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

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED 

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:              811-22696

Victory Portfolios II

(Exact name of registrant as specified in charter)

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

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

(Name and address of agent for service)

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

Date of fiscal year end: June 30

Date of reporting period: June 30, 2021

Item 1. Reports to Stockholders.

June 30, 2021

Annual Report

Victory US 500 Enhanced Volatility Wtd Index Fund

Victory Market Neutral Income Fund

www.vcm.com

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

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

•  Detailed performance records

•  Daily share prices

•  The latest fund news

•  Investment resources to help you become a better investor

•  A section dedicated to investment professionals

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

Victory Portfolios II

TABLE OF CONTENTS

Shareholder Letter (Unaudited)	3
Managers' Commentary / Investment Overview (Unaudited)	5
Investment Objective and Portfolio Holdings (Unaudited)	9
Schedules of Portfolio Investments
Victory US 500 Enhanced Volatility Wtd Index Fund	11
Victory Market Neutral Income Fund	23
Financial Statements
Statements of Assets and Liabilities	39
Statements of Operations	40
Statements of Changes in Net Assets	41
Financial Highlights	44
Notes to Financial Statements	48
Report of Independent Registered Public Accounting Firm	60
Supplemental Information (Unaudited)	61
Trustees' and Officers' Information	61
Proxy Voting and Portfolio Holdings Information	64
Expense Examples	64
Additional Federal Income Tax Information	65
Liquidity Risk Management Program	66
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 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.

The 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 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 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 Funds Letter to Shareholders (Unaudited)

Dear Shareholder,

Never a dull moment. A year ago, we were still coming to grips with a global pandemic, hoping for an effective vaccine, and wondering whether the U.S. Federal Reserve's (the "Fed") aggressive actions would continue to mollify financial markets. As it turns out,
a vaccine was rolled out (domestically) faster than expectations, and a recovery that began during the second quarter of 2020 continued unabated.

Fast forward to today and investors are suddenly more concerned about labor shortages, rising commodity prices, and whether inflation will prove to be transitory or more lasting. If anything, this merely exemplifies that markets are unpredictable and the environment can and will change rapidly.

Reflecting on the past year, we must consider ourselves fortunate despite the myriad challenges. For starters, it was impressive how quickly the various forms of monetary and fiscal stimulus contributed to a rebound in GDP. Of course, it wasn't a straight line upward and there were bouts of elevated volatility in both bond and stock markets. Late in 2020, for example, financial markets were alternately fueled and roiled by a contentious election season, growing optimism for an effective vaccine, and a fluid debate regarding the need for even more stimulus. Ultimately, stocks were propelled higher in the fourth quarter of 2020 as it became clear Congress would provide another dose of stimulus in the form of direct payments, more unemployment insurance, and additional aid to businesses.

As we moved into 2021, stocks continued their upward trajectory. Meanwhile, the yield on the 10-Year U.S. Treasury continued rallying sharply as many investors began to shift their focus. Deflation was out; inflation was in. Indeed, the potential for a new era of inflation and higher interest rates seems to be the new worry du jour.

Through all the volatility and surprises, the S&P 500^® Index registered an impressive annual return of 40.79% for the 12-month period ended June 30, 2021. In fact, this broad market index ended the reporting period at an all-time high. Over this same period, the yield on the 10-Year U.S. Treasury jumped 79 basis points (a basis point is 1/100th of a percentage point), reflecting a very low starting rate, substantial fiscal stimulus, and the Fed's ongoing accommodative monetary policy. At the end of the reporting period, the yield on the 10-Year U.S. Treasury was 1.45%.

No doubt, the past year is not one we will forget any time soon. There were many hardships, but we should not overlook the positives and remember our collective spirit and perseverance. Markets endured and even surprised to the upside, but perhaps the key takeaway is that investors need to remain calm in the face of adversity and focused on longer-term investment goals. That's usually the best approach no matter what the markets throw at us.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 (800-235-8396 for Member Class), or visit our website at www.vcm.com.

3

From all of us here at Victory Capital, thank you for placing your confidence in us and for letting us help you work toward your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

4

Victory Equity Long/Cash Fund

Victory US 500 Enhanced Volatility Wtd Index Fund

Managers' Commentary
(Unaudited)

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

The Fund (Class A Shares at net asset value) returned 38.05% for the fiscal year ended June 30, 2021, underperforming the Index, which returned 39.29% during the period. The S&P 500^® Index, a market capitalization-based index against which the performance of the Fund is also measured, returned 40.79% during the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 50% allocated to T-Bills and 50% to equities during July of 2020, reallocating to 100% equities in August of 2020. The Long/Cash trigger had a negative impact on the Fund's relative performance versus the S&P 500^® Index for the fiscal year.

Over the reporting period, the Fund's performance relative to the S&P 500^® Index was driven by the Index' underweight positions in the largest market cap names within the S&P 500^® Index. The top 10 stocks in the S&P 500^® Index combined to make up over 28% of the Index and the Index only held 2% in these same names. This underweight cost the Fund 1.2% in relative performance. However, the Index's inclusion of other constituent securities in the index offset this headwind and added over 3.6% to relative performance.

5

Victory Equity Long/Cash Fund

Victory US 500 Enhanced Volatility Wtd Index Fund

Investment Overview
(Unaudited)

Average Annual Return

Year Ended June 30, 2021

	Class A						Class C						Class I
INCEPTION DATE	11/19/12						11/19/12						11/19/12
	Net Asset Value			Maximum Offering Price			Net Asset Value			Contingent Deferred Charges			Net Asset Value			NASDAQ Victory US Large Cap 500 Long/Cash Volatility Weighted Index1			S&P 500® Index2
One Year		38.05	%		30.10	%		36.98	%		35.98	%		38.43	%		39.29	%		40.79	%
Five Year		14.59	%		13.24	%		13.72	%		13.72	%		14.86	%		15.75	%		17.65	%
Since Inception		13.93	%		13.15	%		13.07	%		13.07	%		14.20	%		N/A			N/A

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The maximum offering price ("MOP") figures reflect a maximum sales charge of 5.75% for Class A. Class C is not subject to an initial sales charge, but is subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. Net Asset Value does not reflect sales charges. Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

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

¹The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index is an unmanaged index whose strategy involves equity-oriented investing on both the long and short sides of the market.The index reflects the reinvestment of dividends paid on the stocks constituting the index, net of withholding taxes. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The S&P 500^® Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index The index reflects the reinvestment of dividends paid on the stocks constituting the index, net of withholding taxes. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in Class A of the Fund.

