a)		500,000		589,830
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 4/17/25 (a)		357,000		410,125
Banco Santander SA, 4.38%, 4/12/28		600,000		702,876
Bank of Montreal, 3.80% (USSW5+143bps), 12/15/32, Callable 12/15/27 @ 100 (b)		500,000		566,205
Barclays PLC 4.61% (LIBOR03M+140bps), 2/15/23, Callable 2/15/22 @ 100 (b)		1,000,000		1,043,820
3.93% (LIBOR03M+161bps), 5/7/25, Callable 5/7/24 @ 100 (b)		500,000		547,245
BNP Paribas SA, 4.71% (LIBOR03M+224bps), 1/10/25, Callable 1/10/24 @ 100 (a) (b)		1,000,000		1,111,320
BPCE SA 4.00%, 9/12/23 (a)		500,000		544,165
3.25%, 1/11/28 (a)		1,000,000		1,111,330
Co-operatieve Rabobank UA, 4.00% (USSW5+189bps), 4/10/29, MTN, Callable 4/10/24 @ 100 (b)		600,000		645,876
Credit Agricole SA, 3.25%, 10/4/24 (a)		1,250,000		1,357,949
Credit Suisse Group Funding Guernsey Ltd., 3.75%, 3/26/25		500,000		555,520
Diageo Capital PLC, 2.13%, 4/29/32, Callable 1/29/32 @ 100		500,000		526,900
Fairfax Financial Holdings Ltd., 4.85%, 4/17/28, Callable 1/17/28 @ 100		500,000		561,355
HSBC Holdings PLC 3.80% (LIBOR03M+121bps), 3/11/25, Callable 3/11/24 @ 100 (b)		500,000		545,845
2.91% (LIBOR03M+135bps), 9/12/26, Callable 9/12/25 @ 100 (b)		500,000		570,105
Lloyds Banking Group PLC 2.91% (LIBOR03M+81bps), 11/7/23, Callable 11/7/22 @ 100 (b)		250,000		260,730
3.57% (LIBOR03M+121bps), 11/7/28, Callable 11/7/27 @ 100 (b)		250,000		282,233
National Australia Bank Ltd., 3.93% (H15T5Y+188bps), 8/2/34, Callable 8/2/29 @ 100 (a) (b)		1,500,000		1,685,355
Nationwide Building Society 3.62% (LIBOR03M+118bps), 4/26/23, Callable 4/26/22 @ 100 (a) (b)		1,000,000		1,038,669
4.36% (LIBOR03M+139bps), 8/1/24, Callable 8/1/23 @ 100 (a) (b)		750,000		815,992
4.30% (LIBOR03M+145bps), 3/8/29, Callable 3/8/28 @ 100 (a) (b)		250,000		291,113
3.96% (LIBOR03M+186bps), 7/18/30, Callable 7/18/29 @ 100 (a) (b)		500,000		582,195
Royal Bank of Canada, 1.60%, 4/17/23, MTN (f)		1,500,000		1,542,645
Royal Bank of Scotland Group PLC 6.13%, 12/15/22		500,000		549,020
4.27% (LIBOR03M+176bps), 3/22/25, Callable 3/22/24 @ 100 (b)		1,000,000		1,105,540
5.08% (LIBOR03M+191bps), 1/27/30, Callable 1/27/29 @ 100 (b)		500,000		615,070
4.45% (LIBOR03M+187bps), 5/8/30, Callable 5/8/29 @ 100 (b)		1,000,000		1,191,099

See notes to financial statements.

27

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VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Societe Generale SA 3.88%, 3/28/24 (a)	$	1,000,000	$	1,091,840
1.49% (H15T1Y+1bps), 12/14/26, Callable 12/14/25 @ 100 (a) (b)		500,000		504,520
Standard Chartered PLC, 4.87% (LIBOR03M+197bps), 3/15/33, Callable 3/15/28 @ 100 (a) (b)		500,000		564,090
Westpac Banking Corp. 4.32% (USISDA05+224bps), 11/23/31, Callable 11/23/26 @ 100 (b)		1,000,000		1,140,220
2.67% (H15T5Y+2bps), 11/15/35, Callable 11/15/30 @ 100 (b)		1,000,000		1,030,200
				25,680,997
Health Care (0.7%):
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100		1,000,000		1,144,250
Royalty Pharma PLC, 2.20%, 9/2/30, Callable 6/2/30 @ 100 (a)		1,500,000		1,539,915
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100		1,500,000		1,525,980
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		500,000		505,130
				4,715,275
Industrials (1.1%):
Air Canada Pass Through Trust, 5.38%, 11/15/22 (a)		146,756		146,437
Aircastle Ltd., 4.40%, 9/25/23, Callable 8/25/23 @ 100		500,000		533,550
Avolon Holdings Funding Ltd., 4.25%, 4/15/26, Callable 3/15/26 @ 100 (a)		1,000,000		1,081,190
BAE Systems PLC, 3.40%, 4/15/30, Callable 1/15/30 @ 100 (a)		750,000		848,340
CK Hutchison International Ltd. 3.50%, 4/5/27 (a)		750,000		830,707
2.75%, 9/6/29, Callable 6/6/29 @ 100 (a)		1,500,000		1,608,540
Ferguson Finance PLC, 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a)		450,000		500,918
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		568,000		579,457
Latam Airlines Pass Through Trust, 4.20%, 8/15/29		765,170		708,119
Rolls-Royce PLC, 3.63%, 10/14/25, Callable 7/14/25 @ 100 (a)		275,000		277,613
				7,114,871
Materials (0.7%):
Anglo American Capital PLC, 4.00%, 9/11/27 (a)		1,000,000		1,148,230
Braskem Netherlands Finance BV, 4.50%, 1/31/30 (a)		1,000,000		1,029,850
CCL Industries, Inc., 3.05%, 6/1/30, Callable 3/1/30 @ 100 (a)		750,000		816,870
Nutrien Ltd., 4.20%, 4/1/29, Callable 1/1/29 @ 100		1,000,000		1,195,250
				4,190,200
Utilities (0.1%):
Comision Federal de Electricidad, 4.88%, 5/26/21 (a)		750,000		762,203
Total Yankee Dollars (Cost $50,314,980)				54,699,896
Municipal Bonds (5.5%)
Arizona (0.2%):
The University of Arizona Revenue, Build America Bond, Series A, 1.82%, 6/1/30		1,000,000		1,003,910
California (0.1%):
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 3.13%, 8/1/28, Continuously Callable @ 100		500,000		548,175

See notes to financial statements.

28

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Colorado (0.4%):
City & County of Denver Co. Airport System Revenue, Series C, 2.14%, 11/15/29	$	1,500,000	$	1,509,540
Colorado Health Facilities Authority Revenue, 3.36%, 12/1/30		1,000,000		1,001,580
				2,511,120
Connecticut (0.1%):
State of Connecticut, GO, Series A, 3.43%, 4/15/28		500,000		573,175
Florida (0.3%):
Hillsborough County IDA Revenue, 3.58%, 8/1/35, Continuously Callable @ 100		1,500,000		1,553,489
Hillsborough County School Board Certificate of Participation, Series B, 1.92%, 7/1/25		750,000		777,398
				2,330,887
Georgia (0.2%):
City of Atlanta Water & Wastewater Revenue, 2.26%, 11/1/35, Continuously Callable @ 100		1,500,000		1,571,564
Hawaii (0.1%):
State of Hawaii Airports System Revenue, Series E, 1.81%, 7/1/27		915,000		934,682
Illinois (0.3%):
Illinois Finance Authority Revenue 3.55%, 8/15/29		500,000		563,330
3.51%, 5/15/41		750,000		767,070
Metropolitan Pier & Exposition Authority Revenue, 4.30%, 12/15/28		500,000		501,790
				1,832,190
Kentucky (0.1%):
Kentucky Economic Development Finance Authority Revenue, 3.82%, 12/1/27		500,000		536,080
Louisiana (0.2%):
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, 1.55%, 2/1/27		700,000		708,232
Louisiana Public Facilities Authority Revenue, 2.28%, 6/1/30		500,000		507,170
				1,215,402
Michigan (0.4%):
Michigan Finance Authority Revenue 2.47%, 12/1/25		1,000,000		1,069,780
3.08%, 12/1/34		1,000,000		1,116,230
				2,186,010
New Jersey (0.7%):
New Jersey Economic Development Authority Revenue, Series NNN, 3.47%, 6/15/27		1,000,000		1,077,080
New Jersey Health Care Facilities Financing Authority Revenue, Series A, 3.36%, 7/1/40		1,000,000		1,010,900
New Jersey Transportation Trust Fund Authority Revenue, 4.08%, 6/15/39		385,000		408,882
Rutgers The State University of New Jersey Revenue, Series S, 2.01%, 5/1/32		750,000		743,033
South Jersey Transportation Authority Revenue, Series B, 2.38%, 11/1/27		900,000		928,701
				4,168,596

See notes to financial statements.

29

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
New York (0.3%):
New York City Industrial Development Agency Revenue, 2.73%, 3/1/34	$	1,500,000	$	1,496,040
New York State Dormitory Authority Revenue, Series A, 2.46%, 7/1/32		750,000		760,253
				2,256,293
Oklahoma (0.3%):
Oklahoma Development Finance Authority Revenue, Series C, 5.45%, 8/15/28		500,000		579,860
The University of Oklahoma Revenue, Series C, 2.05%, 7/1/29		1,000,000		1,021,810
				1,601,670
Pennsylvania (0.4%):
Commonwealth Financing Authority Revenue, Series A, 3.63%, 6/1/29		500,000		567,590
Public Parking Authority Of Pittsburgh Revenue, 2.33%, 12/1/29		895,000		919,317
State Public School Building Authority Revenue, 3.15%, 4/1/30		1,290,000		1,335,124
				2,822,031
Texas (1.2%):
City of Houston Airport System Revenue, Series C, 2.09%, 7/1/28		750,000		757,493
City of San Antonio, GO, 1.76%, 2/1/31, Continuously Callable @ 100		630,000		645,611
Dallas Fort Worth International Airport Revenue, Series C, 1.75%, 11/1/27		750,000		762,758
Harris County Cultural Education Facilities Finance Corp. Revenue 3.34%, 11/15/37		2,000,000		2,138,859
Series D, 2.28%, 7/1/34		370,000		361,734
North Texas Tollway Authority Revenue, 1.02%, 1/1/25		1,000,000		998,900
Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.63%, 9/1/26 (i)		525,000		524,764
1.82%, 9/1/27 (i)		700,000		696,570
				6,886,689
Virginia (0.0%): (d)
Virginia Housing Development Authority Revenue Series J, 1.97%, 11/1/28		225,000		226,539
Series J, 2.27%, 11/1/31, Continuously Callable @ 100		225,000		227,284
Series J, 2.42%, 11/1/32, Continuously Callable @ 100		275,000		275,888
Series J, 2.47%, 11/1/33, Continuously Callable @ 100		270,000		270,556
Series J, 2.52%, 11/1/34, Continuously Callable @ 100		250,000		253,113
Series J, 2.57%, 11/1/35, Continuously Callable @ 100		300,000		303,324
				1,556,704
Washington (0.2%):
Washington State University Revenue, Series A, 2.24%, 10/1/28		1,000,000		1,040,930
Total Municipal Bonds (Cost $34,351,034)				35,576,108
U.S. Government Agency Mortgages (6.8%)
Federal Home Loan Mortgage Corp. Series K028, Class A2, 3.11%, 2/25/23		1,000,000		1,045,074
Series K059, Class A2, 3.12%, 9/25/26 (c)		1,000,000		1,123,450
Series KIR3, Class A2, 3.28%, 8/25/27		1,500,000		1,723,594
Series K069, Class A2, 3.19%, 9/25/27 (c)		86,000		98,540
Series K071, Class A2, 3.29%, 11/25/27		500,000		576,845
Series K075, Class A2, 3.65%, 2/25/28 (c)		500,000		589,138

See notes to financial statements.

30

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VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
Series K087, Class A2, 3.77%, 12/25/28 (l)	$	500,000	$	597,953
Series K091, Class A2, 3.51%, 3/25/29		1,250,000		1,478,588
Series K095, Class A2, 2.79%, 6/25/29		1,000,000		1,130,908
Series K097, Class A2, 2.51%, 7/25/29		2,000,000		2,221,308
Series K096, Class A2, 2.52%, 7/25/29		1,000,000		1,111,242
Series KG02, Class A2, 2.41%, 8/25/29		909,000		1,001,458
Series K100, Class A2, 2.67%, 9/25/29		545,000		613,085
Series K159, Class A2, 3.95%, 11/25/30 (c)		500,000		613,955
3.00%, 3/1/31 – 2/1/33		463,157		489,829
3.50%, 5/1/33 – 11/1/47		2,825,241		2,999,461
Series K-1510, Class A3, 3.79%, 1/25/34		1,000,000		1,230,009
Series K-1512, Class A3, 3.06%, 4/25/34		1,000,000		1,152,550
4.00%, 7/1/42 – 5/1/46		2,061,498		2,257,758
4.50%, 12/1/45		139,735		156,199
				22,210,944
Federal National Mortgage Association Series M4, Class A2, 3.05%, 3/25/28 (c)		500,000		572,670
Series 2019-M1, Class A2, 3.55%, 9/25/28 (c)		750,000		886,810
Series 2019-M12, Class A2, 2.89%, 5/25/29 (c)		1,000,000		1,135,242
2.50%, 11/1/34 (l)		637,177		665,040
4.00%, 12/1/41 – 2/1/50		9,848,960		10,534,226
3.50%, 9/1/45 – 2/1/50 (l)		6,171,777		6,548,777
4.50%, 8/1/47		27,827		30,318
3.00%, 2/1/50		1,334,908		1,396,147
				21,769,230
Total U.S. Government Agency Mortgages (Cost $41,268,969)				43,980,174
U.S. Treasury Obligations (34.1%)
U.S. Treasury Bonds 4.38%, 2/15/38		750,000		1,114,453
3.50%, 2/15/39 (l)		2,770,000		3,759,409
4.38%, 11/15/39		1,000,000		1,511,563
1.13%, 5/15/40		1,000,000		949,375
1.38%, 11/15/40		7,000,000		6,923,438
3.13%, 11/15/41		1,000,000		1,307,500
2.75%, 8/15/47		500,000		627,266
2.75%, 11/15/47 (l)		500,000		627,891
3.00%, 2/15/48		3,500,000		4,596,484
3.38%, 11/15/48 (l)		2,012,000		2,827,174
2.88%, 5/15/49		3,000,000		3,876,094
1.25%, 5/15/50 (l)		2,000,000		1,815,313
1.38%, 8/15/50		7,000,000		6,555,938
U.S. Treasury Inflation Indexed Bonds, 0.88%, 1/15/29		515,610		606,265
U.S. Treasury Notes 2.25%, 2/15/21		195,000		195,472
2.38%, 3/15/21		2,000,000		2,008,672
2.38%, 4/15/21 (l)		3,850,000		3,874,213
1.63%, 6/30/21		1,000,000		1,007,422
1.75%, 7/31/21 (l)		10,000,000		10,093,750

See notes to financial statements.

31

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December 31, 2020

  (Unaudited)

Security Description	Principal Amount		Value
2.75%, 8/15/21	$	1,700,000	$	1,727,559
2.88%, 11/15/21		3,630,000		3,716,213
2.50%, 1/15/22		712,000		729,466
1.88%, 1/31/22		1,000,000		1,018,906
1.50%, 1/31/22		7,000,000		7,103,906
2.50%, 2/15/22		2,000,000		2,053,125
1.88%, 2/28/22		1,700,000		1,734,465
2.25%, 4/15/22		2,000,000		2,054,609
0.13%, 5/31/22		5,000,000		5,000,586
0.13%, 6/30/22 (l)		10,000,000		10,001,563
0.13%, 7/31/22		12,500,000		12,501,465
1.50%, 8/15/22		1,000,000		1,022,266
0.13%, 9/30/22 (l)		6,000,000		6,000,234
2.00%, 10/31/22		400,000		413,625
0.13%, 10/31/22		10,000,000		10,000,781
0.13%, 9/15/23		6,000,000		5,995,313
0.13%, 10/15/23		2,500,000		2,498,047
0.25%, 11/15/23		5,000,000		5,013,672
2.00%, 4/30/24		24,550,000		26,019,163
2.75%, 2/28/25		850,000		936,926
0.25%, 9/30/25		3,500,000		3,486,328
3.00%, 9/30/25		300,000		337,594
0.38%, 11/30/25		13,000,000		13,018,280
1.50%, 8/15/26		2,000,000		2,117,344
2.00%, 11/15/26		2,700,000		2,938,359
0.50%, 6/30/27		2,500,000		2,489,258
2.25%, 8/15/27		1,000,000		1,108,750
2.25%, 11/15/27		1,700,000		1,887,531
0.63%, 11/30/27		13,000,000		12,995,937
2.75%, 2/15/28 (l)		2,000,000		2,293,125
2.88%, 8/15/28		630,000		731,784
3.13%, 11/15/28 (l)		1,000,000		1,183,906
2.63%, 2/15/29		1,000,000		1,147,969
0.63%, 5/15/30 (l)		2,500,000		2,444,531
0.63%, 8/15/30		5,000,000		4,875,781
0.88%, 11/15/30		7,000,000		6,975,938
Total U.S. Treasury Obligations (Cost $211,818,413)				219,851,997
Commercial Papers (3.1%)
Canadian Natural Resources Ltd., 0.15%, 1/7/21 (j)		6,400,000		6,399,814
CenterPoint Energy, Inc., 0.11%, 1/5/21 (a) (j)		3,000,000		2,999,953
Duke Energy Corp., 0.09%, 1/5/21 (a) (j)		2,500,000		2,499,968
Duke Energy Corp., 0.09%, 1/4/21 (a) (j)		1,734,000		1,733,983
Eversource Energy, 0.15%, 1/5/21 (j)		1,700,000		1,699,965
Hannover Funding Co. LLC, 0.33%, 1/4/21 (j)		4,000,000		3,999,853
LMA-Americas LLC, 0.10%, 1/6/21 (a) (j)		700,000		699,988
Total Commercial Papers (Cost $20,033,501)				20,033,524

See notes to financial statements.

32

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Collateral for Securities Loaned^ (0.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (k)		22,680	$	22,680
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (k)		779,205		779,205
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (k)		11,319		11,319
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (k)		90,251		90,251
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (k)		405,788		405,788
Total Collateral for Securities Loaned (Cost $1,309,243)				1,309,243
Total Investments (Cost $605,893,570) — 99.3%				641,492,173
Other assets in excess of liabilities — 0.7%				4,273,615
NET ASSETS — 100.00%			$	645,765,788

^  Purchased with cash collateral from securities on loan.

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $127,480,167 and amounted to 19.7% of net assets.