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

Past performance is not indicative of future results.

6

Victory Bond Replacement Fund

Victory Market Neutral Income Fund

Managers' Commentary
(Unaudited)

Victory Market Neutral Income Fund (the "Fund") seeks high current income by implementing a proprietary, "market neutral" investment strategy designed to seek income from its investments while maintaining a low correlation to the foreign and domestic equity and bond markets.

The Fund (Class A Shares at net asset value) returned 2.33% for the fiscal year ended June 30, 2021, outperforming its benchmark, the FTSE 3-Month U.S. Treasury Bill Index (the "Index"), which returned 0.08%.

The Fund uses a multi-strategy approach. First, the Fund invests in securities of the Nasdaq Victory Volatility Weighted High Dividend Indexes. The allocation to each Nasdaq Victory Volatility Weighted High Dividend Index is equally weighted. Second, the Fund seeks to offset equity market risk by shorting high-correlating equity futures contracts, such as contracts based on the S&P 500^®, Russell 2000^®, MSCI EAFE and MSCI Emerging Markets indexes, or exchange-traded funds that track such indexes. Third, the Fund may allocate to a basket of long and short futures to offset basis risk of long positions in high-dividend stocks and short positions in equity index futures.

During the reporting period, the Global High Dividend Long/Short Portfolio was a positive contributor as all four high-dividend yielding portfolios outperformed their corresponding short index futures positions. The Overlay Strategy, long Nasdaq-100^® futures and short index futures positions, was a detractor during the reporting period.

7

Victory Bond Replacement Fund

Victory Market Neutral Income Fund

Investment Overview
(Unaudited)

Average Annual Return

Year Ended June 30, 2021

	Class A						Class C						Class I			Member Class
INCEPTION DATE	11/19/12						11/19/12						11/19/12			11/3/20
	Net Asset Value			Maximum Offering Price			Net Asset Value			Contingent Deferred Charges			Net Asset Value			Net Asset Value			FTSE 3-Month U.S. Treasury Bill Index1
One Year		2.33	%		-3.59	%		1.40	%		0.43	%		2.62	%		N/A			0.08	%
Five Year		3.95	%		2.73	%		3.16	%		3.16	%		4.27	%		N/A			1.14	%
Since Inception		2.25	%		1.55	%		1.47	%		1.47	%		2.55	%		3.05	%		N/A

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

The maximum offering price ("MOP") figures reflect a maximum sales charge of 5.75% for Class A. Class C is not subject to an initial sales charge, but is subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. Net Asset Value does not reflect sales charges. Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

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

¹The FTSE 3-Month U.S. Treasury Bill Index is an unmanaged index which measures monthly return equivalents of yield averages that are not marked on both the long and short sides of the market.The index reflects the reinvestment of dividends paid on the stocks constituting the index, net of withholding taxes. This index does not include the effect of sales charges, commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in Class A of the Fund.

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

Past performance is not indicative of future results.

8

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Colgate-Palmolive Co.	0.4	%
The Procter & Gamble Co.	0.4	%
PepsiCo, Inc.	0.4	%
Waste Management, Inc.	0.4	%
Costco Wholesale Corp.	0.4	%
Verizon Communications, Inc.	0.4	%
Mondelez International, Inc., Class A	0.4	%
Republic Services, Inc.	0.3	%
The Hershey Co.	0.3	%
McDonald's Corp.	0.3	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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
Victory Market Neutral Income Fund June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide high current income.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Chunghwa Telecom Co. Ltd.	0.6	%
China Development Financial Holding Corp.	0.5	%
Far EasTone Telecommunications Co. Ltd.	0.4	%
American National Group, Inc.	0.4	%
The Procter & Gamble Co.	0.4	%
Mobile TeleSystems PJSC	0.4	%
Taiwan Cement Corp.	0.4	%
CEZ A/S	0.4	%
Canadian Imperial Bank of Commerce	0.4	%
Sinopac Financial Holdings Co. Ltd.	0.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

10

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments
June 30, 2021

Security Description	Shares		Value
Common Stocks (99.2%)
Communication Services (4.0%):
Activision Blizzard, Inc.		1,352	$	129,035
Alphabet, Inc., Class A (a)		65		158,716
Altice USA, Inc., Class A (a)		3,534		120,651
Cable One, Inc.		67		128,158
Charter Communications, Inc., Class A (a)		234		168,819
Comcast Corp., Class A		2,880		164,218
Discovery, Inc., Class A (a) (b)		1,728		53,015
DISH Network Corp., Class A (a)		3,114		130,165
Electronic Arts, Inc.		1,043		150,015
Facebook, Inc., Class A (a)		402		139,779
Fox Corp., Class A		2,781		103,259
Liberty Broadband Corp., Class C (a)		932		161,851
Netflix, Inc. (a)		160		84,514
Omnicom Group, Inc.		1,505		120,385
Sirius XM Holdings, Inc. (b)		21,230		138,844
Take-Two Interactive Software, Inc. (a)		661		117,010
The Interpublic Group of Cos., Inc.		3,940		128,011
The New York Times Co., Class A		2,357		102,647
T-Mobile U.S., Inc. (a)		1,231		178,286
Verizon Communications, Inc.		4,455		249,614
ViacomCBS, Inc., Class B		1,421		64,229
				2,791,221
Consumer Discretionary (10.0%):
Advance Auto Parts, Inc.		859		176,215
Amazon.com, Inc. (a)		37		127,286
Aptiv PLC (a)		692		108,872
AutoZone, Inc. (a)		146		217,864
Best Buy Co., Inc.		1,155		132,802
Booking Holdings, Inc. (a)		40		87,524
BorgWarner, Inc.		2,324		112,807
Bright Horizons Family Solutions, Inc. (a)		627		92,238
CarMax, Inc. (a)		883		114,039
Chipotle Mexican Grill, Inc. (a)		87		134,880
D.R. Horton, Inc.		1,224		110,613
Deckers Outdoor Corp. (a)		330		126,743
Dollar General Corp.		991		214,442
Dollar Tree, Inc. (a)		1,303		129,648
Domino's Pizza, Inc.		453		211,320
eBay, Inc.		2,067		145,124
Etsy, Inc. (a)		293		60,311
Five Below, Inc. (a)		579		111,903
Floor & Decor Holdings, Inc., Class A (a)		955		100,944
Garmin Ltd.		1,351		195,409
General Motors Co. (a)		1,761		104,198
Gentex Corp.		4,471		147,945
Genuine Parts Co.		1,286		162,640
Hasbro, Inc.		1,278		120,797

See notes to financial statements.

11

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
L Brands, Inc.		1,046	$	75,375
Lear Corp.		635		111,303
Lennar Corp., Class A		1,087		107,993
Lithia Motors, Inc., Class A		196		67,353
LKQ Corp. (a)		2,637		129,793
Lowe's Cos., Inc.		843		163,517
McDonald's Corp.		1,054		243,463
Mohawk Industries, Inc. (a)		419		80,528
NIKE, Inc., Class B		1,027		158,661
NVR, Inc. (a)		25		124,333
O'Reilly Automotive, Inc. (a)		379		214,594
Peloton Interactive, Inc., Class A (a)		475		58,910
Pool Corp.		323		148,147
PulteGroup, Inc.		2,068		112,851
RH (a) (b)		172		116,788
Ross Stores, Inc.		824		102,176
Service Corp. International		2,974		159,377
Starbucks Corp.		1,279		143,005
Target Corp. (c)		827		199,919
Tesla, Inc. (a)		78		53,017
The Home Depot, Inc.		678		216,207
The TJX Cos., Inc.		1,720		115,962
Tractor Supply Co.		834		155,174
Ulta Beauty, Inc. (a)		296		102,348
Vail Resorts, Inc. (a) (b)		344		108,883
Wayfair, Inc., Class A (a)		201		63,458
Whirlpool Corp.		577		125,798
Williams-Sonoma, Inc.		742		118,460
Yum! Brands, Inc.		1,756		201,993
				7,025,950
Consumer Staples (8.6%):
Altria Group, Inc.		3,819		182,090
Archer-Daniels-Midland Co.		2,675		162,105
Brown-Forman Corp., Class B		2,286		171,313
Bunge Ltd.		1,635		127,775
Campbell Soup Co.		3,548		161,753
Church & Dwight Co., Inc.		2,250		191,745
Colgate-Palmolive Co.		3,415		277,810
Conagra Brands, Inc.		4,814		175,133
Constellation Brands, Inc., Class A		609		142,439
Costco Wholesale Corp.		645		255,207
Darling Ingredients, Inc. (a)		1,422		95,985
General Mills, Inc.		3,368		205,212
Hormel Foods Corp. (b)		3,996		190,809
Kellogg Co. (b)		3,367		216,599
Keurig Dr Pepper, Inc.		6,467		227,897
Kimberly-Clark Corp.		1,626		217,526
Lamb Weston Holdings, Inc.		1,200		96,792
McCormick & Co., Inc.		2,124		187,592
Mondelez International, Inc., Class A		3,966		247,637

See notes to financial statements.

12

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Monster Beverage Corp. (a)		1,828	$	166,988
PepsiCo, Inc.		1,730		256,334
Philip Morris International, Inc.		1,891		187,417
The Boston Beer Co., Inc., Class A (a)		68		69,414
The Clorox Co.		806		145,008
The Coca-Cola Co.		3,507		189,764
The Estee Lauder Cos., Inc.		487		154,905
The Hershey Co.		1,416		246,639
The J.M. Smucker Co. (b)		1,413		183,083
The Kraft Heinz Co.		4,030		164,343
The Kroger Co.		4,405		168,756
The Procter & Gamble Co.		2,034		274,448
Tyson Foods, Inc., Class A		1,915		141,250
Walmart, Inc.		1,351		190,518
				6,072,286
Energy (0.5%):
Kinder Morgan, Inc.		7,933		144,618
ONEOK, Inc.		1,590		88,468
The Williams Cos., Inc.		4,536		120,431
				353,517
Financials (15.9%):
Aflac, Inc.		2,568		137,799
Alleghany Corp. (a)		186		124,075
Ally Financial, Inc.		2,116		105,461
American Express Co.		718		118,635
American Financial Group, Inc.		928		115,740
Ameriprise Financial, Inc.		520		129,418
Aon PLC, Class A		688		164,267
Apollo Global Management, Inc.		2,064		128,381
Arch Capital Group Ltd. (a)		3,240		126,166
Ares Management Corp., Class A		2,954		187,845
Arthur J. Gallagher & Co.		1,539		215,583
Athene Holding Ltd., Class A (a)		1,847		124,673
Bank of America Corp.		2,988		123,195
Berkshire Hathaway, Inc., Class B (a)		821		228,172
BlackRock, Inc.		221		193,368
Brown & Brown, Inc.		3,808		202,357
Capital One Financial Corp.		727		112,460
Cboe Global Markets, Inc.		1,272		151,432
Chubb Ltd.		793		126,039
Cincinnati Financial Corp. (b)		999		116,503
Citigroup, Inc.		1,413		99,970
Citizens Financial Group, Inc.		1,759		80,685
CME Group, Inc.		704		149,727
Comerica, Inc.		1,065		75,977
Commerce Bancshares, Inc.		1,654		123,322
Discover Financial Services		870		102,912
East West Bancorp, Inc.		1,088		77,999
Erie Indemnity Co., Class A (b)		651		125,871

See notes to financial statements.