(b)  Variable or Floating-Rate Security. Rate disclosed is as of December 31, 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 December 31, 2020.

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

(e)  Non-income producing security.

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

(g)  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.

(h)  Stepped-coupon security converts to coupon form on 8/15/24 with a rate of 3.071%.

(i)  Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.

(j)  Rate represents the effective yield at December 31, 2020.

(k)  Rate disclosed is the daily yield on December 31, 2020.

(l)  All or a portion of this security has been segregated as collateral for securities purchased on a when-issued basis.

bps — Basis points

Continuously callable — Investment is continuously callable or will be continuously callable on any date after the first call date until its maturity.

GO — General Obligation

H15T1Y — 1 Year Treasury Constant Maturity Rate, rate disclosed as of December 31, 2020.

H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of December 31, 2020.

IDA — Industrial Development Authority

LIBOR — London InterBank Offered Rate

See notes to financial statements.

33

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of December 31, 2020, based on the last reset date of the security

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of December 31, 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 December 31, 2020.

See notes to financial statements.

34

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares USAA Core Short-Term Bond ETF			VictoryShares USAA Core Intermediate-Term Bond ETF
ASSETS:
Investments, at value (Cost $245,458,206 and $605,893,570)	$	248,906,472	(a)	$	641,492,173	(b)
Cash and cash equivalents		4,769,966			3,593,982
Deposit with brokers for futures contracts		—			40,048
Receivables:
Interest and dividends		1,479,000			3,354,922
Prepaid expenses		2,045			6,545
Total Assets		255,157,483			648,487,670
LIABILITIES:
Payables:
Collateral received on loaned securities		1,873,642			1,309,243
Investments purchased		4,848,071			1,225,000
Accrued expenses and other payables:
Investment advisory fees		52,486			156,707
Administration fees		4,590			10,742
Custodian fees		2,349			392
Compliance fees		143			301
Trustees' fees		1,172			1,184
Other accrued expenses		14,793			18,313
Total Liabilities		6,797,246			2,721,882
NET ASSETS:
Capital		244,901,587			610,308,776
Total accumulated earnings/(loss)		3,458,650			35,457,012
Net Assets	$	248,360,237		$	645,765,788
Shares Outstanding (unlimited shares authorized, no par value):		4,800,000			11,850,000
Net asset value:	$	51.74		$	54.50

(a)  Includes $1,799,999 of securities on loan.

(b)  Includes $1,270,166 of securities on loan.

See notes to financial statements.

35

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares USAA Core Short-Term Bond ETF			VictoryShares USAA Core Intermediate-Term Bond ETF
Investment Income:
Interest	$	1,859,184		$	7,012,840
Securities lending (net of fees)		5,746			853
Total Income		1,864,930			7,013,693
Expenses:
Investment advisory fees		223,421			771,118
Administration fees		53,775			155,196
Sub-Administration fees		9,725			9,723
Custodian fees		3,176			10,370
Servicing fees		5,663			6,418
Trustees' fees		6,000			19,266
Compliance fees		687			2,153
Legal and audit fees		12,104			27,447
Other expenses		18,085			34,610
Total Expenses		332,636			1,036,301
Expenses waived/reimbursed by Adviser		(32,764	)		(94,728	)
Net Expenses		299,872			941,573
Net Investment Income (Loss)		1,565,058			6,072,120
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		220,603			1,065,218
Net change in unrealized appreciation/depreciation on investment securities		2,127,651			9,821,317
Net realized/unrealized gains (losses) on investments		2,348,254			10,886,535
Change in net assets resulting from operations	$	3,913,312		$	16,958,655

See notes to financial statements.

36

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA Core Short-Term Bond ETF									VictoryShares USAA Core Intermediate-Term Bond ETF
	Six Months Ended December 31, 2020 (Unaudited)			Ten Months Ended June 30, 2020			Year Ended August 31, 2019			Six Months Ended December 31, 2020 (Unaudited)			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	1,565,058		$	2,048,244		$	1,951,595		$	6,072,120		$	9,078,403		$	6,981,287
Net realized gains (losses) from investments		220,603			931,853			10,689			1,065,218			1,312,722			(87,470	)
Net change in unrealized appreciation/ depreciation on investments		2,127,651			143,422			1,644,842			9,821,317			8,268,340			19,861,921
Change in net assets resulting from operations		3,913,312			3,123,519			3,607,126			16,958,655			18,659,465			26,755,738
Change in net assets resulting from distributions to shareholders		(2,889,733	)		(1,884,117	)		(1,927,032	)		(9,340,025	)		(8,484,958	)		(6,792,738	)
Change in net assets resulting from capital transactions		142,336,340			20,187,621			20,020,825			187,357,711			125,758,776			144,189,678
Change in net assets		143,359,919			21,427,023			21,700,919			194,976,341			135,933,283			164,152,678
Net Assets:
Beginning of period		105,000,318			83,573,295			61,872,376			450,789,447			314,856,164			150,703,486
End of period	$	248,360,237		$	105,000,318		$	83,573,295		$	645,765,788		$	450,789,447		$	314,856,164
Capital Transactions:
Proceeds from shares issued		142,336,340			20,187,621			20,020,825			195,541,741			133,241,270			144,189,678
Cost of shares redeemed		—			—			—			(8,184,030	)		(7,482,494	)		—
Change in net assets resulting from capital transactions		142,336,340			20,187,621			20,020,825			187,357,711			125,758,776			144,189,678
Share Transactions:
Issued		2,750,000			400,000			400,000			3,600,000			2,550,000			2,900,000
Redeemed		—			—			—			(150,000	)		(150,000	)		—
Change in Shares		2,750,000			400,000			400,000			3,450,000			2,400,000			2,900,000

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			Net Realized Gains from Investments
VictoryShares USAA Core Short-Term Bond ETF
Six Months Ended 12/31/20 (unaudited)	$	51.22		0.45		0.87			1.32			(0.58	)		(0.22	)
Ten Months Ended 6/30/20(e)	$	50.65		1.10		0.48			1.58			(1.01	)		—
Year Ended 8/31/19	$	49.50		1.37		1.13			2.50			(1.35	)		—
10/24/17(g) through 8/31/18	$	50.00		0.93		(0.59	)		0.34			(0.84	)		—
VictoryShares USAA Core Intermediate-Term Bond ETF
Six Months Ended 12/31/20 (unaudited)	$	53.67		0.64		1.13			1.77			(0.74	)		(0.20	)
Ten Months Ended 6/30/20(e)	$	52.48		1.21		1.12			2.33			(1.14	)		—
Year Ended 8/31/19	$	48.61		1.62		3.81			5.43			(1.56	)		—
10/24/17(g) through 8/31/18	$	49.93		1.29		(1.46	)		(0.17	)		(1.15	)		—

(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
	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 USAA Core Short-Term Bond ETF
Six Months Ended 12/31/20 (unaudited)		(0.80	)	$	51.74		2.60	%		0.33	%		1.74	%		0.37	%	$	248,360		33	%
Ten Months Ended 6/30/20(e)		(1.01	)	$	51.22		3.17	%		0.35	%		2.62	%		0.44	%	$	105,000		72	%(f)
Year Ended 8/31/19		(1.35	)	$	50.65		5.11	%		0.35	%		2.75	%		0.40	%	$	83,573		30	%
10/24/17(g) through 8/31/18		(0.84	)	$	49.50		0.70	%		0.35	%		2.21	%		0.40	%	$	61,872		22	%
VictoryShares USAA Core Intermediate-Term Bond ETF
Six Months Ended 12/31/20 (unaudited)		(0.94	)	$	54.50		3.32	%		0.36	%		2.35	%		0.40	%	$	645,766		8	%
Ten Months Ended 6/30/20(e)		(1.14	)	$	53.67		4.52	%		0.38	%(h)		2.80	%		0.42	%	$	450,789		13	%
Year Ended 8/31/19		(1.56	)	$	52.48		11.37	%		0.39	%		3.27	%		0.44	%	$	314,856		3	%(i)
10/24/17(g) through 8/31/18		(1.15	)	$	48.61		(0.33	)%		0.40	%		3.10	%		0.45	%	$	150,703		10	%

See notes to financial statements.

39

Victory Portfolios II Notes to Financial Statements
December 31, 2020

  (Unaudited)

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 27 funds, 25 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. Each Fund is classified as diversified under the 1940 Act.

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

Funds (Legal Name)	Funds (Short Name)
VictoryShares USAA Core Short-Term Bond ETF	USAA Core Short-Term Bond ETF
VictoryShares USAA Core Intermediate-Term Bond ETF	USAA Core Intermediate-Term    Bond ETF

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 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.

40

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 NAV. 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.

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.

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.

41

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

A summary of the valuations as of December 31, 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	$	—	$	23,419,643	$	—	$	23,419,643
Collateralized Mortgage Obligations		—		6,122,596		—		6,122,596
Senior Secured Loans		—		1,984,820		—		1,984,820
Corporate Bonds		—		95,364,930		—		95,364,930
Yankee Dollars		—		27,286,055		—		27,286,055
Municipal Bonds		—		58,000,679		—		58,000,679
U.S. Treasury Obligations		—		472,754		—		472,754
Commercial Papers		—		34,381,353		—		34,381,353
Collateral for Securities Loaned		1,873,642		—		—		1,873,642
Total	$	1,873,642	$	247,032,830	$	—	$	248,906,472
USAA Core Intermediate-Term Bond ETF
Asset-Backed Securities	$	—	$	42,876,483	$	—	$	42,876,483
Collateralized Mortgage Obligations		—		18,689,111		—		18,689,111
Common Stocks		194,550		—		—		194,550
Corporate Bonds		—		204,281,087		—		204,281,087
Yankee Dollars		—		54,699,896		—		54,699,896
Municipal Bonds		—		35,576,108		—		35,576,108
U.S. Government Agency Mortgages		—		43,980,174		—		43,980,174
U.S. Treasury Obligations		—		219,851,997		—		219,851,997
Commercial Papers		—		20,033,524		—		20,033,524
Collateral for Securities Loaned		1,309,243		—		—		1,309,243
Total	$	1,503,793	$	639,988,380	$	—	$	641,492,173

For the six months ended December 31, 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 NAV. 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.

42

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 invests 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.

43

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

Investment Companies:

Open-End Funds:

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 Deposit with brokers for futures contracts. As of and during the six months ended December 31, 2020, the Funds held no futures contracts.

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. Paydown gains or losses on applicable securities, if any, are recorded as components of Interest income on the Statements of Operations.

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.

44

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 December 31, 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	$	1,799,999	$	1,799,999	$	—	$	—	$	—	$	—
USAA Core Intermediate-Term Bond ETF		1,270,166		1,270,166		—		—		—		—

*  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.

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.

45

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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), purchases and sales of U.S. Government Securities, and purchases and sales of in-kind transactions for the six months ended December 31, 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.

	Purchases (excluding U.S. Government Securities)		Sales (excluding U.S. Government Securities)		Purchases of U.S. Government Securities		Sales of U.S. Government Securities
USAA Core Short-Term Bond ETF	$	132,885,828	$	42,986,841	$	—	$	—
USAA Core Intermediate-Term Bond ETF		97,109,975		26,502,244		120,049,746		11,693,508

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. Amounts incurred and paid to VCM for the six months ended December 31, 2020, are reflected on the Statements of Operations as Investment advisory fees.

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
USAA Core Short-Term Bond ETF		0.25	%
USAA Core Intermediate-Term Bond ETF		0.30	%

VCM also serves as the Funds' administrator and fund accountant. Under the 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 for the six months ended December 31, 2020, are reflected on the Statements of Operations as Administration fees.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator and sub-fund accountant to the Funds pursuant to the 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 out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Custodian fees.

46

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

Citibank also serves as the Funds' Transfer Agent. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Transfer agent fees.

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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Compliance fees.

Sidley Austin LLP provides legal services to the Trust.

The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by 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 December 31, 2020, the expense limits (excluding voluntary waivers) 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 of a class to exceed the original expense limitation in place at the time of the waiver or reimbursement or any expense limitation agreement in place at the time of repayment. Amounts repaid to the Adviser during the year, if any, are reflected on the Statements of Operations as Recoupment of prior expenses waived/reimbursed by Adviser.

As of December 31, 2020, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at December 31, 2020.

	Expires August 31, 2022		Expires June 30, 2023		Expires June 30, 2024		Total
USAA Core Short-Term Bond ETF	$	2,875	$	39,059	$	32,764	$	74,698
USAA Core Intermediate-Term Bond ETF		—		—		94,728		94,728

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. For the six months ended December 31, 2020, there were no voluntary waivers

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, Custodian, Distributor, and Legal Counsel.

5. Risks:

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

Debt Securities Risks — The value of a debt security or other income-producing security changes in response to various factors, including, for example, market-related factors (such as changes in interest

47

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

rates, adverse economic or political conditions, tariffs and trade disruptions, inflation, or adverse investor sentiment generally) and changes in the actual or perceived ability of the issuer (or of issuers generally) to meet its (or their) obligations. Changes in value may occur sharply and unpredictably.

Credit Risk — 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.

Geopolitical/Natural Disaster Risk — An outbreak of disease called COVID-19 has 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 last for an extended period of time, and 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.

LIBOR Discontinuation Risk — Many debt securities, derivatives and other financial instruments, including some of the Funds' investments, use the London Interbank Offered Rate ("LIBOR") as the reference or benchmark rate for variable interest rate calculations. However, the use of LIBOR started to come under pressure following manipulation allegations in 2012. Despite increased regulation and other corrective actions since that time, concerns have arisen regarding its viability as a benchmark, due largely to reduced activity in the financial markets that it measures. In June 2017, the Alternative Reference Rates Committee, a group of large U.S. banks working with the Federal Reserve, announced its selection of a new Secured Overnight Funding Rate ("SOFR"), which is intended to be a broad measure of secured overnight U.S. Treasury repo rates, as an appropriate replacement for LIBOR. The Federal Reserve Bank of New York began publishing the SOFR in 2018, expecting that it could be used on a voluntary basis in new instruments and transactions. Bank working groups and regulators in other countries have suggested other alternatives for their markets, including the Sterling Overnight Interbank Average Rate ("SONIA") in England. In July 2017, the Financial Conduct Authority (the "FCA"), the United Kingdom financial regulatory body, announced that after 2021 it will cease its active encouragement of UK banks to provide the quotations needed to sustain LIBOR. That announcement suggests that LIBOR may cease to be published after that time. It is expected that there will be enough for market participants to transition to the use of a different benchmark for both new and existing securities and transactions. Various financial industry groups have begun planning for that transition, but there are obstacles to converting certain longer-term securities and transactions to a new benchmark. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. Although the foregoing may provide some sense of timing, there is no assurance that LIBOR, or any particular currency and tenor, will continue to be published until any particular date, and it appears highly likely that LIBOR will be discontinued or modified after December 31, 2021, or June 30, 2023, depending on the currency and tenor. The transition process might lead to increased volatility and illiquidity in markets that currently rely on the LIBOR to determine

48

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based instruments. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur before the end of 2021.

6. Line of Credit:

For the six months ended December 31, 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 six months ended December 31, 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 Funds did not utilize the Line of Credit during the six months ended December 31, 2020.

7. Federal Income Tax Information:

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.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2021.

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.

49

Victory Portfolios II Supplemental Information — continued
December 31, 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. Form N-PORT is 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 July 1, 2020, through December 31, 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 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
USAA Core Short-Term Bond ETF	$	1,000.00	$	1,026.00	$	1,023.54	$	1.69	$	1.68		0.33	%
USAA Core Intermediate- Term Bond ETF		1,000.00		1,033.20		1,023.39		1.84		1.84		0.36	%

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

50

Victory Portfolios II Supplemental Information — continued
December 31, 2020

  (Unaudited)

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

The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on December 2, 2020. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 27, 2020 called for the purpose of reviewing the Agreement. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated this information along with other information obtained throughout the year and was advised by legal counsel to the Funds, which also serves as independent legal counsel to the Independent Trustees.

The Board noted that each Fund assumed the performance of its predecessor fund, that the Adviser became the investment adviser to each Fund on February 26, 2019, and that prior to that date each predecessor fund was managed by a different investment adviser.

The Board took into consideration regular reports from the Adviser throughout the COVID-19 pandemic public health crisis concerning how the ongoing pandemic has affected market volatility, investment risk and the implementation and effectiveness of business continuity plans. These reports also had confirmed that the pandemic had no material impact on the Adviser's operations.

The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

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

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

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

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

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

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

•  Total expenses of each Fund;

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

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

•  The fact that the Funds are actively managed exchange-traded funds ("ETFs");

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

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

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between the Trust and the Adviser.

The Board reviewed each Fund's current management fee in the context of the Adviser's profitability with respect to each Fund. In addition, the Board compared each Fund's gross management fee and total expense ratio on a net and gross basis with the median gross management fee and median expense ratio of a universe of comparable ETFs compiled by an independent consultant and a peer group of funds with similar investment strategies selected by that independent consultant from the universe. The Board reviewed the factors and

51

Victory Portfolios II Supplemental Information — continued
December 31, 2020

  (Unaudited)

methodology used by the independent consultant in the selection of each Fund's peer group, including the independent consultant's selection of a broad universe of funds, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among other factors.

The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which are generally viewed as a method by which an investment adviser shares any economies of scale with a fund as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below, and would consider breakpoints at a future time if a Fund's assets were to grow significantly.

The Board also reviewed the compliance and administrative services provided to the Funds by the Adviser and its affiliates, including the Adviser's oversight of the Funds' day-to-day operations and oversight of Fund accounting, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Funds and the Trust.

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

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

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

VictoryShares USAA Core Short-Term Bond ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed the benchmark index and outperformed the peer group median.

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

VictoryShares USAA Core Intermediate-Term Bond ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group median.

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

52

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-SAR (12/20)

December 31, 2020

Semi 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

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the VictoryShares' shareholder reports may 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 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 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

Financial Statements
Victory Portfolios II Exchange-Traded Funds
VictoryShares USAA MSCI USA Value Momentum ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	4
Statement of Assets and Liabilities	46
Statement of Operations	48
Statements of Changes in Net Assets	50
Financial Highlights	52-53
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	10
Statement of Assets and Liabilities	46
Statement of Operations	48
Statements of Changes in Net Assets	50
Financial Highlights	52-53
VictoryShares USAA MSCI International Value Momentum ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	22
Statement of Assets and Liabilities	47
Statement of Operations	49
Statements of Changes in Net Assets	51
Financial Highlights	54-55
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Investment Objectives & Portfolio Holdings	3
Schedule of Portfolio Investments	35
Statement of Assets and Liabilities	47
Statement of Operations	49
Statements of Changes in Net Assets	51
Financial Highlights	54-55
Notes to Financial Statements	56
Supplemental Information (unaudited)
Proxy Voting and Portfolio Holdings Information	68
Expense Examples	68
Advisory Contract Approval	70
Privacy Policy (inside back cover)

1

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 866-376-7890.