13

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Everest Re Group Ltd.		526	$	132,557
FactSet Research Systems, Inc.		410		137,600
Fidelity National Financial, Inc.		3,338		145,069
Fifth Third Bancorp		2,426		92,746
First Horizon Corp.		4,806		83,048
First Republic Bank		807		151,046
Franklin Resources, Inc. (b)		3,749		119,931
Globe Life, Inc.		1,316		125,349
Huntington Bancshares, Inc.		5,176		73,862
Interactive Brokers Group, Inc.		1,716		112,793
Intercontinental Exchange, Inc.		1,616		191,819
Invesco Ltd.		3,790		101,307
JPMorgan Chase & Co.		791		123,032
KeyCorp		3,917		80,886
KKR & Co., Inc.		2,548		150,944
Lincoln National Corp.		1,133		71,198
LPL Financial Holdings, Inc.		792		106,904
M&T Bank Corp.		500		72,655
Markel Corp. (a)		122		144,779
MarketAxess Holdings, Inc.		210		97,354
Marsh & McLennan Cos., Inc.		1,646		231,559
MetLife, Inc.		1,837		109,944
Moody's Corp.		551		199,666
Morgan Stanley		1,521		139,461
Morningstar, Inc.		618		158,894
MSCI, Inc.		272		144,998
Nasdaq, Inc.		1,198		210,608
Northern Trust Corp.		1,175		135,854
Principal Financial Group, Inc.		1,613		101,925
Raymond James Financial, Inc.		977		126,912
Regions Financial Corp.		3,924		79,186
Reinsurance Group of America, Inc.		637		72,618
RenaissanceRe Holdings Ltd.		854		127,092
S&P Global, Inc.		438		179,777
Santander Consumer USA Holdings, Inc.		3,725		135,292
SEI Investments Co.		2,340		145,010
Signature Bank		324		79,591
State Street Corp.		1,391		114,451
SVB Financial Group (a)		194		107,947
Synchrony Financial		2,258		109,558
T. Rowe Price Group, Inc.		908		179,757
The Allstate Corp.		1,557		203,095
The Bank of New York Mellon Corp.		2,653		135,913
The Blackstone Group, Inc., Class A		2,153		209,142
The Carlyle Group, Inc.		3,652		169,745
The Charles Schwab Corp.		1,738		126,544
The Goldman Sachs Group, Inc.		365		138,528
The Hartford Financial Services Group, Inc.		2,000		123,940
The PNC Financial Services Group, Inc.		641		122,277
The Progressive Corp.		1,740		170,885

See notes to financial statements.

14

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June 30, 2021

Security Description	Shares		Value
The Travelers Cos., Inc.		925	$	138,482
Tradeweb Markets, Inc., Class A		1,678		141,892
Truist Financial Corp.		1,635		90,743
U.S. Bancorp		2,045		116,504
W.R. Berkley Corp.		1,923		143,129
Wells Fargo & Co.		2,520		114,131
Western Alliance Bancorp		786		72,980
Zions Bancorp NA		1,349		71,308
				11,262,249
Health Care (14.2%):
Abbott Laboratories		1,283		148,738
AbbVie, Inc.		1,476		166,257
ABIOMED, Inc. (a)		330		102,996
Agilent Technologies, Inc.		1,417		209,447
Align Technology, Inc. (a)		118		72,098
Amedisys, Inc. (a)		453		110,953
Amgen, Inc.		653		159,169
Anthem, Inc.		378		144,320
Avantor, Inc. (a)		3,711		131,778
Baxter International, Inc.		2,237		180,078
Becton, Dickinson & Co.		683		166,099
Biogen, Inc. (a)		206		71,332
BioMarin Pharmaceutical, Inc. (a)		958		79,936
Bio-Rad Laboratories, Inc., Class A (a)		192		123,704
Bio-Techne Corp.		300		135,078
Bruker Corp.		2,075		157,658
Cardinal Health, Inc.		2,390		136,445
Catalent, Inc. (a)		976		105,525
Centene Corp. (a)		1,818		132,587
Cerner Corp.		2,391		186,881
Charles River Laboratories International, Inc. (a)		437		161,655
Cigna Corp.		505		119,720
CVS Health Corp.		2,054		171,386
Danaher Corp.		730		195,903
DaVita, Inc. (a)		1,291		155,475
Denali Therapeutics, Inc. (a)		680		53,339
DexCom, Inc. (a)		229		97,783
Edwards Lifesciences Corp. (a)		1,604		166,126
Eli Lilly & Co.		490		112,465
Encompass Health Corp.		1,654		129,062
Gilead Sciences, Inc. (c)		2,678		184,407
HCA Healthcare, Inc.		607		125,491
Henry Schein, Inc. (a)		1,859		137,919
Hologic, Inc. (a)		1,458		97,278
Horizon Therapeutics PLC (a)		785		73,507
Humana, Inc.		371		164,249
IDEXX Laboratories, Inc. (a)		230		145,256
Illumina, Inc. (a)		216		102,213
Insulet Corp. (a)		363		99,647
Intuitive Surgical, Inc. (a)		168		154,500

See notes to financial statements.

15

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June 30, 2021

Security Description	Shares		Value
IQVIA Holdings, Inc. (a)		716	$	173,501
Jazz Pharmaceuticals PLC (a)		636		112,979
Johnson & Johnson (c)		1,365		224,870
Laboratory Corp. of America Holdings (a)		584		161,096
Masimo Corp. (a)		499		120,983
Medtronic PLC		1,227		152,308
Merck & Co., Inc.		2,599		202,124
Mettler-Toledo International, Inc. (a)		127		175,938
Molina Healthcare, Inc. (a)		456		115,395
Neurocrine Biosciences, Inc. (a)		794		77,272
Novocure Ltd. (a)		468		103,812
Organon & Co. (a)		260		7,868
PerkinElmer, Inc.		926		142,984
Pfizer, Inc.		4,426		173,322
PPD, Inc. (a)		3,283		151,313
Quest Diagnostics, Inc.		1,280		168,922
Regeneron Pharmaceuticals, Inc. (a)		267		149,130
Repligen Corp. (a)		447		89,230
ResMed, Inc.		663		163,443
Seagen, Inc. (a)		557		87,939
STERIS PLC		900		185,670
Stryker Corp.		549		142,592
Syneos Health, Inc. (a)		1,362		121,885
Teleflex, Inc.		344		138,216
The Cooper Cos., Inc.		359		142,261
Thermo Fisher Scientific, Inc.		310		156,386
UnitedHealth Group, Inc.		446		178,596
Universal Health Services, Inc., Class B		816		119,487
Veeva Systems, Inc., Class A (a)		372		115,673
Vertex Pharmaceuticals, Inc. (a)		479		96,581
Waters Corp. (a)		482		166,584
West Pharmaceutical Services, Inc.		490		175,959
Zoetis, Inc.		1,066		198,660
				10,061,439
Industrials (17.2%):
3M Co.		899		178,568
Advanced Drainage Systems, Inc.		711		82,881
AGCO Corp.		822		107,172
Allegion PLC		1,160		161,588
AMERCO, Inc.		248		146,171
AMETEK, Inc.		1,329		177,422
AO Smith Corp.		2,166		156,082
Builders FirstSource, Inc. (a)		1,741		74,271
C.H. Robinson Worldwide, Inc.		1,496		140,130
Carlisle Cos., Inc.		925		177,027
Carrier Global Corp.		3,129		152,069
Caterpillar, Inc.		567		123,396
Cintas Corp.		429		163,878
Copart, Inc. (a)		1,352		178,234
CoStar Group, Inc. (a) (c)		1,394		115,451

See notes to financial statements.

16

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June 30, 2021

Security Description	Shares		Value
CSX Corp.		4,923	$	157,930
Cummins, Inc.		568		138,484
Deere & Co.		365		128,739
Dover Corp.		1,349		203,159
Eaton Corp. PLC		1,067		158,108
Emerson Electric Co.		1,482		142,628
Enphase Energy, Inc. (a)		284		52,151
Equifax, Inc.		822		196,877
Expeditors International of Washington, Inc.		1,923		243,452
Fastenal Co.		3,409		177,268
FedEx Corp.		428		127,685
Fortive Corp.		2,182		152,173
Fortune Brands Home & Security, Inc.		1,398		139,255
Generac Holdings, Inc. (a)		264		109,600
General Dynamics Corp.		946		178,094
General Electric Co.		7,180		96,643
Graco, Inc.		2,439		184,632
HEICO Corp.		913		127,290
Honeywell International, Inc.		697		152,887
Howmet Aerospace, Inc. (a)		2,681		92,414
Hubbell, Inc.		830		155,077
IAA, Inc. (a)		2,044		111,480
IDEX Corp.		776		170,759
Illinois Tool Works, Inc.		860		192,262
J.B. Hunt Transport Services, Inc.		960		156,432
Jacobs Engineering Group, Inc.		1,165		155,434
Johnson Controls International PLC		2,687		184,409
Kansas City Southern		644		182,490
L3Harris Technologies, Inc.		766		165,571
Lennox International, Inc.		524		183,819
Lockheed Martin Corp.		503		190,310
Masco Corp.		2,738		161,296
Nordson Corp.		739		162,218
Norfolk Southern Corp.		580		153,938
Northrop Grumman Corp.		534		194,072
Old Dominion Freight Line, Inc.		651		165,224
Otis Worldwide Corp.		2,540		207,696
PACCAR, Inc.		1,590		141,908
Parker-Hannifin Corp.		390		119,773
Quanta Services, Inc.		1,367		123,809
Republic Services, Inc. (c)		2,246		247,083
Robert Half International, Inc.		1,248		111,035
Rockwell Automation, Inc.		603		172,470
Rollins, Inc.		3,762		128,660
Roper Technologies, Inc.		394		185,259
Snap-on, Inc.		597		133,388
Stanley Black & Decker, Inc.		819		167,887
Teledyne Technologies, Inc. (a)		321		134,444
Textron, Inc.		1,864		128,187
The Middleby Corp. (a)		558		96,679

See notes to financial statements.

17

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June 30, 2021

Security Description	Shares		Value
The Toro Co.		1,832	$	201,300
Trane Technologies PLC		912		167,936
TransDigm Group, Inc. (a)		186		120,396
TransUnion		1,457		159,993
Trex Co., Inc. (a)		1,048		107,116
Union Pacific Corp.		709		155,930
United Parcel Service, Inc., Class B		756		157,225
United Rentals, Inc. (a)		282		89,961
Verisk Analytics, Inc.		961		167,906
W.W. Grainger, Inc.		429		187,902
Waste Management, Inc.		1,827		255,981
Watsco, Inc.		489		140,167
Westinghouse Air Brake Technologies Corp.		1,384		113,903
XPO Logistics, Inc. (a)		800		111,912
Xylem, Inc.		1,392		166,984
				12,181,490
Information Technology (16.3%):
Accenture PLC, Class A		593		174,810
Adobe, Inc. (a)		245		143,482
Advanced Micro Devices, Inc. (a)		909		85,382
Akamai Technologies, Inc. (a)		1,284		149,714
Amphenol Corp., Class A		1,307		89,412
Analog Devices, Inc.		875		150,640
ANSYS, Inc. (a)		334		115,918
Apple, Inc.		863		118,196
Applied Materials, Inc.		800		113,920
Arista Networks, Inc. (a)		386		139,852
Aspen Technology, Inc. (a)		559		76,885
Autodesk, Inc. (a)		407		118,803
Automatic Data Processing, Inc.		846		168,033
Black Knight, Inc. (a)		1,952		152,217
Booz Allen Hamilton Holding Corp.		1,808		154,005
Broadcom, Inc.		287		136,853
Broadridge Financial Solutions, Inc.		1,251		202,074
Cadence Design Systems, Inc. (a)		838		114,655
CDW Corp.		768		134,131
Ciena Corp. (a)		1,843		104,848
Cisco Systems, Inc.		3,295		174,635
Citrix Systems, Inc.		866		101,556
Cognex Corp.		1,452		122,041
Cognizant Technology Solutions Corp., Class A		1,974		136,719
Corning, Inc.		3,366		137,669
Dell Technologies, Inc., Class C (a)		1,495		149,007
Dolby Laboratories, Inc., Class A		1,518		149,204
Dynatrace, Inc. (a)		1,472		85,994
Entegris, Inc.		984		121,002
EPAM Systems, Inc. (a)		312		159,420
F5 Networks, Inc. (a)		636		118,716
Fair Isaac Corp. (a)		241		121,146
Fidelity National Information Services, Inc.		995		140,962

See notes to financial statements.