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.

The VictoryShares are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.

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

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

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

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.

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

Call Victory at:

866-376-7890

Visit our website at:

www.vcm.com

2

Victory Portfolios II December 31, 2020

  (Unaudited)

Investment Objectives & Portfolio Holdings:

  VictoryShares USAA MSCI USA Value
  Momentum ETF
Seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Select Value Momentum Blend Index.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

  VictoryShares USAA MSCI USA Small Cap
  Value Momentum ETF
Seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Small Cap Select Value Momentum Blend Index.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

  VictoryShares USAA MSCI International
  Value Momentum ETF
Seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI World ex USA Select Value Momentum Blend Index.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

  VictoryShares USAA MSCI Emerging
  Markets Value Momentum ETF
Seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI Emerging Markets Select Value Momentum Blend Index.

Sector Allocation*:

December 31, 2020

(% of Net Assets)

* Does not include futures, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

3

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (4.7%):
Activision Blizzard, Inc.		19,655	$	1,824,967
AT&T, Inc.		66,136		1,902,071
CenturyLink, Inc.		252,504		2,461,914
Charter Communications, Inc., Class A (a)		2,596		1,717,384
Discovery, Inc., Class A (a) (b)		114,900		3,457,341
Electronic Arts, Inc.		12,599		1,809,216
IAC/InterActiveCorp. (a)		18,022		3,412,465
Liberty Global PLC, Class C (a)		77,051		1,822,256
Pinterest, Inc., Class A (a)		22,863		1,506,672
T-Mobile U.S., Inc. (a)		16,362		2,206,416
ViacomCBS, Inc., Class B		39,384		1,467,448
				23,588,150
Consumer Discretionary (11.9%):
Amazon.com, Inc. (a)		1,172		3,817,122
Best Buy Co., Inc.		23,983		2,393,263
BorgWarner, Inc.		67,404		2,604,491
D.R. Horton, Inc.		36,767		2,533,982
Dollar General Corp.		21,250		4,468,875
eBay, Inc.		64,016		3,216,804
Etsy, Inc. (a)		6,743		1,199,647
Ford Motor Co.		148,962		1,309,376
Garmin Ltd.		18,510		2,214,907
General Motors Co.		70,044		2,916,632
Lear Corp.		20,094		3,195,548
Lennar Corp., Class A		30,866		2,352,915
LKQ Corp. (a)		34,324		1,209,578
MercadoLibre, Inc. (a)		853		1,428,963
Mohawk Industries, Inc. (a)		17,217		2,426,736
Newell Brands, Inc.		121,066		2,570,231
NVR, Inc. (a)		322		1,313,715
Peloton Interactive, Inc., Class A (a)		30,764		4,667,514
Pool Corp.		5,962		2,220,845
PulteGroup, Inc.		48,291		2,082,308
Target Corp. (c)		20,250		3,574,733
Tesla, Inc. (a)		3,866		2,728,120
Tractor Supply Co.		10,439		1,467,515
Whirlpool Corp.		13,477		2,432,464
				60,346,284
Consumer Staples (6.5%):
Bunge Ltd.		32,636		2,140,269
Church & Dwight Co., Inc.		26,046		2,271,993
Conagra Brands, Inc.		84,547		3,065,674
General Mills, Inc.		32,619		1,917,997
Molson Coors Beverage Co., Class B		79,279		3,582,618
The Clorox Co.		23,703		4,786,109
The J.M. Smucker Co.		37,691		4,357,080

See notes to financial statements.

4

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
The Kraft Heinz Co.		97,070	$	3,364,446
The Kroger Co.		102,519		3,256,003
Walgreens Boots Alliance, Inc.		42,429		1,692,069
Walmart, Inc.		17,521		2,525,652
				32,959,910
Energy (2.4%):
Baker Hughes Co.		134,348		2,801,156
Cabot Oil & Gas Corp.		166,437		2,709,595
Concho Resources, Inc.		20,947		1,222,257
Marathon Petroleum Corp.		55,415		2,291,964
Pioneer Natural Resources Co.		13,878		1,580,565
The Williams Cos., Inc.		66,495		1,333,225
				11,938,762
Financials (13.7%):
AGNC Investment Corp.		186,073		2,902,739
Ally Financial, Inc.		78,154		2,786,972
American International Group, Inc.		66,982		2,535,939
Ameriprise Financial, Inc.		7,497		1,456,892
Annaly Capital Management, Inc.		158,223		1,336,984
Arthur J. Gallagher & Co.		18,749		2,319,439
Assurant, Inc.		13,704		1,866,759
Athene Holding Ltd., Class A (a)		45,290		1,953,811
Capital One Financial Corp.		29,207		2,887,112
Citigroup, Inc.		52,137		3,214,767
Citizens Financial Group, Inc.		87,026		3,112,050
Equitable Holdings, Inc.		129,148		3,304,898
Erie Indemnity Co., Class A		9,847		2,418,423
Invesco Ltd.		188,619		3,287,629
KKR & Co., Inc.		79,564		3,221,546
Lincoln National Corp.		40,802		2,052,749
MarketAxess Holdings, Inc.		3,209		1,830,927
MetLife, Inc.		63,048		2,960,103
Morgan Stanley		55,499		3,803,346
MSCI, Inc.		5,029		2,245,599
Nasdaq, Inc.		14,797		1,964,154
Prudential Financial, Inc.		35,523		2,773,281
Regions Financial Corp.		80,623		1,299,643
S&P Global, Inc.		5,505		1,809,659
State Street Corp.		20,006		1,456,037
SVB Financial Group (a)		3,486		1,351,975
The Goldman Sachs Group, Inc.		7,167		1,890,010
The Progressive Corp.		23,497		2,323,383
Voya Financial, Inc.		49,962		2,938,265
				69,305,091
Health Care (15.8%):
10X Genomics, Inc., Class A (a)		11,561		1,637,038
AbbVie, Inc.		15,986		1,712,900
Alexion Pharmaceuticals, Inc. (a)		25,449		3,976,152

See notes to financial statements.

5

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
AmerisourceBergen Corp.		34,213	$	3,344,663
Biogen, Inc. (a)		9,488		2,323,232
Bio-Rad Laboratories, Inc., Class A (a)		6,639		3,870,138
Bristol-Myers Squibb Co.		66,316		4,113,582
Cardinal Health, Inc.		28,264		1,513,820
Centene Corp. (a)		42,729		2,565,022
Cigna Corp.		16,081		3,347,743
CVS Health Corp.		51,078		3,488,627
Danaher Corp.		21,254		4,721,363
DaVita, Inc. (a)		30,176		3,542,661
DexCom, Inc. (a)		2,185		807,838
Gilead Sciences, Inc. (c)		26,815		1,562,242
Horizon Therapeutics PLC (a)		18,284		1,337,475
Humana, Inc.		3,488		1,431,022
Jazz Pharmaceuticals PLC (a)		11,737		1,937,192
Laboratory Corp. of America Holdings (a)		7,456		1,517,669
McKesson Corp.		19,286		3,354,221
Moderna, Inc. (a)		39,783		4,156,129
Molina Healthcare, Inc. (a)		11,545		2,455,391
PerkinElmer, Inc.		16,201		2,324,844
Perrigo Co. PLC		23,649		1,057,583
Quest Diagnostics, Inc.		14,017		1,670,406
Regeneron Pharmaceuticals, Inc. (a)		5,616		2,713,146
Teladoc Health, Inc. (a) (b)		4,437		887,223
Thermo Fisher Scientific, Inc.		10,134		4,720,214
Veeva Systems, Inc., Class A (a)		5,340		1,453,815
Viatris, Inc. (a)		163,576		3,065,414
West Pharmaceutical Services, Inc.		13,444		3,808,820
				80,417,585
Industrials (13.5%):
AMERCO, Inc.		4,499		2,042,366
C.H. Robinson Worldwide, Inc.		20,765		1,949,211
Carrier Global Corp.		41,566		1,567,870
Cummins, Inc.		16,065		3,648,361
Eaton Corp. PLC		31,517		3,786,452
Enphase Energy, Inc. (a)		5,773		1,012,988
Fastenal Co.		35,521		1,734,490
FedEx Corp.		11,947		3,101,680
Fortune Brands Home & Security, Inc.		27,843		2,386,702
Generac Holdings, Inc. (a)		7,746		1,761,518
IHS Markit Ltd.		22,804		2,048,483
Ingersoll Rand, Inc. (a) (c)		36,521		1,663,897
J.B. Hunt Transport Services, Inc.		12,637		1,726,846
Johnson Controls International PLC		37,314		1,738,459
Kansas City Southern		19,161		3,911,335
Knight-Swift Transportation Holdings, Inc.		71,005		2,969,429
Masco Corp.		25,333		1,391,542
Old Dominion Freight Line, Inc.		17,420		3,400,036
Owens Corning, Inc.		34,467		2,611,219
PACCAR, Inc.		41,876		3,613,061

See notes to financial statements.

6

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Rollins, Inc.		54,937	$	2,146,389
Snap-on, Inc.		9,894		1,693,259
Stanley Black & Decker, Inc.		7,542		1,346,700
Sunrun, Inc. (a)		13,920		965,770
Textron, Inc.		28,900		1,396,737
Trane Technologies PLC		25,416		3,689,387
United Parcel Service, Inc., Class B		20,856		3,512,150
United Rentals, Inc. (a)		11,320		2,625,222
Westinghouse Air Brake Technologies Corp.		35,881		2,626,489
				68,068,048
Information Technology (15.7%):
Apple, Inc.		30,322		4,023,425
Applied Materials, Inc.		17,681		1,525,870
Arrow Electronics, Inc. (a)		39,181		3,812,311
Cadence Design Systems, Inc. (a)		16,271		2,219,853
Cloudflare, Inc., Class A (a)		23,930		1,818,441
Corning, Inc.		44,188		1,590,768
Crowdstrike Holdings, Inc., Class A (a)		11,207		2,373,867
Datadog, Inc., Class A (a)		35,128		3,458,000
Dell Technologies, Inc., Class C (a)		44,655		3,272,765
DocuSign, Inc. (a)		14,113		3,137,320
Hewlett Packard Enterprise Co.		304,523		3,608,598
HP, Inc.		146,683		3,606,935
Intel Corp.		69,452		3,460,099
Lam Research Corp.		2,942		1,389,418
Micron Technology, Inc. (a)		44,429		3,340,172
Microsoft Corp. (c)		10,940		2,433,275
NVIDIA Corp.		4,904		2,560,869
NXP Semiconductors NV		10,415		1,656,089
PayPal Holdings, Inc. (a)		8,287		1,940,815
Qorvo, Inc. (a)		19,776		3,288,156
QUALCOMM, Inc.		9,366		1,426,816
Seagate Technology PLC		59,262		3,683,726
Skyworks Solutions, Inc.		21,034		3,215,678
SolarEdge Technologies, Inc. (a)		3,718		1,186,488
Synopsys, Inc. (a)		9,358		2,425,968
Teradyne, Inc.		25,200		3,021,228
Western Digital Corp.		52,830		2,926,254
Zoom Video Communications, Inc., Class A (a)		8,980		3,029,134
Zscaler, Inc. (a)		22,620		4,517,439
				79,949,777
Materials (5.2%):
Air Products & Chemicals, Inc.		7,157		1,955,436
Albemarle Corp.		10,234		1,509,720
Corteva, Inc.		94,713		3,667,286
Eastman Chemical Co.		33,463		3,355,670
Freeport-McMoRan, Inc.		54,966		1,430,215
Linde PLC		7,640		2,013,217
Newmont Corp.		48,834		2,924,668

See notes to financial statements.

7

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VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Nucor Corp.		33,540	$	1,783,993
Steel Dynamics, Inc.		88,577		3,265,834
The Mosaic Co.		59,579		1,370,913
Westrock Co.		73,814		3,213,123
				26,490,075
Real Estate (7.1%):
American Tower Corp.		7,820		1,755,277
CBRE Group, Inc., Class A (a)		53,683		3,366,998
Crown Castle International Corp.		11,274		1,794,708
Digital Realty Trust, Inc.		26,708		3,726,033
Duke Realty Corp.		48,105		1,922,757
Equinix, Inc.		5,177		3,697,310
Extra Space Storage, Inc.		17,521		2,029,983
Host Hotels & Resorts, Inc.		239,837		3,508,815
Iron Mountain, Inc. (b)		118,780		3,501,634
Mid-America Apartment Communities, Inc.		25,937		3,285,959
Prologis, Inc.		15,517		1,546,424
Public Storage		9,990		2,306,991
Simon Property Group, Inc.		11,929		1,017,305
VICI Properties, Inc.		119,884		3,057,042
				36,517,236
Utilities (3.2%):
American Water Works Co., Inc.		12,469		1,913,617
Exelon Corp.		46,462		1,961,626
NextEra Energy, Inc. (c)		28,164		2,172,853
NRG Energy, Inc.		94,548		3,550,277
PG&E Corp. (a)		126,540		1,576,688
The AES Corp.		77,201		1,814,224
Vistra Corp.		168,854		3,319,670
				16,308,955
Total Common Stocks (Cost $440,373,147)				505,889,873
Collateral for Securities Loaned^ (1.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (d)		118,307		118,307
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		4,064,523		4,064,523
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (d)		59,041		59,041
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (d)		470,773		470,773
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (d)		2,116,688		2,116,688
Total Collateral for Securities Loaned (Cost $6,829,332)				6,829,332
Total Investments (Cost $447,202,479) — 101.0%				512,719,205
Liabilities in excess of other assets — (1.0)%				(4,874,949	)
NET ASSETS — 100.00%			$	507,844,256

See notes to financial statements.

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Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Rate disclosed is the daily yield on December 31, 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		8	3/19/21	$	1,473,795	$	1,499,520	$	25,725
	Total unrealized appreciation							$	25,725
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	25,725

See notes to financial statements.

9

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Common Stocks (99.4%)
Communication Services (3.5%):
ANGI Homeservices, Inc., Class A (a)		45,622	$	601,982
Bandwidth, Inc., Class A (a)		4,207		646,490
Cardlytics, Inc. (a) (b)		6,382		911,158
Cars.com, Inc. (a)		24,627		278,285
Cincinnati Bell, Inc. (a)		33,618		513,683
Cogent Communications Holdings, Inc. (c)		7,553		452,198
Consolidated Communications Holdings, Inc. (a)		78,357		383,166
EverQuote, Inc., Class A (a)		7,976		297,904
Gogo, Inc. (a) (b)		20,464		197,068
Gray Television, Inc. (a)		34,484		616,919
QuinStreet, Inc. (a)		16,035		343,790
Shenandoah Telecommunications Co. (b)		17,664		763,968
TechTarget, Inc. (a)		16,619		982,349
Telephone & Data Systems, Inc.		40,567		753,329
The New York Times Co., Class A		9,970		516,147
TrueCar, Inc. (a)		62,790		263,718
United States Cellular Corp. (a)		12,865		394,827
Zynga, Inc., Class A (a)		119,932		1,183,729
				10,100,710
Consumer Discretionary (10.7%):
1-800-Flowers.com, Inc., Class A (a)		10,355		269,230
Abercrombie & Fitch Co.		11,899		242,264
Acushnet Holdings Corp.		14,380		582,965
American Public Education, Inc. (a)		21,124		643,860
Asbury Automotive Group, Inc. (a)		2,591		377,612
At Home Group, Inc. (a)		13,136		203,083
AutoNation, Inc. (a)		11,594		809,144
Bed Bath & Beyond, Inc. (b)		10,693		189,908
Big Lots, Inc.		10,599		455,016
Brunswick Corp.		4,594		350,247
Camping World Holdings, Inc., Class A		12,367		322,160
CarParts.com, Inc. (a)		17,174		212,786
Century Communities, Inc. (a)		10,554		462,054
Chegg, Inc. (a)		8,477		765,727
Collectors Universe, Inc.		4,822		363,579
Cooper Tire & Rubber Co.		18,113		733,577
Dana, Inc.		15,262		297,914
Deckers Outdoor Corp. (a)		1,591		456,267
Dick's Sporting Goods, Inc.		10,849		609,822
Dillard's, Inc., Class A (b)		5,209		328,427
Duluth Holdings, Inc., Class B (a) (b)		17,523		185,043
El Pollo Loco Holdings, Inc. (a)		17,096		309,438
Ethan Allen Interiors, Inc.		23,415		473,217
Genesco, Inc. (a)		17,308		520,798
G-III Apparel Group Ltd. (a)		28,350		673,029
Green Brick Partners, Inc. (a)		13,691		314,345

See notes to financial statements.

10

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Group 1 Automotive, Inc.		4,661	$	611,244
Groupon, Inc. (a)		6,335		240,698
Haverty Furniture Cos., Inc.		13,298		367,956
Helen of Troy Ltd. (a)		1,907		423,716
Hibbett Sports, Inc. (a)		15,491		715,374
Johnson Outdoors, Inc., Class A		4,757		535,781
KB Home		13,992		469,012
L Brands, Inc.		7,139		265,499
Lithia Motors, Inc., Class A		2,182		638,606
Lumber Liquidators Holdings, Inc. (a)		8,039		247,119
M/I Homes, Inc. (a)		10,844		480,281
Malibu Boats, Inc., Class A (a)		4,285		267,555
MarineMax, Inc. (a)		14,790		518,094
MDC Holdings, Inc.		13,629		662,369
Meritage Homes Corp. (a)		5,766		477,540
Murphy USA, Inc.		2,952		386,328
Ollie's Bargain Outlet Holdings, Inc. (a)		3,194		261,173
Papa John's International, Inc.		3,924		332,951
Penn National Gaming, Inc. (a)		3,053		263,688
PetMed Express, Inc. (b) (c)		9,601		307,808
Purple Innovation, Inc. (a)		9,392		309,372
Qurate Retail, Inc., Class A		59,821		656,237
Rent-A-Center, Inc.		17,307		662,685
Shoe Carnival, Inc.		7,615		298,356
Signet Jewelers Ltd. (b)		21,622		589,632
Smith & Wesson Brands, Inc.		30,625		543,594
Sonic Automotive, Inc., Class A		10,780		415,785
Sportsman's Warehouse Holdings, Inc. (a)		20,247		355,335
Stamps.com, Inc. (a)		1,834		359,812
Stride, Inc. (a)		6,973		148,037
Sturm Ruger & Co., Inc. (c)		14,531		945,532
Taylor Morrison Home Corp. (a)		19,150		491,198
The ODP Corp. (a)		21,074		617,468
Thor Industries, Inc.		5,436		505,494
Toll Brothers, Inc.		13,069		568,109
TopBuild Corp. (a)		3,626		667,475
TRI Pointe Group, Inc. (a)		30,563		527,212
Tupperware Brands Corp. (a)		6,052		196,024
Vista Outdoor, Inc. (a)		20,556		488,411
Winnebago Industries, Inc.		4,196		251,508
Zumiez, Inc. (a)		18,720		688,522
				29,910,102
Consumer Staples (3.6%):
B&G Foods, Inc. (b)		12,089		335,228
BJ's Wholesale Club Holdings, Inc. (a)		8,372		312,108
Celsius Holdings, Inc. (a)		7,353		369,929
Central Garden & Pet Co., Class A (a)		11,735		426,333
Darling Ingredients, Inc. (a)		20,462		1,180,248

See notes to financial statements.

11

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Edgewell Personal Care Co.		12,147	$	420,043
Fresh Del Monte Produce, Inc.		28,583		687,993
Freshpet, Inc. (a)		6,789		963,970
Ingles Markets, Inc., Class A		21,411		913,393
National Beverage Corp. (b)		4,236		359,636
Rite Aid Corp. (a) (b)		13,407		212,233
SpartanNash Co.		26,248		456,978
Sprouts Farmers Market, Inc. (a)		16,678		335,228
The Andersons, Inc.		36,722		900,056
The Boston Beer Co., Inc., Class A (a)		854		849,124
United Natural Foods, Inc. (a) (b)		21,916		349,999
Weis Markets, Inc. (c)		22,168		1,059,852
				10,132,351
Energy (2.6%):
Antero Resources Corp. (a) (b)		104,893		571,667
Bonanza Creek Energy, Inc. (a)		24,218		468,134
CNX Resources Corp. (a)		48,891		528,023
Dorian LPG Ltd. (a)		82,217		1,002,224
EQT Corp. (a)		31,615		401,827
Green Plains, Inc. (a) (b)		16,257		214,105
Helix Energy Solutions Group, Inc. (a) (b)		106,402		446,888
International Seaways, Inc.		34,599		565,002
Pacific Ethanol, Inc. (a) (b)		36,944		200,606
PDC Energy, Inc. (a)		14,884		305,569
Range Resources Corp. (a)		56,859		380,955
Renewable Energy Group, Inc. (a)		11,618		822,786
Southwestern Energy Co. (a)		160,061		476,982
Talos Energy, Inc. (a)		27,899		229,888
Transocean Ltd. (a) (b)		265,645		613,640
				7,228,296
Financials (13.2%):
American Equity Investment Life Holding Co.		17,773		491,601
American National Group, Inc.		11,987		1,152,191
Arbor Realty Trust, Inc.		15,719		222,895
Ares Commercial Real Estate Corp.		37,849		450,782
Ares Management Corp., Class A		9,176		431,731
Assured Guaranty Ltd.		23,188		730,191
Brighthouse Financial, Inc. (a)		19,604		709,763
Brightsphere Investment Group, Inc.		38,902		750,031
BRP Group, Inc., Class A (a)		12,284		368,151
Cadence Bancorp		45,195		742,102
Cannae Holdings, Inc. (a)		24,059		1,065,092
Chimera Investment Corp.		71,760		735,539
CIT Group, Inc.		6,870		246,633
CNO Financial Group, Inc.		37,992		844,562
Colony Credit Real Estate, Inc.		51,178		383,835
Cowen, Inc., Class A (b)		29,314		761,871
Customers Bancorp, Inc., Class A (a)		45,804		832,717

See notes to financial statements.

12

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Dynex Capital, Inc. (b)		21,987	$	391,369
Ellington Financial, Inc.		29,234		433,833
Encore Capital Group, Inc. (a)		11,328		441,226
Enstar Group Ltd. (a)		2,715		556,276
Flagstar Bancorp, Inc.		11,193		456,227
Focus Financial Partners, Inc., Class A (a)		19,860		863,910
Freedom Holding Corp. (a) (b)		11,612		595,812
Genworth Financial, Inc. (a)		184,841		698,699
Goosehead Insurance, Inc., Class A		6,778		845,623
Granite Point Mortgage Trust, Inc. (b)		48,929		488,801
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		8,486		538,267
Heritage Insurance Holdings, Inc.		66,451		673,149
Hilltop Holdings, Inc.		35,777		984,226
Independent Bank Group, Inc.		6,235		389,812
Janus Henderson Group PLC		33,497		1,088,987
Jefferies Financial Group, Inc.		38,347		943,336
Kinsale Capital Group, Inc.		3,992		798,919
Live Oak Bancshares, Inc. (b)		6,185		293,540
Meta Financial Group, Inc.		9,828		359,312
MFA Financial, Inc.		57,597		224,052
MGIC Investment Corp.		56,563		709,866
Mr. Cooper Group, Inc. (a)		18,947		587,925
National General Holdings Corp. (b) (d)		18,749		640,841
National Western Life Group, Inc., Class A		3,544		731,623
Navient Corp.		60,187		591,036
New Residential Investment Corp.		29,131		289,562
OFG Bancorp		18,599		344,825
OneMain Holdings, Inc.		6,502		313,136
Palomar Holdings, Inc. (a)		8,795		781,348
Pennymac Financial Services		11,028		723,656
Pennymac Mortgage Investment Trust		14,598		256,779
Popular, Inc.		17,075		961,664
Radian Group, Inc.		35,639		721,690
Ready Capital Corp.		43,682		543,841
Sterling Bancorp		19,235		345,845
StoneX Group, Inc. (a)		14,562		843,140
Third Point Reinsurance Ltd. (a)		44,367		422,374
Trupanion, Inc. (a)		7,635		913,986
Two Harbors Investment Corp.		68,521		436,479
Unum Group		28,959		664,319
Victory Capital Holdings, Inc., Class A(e)		18,919		469,380
Virtu Financial, Inc., Class A		12,934		325,549
Virtus Investment Partners, Inc.		4,100		889,699
Walker & Dunlop, Inc.		3,475		319,770
Watford Holdings Ltd. (a)		11,035		381,811
				37,195,207
Health Care (22.7%):
Acadia Healthcare Co., Inc. (a)		13,853		696,252
Acceleron Pharma, Inc. (a)		4,972		636,118

See notes to financial statements.

13

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Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Addus HomeCare Corp. (a)		8,784	$	1,028,519
Allakos, Inc. (a) (b)		5,630		788,200
Allscripts Healthcare Solutions, Inc. (a) (b)		25,586		369,462
Amedisys, Inc. (a)		3,867		1,134,307
AMN Healthcare Services, Inc. (a)		12,730		868,823
Amneal Pharmaceuticals, Inc. (a)		109,905		502,266
Anika Therapeutics, Inc. (a)		7,749		350,720
Arcus Biosciences, Inc. (a)		10,152		263,546
Arena Pharmaceuticals, Inc. (a)		9,424		724,046
Arrowhead Pharmaceuticals, Inc. (a)		7,360		564,733
AtriCure, Inc. (a)		8,919		496,521
Axsome Therapeutics, Inc. (a)		2,407		196,098
BioLife Solutions, Inc. (a)		8,175		326,101
Bio-Techne Corp.		3,891		1,235,587
Bioxcel Therapeutics, Inc. (a)		11,557		533,933
CareDx, Inc. (a)		4,026		291,684
Castle Biosciences, Inc. (a)		5,837		391,955
Catalyst Pharmaceuticals, Inc. (a)		126,537		422,634
Celldex Therapeutics, Inc. (a)		10,456		183,189
Change Healthcare, Inc. (a)		15,996		298,325
Charles River Laboratories International, Inc. (a)		3,802		949,968
Chemed Corp.		2,376		1,265,480
Chemocentryx, Inc. (a)		7,049		436,474
Collegium Pharmaceutical, Inc. (a)		22,960		459,889
Computer Programs & Systems, Inc.		26,430		709,381
Corcept Therapeutics, Inc. (a)		33,540		877,406
Cortexyme, Inc. (a)		5,194		144,289
CorVel Corp. (a)		5,359		568,054
Covetrus, Inc. (a)		22,075		634,436
CRISPR Therapeutics AG (a)		4,338		664,191
CryoPort, Inc. (a)		13,687		600,586
Cymabay Therapeutics, Inc. (a)		26,154		150,124
Denali Therapeutics, Inc. (a)		4,304		360,503
Dicerna Pharmaceuticals, Inc. (a)		11,136		245,326
Eidos Therapeutics, Inc. (a)		3,400		447,372
Emergent BioSolutions, Inc. (a)		6,170		552,832
Encompass Health Corp.		13,537		1,119,375
Endo International PLC (a)		100,574		722,121
Envista Holdings Corp. (a)		9,410		317,399
Exelixis, Inc. (a)		29,993		601,960
Fulgent Genetics, Inc. (a) (b)		4,722		246,016
GenMark Diagnostics, Inc. (a)		12,710		185,566
Globus Medical, Inc. (a)		7,638		498,150
Halozyme Therapeutics, Inc. (a)		24,799		1,059,165
Heska Corp. (a) (b)		2,870		418,016
Hill-Rom Holdings, Inc.		5,352		524,335
Innoviva, Inc. (a)		66,427		823,031
Inovalon Holdings, Inc., Class A (a)		33,526		609,167
Inovio Pharmaceuticals, Inc. (a) (b)		13,129		116,192

See notes to financial statements.

14

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Integer Holdings Corp. (a)		9,188	$	745,974
Invitae Corp. (a)		4,495		187,936
iRhythm Technologies, Inc. (a)		1,195		283,466
Karuna Therapeutics, Inc. (a)		5,859		595,216
Kodiak Sciences, Inc. (a) (b)		7,569		1,111,961
Kura Oncology, Inc. (a)		7,723		252,233
LHC Group, Inc. (a)		4,701		1,002,817
Ligand Pharmaceuticals, Inc. (a) (b)		2,935		291,886
Luminex Corp.		12,336		285,208
Magellan Health, Inc. (a)		8,546		707,951
MEDNAX, Inc. (a)		14,468		355,045
Medpace Holdings, Inc. (a)		5,313		739,570
Meridian Bioscience, Inc. (a)		31,292		584,847
Merit Medical Systems, Inc. (a)		15,441		857,129
Mersana Therapeutics, Inc. (a)		19,334		514,478
Mirati Therapeutics, Inc. (a)		1,058		232,379
NantKwest, Inc. (a) (b)		24,824		330,904
Natera, Inc. (a)		7,445		740,926
National Healthcare Corp. (c)		8,786		583,478
NeoGenomics, Inc. (a) (b)		16,767		902,735
Neoleukin Therapeutics, Inc. (a)		17,016		239,926
Nevro Corp. (a)		3,739		647,221
NextGen Healthcare, Inc. (a)		19,368		353,272
Novavax, Inc. (a) (b)		3,572		398,314
Omnicell, Inc. (a)		5,394		647,388
Ontrak, Inc. (a) (b)		7,731		477,698
OPKO Health, Inc. (a) (b)		91,006		359,474
OraSure Technologies, Inc. (a) (b)		42,931		454,425
Owens & Minor, Inc.		19,979		540,432
Pacific Biosciences of California, Inc. (a)		13,688		355,067
Pacira BioSciences, Inc. (a)		11,097		664,044
Patterson Cos., Inc. (b) (c)		13,048		386,612
Penumbra, Inc. (a) (b)		2,868		501,900
Personalis, Inc. (a)		9,397		344,024
PRA Health Sciences, Inc. (a)		3,795		476,045
Premier, Inc., Class A		25,634		899,753
Prestige Consumer Healthcare, Inc. (a)		23,017		802,603
Quidel Corp. (a)		2,983		535,896
R1 RCM, Inc. (a)		39,030		937,501
Repligen Corp. (a)		4,701		900,853
Replimune Group, Inc. (a)		5,542		211,427
Select Medical Holdings Corp. (a)		25,141		695,400
Seres Therapeutics, Inc. (a)		5,938		145,481
Simulations Plus, Inc.		12,151		873,900
Sorrento Therapeutics, Inc. (a) (b)		47,110		321,526
SpringWorks Therapeutics, Inc. (a)		4,226		306,470
STAAR Surgical Co. (a)		8,787		696,106
Surgery Partners, Inc. (a) (b)		18,406		533,958
Syneos Health, Inc. (a)		9,054		616,849

See notes to financial statements.

15

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Tandem Diabetes Care, Inc. (a)		3,922	$	375,257
Tenet Healthcare Corp. (a)		13,118		523,802
TG Therapeutics, Inc. (a)		6,839		355,765
The Ensign Group, Inc.		11,806		860,894
The Pennant Group, Inc. (a)		5,787		335,993
The Providence Service Corp. (a)		8,492		1,177,246
Triple-S Management Corp., Class B (a)		24,447		521,943
Turning Point Therapeutics, Inc. (a)		2,605		317,419
Twist Bioscience Corp. (a)		6,352		897,474
United Therapeutics Corp. (a)		8,512		1,292,035
Vapotherm, Inc. (a)		8,586		230,620
Vaxart, Inc. (a) (b)		35,972		205,400
VBI Vaccines, Inc. (a) (b)		74,023		203,563
Veracyte, Inc. (a)		12,886		630,641
Vocera Communications, Inc. (a)		22,923		951,993
Zynex, Inc. (a) (b)		15,807		212,762
				64,332,334
Industrials (14.2%):
ACCO Brands Corp.		81,076		685,092
ADT, Inc.		75,287		591,003
Advanced Drainage Systems, Inc.		11,547		965,097
AECOM (a)		17,666		879,413
Air Lease Corp.		16,847		748,344
Air Transport Services Group, Inc. (a)		30,486		955,431
Altra Industrial Motion Corp.		12,849		712,220
American Woodmark Corp. (a)		2,721		255,366
ArcBest Corp.		18,759		800,447
Arcosa, Inc.		13,833		759,847
Argan, Inc.		9,549		424,835
Astec Industries, Inc.		12,516		724,426
Atlas Air Worldwide Holdings, Inc. (a)		9,194		501,441
Beacon Roofing Supply, Inc. (a)		7,913		318,023
Bloom Energy Corp., Class A (a)		19,151		548,868
BMC Stock Holdings, Inc. (a)		18,600		998,447
Builders FirstSource, Inc. (a)		17,907		730,785
CAI International, Inc.		23,459		732,859
Chart Industries, Inc. (a)		2,340		275,629
Colfax Corp. (a)		8,988		343,701
CSW Industrials, Inc.		5,018		561,564
Echo Global Logistics, Inc. (a)		26,321		705,929
Foundation Building Materials, Inc. (a)		35,018		672,696
FTI Consulting, Inc. (a)		4,496		502,293
Genco Shipping & Trading Ltd.		71,806		528,492
Gibraltar Industries, Inc. (a)		6,038		434,374
GMS, Inc. (a)		19,023		579,821
Great Lakes Dredge & Dock Corp. (a)		70,491		928,366
Heidrick & Struggles International, Inc.		31,138		914,835
Herc Holdings, Inc. (a)		4,335		287,887

See notes to financial statements.

16

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Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Hub Group, Inc., Class A (a)		16,592	$	945,744
Kelly Services, Inc., Class A		37,316		767,590
Marten Transport Ltd.		47,815		823,852
Masonite International Corp. (a)		3,164		311,148
Matson, Inc.		6,716		382,611
Maxar Technologies, Inc.		25,367		978,912
MYR Group, Inc. (a)		16,058		965,086
Patrick Industries, Inc.		3,258		222,684
Plug Power, Inc. (a) (b)		25,120		851,819
Quanta Services, Inc.		15,350		1,105,507
Regal Beloit Corp.		9,058		1,112,413
Resideo Technologies, Inc. (a)		21,950		466,657
Rush Enterprises, Inc., Class A		22,730		941,477
Ryder System, Inc.		5,776		356,726
Saia, Inc. (a)		5,185		937,448
Schneider National, Inc., Class B		45,550		942,885
Simpson Manufacturing Co., Inc.		3,824		357,353
SiteOne Landscape Supply, Inc. (a)		2,704		428,936
SkyWest, Inc.		14,856		598,845
Sterling Construction Co., Inc. (a)		41,363		769,765
The Greenbrier Cos., Inc.		18,398		669,319
The Shyft Group, Inc.		14,204		403,110
The Timken Co.		5,537		428,342
Trex Co., Inc. (a)		4,191		350,871
Triton International Ltd.		19,428		942,452
Tutor Perini Corp. (a)		35,648		461,642
UFP Industries, Inc.		12,661		703,319
Vectrus, Inc. (a)		7,441		369,967
Vicor Corp. (a)		3,323		306,447
Wabash National Corp.		20,739		357,333
Watsco, Inc.		2,356		533,752
Werner Enterprises, Inc.		11,996		470,483
WESCO International, Inc. (a)		11,344		890,504
				40,222,530
Information Technology (15.3%):
2U, Inc. (a)		5,209		208,412
ACM Research, Inc., Class A (a)		7,692		624,975
Amkor Technology, Inc.		49,265		742,916
Avaya Holdings Corp. (a)		37,903		725,842
Avnet, Inc.		16,567		581,667
Axcelis Technologies, Inc. (a)		11,505		335,026
Benchmark Electronics, Inc.		37,874		1,022,976
Blackline, Inc. (a)		8,573		1,143,467
Calix, Inc. (a)		23,691		705,044
Cerence, Inc. (a)		4,756		477,883
ChannelAdvisor Corp. (a)		37,321		596,390
Ciena Corp. (a)		6,762		357,372
Cirrus Logic, Inc. (a)		6,384		524,765

See notes to financial statements.

17

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Concentrix Corp. (a)		4,954	$	488,960
Conduent, Inc. (a)		109,639		526,267
CoreLogic, Inc.		9,290		718,303
Digi International, Inc. (a)		21,086		398,525
Digital Turbine, Inc. (a)		13,688		774,193
Diodes, Inc. (a)		14,165		998,632
DXC Technology Co.		26,600		684,950
Ebix, Inc.		8,097		307,443
EchoStar Corp., Class A (a)		18,944		401,423
Endurance International Group Holdings, Inc. (a)		24,399		230,571
Entegris, Inc.		10,257		985,698
Fabrinet (a)		10,565		819,738
Fastly, Inc., Class A (a)		8,158		712,764
First Solar, Inc. (a)		4,526		447,712
Five9, Inc. (a)		5,697		993,557
FormFactor, Inc. (a)		17,959		772,596
Ichor Holdings Ltd. (a)		15,476		466,524
II-VI, Inc. (a)		6,861		521,162
Inphi Corp. (a)		4,917		789,031
Insight Enterprises, Inc. (a)		5,557		422,832
International Money Express, Inc. (a)		21,431		332,609
Jabil, Inc.		19,753		840,095
Kulicke & Soffa Industries, Inc.		30,383		966,483
Lattice Semiconductor Corp. (a)		18,702		856,926
Limelight Networks, Inc. (a)		42,616		170,038
Lumentum Holdings, Inc. (a)		6,934		657,343
Mesa Laboratories, Inc.		1,390		398,430
Methode Electronics, Inc.		25,180		963,890
MKS Instruments, Inc.		2,892		435,101
Model N, Inc. (a) (b)		8,841		315,447
NeoPhotonics Corp. (a)		28,214		256,465
NetScout Systems, Inc. (a)		36,698		1,006,260
Nuance Communications, Inc. (a)		31,013		1,367,363
OneSpan, Inc. (a)		14,182		293,284
Onto Innovation, Inc. (a)		8,641		410,880
PC Connection, Inc.		8,464		400,263
Perspecta, Inc.		15,075		363,006
Photronics, Inc. (a)		59,812		667,502
Plexus Corp. (a)		5,262		411,541
Power Integrations, Inc.		6,968		570,400
Rambus, Inc. (a)		58,782		1,026,333
Sailpoint Technologies Holdings, Inc. (a)		7,826		416,656
Sanmina Corp. (a)		25,418		810,580
ScanSource, Inc. (a)		28,513		752,173
SiTime Corp. (a)		4,160		465,629
SMART Global Holdings, Inc. (a) (b)		18,063		679,711
SPS Commerce, Inc. (a)		4,816		522,969
Super Micro Computer, Inc. (a)		12,289		389,070
Sykes Enterprises, Inc. (a)		24,413		919,638

See notes to financial statements.