18

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June 30, 2021

Security Description	Shares		Value
First Solar, Inc. (a)		849	$	76,843
Fiserv, Inc. (a)		1,106		118,220
FleetCor Technologies, Inc. (a)		362		92,694
Fortinet, Inc. (a)		611		145,534
Gartner, Inc. (a)		649		157,188
Global Payments, Inc.		602		112,899
HP, Inc.		4,365		131,779
II-VI, Inc. (a) (b)		902		65,476
Intel Corp.		1,647		92,463
International Business Machines Corp.		1,128		165,354
Intuit, Inc.		322		157,835
IPG Photonics Corp. (a) (b)		490		103,277
Jack Henry & Associates, Inc.		875		143,071
Keysight Technologies, Inc. (a)		971		149,932
KLA Corp.		312		101,154
Lam Research Corp.		161		104,763
Leidos Holdings, Inc.		1,450		146,595
Manhattan Associates, Inc. (a)		908		131,515
Marvell Technology, Inc.		1,981		115,552
Mastercard, Inc., Class A		335		122,305
Microchip Technology, Inc.		672		100,625
Micron Technology, Inc. (a)		1,088		92,458
Microsoft Corp. (c)		576		156,038
MKS Instruments, Inc.		562		100,008
Monolithic Power Systems, Inc.		238		88,881
Motorola Solutions, Inc.		835		181,070
NetApp, Inc.		1,511		123,630
NVIDIA Corp.		166		132,817
NXP Semiconductors NV		593		121,992
ON Semiconductor Corp. (a)		2,343		89,690
Oracle Corp.		2,728		212,348
Paychex, Inc.		1,805		193,676
Paycom Software, Inc. (a)		247		89,777
Paylocity Holding Corp. (a)		487		92,920
PayPal Holdings, Inc. (a)		368		107,265
PTC, Inc. (a)		712		100,577
Qorvo, Inc. (a)		514		100,564
QUALCOMM, Inc.		684		97,764
salesforce.com, Inc. (a)		392		95,754
Seagate Technology Holdings PLC		1,588		139,633
ServiceNow, Inc. (a) (c)		196		107,712
Skyworks Solutions, Inc.		546		104,695
Square, Inc., Class A (a)		299		72,896
SS&C Technologies Holdings, Inc.		2,347		169,125
Synopsys, Inc. (a)		465		128,242
TE Connectivity Ltd.		1,095		148,055
Teradyne, Inc.		746		99,934
Texas Instruments, Inc.		855		164,416
The Trade Desk, Inc., Class A (a)		803		62,120
The Western Union Co.		5,752		132,123

See notes to financial statements.

19

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June 30, 2021

Security Description	Shares		Value
Trimble, Inc. (a)		1,638	$	134,038
Tyler Technologies, Inc. (a)		323		146,116
Universal Display Corp.		517		114,945
VeriSign, Inc. (a)		824		187,617
Visa, Inc., Class A		721		168,584
VMware, Inc., Class A (a) (b)		896		143,333
Western Digital Corp. (a)		1,129		80,351
Zebra Technologies Corp. (a)		227		120,194
Zoom Video Communications, Inc., Class A (a)		131		50,701
				11,549,034
Materials (5.4%):
Air Products & Chemicals, Inc.		512		147,292
Albemarle Corp.		480		80,861
AptarGroup, Inc.		1,363		191,965
Avery Dennison Corp.		719		151,162
Ball Corp.		1,793		145,269
Celanese Corp.		880		133,408
CF Industries Holdings, Inc.		2,046		105,267
Corteva, Inc.		2,537		112,516
Crown Holdings, Inc.		1,387		141,765
Dow, Inc.		1,678		106,184
Eastman Chemical Co.		1,024		119,552
FMC Corp.		1,362		147,368
Freeport-McMoRan, Inc.		2,224		82,533
International Flavors & Fragrances, Inc.		835		124,749
International Paper Co.		2,347		143,895
LyondellBasell Industries NV, Class A		828		85,176
Martin Marietta Materials, Inc.		323		113,635
Newmont Corp.		2,150		136,267
Nucor Corp.		1,812		173,825
Packaging Corp. of America		1,031		139,618
PPG Industries, Inc.		1,052		178,598
Reliance Steel & Aluminum Co.		971		146,524
RPM International, Inc.		2,064		183,035
Steel Dynamics, Inc.		2,261		134,756
The Mosaic Co.		2,390		76,265
The Scotts Miracle-Gro Co.		494		94,808
The Sherwin-Williams Co.		748		203,793
Vulcan Materials Co.		660		114,886
Westlake Chemical Corp.		1,215		109,459
				3,824,431
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		1,232		105,619
eXp World Holdings, Inc. (a) (b)		721		27,953
Jones Lang LaSalle, Inc. (a)		486		94,994
				228,566

See notes to financial statements.

20

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June 30, 2021

Security Description	Shares		Value
Utilities (6.8%):
Alliant Energy Corp.		4,011	$	223,653
Ameren Corp.		2,618		209,545
American Electric Power Co., Inc. (c)		2,429		205,469
American Water Works Co., Inc.		1,273		196,208
Atmos Energy Corp.		1,916		184,147
CMS Energy Corp.		3,526		208,316
Consolidated Edison, Inc. (c)		2,673		191,708
DTE Energy Co.		1,349		174,830
Duke Energy Corp. (c)		1,988		196,255
Edison International		2,586		149,523
Entergy Corp.		1,768		176,270
Essential Utilities, Inc.		3,694		168,816
Evergy, Inc. (c)		2,666		161,106
Eversource Energy (c)		2,238		179,577
Exelon Corp.		3,942		174,670
FirstEnergy Corp.		2,760		102,700
NextEra Energy, Inc. (c)		2,079		152,349
NRG Energy, Inc.		3,340		134,602
Pinnacle West Capital Corp.		2,212		181,318
PPL Corp.		5,774		161,499
Public Service Enterprise Group, Inc.		2,830		169,064
Sempra Energy		1,251		165,732
The AES Corp.		4,076		106,261
The Southern Co. (c)		3,153		190,788
UGI Corp.		3,166		146,617
Vistra Corp.		5,122		95,013
WEC Energy Group, Inc. (c)		2,355		209,477
Xcel Energy, Inc. (c)		3,059		201,527
				4,817,040
Total Common Stocks (Cost $46,684,247)				70,167,223
Investment Companies (0.7%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01% (d)		517,505		517,505
Total Investment Companies (Cost $517,505)				517,505
Collateral for Securities Loaned^ (2.4%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		34,331		34,331
Fidelity Investments Money Market Government Portfolio, Class I, 0.01% (d)		929,921		929,921
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		17,133		17,133
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		136,613		136,613
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		614,238		614,238
Total Collateral for Securities Loaned (Cost $1,732,236)				1,732,236
Total Investments (Cost $48,933,988) — 102.3%				72,416,964
Liabilities in excess of other assets — (2.3)%				(1,658,882	)
NET ASSETS — 100.00%			$	70,758,082

See notes to financial statements.

21

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June 30, 2021

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		3	9/17/21	$	634,367	$	643,290	$	8,923
Total unrealized appreciation								$	8,923
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	8,923

See notes to financial statements.

22

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June 30, 2021

Security Description	Shares		Value
Common Stocks (83.1%)
Australia (0.7%):
Communication Services (0.2%):
Telstra Corp. Ltd.		895,849	$	2,526,134
Consumer Staples (0.2%):
Coles Group Ltd.		183,138		2,345,480
Materials (0.3%):
Fortescue Metals Group Ltd.		64,220		1,121,629
Rio Tinto Ltd.		17,321		1,641,798
				2,763,427
				7,635,041
Austria (0.1%):
Energy (0.1%):
OMV AG		24,460		1,395,703
Bermuda (0.5%):
Consumer Staples (0.2%):
Bunge Ltd.		25,471		1,990,559
Financials (0.3%):
Everest Re Group Ltd.		8,197		2,065,726
Invesco Ltd.		59,021		1,577,631
				3,643,357
				5,633,916
Brazil (1.4%):
Consumer Discretionary (0.2%):
Petrobras Distribuidora SA		457,100		2,452,230
Health Care (0.2%):
Hypera SA		276,400		1,915,770
Industrials (0.2%):
CCR SA		740,200		2,001,868
Materials (0.2%):
Vale SA		102,600		2,336,413
Utilities (0.6%):
Centrais Eletricas Brasileiras SA		192,200		1,668,397
Cia de Saneamento Basico do Estado de Sao Paulo		246,200		1,810,906
Engie Brasil Energia SA		310,400		2,443,529
				5,922,832
				14,629,113
Canada (3.9%):
Communication Services (0.8%):
BCE, Inc. (a)		70,462		3,475,345
Rogers Communications, Inc., Class B		44,420		2,361,851
TELUS Corp. (a) (b)		138,592		3,108,647
				8,945,843

See notes to financial statements.

23

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Consumer Discretionary (0.2%):
Restaurant Brands International, Inc.		28,722	$	1,850,917
Energy (0.4%):
Enbridge, Inc.		57,323		2,295,417
TC Energy Corp.		42,071		2,082,165
				4,377,582
Financials (1.3%):
Canadian Imperial Bank of Commerce (b)		35,256		4,014,018
Great-West Lifeco, Inc. (b)		90,618		2,692,073
Manulife Financial Corp.		80,915		1,592,969
Power Corp. of Canada (b)		94,044		2,972,925
The Bank of Nova Scotia		43,145		2,806,479
				14,078,464
Utilities (1.2%):
Algonquin Power & Utilities Corp. (b)		152,077		2,266,308
Emera, Inc.		74,861		3,396,952
Fortis, Inc. (b)		82,618		3,657,617
Hydro One Ltd. (c)		135,617		3,278,268
				12,599,145
				41,851,951
Chile (0.5%):
Consumer Staples (0.2%):
Cia Cervecerias Unidas SA		208,715		2,104,239
Utilities (0.3%):
Colbun SA		11,553,876		1,615,182
Enel Americas SA		13,703,066		2,012,521
				3,627,703
				5,731,942
China (3.6%):
Energy (0.5%):
China Petroleum & Chemical Corp., Class H		2,984,000		1,516,687
China Shenhua Energy Co. Ltd., Class H		1,144,000		2,240,931
PetroChina Co. Ltd., Class H (b)		4,460,000		2,184,161
				5,941,779
Financials (2.5%):
Agricultural Bank of China Ltd., Class H (a)		5,828,000		2,022,397
Bank of China Ltd., Class H (a)		7,358,000		2,642,051
Bank of Communications Co. Ltd., Class H		4,339,000		2,914,703
China Cinda Asset Management Co. Ltd., Class H		9,334,000		1,778,308
China CITIC Bank Corp. Ltd., Class H (b)		4,320,000		2,045,394
China Construction Bank Corp., Class H (a)		2,951,000		2,315,720
China Everbright Bank Co. Ltd., Class H (d)		3,288,000		1,342,355
China Life Insurance Co. Ltd., Class H		690,000		1,368,042
China Minsheng Banking Corp. Ltd., Class H (b)		3,764,500		1,802,157
GF Securities Co. Ltd., Class H		997,200		1,290,873

See notes to financial statements.