18

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VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Synaptics, Inc. (a)		7,227	$	696,683
SYNNEX Corp.		4,954		403,454
TTEC Holdings, Inc.		6,210		452,895
TTM Technologies, Inc. (a)		61,991		855,166
Ultra Clean Holdings, Inc. (a)		17,453		543,661
VirnetX Holding Corp. (b)		79,230		399,319
Vishay Intertechnology, Inc.		19,970		413,579
Xerox Holdings Corp.		34,018		788,877
Xperi Holding Corp.		38,302		800,512
				43,527,847
Materials (3.6%):
AdvanSix, Inc. (a)		16,563		331,094
Boise Cascade Co.		15,260		729,428
Clearwater Paper Corp. (a)		13,362		504,416
Cleveland-Cliffs, Inc. (b)		29,244		425,793
Commercial Metals Co.		18,170		373,212
Forterra, Inc. (a)		13,136		225,874
Glatfelter Corp.		21,864		358,132
Hecla Mining Co.		97,159		629,590
Huntsman Corp.		15,829		397,941
Kraton Corp. (a)		23,422		650,897
Reliance Steel & Aluminum Co.		9,092		1,088,766
Schnitzer Steel Industries, Inc.		33,401		1,065,826
Silgan Holdings, Inc.		18,137		672,520
Stepan Co.		4,674		557,702
SunCoke Energy, Inc.		63,899		277,961
The Scotts Miracle-Gro Co.		2,585		514,777
Warrior Met Coal, Inc.		37,208		793,275
Worthington Industries, Inc.		7,685		394,548
				9,991,752
Real Estate (8.7%):
Agree Realty Corp.		7,219		480,641
American Homes 4 Rent, Class A		34,141		1,024,230
Americold Realty Trust		18,915		706,097
Centerspace		5,557		392,546
Community Healthcare Trust, Inc.		16,960		798,986
CoreSite Realty Corp.		10,408		1,303,915
Cousins Properties, Inc.		13,309		445,852
CubeSmart		15,272		513,292
CyrusOne, Inc.		11,384		832,740
Easterly Government Properties, Inc.		29,430		666,590
EastGroup Properties, Inc.		7,331		1,012,118
Equity Commonwealth		36,148		986,117
eXp World Holdings, Inc. (a)		16,569		1,045,835
First Industrial Realty Trust, Inc.		25,742		1,084,510
Gaming and Leisure Properties, Inc.		16,961		719,146
Global Medical REIT, Inc.		26,825		350,335
Innovative Industrial Properties, Inc.		3,953		723,913

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Lexington Realty Trust		48,162	$	511,480
Life Storage, Inc.		4,467		533,315
National Storage Affiliates Trust		13,516		486,981
Newmark Group, Inc., Class A		136,150		992,534
PotlatchDeltic Corp.		9,112		455,782
QTS Realty Trust, Inc., Class A (b)		14,216		879,686
RE/MAX Holdings, Inc.		17,753		644,966
Realogy Holdings Corp. (a)		37,467		491,567
Redfin Corp. (a)		13,062		896,445
Rexford Industrial Realty, Inc.		20,971		1,029,886
Safehold, Inc. (b)		11,743		851,250
STAG Industrial, Inc.		16,107		504,471
Terreno Realty Corp.		10,026		586,621
The RMR Group, Inc., Class A		21,796		841,762
The St. Joe Co.		40,788		1,731,450
Uniti Group, Inc.		48,224		565,668
				25,090,727
Utilities (1.3%):
Clearway Energy, Inc., Class C		45,820		1,463,033
MDU Resources Group, Inc.		20,450		538,653
National Fuel Gas Co.		30,388		1,249,858
NorthWestern Corp.		8,255		481,349
				3,732,893
Total Common Stocks (Cost $223,266,896)				281,464,749
Rights (0.0%) (f)
Health Care (0.0%): (f)
Achillion Pharmaceuticals (a) (d) (g)		17,954		4,129
Total Rights (Cost $—)				4,129
Collateral for Securities Loaned^ (4.6%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (h)		227,355		227,355
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (h)		7,810,992		7,810,992
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (h)		113,462		113,462
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (h)		904,708		904,708
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (h)		4,067,742		4,067,742
Total Collateral for Securities Loaned (Cost $13,124,259)				13,124,259
Total Investments (Cost $236,391,155) — 104.0%				294,593,137
Liabilities in excess of other assets — (4.0)%				(11,441,439	)
NET ASSETS — 100.00%			$	283,151,698

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

See notes to financial statements.

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  (Unaudited)

(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)  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 December 31, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(e)  Affiliated security (See Note 9).

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

(g)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, illiquid securities were less than 0.05% of the Fund's net assets.

(h)  Rate disclosed is the daily yield on December 31, 2020.

PLC — Public Limited Company

REIT — Real Estate Investment Trust

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini Russell 2000 Index Futures		14	3/19/21	$	1,369,736	$	1,382,360	$	12,624
	Total unrealized appreciation							$	12,624
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	12,624

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Australia (3.7%):
Consumer Staples (1.0%):
Coca-Cola Amatil Ltd.		122,582	$	1,223,058
Coles Group Ltd.		89,388		1,251,233
Wesfarmers Ltd.		42,642		1,658,403
				4,132,694
Energy (0.6%):
Ampol Ltd.		48,536		1,064,412
Washington H Soul Pattinson & Co. Ltd. (a)		53,151		1,234,115
				2,298,527
Health Care (0.3%):
Sonic Healthcare Ltd.		53,779		1,334,183
Information Technology (0.1%):
Afterpay Ltd. (b)		5,996		545,966
Materials (0.9%):
BlueScope Steel Ltd.		78,274		1,055,798
Fortescue Metals Group Ltd.		139,523		2,522,550
				3,578,348
Real Estate (0.8%):
Goodman Group		182,034		2,656,231
Stockland		235,115		758,365
				3,414,596
				15,304,314
Austria (1.0%):
Energy (0.5%):
OMV AG		51,750		2,089,528
Financials (0.5%):
Raiffeisen Bank International AG (b)		94,662		1,931,948
				4,021,476
Belgium (1.6%):
Financials (0.8%):
Sofina SA		9,195		3,116,415
Health Care (0.5%):
UCB SA		20,852		2,155,388
Utilities (0.3%):
Elia Group SA		10,826		1,291,506
				6,563,309

See notes to financial statements.

22

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  (Unaudited)

Security Description	Shares		Value
Canada (9.3%):
Consumer Discretionary (0.8%):
Canadian Tire Corp. Ltd., Class A		8,986	$	1,180,241
Magna International, Inc.		29,866		2,112,422
				3,292,663
Consumer Staples (2.3%):
Alimentation Couche-Tard, Inc., Class B		35,576		1,211,371
Empire Co. Ltd., Class A		42,908		1,171,718
Loblaw Cos. Ltd.		68,556		3,379,908
Metro, Inc.		90,009		4,012,960
				9,775,957
Energy (0.5%):
Cameco Corp.		78,377		1,048,923
TC Energy Corp.		26,544		1,078,220
				2,127,143
Financials (0.7%):
Intact Financial Corp.		13,730		1,624,322
TMX Group Ltd.		13,223		1,319,601
				2,943,923
Industrials (1.1%):
Canadian Pacific Railway Ltd.		4,353		1,508,618
Ritchie Bros. Auctioneers, Inc.		16,655		1,156,699
WSP Global, Inc.		19,162		1,813,772
				4,479,089
Information Technology (0.3%):
Shopify, Inc., Class A (b)		1,216		1,371,885
Materials (2.1%):
B2Gold Corp.		241,038		1,348,980
Barrick Gold Corp.		30,560		695,636
Kinross Gold Corp.		172,677		1,265,937
Pan American Silver Corp.		43,540		1,500,319
Teck Resources Ltd., Class B		104,592		1,896,448
Wheaton Precious Metals Corp.		17,016		710,024
Yamana Gold, Inc.		230,992		1,318,141
				8,735,485
Real Estate (0.2%):
FirstService Corp.		7,837		1,071,713
Utilities (1.3%):
Hydro One Ltd. (c)		168,575		3,790,953
Northland Power, Inc.		45,134		1,617,951
				5,408,904
				39,206,762

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Denmark (3.7%):
Consumer Discretionary (0.4%):
Pandora A/S		15,836	$	1,772,716
Financials (0.2%):
Danske Bank A/S		58,531		968,381
Health Care (0.3%):
GN Store Nord A/S		12,699		1,017,006
Industrials (2.0%):
AP Moller — Maersk A/S, Class B		1,100		2,363,761
DSV PANALPINA A/S		15,569		2,610,402
ROCKWOOL International A/S, Class B		2,262		847,018
Vestas Wind Systems A/S		11,266		2,665,802
				8,486,983
Utilities (0.8%):
Orsted A/S (c)		16,327		3,337,326
				15,582,412
Finland (1.1%):
Consumer Staples (0.3%):
Kesko Oyj, Class B		45,252		1,164,950
Energy (0.5%):
Neste Oyj		28,988		2,098,313
Industrials (0.3%):
Kone Oyj, Class B		17,809		1,448,184
				4,711,447
France (8.4%):
Communication Services (0.9%):
Iliad SA		8,064		1,658,601
Publicis Groupe SA		43,329		2,160,910
				3,819,511
Consumer Discretionary (1.1%):
La Francaise des Jeux SAEM (c)		23,973		1,097,322
Peugeot SA (b)		82,221		2,250,466
Renault SA (b)		24,274		1,062,093
				4,409,881
Consumer Staples (0.6%):
Carrefour SA		139,393		2,392,888
Financials (1.9%):
BNP Paribas SA (b)		36,409		1,920,261
CNP Assurances		95,426		1,538,884
Credit Agricole SA		163,434		2,063,697
Natixis SA (b)		174,423		595,218
Societe Generale SA		84,037		1,750,270
				7,868,330

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Health Care (1.2%):
BioMerieux		13,590	$	1,918,886
Sanofi		13,210		1,272,042
Sartorius Stedim Biotech		5,681		2,024,137
				5,215,065
Industrials (2.1%):
Alstom SA (b)		22,129		1,262,015
Bouygues SA		48,399		1,992,715
Cie de Saint-Gobain (b)		39,847		1,828,314
Schneider Electric SE		17,129		2,479,366
Teleperformance		3,512		1,165,811
				8,728,221
Information Technology (0.4%):
Atos SE (b)		20,596		1,884,483
Utilities (0.2%):
Electricite de France SA (b)		62,675		988,871
				35,307,250
Germany (9.8%):
Communication Services (0.4%):
United Internet AG, Registered Shares		40,674		1,713,475
Consumer Discretionary (2.6%):
Bayerische Motoren Werke AG		26,825		2,370,725
Daimler AG		12,080		854,168
Delivery Hero SE (b) (c)		13,607		2,114,414
HelloFresh SE (a) (b)		16,585		1,282,497
Porsche Automobil Holding SE, Preference Shares		24,736		1,706,996
Volkswagen AG, Preference Shares		9,600		1,790,346
Zalando SE (b) (c)		8,255		919,747
				11,038,893
Financials (0.7%):
Commerzbank AG (b)		223,608		1,440,761
Deutsche Bank AG, Registered Shares (b)		138,858		1,520,440
				2,961,201
Health Care (1.3%):
Bayer AG, Registered Shares		30,465		1,795,008
Merck KGaA		10,049		1,725,675
Sartorius AG, Preference Shares		4,399		1,849,400
				5,370,083
Industrials (1.9%):
Brenntag AG		32,635		2,529,214
Deutsche Post AG, Registered Shares		53,793		2,665,659
GEA Group AG		23,612		845,917
KION Group AG		9,122		794,236
Siemens AG, Registered Shares		8,799		1,265,228
				8,100,254

See notes to financial statements.

25

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  (Unaudited)

Security Description	Shares		Value
Materials (0.5%):
HeidelbergCement AG		26,503	$	1,985,236
Real Estate (2.2%):
Deutsche Wohnen SE		55,886		2,987,507
LEG Immobilien AG		20,223		3,143,969
Vonovia SE		41,473		3,032,493
				9,163,969
Utilities (0.2%):
RWE AG		23,206		981,575
				41,314,686
Hong Kong (4.6%):
Consumer Discretionary (0.8%):
Techtronic Industries Co. Ltd.		145,922		2,081,414
Xinyi Glass Holdings Ltd.		443,365		1,237,947
				3,319,361
Consumer Staples (0.4%):
WH Group Ltd. (c)		2,004,515		1,680,371
Financials (0.7%):
Hong Kong Exchanges and Clearing Ltd.		50,282		2,756,031
Industrials (0.6%):
CK Hutchison Holdings Ltd.		372,097		2,596,187
Real Estate (2.1%):
CK Asset Holdings Ltd.		477,848		2,452,762
ESR Cayman Ltd. (b) (c)		400,430		1,435,668
Hang Lung Properties Ltd.		479,215		1,263,882
Sino Land Co. Ltd.		1,975,419		2,573,139
Sun Hung Kai Properties Ltd.		100,162		1,291,771
				9,017,222
				19,369,172
Ireland (1.0%):
Consumer Discretionary (0.5%):
Flutter Entertainment PLC		10,162		2,102,551
Industrials (0.5%):
Kingspan Group PLC (b)		27,510		2,041,481
				4,144,032
Isle of Man (0.2%):
Consumer Discretionary (0.2%):
Entain PLC (b)		58,080		899,908

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Israel (0.3%):
Health Care (0.3%):
Teva Pharmaceutical Industries Ltd., ADR (b)		119,086	$	1,149,181
Italy (2.1%):
Communication Services (0.4%):
Telecom Italia SpA		3,821,248		1,764,538
Financials (0.3%):
UniCredit SpA		154,094		1,441,974
Health Care (0.5%):
DiaSorin SpA		9,988		2,078,771
Industrials (0.3%):
Prysmian SpA		30,867		1,098,279
Utilities (0.6%):
Enel SpA		235,851		2,388,262
				8,771,824
Japan (27.2%):
Communication Services (1.8%):
Capcom Co. Ltd.		8,700		564,579
KDDI Corp.		45,800		1,360,093
Koei Tecmo Holdings Co. Ltd.		11,700		713,933
Nexon Co. Ltd.		31,500		970,216
Nippon Telegraph & Telephone Corp.		66,800		1,711,651
SoftBank Group Corp.		11,000		858,521
Square Enix Holdings Co. Ltd.		6,700		406,238
Z Holdings Corp.		141,500		855,757
				7,440,988
Consumer Discretionary (4.2%):
Casio Computer Co. Ltd.		33,200		606,472
Honda Motor Co. Ltd.		40,000		1,114,824
Iida Group Holdings Co. Ltd.		54,200		1,094,027
Mercari, Inc. (b)		23,100		1,023,609
Nitori Holdings Co. Ltd.		6,500		1,361,131
Pan Pacific International Holdings Corp.		21,800		504,222
Rinnai Corp.		14,000		1,624,485
Sekisui House Ltd.		70,000		1,423,798
Shimamura Co. Ltd.		5,500		577,461
Shimano, Inc.		5,500		1,283,040
Sony Corp.		12,700		1,265,141
Subaru Corp.		22,000		439,489
Sumitomo Electric Industries Ltd.		46,100		610,157
Toyoda Gosei Co. Ltd.		40,600		1,177,752
Toyota Industries Corp.		17,000		1,348,540
Toyota Motor Corp.		20,400		1,572,210
Yamada Holdings Co. Ltd.		122,500		650,201
				17,676,559

See notes to financial statements.

27

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  (Unaudited)

Security Description	Shares		Value
Consumer Staples (2.3%):
Ajinomoto Co., Inc.		33,600	$	760,715
Cosmos Pharmaceutical Corp.		6,000		969,345
Kobe Bussan Co. Ltd. (a)		28,600		880,895
NH Foods Ltd.		22,400		984,997
Seven & i Holdings Co. Ltd.		43,900		1,555,815
Sundrug Co. Ltd.		34,400		1,372,735
Toyo Suisan Kaisha Ltd.		25,600		1,244,728
Tsuruha Holdings, Inc.		8,300		1,180,144
Welcia Holdings Co. Ltd.		22,500		848,830
				9,798,204
Energy (0.6%):
ENEOS Holdings, Inc.		266,400		955,732
Idemitsu Kosan Co. Ltd.		43,144		948,587
Inpex Corp.		143,800		774,399
				2,678,718
Financials (4.9%):
ACOM Co. Ltd.		115,600		493,773
Concordia Financial Group Ltd.		254,200		893,744
Fukuoka Financial Group, Inc.		50,300		893,020
Japan Exchange Group, Inc.		51,100		1,305,650
Japan Post Holdings Co. Ltd.		94,300		733,247
Japan Post Insurance Co. Ltd.		68,600		1,403,295
Mitsubishi UFJ Financial Group, Inc.		275,300		1,216,178
Mitsubishi UFJ Lease & Finance Co. Ltd.		213,200		1,022,171
Mizuho Financial Group, Inc.		53,400		676,260
Nomura Holdings, Inc.		214,800		1,133,866
ORIX Corp.		71,500		1,097,310
Resona Holdings, Inc.		288,100		1,005,678
Shinsei Bank Ltd.		77,500		954,066
Sumitomo Mitsui Financial Group, Inc.		42,200		1,303,052
Sumitomo Mitsui Trust Holdings, Inc.		39,000		1,200,087
T&D Holdings, Inc.		81,200		957,145
The Bank of Kyoto Ltd.		19,900		1,035,043
The Chiba Bank Ltd.		170,600		938,552
The Shizuoka Bank Ltd.		145,700		1,066,872
Tokyo Century Corp.		13,800		1,093,360
				20,422,369
Health Care (1.2%):
Alfresa Holdings Corp.		23,100		422,644
Chugai Pharmaceutical Co. Ltd.		12,600		671,585
Kyowa Kirin Co. Ltd.		17,700		482,423
M3, Inc.		13,700		1,292,839
Medipal Holdings Corp.		66,500		1,248,264
Ono Pharmaceutical Co. Ltd.		34,800		1,047,590
				5,165,345

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Industrials (5.6%):
Asahi Glass Co. Ltd.		33,700	$	1,175,069
Dai Nippon Printing Co. Ltd.		52,300		939,673
Daifuku Co. Ltd.		8,000		988,716
Daikin Industries Ltd.		3,200		710,388
ITOCHU Corp.		52,100		1,495,708
Kajima Corp.		84,400		1,129,748
Kubota Corp.		27,600		601,749
Kurita Water Industries Ltd.		14,400		550,225
Lixil Corp.		17,900		387,318
Marubeni Corp.		192,500		1,279,231
Mitsubishi Corp.		59,600		1,466,837
Mitsui & Co. Ltd.		74,800		1,368,924
MonotaRO Co. Ltd.		19,000		966,148
NGK Insulators Ltd.		30,100		464,131
Nihon M&A Center, Inc.		6,900		461,136
Nippon Yusen KK		56,300		1,309,822
Obayashi Corp.		111,000		956,850
SG Holdings Co. Ltd.		42,100		1,146,643
Shimizu Corp.		142,000		1,031,527
SMC Corp.		800		487,772
Sumitomo Corp.		49,900		659,969
Taisei Corp.		31,500		1,084,629
Toppan Printing Co. Ltd.		66,700		939,983
Toyota Tsusho Corp.		26,700		1,077,103
Yamato Holdings Co. Ltd.		37,300		950,519
				23,629,818
Information Technology (2.6%):
Azbil Corp.		14,700		803,022
Brother Industries Ltd.		56,300		1,159,318
FUJIFILM Holdings Corp.		25,600		1,348,373
Fujitsu Ltd.		8,800		1,270,415
Hitachi Ltd.		26,000		1,023,682
Ibiden Co. Ltd.		10,000		466,366
Kyocera Corp.		9,800		600,463
Lasertec Corp.		3,400		398,799
NEC Corp.		22,700		1,218,054
Ricoh Co. Ltd.		146,200		958,665
SUMCO Corp. (f)		20,000		438,375
TDK Corp.		7,100		1,068,662
				10,754,194
Materials (1.4%):
JFE Holdings, Inc. (b)		51,200		489,957
Mitsubishi Gas Chemical Co., Inc.		51,200		1,174,805
Mitsui Chemicals, Inc.		17,600		515,667
Oji Holdings Corp.		214,500		1,219,541
Sumitomo Chemical Co. Ltd.		138,400		556,308

See notes to financial statements.

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  (Unaudited)

Security Description	Shares		Value
Taiheiyo Cement Corp.		32,800	$	819,325
Tosoh Corp.		64,600		1,006,119
				5,781,722
Real Estate (1.6%):
Aeon Mall Co. Ltd.		72,300		1,191,870
Daito Trust Construction Co. Ltd.		12,600		1,176,464
Daiwa House REIT Investment Corp.		187		462,225
GLP J-REIT		548		863,042
Hulic Co. Ltd.		123,100		1,350,887
Mitsubishi Estate Co. Ltd.		32,000		513,574
Nippon Prologis REIT, Inc.		398		1,241,280
				6,799,342
Utilities (1.0%):
Chubu Electric Power Co., Inc.		110,200		1,326,734
Osaka Gas Co. Ltd.		37,600		769,153
The Kansai Electric Power Co., Inc.		61,300		578,118
Tohoku Electric Power Co., Inc.		67,600		556,540
Tokyo Electric Power Co. Holdings (b)		362,400		954,747
				4,185,292
				114,332,551
Luxembourg (0.5%):
Materials (0.5%):
ArcelorMittal SA (b)		91,747		2,119,423
Netherlands (3.3%):
Consumer Discretionary (0.5%):
Fiat Chrysler Automobiles NV (b)		114,962		2,062,111
Consumer Staples (0.7%):
Koninklijke Ahold Delhaize NV		97,559		2,758,615
Energy (0.3%):
Koninklijke Vopak NV		23,894		1,256,841
Financials (1.2%):
Aegon NV		459,604		1,819,206
ING Groep NV (b)		83,564		781,256
NN Group NV		53,056		2,306,500
				4,906,962
Information Technology (0.6%):
Adyen NV (b) (c)		1,136		2,647,873
				13,632,402
New Zealand (0.5%):
Health Care (0.5%):
Fisher & Paykel Healthcare Corp. Ltd.		89,917		2,134,484

See notes to financial statements.

30

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Norway (1.2%):
Communication Services (0.8%):
Adevinta ASA (b)		140,801	$	2,368,075
Schibsted ASA, Class A (a) (b)		25,846		1,105,752
				3,473,827
Consumer Staples (0.4%):
Orkla ASA, Class A		166,621		1,693,075
				5,166,902
Portugal (0.4%):
Utilities (0.4%):
Energias de Portugal SA		243,569		1,536,593
Singapore (1.5%):
Consumer Staples (0.7%):
Wilmar International Ltd.		798,800		2,810,441
Real Estate (0.8%):
Ascendas Real Estate Investment Trust (g)		522,954		1,179,134
Mapletree Logistics Trust		1,553,300		2,362,300
				3,541,434
				6,351,875
Spain (2.0%):
Communication Services (0.2%):
Cellnex Telecom SA (c)		16,745		1,006,392
Energy (0.5%):
Repsol SA		215,975		2,180,124
Industrials (0.5%):
Siemens Gamesa Renewable Energy SA		54,292		2,198,146
Utilities (0.8%):
Iberdrola SA		217,778		3,117,624
				8,502,286
Sweden (4.2%):
Consumer Discretionary (0.7%):
Evolution Gaming Group AB (c)		17,181		1,746,437
Husqvarna AB, B Shares		94,059		1,219,753
				2,966,190
Consumer Staples (0.5%):
Swedish Match AB		27,741		2,154,411
Financials (1.6%):
EQT AB		99,413		2,546,894
Kinnevik AB, Class B		48,360		2,446,692
L E Lundbergforetagen AB, Class B (b)		27,836		1,493,390
				6,486,976

See notes to financial statements.

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Industrials (1.4%):
Investment AB Latour, Class B		98,666	$	2,399,206
Nibe Industrier AB, Class B		76,594		2,515,346
Volvo AB, Class B		43,548		1,027,647
				5,942,199
				17,549,776
Switzerland (1.9%):
Financials (0.4%):
Banque Cantonale Vaudoise, Registered Shares		16,854		1,836,122
Health Care (0.9%):
Lonza Group AG, Registered Shares		3,617		2,327,450
Roche Holding AG		4,294		1,501,042
				3,828,492
Information Technology (0.6%):
Logitech International SA, Class R		25,085		2,438,264
				8,102,878
United Kingdom (9.6%):
Communication Services (1.6%):
BT Group PLC (b)		1,294,202		2,339,633
Vodafone Group PLC		1,359,955		2,248,250
WPP PLC		184,898		2,021,959
				6,609,842
Consumer Discretionary (1.5%):
Barratt Developments PLC (b)		195,188		1,787,632
Berkeley Group Holdings PLC		16,574		1,074,333
Kingfisher PLC (b)		486,976		1,799,966
Persimmon PLC		41,348		1,563,917
				6,225,848
Consumer Staples (2.8%):
British American Tobacco PLC		58,044		2,148,602
Imperial Brands PLC		112,050		2,351,862
J Sainsbury PLC		858,884		2,647,470
Tesco PLC		458,298		1,449,644
Wm Morrison Supermarkets PLC		1,269,248		3,077,002
				11,674,580
Financials (1.7%):
Admiral Group PLC		44,269		1,758,512
Aviva PLC		227,434		1,011,011
Barclays PLC		1,001,839		2,008,718
London Stock Exchange Group PLC		10,974		1,351,274
Natwest Group PLC		517,983		1,187,050
				7,316,565

See notes to financial statements.

32

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Industrials (0.3%):
Bunzl PLC		43,868	$	1,464,945
Materials (0.9%):
Anglo American PLC		58,801		1,948,754
Evraz PLC (f)		145,208		936,083
Fresnillo PLC		48,531		749,299
				3,634,136
Real Estate (0.8%):
Segro PLC		261,312		3,384,811
				40,310,727
United States (0.3%):
Health Care (0.3%):
Bausch Health Cos., Inc. (b)		63,339		1,313,016
Total Common Stocks (Cost $368,083,312)				417,398,686
Rights (0.0%) (d)
Spain (0.0%):
Energy (0.0%):
Repsol SA , Expires 1/11/21 (b)		215,975		74,177
Total Rights (Cost $76,165)				74,177
Collateral for Securities Loaned^ (0.3%)
United States (0.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (h)		29,399		29,399
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (h)		1,010,024		1,010,024
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (h)		14,672		14,672
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (h)		116,986		116,986
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (h)		525,992		525,992
Total Collateral for Securities Loaned (Cost $1,697,073)				1,697,073
Total Investments (Cost $369,856,550) — 99.7%				419,169,936
Other assets in excess of liabilities — 0.3%				1,057,553
NET ASSETS — 100.00%			$	420,227,489

^  Purchased with cash collateral from securities on loan.

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

(b)  Non-income producing security.

(c)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $19,776,503 and amounted to 4.7% of net assets.

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

See notes to financial statements.

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December 31, 2020

  (Unaudited)

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

(g)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, illiquid securities were 0.3% of the Fund's net assets.

(h)  Rate disclosed is the daily yield on December 31, 2020.

ADR — American Depositary Receipt

PLC — Public Limited Company

REIT — Real Estate Investment Trust

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI EAFE Index Futures		19	3/19/21	$	1,997,727	$	2,024,260	$	26,533
	Total unrealized appreciation							$	26,533
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	26,533

See notes to financial statements.

34

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  (Unaudited)

Security Description	Shares		Value
Common Stocks (98.2%)
Brazil (5.3%):
Consumer Discretionary (0.2%):
Magazine Luiza SA		107,536	$	516,542
Consumer Staples (0.7%):
JBS SA		284,352		1,295,247
Natura & Co. Holding SA (a)		60,424		610,731
				1,905,978
Energy (0.5%):
Cosan SA		89,900		1,310,717
Financials (0.6%):
B3 SA- Brasil Bolsa Balcao		60,300		719,532
Banco BTG Pactual SA		60,700		1,098,495
				1,818,027
Industrials (0.5%):
WEG SA		102,100		1,488,786
Materials (1.4%):
Bradespar SA, Preference Shares		74,600		915,014
Cia Siderurgica Nacional SA		134,000		821,666
Vale SA		123,285		2,075,637
				3,812,317
Utilities (1.4%):
Centrais Eletricas Brasileiras SA		132,548		935,762
Cia de Saneamento Basico do Estado de Sao Paulo		51,876		443,835
Cia Paranaense de Energia, Preference Shares		115,300		1,663,506
Equatorial Energia SA		200,000		891,764
				3,934,867
				14,787,234
Chile (0.5%):
Consumer Staples (0.5%):
Cencosud SA		741,274		1,319,791
China (28.4%):
Communication Services (1.6%):
Bilibili, Inc., ADR (a) (b)		12,998		1,114,189
China Literature Ltd. (a) (b) (c)		77,600		608,983
China Telecom Corp. Ltd., Class H		5,543,532		1,537,119
DouYu International Holdings Ltd., ADR (a)		44,835		495,875
JOYY, Inc., ADR		10,882		870,342
				4,626,508

See notes to financial statements.

35

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Consumer Discretionary (5.9%):
Brilliance China Automotive Holdings Ltd.		1,005,356	$	915,392
BYD Co. Ltd., Class H		21,500		563,436
China Meidong Auto Holdings Ltd.		112,000		455,000
Dongfeng Motor Group Co. Ltd., Class H		1,533,986		1,788,432
Great Wall Motor Co. Ltd., Class H		763,076		2,617,773
GSX Techedu, Inc., ADR (a) (b)		14,076		727,870
Guangzhou Automobile Group Co. Ltd.		1,082,569		1,203,498
JD.com, Inc., ADR (a)		6,941		610,114
Meituan Dianping, Class B (a)		31,828		1,209,274
NIO, Inc., ADR (a)		49,651		2,419,990
Pinduoduo, Inc., ADR (a)		9,632		1,711,317
Vipshop Holdings Ltd., ADR (a)		18,302		514,469
Yadea Group Holdings Ltd. (c)		336,000		694,200
Zhongsheng Group Holdings Ltd.		164,194		1,169,963
				16,600,728
Consumer Staples (0.2%):
Yihai International Holding Ltd.		29,784		441,737
Energy (0.4%):
Yanzhou Coal Mining Co. Ltd., Class H		1,266,832		1,012,962
Financials (9.4%):
Agricultural Bank of China Ltd., Class H (d)		5,251,588		1,923,497
Bank of China Ltd., Class H (d)		6,567,396		2,244,511
Bank of Communications Co. Ltd., Class H		4,075,357		2,154,925
China Cinda Asset Management Co. Ltd., Class H		7,189,642		1,363,036
China CITIC Bank Corp. Ltd., Class H		4,285,883		1,818,523
China Construction Bank Corp., Class H (d)		2,579,299		1,959,294
China Everbright Bank Co. Ltd., Class H		4,289,001		1,631,777
China Galaxy Securities Co. Ltd., Class H		1,867,448		1,170,489
China Huarong Asset Management Co. Ltd., Class H (c)		9,864,282		1,094,074
China International Capital Corp. Ltd., Class H (a) (c)		485,984		1,316,206
China Minsheng Banking Corp. Ltd., Class H		3,733,404		2,128,187
Chongqing Rural Commercial Bank Co. Ltd., Class H		3,644,856		1,485,423
CITIC Securities Co. Ltd., Class H		248,200		559,533
GF Securities Co. Ltd., Class H		956,724		1,352,321
Huatai Securities Co. Ltd., Class H (c)		713,348		1,122,390
Industrial & Commercial Bank of China Ltd., Class H		1,635,114		1,060,715
New China Life Insurance Co. Ltd., Class H		144,200		562,566
Postal Savings Bank of China Co. Ltd., Class H (c)		1,707,572		964,574
Zhongan Online P&C Insurance Co. Ltd., Class H (a) (b) (c)		127,552		595,495
				26,507,536
Health Care (2.2%):
AK Medical Holdings Ltd. (c)		201,488		349,766
China Medical System Holdings Ltd.		875,148		977,422
China Resources Pharmaceutical Group Ltd. (c)		2,367,365		1,215,153
Luye Pharma Group Ltd. (c)		1,920,717		894,238
Shandong Weigao Group Medical Polymer Co. Ltd., Class H		243,528		550,257

See notes to financial statements.

36

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Shanghai Pharmaceuticals Holding Co. Ltd.		930,805	$	1,639,804
Sinopharm Group Co. Ltd., Class H		279,200		679,109
				6,305,749
Industrials (4.0%):
A-Living Smart City Services Co. Ltd., Class H (c)		118,074		523,836
China Conch Venture Holdings Ltd.		201,917		981,741
China Lesso Group Holdings Ltd.		592,511		927,679
China Railway Group Ltd., Class H		3,144,432		1,386,918
China State Construction International Holdings Ltd.		1,630,204		929,281
COSCO SHIPPING Holdings Co. Ltd., Class H (a)		687,500		824,590
Country Garden Services Holdings Co. Ltd.		211,043		1,427,575
Fosun International Ltd.		1,109,104		1,742,217
Weichai Power Co. Ltd.		275,847		553,555
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		1,167,160		1,399,897
ZTO Express Cayman, Inc., ADR		21,959		640,324
				11,337,613
Information Technology (1.0%):
Kingdee International Software Group Co. Ltd.		168,880		688,253
Xinyi Solar Holdings Ltd.		765,580		1,999,393
				2,687,646
Materials (0.6%):
China Hongqiao Group Ltd.		1,066,068		976,171
China National Building Material Co. Ltd., Class H		637,061		765,737
				1,741,908
Real Estate (1.5%):
China Vanke Co. Ltd.		378,549		1,305,956
Kaisa Group Holdings Ltd.		934,446		461,568
Longfor Group Holdings Ltd. (c)		218,118		1,277,115
Seazen Group Ltd.		844,161		702,211
Sunac China Holdings Ltd.		91,076		336,520
				4,083,370
Utilities (1.6%):
China Longyuan Power Group Corp. Ltd., Class H		1,803,588		1,807,344
China Power International Development Ltd.		8,807,989		1,885,678
Huaneng Power International, Inc., Class H		1,912,000		697,842
				4,390,864
				79,736,621
Greece (0.0%): (e)
Consumer Discretionary (0.0%):
FF Group (a) (f) (g)		14,913		4,379
Hong Kong (6.7%):
Communication Services (0.4%):
China Unicom Hong Kong Ltd.		2,119,687		1,216,506

See notes to financial statements.

37

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Consumer Staples (0.2%):
Vinda International Holdings Ltd.		185,452	$	505,853
Financials (0.7%):
China Everbright Ltd.		879,139		1,176,895
Far East Horizon Ltd.		797,000		821,273
				1,998,168
Health Care (0.4%):
China Traditional Chinese Medicine Holdings Co. Ltd.		2,520,234		1,248,115
Industrials (0.8%):
CITIC Ltd.		2,295,827		1,625,527
Sinotruk Hong Kong Ltd.		293,197		748,699
				2,374,226
Information Technology (0.6%):
Kingboard Holdings Ltd.		379,286		1,599,548
Materials (0.7%):
China Resources Cement Holdings Ltd.		431,718		482,171
Nine Dragons Paper Holdings Ltd.		965,731		1,370,034
				1,852,205
Real Estate (1.7%):
China Overseas Property Holdings Ltd.		514,304		267,968
China Resources Land Ltd.		314,750		1,298,967
Shimao Group Holdings Ltd.		252,868		805,515
The Wharf Holdings Ltd.		247,000		664,180
Yuexiu Property Co. Ltd.		8,121,332		1,633,934
				4,670,564
Utilities (1.2%):
Beijing Enterprises Holdings Ltd.		554,684		1,809,876
China Resources Power Holdings Co. Ltd.		1,465,564		1,578,243
				3,388,119
				18,853,304
Hungary (0.7%):
Health Care (0.7%):
Richter Gedeon Nyrt		78,308		1,965,492
India (2.4%):
Consumer Staples (0.3%):
Tata Consumer Products Ltd.		95,805		773,468
Energy (0.5%):
Reliance Industries Ltd.		53,745		1,460,293
Financials (0.7%):
Muthoot Finance Ltd.		38,891		644,329
REC Ltd.		780,711		1,430,694
				2,075,023

See notes to financial statements.

38

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Health Care (0.3%):
Dr. Reddy's Laboratories Ltd.		12,650	$	901,146
Materials (0.3%):
Hindalco Industries Ltd.		205,157		675,410
Utilities (0.3%):
Adani Green Energy Ltd. (a)		58,147		837,657
				6,722,997
Indonesia (1.6%):
Consumer Staples (0.8%):
PT Gudang Garam Tbk (a)		246,400		719,032
PT Indofood Sukses Makmur Tbk		3,005,025		1,465,084
				2,184,116
Energy (0.5%):
PT Adaro Energy Tbk		5,559,800		565,873
PT United Tractors Tbk		472,300		894,176
				1,460,049
Materials (0.3%):
PT Indah Kiat Pulp & Paper Corp. Tbk		1,075,846		798,270
				4,442,435
Korea, Republic Of (24.0%):
Communication Services (2.5%):
Kakao Corp.		3,859		1,383,670
LG Uplus Corp.		144,752		1,565,715
NAVER Corp.		6,120		1,647,887
SK Telecom Co. Ltd.		10,581		2,318,216
				6,915,488
Consumer Discretionary (4.1%):
Hankook Tire & Technology Co. Ltd.		47,570		1,725,359
Hyundai Mobis Co. Ltd.		6,444		1,515,642
Hyundai Motor Co.		8,092		1,430,235
Kia Motors Corp.		31,930		1,834,145
LG Electronics, Inc.		18,522		2,301,823
Lotte Shopping Co. Ltd.		15,710		1,482,348
Shinsegae, Inc.		6,145		1,354,808
				11,644,360
Consumer Staples (2.7%):
CJ CheilJedang Corp.		4,240		1,487,103
E-MART, Inc.		11,909		1,660,880
GS Retail Co. Ltd.		46,529		1,475,581
KT&G Corp.		30,379		2,323,939
Orion Corp.		4,797		547,572
				7,495,075

See notes to financial statements.

39

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December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Financials (5.5%):
DB Insurance Co. Ltd.		34,345	$	1,383,222
Hana Financial Group, Inc.		47,292		1,501,955
Hyundai Marine & Fire Insurance Co. Ltd.		70,251		1,471,242
Industrial Bank of Korea		207,332		1,687,209
KB Financial Group, Inc.		43,853		1,752,021
Korea Investment Holdings Co. Ltd.		7,929		576,628
Meritz Securities Co. Ltd.		221,879		748,584
Mirae Asset Daewoo Co. Ltd.		146,451		1,272,666
Samsung Life Insurance Co. Ltd.		9,223		671,582
Samsung Securities Co. Ltd.		22,549		839,645
Shinhan Financial Group Co. Ltd.		55,972		1,651,388
Woori Financial Group, Inc.		195,135		1,747,826
				15,303,968
Health Care (0.4%):
Alteogen, Inc. (a)		2,078		343,751
Seegene, Inc.		3,363		597,495
Shin Poong Pharmaceutical Co. Ltd. (a)		2,854		325,781
				1,267,027
Industrials (2.5%):
GS Engineering & Construction Corp.		49,075		1,707,664
Hanwha Corp.		55,009		1,433,080
Hyundai Glovis Co. Ltd.		3,509		594,362
Hyundai Heavy Industries Holdings Co. Ltd.		3,216		839,304
LG Corp.		21,935		1,766,835
Lotte Corp.		18,009		585,214
				6,926,459
Information Technology (1.8%):
LG Innotek Co. Ltd.		4,397		738,702
Samsung Electronics Co. Ltd.		31,157		2,323,223
SK Hynix, Inc.		18,163		1,981,327
				5,043,252
Materials (3.1%):
Hanwha Chemical Corp.		30,202		1,331,746
Hyundai Steel Co.		41,659		1,518,638
Kumho Petrochemical Co. Ltd.		10,313		1,376,586
Lotte Chemical Corp.		7,103		1,804,684
POSCO		8,024		2,009,139
SK Chemicals Co. Ltd. (a)		1,443		521,382
				8,562,175
Utilities (1.4%):
Korea Electric Power Corp.		90,930		2,293,549
Korea Gas Corp.		61,287		1,743,320
				4,036,869
				67,194,673

See notes to financial statements.

40

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Luxembourg (0.6%):
Financials (0.6%):
Reinet Investments SCA		84,212	$	1,580,098
Malaysia (1.6%):
Consumer Staples (0.6%):
PPB Group Bhd		378,351		1,741,967
Health Care (1.0%):
Hartalega Holdings Bhd		291,700		880,357
Kossan Rubber Industries		614,200		687,110
Supermax Corp. Bhd (a)		303,900		454,056
Top Glove Corp. Bhd		543,600		827,056
				2,848,579
				4,590,546
Mexico (0.6%):
Consumer Staples (0.3%):
Gruma SAB de CV, Class B		74,557		886,542
Financials (0.3%):
Grupo Financiero Banorte SAB de CV, Class O (a)		126,592		698,414
				1,584,956
Philippines (0.2%):
Communication Services (0.2%):
PLDT, Inc.		24,785		691,576
Poland (2.8%):
Communication Services (1.0%):
Cyfrowy Polsat SA		217,830		1,770,234
Orange Polska SA (a)		616,145		1,089,747
				2,859,981
Consumer Staples (0.5%):
Dino Polska SA (a) (c)		18,156		1,410,184
Energy (0.5%):
Polskie Gornictwo Naftowe i Gazownictwo SA		875,304		1,301,915
Materials (0.5%):
KGHM Polska Miedz SA (a)		32,129		1,577,994
Utilities (0.3%):
PGE Polska Grupa Energetyczna SA (a)		482,127		841,070
				7,991,144
Russian Federation (3.8%):
Communication Services (0.3%):
Yandex NV, Class A (a)		11,688		814,888

See notes to financial statements.

41

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Energy (1.1%):
Gazprom PJSC		629,690	$	1,810,719
Surgutneftegas PJSC		2,479,668		1,211,264
				3,021,983
Financials (0.9%):
Moscow Exchange MICEX PJSC		973,044		2,099,235
Sberbank of Russia PJSC		169,114		619,849
				2,719,084
Materials (1.0%):
MMC Norilsk Nickel PJSC		2,741		878,135
Polymetal International PLC		26,947		632,102
Polyus PJSC		6,072		1,249,875
				2,760,112
Utilities (0.5%):
Inter RAO UES PJSC		20,671,105		1,484,704
				10,800,771
South Africa (2.8%):
Communication Services (0.2%):
MTN Group Ltd.		112,973		462,929
Energy (0.2%):
Exxaro Resources Ltd.		75,179		710,909
Health Care (0.4%):
Aspen Pharmacare Holdings Ltd. (a)		125,942		1,074,928
Materials (2.0%):
African Rainbow Minerals Ltd.		37,943		676,548
AngloGold Ashanti Ltd.		15,866		369,972
Gold Fields Ltd.		31,664		296,555
Harmony Gold Mining Co. Ltd. (a)		140,243		683,611
Impala Platinum Holdings Ltd.		64,424		885,522
Northam Platinum Ltd. (a)		80,966		1,154,952
Sasol Ltd. (a)		75,908		692,119
Sibanye Stillwater Ltd.		218,883		894,084
				5,653,363
				7,902,129
Taiwan (10.0%):
Financials (2.6%):
E.Sun Financial Holding Co. Ltd.		1,282,078		1,165,816
Shin Kong Financial Holding Co. Ltd.		6,147,000		1,927,364
Taiwan Cooperative Financial Holding Co. Ltd.		2,298,199		1,664,472
Yuanta Financial Holding Co. Ltd.		3,499,656		2,559,539
				7,317,191
Health Care (0.1%):
Oneness Biotech Co. Ltd. (a)		31,000		265,891

See notes to financial statements.

42

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Industrials (0.5%):
Evergreen Marine Corp. Ltd. (a)		959,000	$	1,389,113
Information Technology (5.4%):
ASMedia Technology, Inc.		7,000		391,131
Asustek Computer, Inc.		122,000		1,087,658
Compal Electronics, Inc. (d)		2,176,000		1,603,075
Foxconn Technology Co. Ltd.		1,200,000		2,280,589
Innolux Corp.		2,082,000		1,044,779
MediaTek, Inc.		62,000		1,648,302
Pegatron Corp.		359,000		859,873
Realtek Semiconductor Corp.		46,000		639,298
Synnex Technology International Corp.		691,000		1,155,847
United Microelectronics Corp.		1,566,142		2,628,073
Wistron Corp.		1,527,000		1,684,711
				15,023,336
Materials (0.8%):
Asia Cement Corp.		664,500		1,021,653
Taiwan Cement Corp. (d)		765,069		1,176,275
				2,197,928
Real Estate (0.6%):
Ruentex Development Co. Ltd.		1,230,000		1,790,412
				27,983,871
Thailand (1.3%):
Consumer Staples (0.8%):
Charoen Pokphand Foods PCL		1,736,500		1,550,446
Thai Union Group PCL		1,808,200		820,812
				2,371,258
Information Technology (0.5%):
Delta Electronics Thailand PCL		82,650		1,340,718
				3,711,976
Turkey (4.6%):
Communication Services (0.6%):
Turkcell Iletisim Hizmetleri A/S		717,800		1,554,871
Consumer Staples (0.3%):
BIM Birlesik Magazalar A/S		85,922		872,803
Financials (2.5%):
Akbank TAS (a)		741,978		691,814
Haci Omer Sabanci Holding A/S		1,192,155		1,838,156
Turkiye Garanti Bankasi A/S (a)		1,058,627		1,477,022
Turkiye Is Bankasi A/S (a)		1,562,295		1,471,384
Yapi ve Kredi Bankasi A/S (a)		3,657,786		1,515,773
				6,994,149

See notes to financial statements.

43

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

Security Description	Shares		Value
Industrials (0.9%):
Aselsan Elektronik Sanayi Ve Ticaret A/S		498,562	$	1,224,185
Turk Hava Yollari AO (a)		736,017		1,278,437
				2,502,622
Materials (0.3%):
Eregli Demir ve Celik Fabrikalari TAS		446,708		897,323
				12,821,768
United Arab Emirates (0.3%):
Real Estate (0.3%):
Aldar Properties PJSC		892,051		765,000
Total Common Stocks (Cost $243,620,917)				275,450,761
Collateral for Securities Loaned^ (0.8%)
United States (0.8%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.08% (h)		37,260		37,260
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (h)		1,280,096		1,280,096
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.04% (h)		18,595		18,595
JPMorgan Prime Money Market Fund, Capital Class, 0.12% (h)		148,267		148,267
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.09% (h)		666,638		666,638
Total Collateral for Securities Loaned (Cost $2,150,856)				2,150,856
Total Investments (Cost $245,771,773) — 99.0%				277,601,617
Other assets in excess of liabilities — 1.0%				2,903,401
NET ASSETS — 100.00%			$	280,505,018

^  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)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of December 31, 2020, the fair value of these securities was $12,066,214 and amounted to 4.3% of net assets.

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

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

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 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 December 31, 2020. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(h)  Rate disclosed is the daily yield on December 31, 2020.

ADR — American Depositary Receipt

See notes to financial statements.

44

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF Schedule of Portfolio Investments — continued
December 31, 2020

  (Unaudited)

PCL — Public Company Limited

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI Emerging Markets Index Futures		58	3/19/21	$	3,674,689	$	3,735,780	$	61,091
	Total unrealized appreciation							$	61,091
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	61,091

See notes to financial statements.

45

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares USAA MSCI USA Value Momentum ETF			VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
ASSETS:
Affiliated investments, at value (Cost $— and $317,512)	$	—		$	469,380
Unaffiliated investments, at value (Cost $447,202,479 and $236,073,643)		512,719,205	(a)		294,123,757	(b)
Cash and cash equivalents		1,146,888			1,250,417
Deposit with brokers for futures contracts		276,086			143,891
Receivables:
Interest and dividends		609,948			351,596
Variation margin on open futures contracts		9,846			—
From Adviser		15,156			—
Prepaid expenses		7,085			3,540
Total Assets		514,784,214			296,342,581
LIABILITIES:
Payables:
Collateral received on loaned securities		6,829,332			13,124,259
Variation margin on open futures contracts		—			1,190
Accrued expenses and other payables:
Investment advisory fees		64,662			35,753
Administration fees		8,734			4,960
Custodian fees		2,573			412
Compliance fees		293			142
Trustees' fees		1,049			111
Other accrued expenses		33,315			24,056
Total Liabilities		6,939,958			13,190,883
NET ASSETS:
Capital		484,691,211			236,765,139
Total accumulated earnings/(loss)		23,153,045			46,386,559
Net Assets	$	507,844,256		$	283,151,698
Shares Outstanding (unlimited shares authorized, no par value):		9,250,000			4,750,000
Net asset value:	$	54.90		$	59.61

(a)  Includes $6,704,638 of securities on loan.

(b)  Includes $12,506,058 of securities on loan.

See notes to financial statements.

46

Victory Portfolios II Statements of Assets and Liabilities
December 31, 2020

  (Unaudited)

	VictoryShares USAA MSCI International Value Momentum ETF			VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
ASSETS:
Investments, at value (Cost $369,856,550 and $245,771,773)	$	419,169,936	(a)	$	277,601,617	(b)
Foreign currency, at value (Cost $122,458 and $216,872)		122,513			216,332
Cash and cash equivalents		1,425,202			1,770,560
Deposit with brokers for futures contracts		445,148			318,711
Receivables:
Interest and dividends		387,927			1,535,075
Investments sold		—			2,695,762
Reclaims		502,587			3,582
From Adviser		7,796			12,433
Prepaid expenses		5,073			2,818
Total Assets		422,066,182			284,156,890
LIABILITIES:
Payables:
Collateral received on loaned securities		1,697,073			2,150,856
Investments purchased		—			1,232,828
Variation margin on open futures contracts		15,218			1,193
Accrued foreign capital gains taxes		—			167,012
Accrued expenses and other payables:
Investment advisory fees		87,008			68,918
Administration fees		7,228			4,886
Custodian fees		—			7,813
Compliance fees		249			163
Trustees' fees		1,145			685
Other accrued expenses		30,772			17,518
Total Liabilities		1,838,693			3,651,872
NET ASSETS:
Capital		444,619,981			289,287,415
Total accumulated earnings/(loss)		(24,392,492	)		(8,782,397	)
Net Assets	$	420,227,489		$	280,505,018
Shares Outstanding (unlimited shares authorized, no par value):		9,200,000			6,150,000
Net asset value:	$	45.68		$	45.61

(a)  Includes $1,611,641 of securities on loan.

(b)  Includes $1,986,646 of securities on loan.

See notes to financial statements.

47

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares USAA MSCI USA Value Momentum ETF			VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Investment Income:
Dividends	$	4,682,901		$	2,447,559
Affiliated dividend income		—			2,579
Interest		134			—	(a)
Securities lending (net of fees)		11,906			141,259
Foreign tax withholding		(1,341	)		(1,674	)
Total Income		4,693,600			2,589,723
Expenses:
Investment advisory fees		365,661			195,068
Administration fees		147,409			78,603
Sub-Administration fees		8,754			8,854
Custodian fees		9,912			6,206
Servicing fees		1,605			1,605
Trustees' fees		19,681			10,223
Compliance fees		2,187			1,132
Legal and audit fees		25,126			15,843
State registration fees		184			706
Other expenses		80,450			47,296
Total Expenses		660,969			364,536
Expenses waived/reimbursed by Adviser		(171,866	)		(48,002	)
Net Expenses		489,103			316,534
Net Investment Income (Loss)		4,204,497			2,273,189
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities		(7,229,482	)		(7,051,267	)
Net realized gains (losses) from affiliated investment securities		—			9,033
Net realized gains (losses) from futures contracts		225,049			373,855
Net realized gains (losses) from in-kind redemptions		24,905,197			22,038,847
Net change in unrealized appreciation/depreciation on unaffiliated investment securities		76,156,997			55,027,844
Net change in unrealized appreciation/depreciation on affiliated investment securities		—			141,878
Net change in unrealized appreciation/depreciation on futures contracts		52,175			16,166
Net realized/unrealized gains (losses) on investments		94,109,936			70,556,356
Change in net assets resulting from operations	$	98,314,433		$	72,829,545

(a)  Amount is less than $1.

See notes to financial statements.

48

Victory Portfolios II Statements of Operations
For the Six Months Ended December 31, 2020

  (Unaudited)

	VictoryShares USAA MSCI International Value Momentum ETF			VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Investment Income:
Dividends	$	4,960,294		$	4,559,664
Interest		—			—	(a)
Securities lending (net of fees)		49,008			13,910
Foreign tax withholding		(425,874	)		(738,533	)
Total Income		4,583,428			3,835,041
Expenses:
Investment advisory fees		450,901			319,334
Administration fees		108,946			64,204
Sub-Administration fees		8,754			9,723
Custodian fees		50,608			105,869
Servicing fees		2,140			2,140
Trustees' fees		14,161			7,964
Compliance fees		1,575			881
Legal and audit fees		21,387			17,963
State registration fees		457			610
Line of credit fees		119			249
Other expenses		76,619			45,115
Total Expenses		735,667			574,052
Expenses waived/reimbursed by Adviser		(101,526	)		(92,074	)
Net Expenses		634,141			481,978
Net Investment Income (Loss)		3,949,287			3,353,062
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(3,668,252	)		(4,438,516	)
Foreign taxes on realized gains		—			(8,619	)
Net realized gains (losses) from futures contracts		280,399			293,079
Net realized gains (losses) from in-kind redemptions		953,111			—
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		66,002,621			48,814,434
Net change in unrealized appreciation/depreciation on futures contracts		20,315			54,695
Net change in accrued foreign taxes on unrealized gains		—			(132,174	)
Net realized/unrealized gains (losses) on investments		63,588,194			44,582,899
Change in net assets resulting from operations	$	67,537,481		$	47,935,961

(a)  Rounds to less than $1.

See notes to financial statements.

49

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI USA Value Momentum ETF						VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
	Six Months Ended December 31, 2020 (unaudited)			Ten Months Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Ten Months Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	4,204,497		$	7,103,288		$	2,273,189		$	2,564,386
Net realized gains (losses) from investments		17,900,764			(20,581,789	)		15,370,468			(13,107,994	)
Net change in unrealized appreciation/depreciation on investments		76,209,172			(20,402,540	)		55,185,888			1,777,086
Change in net assets resulting from operations		98,314,433			(33,881,041	)		72,829,545			(8,766,522	)
Change in net assets resulting from distributions to shareholders		(4,810,103	)		(9,133,011	)		(2,811,261	)		(2,906,435	)
Change in net assets resulting from capital transactions		(50,007,424	)		38,916,833			(26,113,915	)		149,356,462
Change in net assets		43,496,906			(4,097,219	)		43,904,369			137,683,505
Net Assets:
Beginning of period		464,347,350			468,444,569			239,247,329			101,563,824
End of period	$	507,844,256		$	464,347,350		$	283,151,698		$	239,247,329
Capital Transactions:
Proceeds from shares issued		53,383,369			71,638,748			36,473,058			163,170,156
Cost of shares redeemed		(103,390,793	)		(32,721,915	)		(62,586,973	)		(13,813,694	)
Change in net assets resulting from capital transactions		(50,007,424	)		38,916,833			(26,113,915	)		149,356,462
Share Transactions:
Issued		1,000,000			1,600,000			650,000			3,500,000
Redeemed		(2,000,000	)		(650,000	)		(1,150,000	)		(300,000	)
Change in Shares		(1,000,000	)		950,000			(500,000	)		3,200,000

See notes to financial statements.

50

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI International Value Momentum ETF						VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
	Six Months Ended December 31, 2020 (unaudited)			Ten Months Ended June 30, 2020			Six Months Ended December 31, 2020 (unaudited)			Ten Months Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	3,949,287		$	6,509,609		$	3,353,062		$	3,096,908
Net realized gains (losses) from investments		(2,434,742	)		(23,248,529	)		(4,154,056	)		(12,738,828	)
Net change in unrealized appreciation/depreciation on investments		66,022,936			(7,483,957	)		48,736,955			542,073
Change in net assets resulting from operations		67,537,481			(24,222,877	)		47,935,961			(9,099,847	)
Change in net assets resulting from distributions to shareholders		(3,649,684	)		(9,567,813	)		(4,493,007	)		(5,048,334	)
Change in net assets resulting from capital transactions		41,335,528			25,101,890			72,170,056			9,988,737
Change in net assets		105,223,325			(8,688,800	)		115,613,010			(4,159,444	)
Net Assets:
Beginning of period		315,004,164			323,692,964			164,892,008			169,051,452
End of period	$	420,227,489		$	315,004,164		$	280,505,018		$	164,892,008
Capital Transactions:
Proceeds from shares issued		45,457,494			27,200,006			72,170,056			13,413,426
Cost of shares redeemed		(4,121,966	)		(2,098,116	)		—			(3,424,689	)
Change in net assets resulting from capital transactions		41,335,528			25,101,890			72,170,056			9,988,737
Share Transactions:
Issued		1,100,000			750,000			1,800,000			350,000
Redeemed		(100,000	)		(50,000	)		—			(100,000	)
Change in Shares		1,000,000			700,000			1,800,000			250,000

See notes to financial statements.

51

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 MSCI USA Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)	$	45.30		0.43		9.67			10.10			(0.50	)		(0.50	)	$	54.90		22.39	%
Ten Months Ended 6/30/20(e)	$	50.37		0.72		(4.85	)(g)		(4.13	)		(0.94	)		(0.94	)	$	45.30		(8.31	)%
Year Ended 8/31/19	$	53.85		1.00		(3.59	)		(2.59	)		(0.89	)		(0.89	)	$	50.37		(4.79	)%
10/24/17(f) through 8/31/18	$	50.19		0.78		3.34			4.12			(0.46	)		(0.46	)	$	53.85		8.23	%
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)	$	45.57		0.45		14.16			14.61			(0.57	)		(0.57	)	$	59.61		32.19	%
Ten Months Ended 6/30/20(e)	$	49.54		0.60		(3.74	)		(3.14	)		(0.83	)		(0.83	)	$	45.57		(6.44	)%
Year Ended 8/31/19	$	57.21		1.00		(7.86	)		(6.86	)		(0.81	)		(0.81	)	$	49.54		(11.99	)%
10/24/17(f) through 8/31/18	$	50.13		0.57		6.81			7.38			(0.30	)		(0.30	)	$	57.21		14.80	%

(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.

52

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 MSCI USA Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)		0.20	%		1.72	%		0.27	%	$	507,844		45	%
Ten Months Ended 6/30/20(e)		0.20	%		1.80	%		0.28	%	$	464,347		66	%
Year Ended 8/31/19		0.20	%		2.00	%		0.25	%	$	468,445		87	%
10/24/17(f) through 8/31/18		0.20	%		1.76	%		0.25	%	$	398,504		84	%
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)		0.24	%		1.74	%		0.28	%	$	283,152		41	%
Ten Months Ended 6/30/20(e)		0.25	%		1.53	%		0.31	%	$	239,247		70	%
Year Ended 8/31/19		0.25	%		1.98	%		0.30	%	$	101,564		88	%
10/24/17(f) through 8/31/18		0.25	%		1.25	%		0.30	%	$	71,517		81	%

(continues on next page)

See notes to financial statements.

53

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 MSCI International Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)	$	38.42		0.46		7.22			7.68			(0.42	)		(0.42	)	$	45.68		20.13	%
Ten Months Ended 6/30/20(e)	$	43.16		0.83		(4.35	)		(3.52	)		(1.22	)		(1.22	)	$	38.42		(8.39	)%
Year Ended 8/31/19	$	48.10		1.30		(4.99	)		(3.69	)		(1.25	)		(1.25	)	$	43.16		(7.70	)%
10/24/17(f) through 8/31/18	$	50.08		1.34		(2.64	)		(1.30	)		(0.68	)		(0.68	)	$	48.10		(2.64	)%
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)	$	37.91		0.65		7.98			8.63			(0.93	)		(0.93	)	$	45.61		23.06	%
Ten Months Ended 6/30/20(e)	$	41.23		0.73		(2.85	)		(2.12	)		(1.20	)		(1.20	)	$	37.91		(5.47	)%
Year Ended 8/31/19	$	45.58		1.31		(4.73	)		(3.42	)		(0.93	)		(0.93	)	$	41.23		(7.62	)%
10/24/17(f) through 8/31/18	$	49.95		1.17		(5.10	)		(3.93	)		(0.44	)		(0.44	)	$	45.58		(7.95	)%

(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.

54

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 MSCI International Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)		0.35	%		2.18	%		0.41	%	$	420,227		42	%
Ten Months Ended 6/30/20(e)		0.35	%		2.41	%		0.41	%	$	315,004		62	%
Year Ended 8/31/19		0.35	%		2.90	%		0.40	%	$	323,693		87	%
10/24/17(f) through 8/31/18		0.35	%		3.12	%		0.40	%	$	307,836		65	%
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Six Months Ended 12/31/20 (unaudited)		0.45	%		3.13	%		0.54	%	$	280,505		40	%
Ten Months Ended 6/30/20(e)		0.45	%		2.18	%		0.57	%	$	164,892		51	%
Year Ended 8/31/19		0.45	%		3.00	%		0.50	%	$	169,051		67	%
10/24/17(f) through 8/31/18		0.45	%		2.77	%		0.50	%	$	154,974		58	%

See notes to financial statements.

55

Victory Portfolios II Notes to Financial Statements
December 31, 2020

  (Unaudited)

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 27 funds, 25 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 four Funds (collectively, the "Funds" and individually, a "Fund").

Funds (Legal Name)	Funds (Short Name)
VictoryShares USAA MSCI USA Value Momentum ETF	USAA MSCI USA Value Momentum ETF
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF	USAA MSCI USA Small Cap Value Momentum ETF
VictoryShares USAA MSCI International Value Momentum ETF	USAA MSCI International Value Momentum ETF
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF	USAA MSCI Emerging Markets Value Momentum ETF

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 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.

56

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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)

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 NAV. 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 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.

57

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

A summary of the valuations as of December 31, 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	$	505,889,873	$	—	$	—	$	505,889,873
Collateral for Securities Loaned		6,829,332		—		—		6,829,332
Total	$	512,719,205	$	—	$	—	$	512,719,205
Other Financial Investments^:
Assets:
Futures	$	25,725	$	—	$	—	$	25,725
Total	$	25,725	$	—	$	—	$	25,725
USAA MSCI USA Small Cap Value Momentum ETF
Common Stocks	$	280,823,908	$	—	$	640,841	$	281,464,749
Rights		—		—		4,129		4,129
Collateral for Securities Loaned		13,124,259		—		—		13,124,259
Total	$	293,948,167	$	—	$	644,970	$	294,593,137
Other Financial Investments^:
Assets:
Futures	$	12,624	$	—	$	—	$	12,624
Total	$	12,624	$	—	$	—	$	12,624
USAA MSCI International Value Momentum ETF
Common Stocks	$	417,398,686	$	—	$	—	$	417,398,686
Rights		74,177		—		—		74,177
Collateral for Securities Loaned		1,697,073		—		—		1,697,073
Total	$	419,169,936	$	—	$	—	$	419,169,936
Other Financial Investments^:
Assets:
Futures	$	26,533	$	—	$	—	$	26,533
Total	$	26,533	$	—	$	—	$	26,533
USAA MSCI Emerging Markets Value Momentum ETF
Common Stocks	$	275,446,382	$	—	$	4,379	$	275,450,761
Collateral for Securities Loaned		2,150,856		—		—		2,150,856
Total	$	277,597,238	$	—	$	4,379	$	277,601,617
Other Financial Investments^:
Assets:
Futures	$	61,091	$	—	$	—	$	61,091
Total	$	61,091	$	—	$	—	$	61,091

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

For the six months ended December 31, 2020, there were no transfers in or out of the Level 3 fair value hierarchy.

58

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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:

Open-End Funds:

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 Deposit with brokers for futures contracts.

As of the six months ended December 31, 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

59

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

The table below, as of December 31, 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 not offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for Offset			Cash Collateral Received		Net Amount
USAA MSCI USA Value Momentum ETF
Goldman Sachs & Co.	$	276,086	$	—	$	276,086	$	—		$	—	$	276,086
USAA MSCI USA Small Cap Value Momentum ETF
Goldman Sachs & Co.		143,891		—		143,891		(1,190	)		—		142,701
USAA MSCI International Value Momentum ETF
Goldman Sachs & Co.		445,148		—		445,148		(15,218	)		—		429,930
USAA MSCI Emerging Markets Value Momentum ETF
Goldman Sachs & Co.		318,711		—		318,711		(1,193	)		—		317,518
							Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Financial Instruments for Offset			Cash Collateral Pledged*		Net Amount
USAA MSCI USA Small Cap Value Momentum ETF
Goldman Sachs & Co.	$	1,190	$	—	$	1,190	$	(1,190	)	$	—	$	—
USAA MSCI International Value Momentum ETF
Goldman Sachs & Co.		15,218		—		15,218		(15,218	)		—		—
USAA MSCI Emerging Markets Value Momentum ETF
Goldman Sachs & Co.		1,193		—		1,193		(1,193	)		—		—

*  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.

60

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of December 31, 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	$	25,725	$	—
USAA MSCI USA Small Cap Value Momentum ETF		12,624		—
	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
USAA MSCI International Value Momentum ETF	$	26,533	$	—
USAA MSCI Emerging Markets Value Momentum ETF		61,091		—

*  Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts is 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 six months ended December 31, 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	$	225,049	$	52,175
USAA MSCI USA Small Cap Value Momentum ETF		373,855		16,166
USAA MSCI International Value Momentum ETF		280,399		20,315
USAA MSCI Emerging Markets Value Momentum ETF		293,079		54,695

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.

61

Victory Portfolios II Notes to Financial Statements — continued
December 31, 2020

  (Unaudited)

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 December 31, 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	$	6,704,638	$	6,704,638	$	—	$	—	$	—	$	—
USAA MSCI USA Small Cap Value Momentum ETF		12,506,058		12,506,058		—		—		—		—
USAA MSCI International Value Momentum ETF		1,611,641		1,611,641		—		—		—		—
USAA MSCI Emerging Markets Value Momentum ETF		1,986,646		1,986,646		—		—		—		—

*  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

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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.

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:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales of in-kind transactions for the six months ended December 31, 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	$	217,472,465	$	217,409,242	$	52,961,100	$	103,250,264
USAA MSCI USA Small Cap Value Momentum ETF		105,708,916		106,417,199		36,329,181		62,378,511
USAA MSCI International Value Momentum ETF		150,489,115		149,483,166		43,717,346		4,082,111
USAA MSCI Emerging Markets Value Momentum ETF		138,040,875		83,461,626		13,591,679		—

There were no purchases and sales of U.S. Government Securities during the six months ended December 31, 2020.

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

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Capital Operating, LLC. Amounts incurred and paid to VCM for the six months ended December 31, 2020, are reflected on the Statements of Operations as Investment advisory fees.

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
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	%

VCM also serves as the Funds' administrator and fund accountant. Under the 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. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Administration fees.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator and sub-fund accountant to the Funds pursuant to the 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 out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Sub-Administration fees.

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Custodian fees.

Citibank also serves as the Funds' Transfer Agent. Amounts incurred for the six months ended December 31, 2020, are reflected on the Statements of Operations as Transfer agent fees.

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. Amounts incurred for the six ended December 31, 2020, are reflected on the Statements of Operations as Compliance fees.

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 December 31, 2020, the expense limits (excluding voluntary waivers) 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	%

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

As of December 31, 2020, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at December 31, 2020.

	Expires August 31, 2022		Expires June 30, 2023		Expires June 30, 2024		Total
USAA MSCI USA Value Momentum ETF	$	9,240	$	188,636	$	81,824	$	279,700
USAA MSCI USA Small Cap Value Momentum ETF		2,724		37,764		—		40,488
USAA MSCI International Value Momentum ETF		—		71,346		35,014		106,360
USAA MSCI Emerging Markets Value Momentum ETF		632		114,256		52,906		167,794

The Adviser voluntarily waived the following administration fees for the six months ended December 31, 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.

USAA MSCI USA Value Momentum ETF	$	90,042
USAA MSCI USA Small Cap Value Momentum ETF		48,002
USAA MSCI International Value Momentum ETF		66,512
USAA MSCI Emerging Markets Value Momentum ETF		39,168

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, Custodian, Distributor, and Legal Counsel.

5. Risks:

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

Equity Risk — 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.

Foreign Securities Risk — 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

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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.

Passive Investment Risk — Each Fund is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.

Geopolitical/Natural Disaster Risk — An outbreak of disease called COVID-19 has 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 last for an extended period of time, and 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 Fund's 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 six months ended December 31, 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 six months ended December 31, 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 six months ended December 31, 2020, were as follows:

	Amount Outstanding at December 31, 2020		Average Borrowings		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
USAA MSCI Emerging Markets Value Momentum ETF	$	—	$	10,950,000		2		1.23	%	$	13,600,000

*  For the six months ended December 31, 2020, based on the number of days borrowings were outstanding.

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7. Federal Income Tax Information:

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.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2021.

As of the most current 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
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

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 six months ended December 31, 2020, were as follows:

USAA MSCI USA Small Cap Value Momentum ETF	Fair Value 6/30/20		Purchases at Cost		Proceeds from Sales			Realized Gains (Losses)		Capital Gain Distribution		Net Change in Unrealized Appreciation/ Depreciation		Fair Value 12/31/20		Dividend Income
Victory Capital Holdings, Inc.	$	365,373	$	63,831	$	(110,735	)	$	9,033	$	—	$	141,878	$	469,380	$	2,579

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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. Form N-PORT is 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 July 1, 2020, through December 31, 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 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
USAA MSCI USA Value Momentum ETF	$	1,000.00	$	1,223.90	$	1,024.20	$	1.12	$	1.02		0.20	%
USAA MSCI USA Small Cap Value Momentum ETF		1,000.00		1,321.90		1,024.00		1.40		1.22		0.24	%

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	Beginning Account Value 7/1/20		Actual Ending Account Value 12/31/20		Hypothetical Ending Account Value 12/31/20		Actual Expenses Paid During Period 7/1/20- 12/31/20*		Hypothetical Expenses Paid During Period 7/1/20- 12/31/20*		Annualized Expense Ratio During Period 7/1/20- 12/31/20
USAA MSCI International Value Momentum ETF	$	1,000.00	$	1,201.30	$	1,023.44	$	1.94	$	1.79		0.35	%
USAA MSCI Emerging Markets Value Momentum ETF		1,000.00		1,230.60		1,022.94		2.53		2.29		0.45	%

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

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

The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on December 2, 2020. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at a meeting on October 27, 2020 called for the purpose of reviewing the Agreement. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.

The Board, including the Independent Trustees, evaluated this information along with other information obtained throughout the year and was advised by legal counsel to the Funds, which also serves as independent legal counsel to the Independent Trustees.

The Board noted that each Fund assumed the performance of its predecessor fund, that the Adviser became the investment adviser to each Fund on February 26, 2019, and that prior to that date each predecessor fund was managed by a different investment adviser.

The Board took into consideration regular reports from the Adviser throughout the COVID-19 pandemic public health crisis concerning how the ongoing pandemic has affected market volatility, investment risk and the implementation and effectiveness of business continuity plans. These reports also had confirmed that the pandemic had no material impact on the Adviser's operations.

The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:

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

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

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

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

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

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

•  The total expenses of each Fund;

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

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

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

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

•  The capabilities and financial condition of the Adviser;

•  Current economic and industry trends; and

•  The historical relationship between the Trust and the Adviser.

The Board reviewed each Fund's current management fee in the context of the Adviser's profitability with respect to each Fund. In addition, the Board compared each Fund's gross management fee and total expense ratio on a net and gross basis with the median gross management fee and median expense ratio of a universe of comparable exchange-traded funds ("ETFs") compiled by an independent consultant and a peer group of funds with similar investment strategies selected by that independent consultant from the universe. The Board reviewed the factors and methodology used by the independent consultant in the selection of each Fund's peer

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group, including the independent consultant's selection of a broad universe of funds, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among other factors.

The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which are generally viewed as a method by which an investment adviser shares any economies of scale with a fund as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below, and would consider breakpoints at a future time if a Fund's assets were to grow significantly.

The Board also reviewed the compliance and administrative services provided to the Funds by the Adviser and its affiliates, including the Adviser's oversight of the Funds' day-to-day operations and oversight of Fund accounting, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Funds and the Trust.

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

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

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

VictoryShares USAA MSCI USA Value Momentum ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group median.

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

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed the benchmark index and outperformed the peer group median.

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

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VictoryShares USAA MSCI International Value Momentum ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group median.

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

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF

Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year performance for the period ended June 30, 2020, to that of the median performance of the Fund's peer group and benchmark index for the same period and considered the fact that the Fund underperformed both the benchmark index and the peer group median.

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

72

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-SAR (12/20)

Item 2. Code of Ethics.

Not applicable – only for annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable – only for annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable – only for annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable.

(b) Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

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

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

(a)(1) Not applicable.

(a)(2) Not applicable.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable.

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

(a)(3) Not applicable.

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

SIGNATURES

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

(Registrant) Victory Portfolios II

By (Signature and Title)*	/s/ Allan Shaer
	Allan Shaer, Principal Financial Officer

Date March 3, 2021

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

By (Signature and Title)*	/s/ Christopher K. Dyer
	Christopher K. Dyer, Principal Executive Officer

Date March 3, 2021

By (Signature and Title)*	/s/ Allan Shaer
	Allan Shaer, Principal Financial Officer

Date March 3, 2021