24

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Industrial & Commercial Bank of China Ltd., Class H		3,178,000	$	1,862,417
New China Life Insurance Co. Ltd., Class H		341,700		1,165,147
PICC Property & Casualty Co. Ltd., Class H		2,216,000		1,938,444
The People's Insurance Co. Group of China Ltd., Class H		5,256,000		1,752,591
				26,240,599
Information Technology (0.1%):
China Railway Signal & Communication Corp. Ltd., Class H (c)		4,128,000		1,524,853
Real Estate (0.3%):
Country Garden Holdings Co. Ltd. (b)		1,464,000		1,638,653
Logan Group Co. Ltd.		1,117,000		1,670,851
				3,309,504
Utilities (0.2%):
Huaneng Power International, Inc., Class H		4,546,000		1,778,136
				38,794,871
Czech Republic (0.4%):
Utilities (0.4%):
CEZ A/S (a)		136,079		4,037,604
Finland (0.6%):
Communication Services (0.2%):
Elisa Oyj		39,724		2,370,267
Materials (0.2%):
UPM-Kymmene Oyj		50,529		1,912,691
Utilities (0.2%):
Fortum Oyj		71,698		1,977,655
				6,260,613
France (0.7%):
Communication Services (0.2%):
Orange SA (b)		161,694		1,845,156
Consumer Staples (0.2%):
Danone SA		28,111		1,977,509
Health Care (0.2%):
Sanofi (b)		23,139		2,430,750
Industrials (0.1%):
Bouygues SA		38,508		1,426,160
				7,679,575
Germany (0.9%):
Communication Services (0.3%):
Deutsche Telekom AG		129,776		2,744,432
Financials (0.2%):
Allianz SE, Registered Shares		7,127		1,778,377
Materials (0.2%):
Evonik Industries AG		57,113		1,917,246

See notes to financial statements.

25

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Utilities (0.2%):
E.ON SE		230,283	$	2,663,978
				9,104,033
Hong Kong (2.4%):
Consumer Staples (0.1%):
WH Group Ltd. (c)		1,686,000		1,513,397
Financials (0.2%):
Hang Seng Bank Ltd.		102,100		2,036,716
Industrials (0.2%):
CK Hutchison Holdings Ltd.		235,000		1,829,477
Materials (0.1%):
China Resources Cement Holdings Ltd.		1,450,000		1,377,734
Real Estate (0.9%):
CK Asset Holdings Ltd.		302,000		2,078,724
Henderson Land Development Co. Ltd.		497,000		2,351,989
New World Development Co. Ltd.		326,000		1,690,663
Sino Land Co. Ltd.		1,152,000		1,816,098
Sun Hung Kai Properties Ltd.		130,000		1,932,103
				9,869,577
Utilities (0.9%):
CK Infrastructure Holdings Ltd.		379,500		2,260,710
CLP Holdings Ltd.		333,000		3,291,073
Power Assets Holdings Ltd. (a)		591,000		3,626,506
				9,178,289
				25,805,190
India (1.7%):
Communication Services (0.1%):
Indus Towers Ltd.		334,495		1,075,686
Consumer Discretionary (0.2%):
Bajaj Auto Ltd. (d)		41,354		2,302,338
Consumer Staples (0.2%):
ITC Ltd.		747,052		2,040,444
Energy (0.3%):
Bharat Petroleum Corp. Ltd.		247,434		1,561,329
Hindustan Petroleum Corp. Ltd.		490,302		1,936,554
				3,497,883
Financials (0.3%):
Power Finance Corp. Ltd.		960,248		1,666,480
REC Ltd.		858,934		1,719,286
				3,385,766
Materials (0.2%):
Ambuja Cements Ltd.		479,646		2,201,678

See notes to financial statements.

26

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Utilities (0.4%):
NTPC Ltd.		1,195,612	$	1,874,924
Power Grid Corp. of India Ltd.		635,888		1,990,442
				3,865,366
				18,369,161
Indonesia (0.6%):
Communication Services (0.2%):
PT Telkom Indonesia Persero Tbk		6,402,900		1,392,188
Consumer Staples (0.2%):
PT Indofood Sukses Makmur Tbk		5,050,200		2,152,901
Energy (0.1%):
PT United Tractors Tbk		830,500		1,162,304
Materials (0.1%):
PT Indocement Tunggal Prakarsa Tbk		1,602,700		1,140,158
				5,847,551
Ireland (0.2%):
Information Technology (0.2%):
Seagate Technology Holdings PLC		24,726		2,174,157
Italy (0.8%):
Energy (0.2%):
Snam SpA (b)		389,154		2,250,889
Financials (0.2%):
Poste Italiane SpA (c)		146,792		1,942,639
Utilities (0.4%):
Enel SpA		191,914		1,783,218
Terna SPA		316,658		2,361,251
				4,144,469
				8,337,997
Japan (2.2%):
Communication Services (0.4%):
KDDI Corp.		71,200		2,218,585
Softbank Corp.		178,100		2,328,970
				4,547,555
Consumer Discretionary (0.2%):
Sekisui House Ltd.		102,200		2,098,937
Consumer Staples (0.2%):
Japan Tobacco, Inc. (b)		120,000		2,268,105
Financials (0.9%):
Mitsubishi UFJ Financial Group, Inc.		362,000		1,950,089
Mizuho Financial Group, Inc.		130,400		1,869,211
MS&AD Insurance Group Holdings, Inc.		70,100		2,027,019

See notes to financial statements.

27

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Sumitomo Mitsui Financial Group, Inc.		53,500	$	1,844,500
Tokio Marine Holdings, Inc.		32,100		1,478,734
				9,169,553
Health Care (0.2%):
Takeda Pharmaceutical Co. Ltd.		61,900		2,077,680
Industrials (0.2%):
Mitsubishi Corp.		78,400		2,141,884
Real Estate (0.1%):
Daiwa House Industry Co. Ltd.		51,600		1,551,744
				23,855,458
Korea, Republic Of (0.7%):
Communication Services (0.2%):
SK Telecom Co. Ltd.		7,398		2,102,662
Consumer Staples (0.2%):
KT&G Corp.		31,978		2,396,824
Financials (0.3%):
Hana Financial Group, Inc.		37,228		1,525,859
Shinhan Financial Group Co. Ltd.		49,900		1,801,854
				3,327,713
				7,827,199
Malaysia (0.8%):
Financials (0.4%):
CIMB Group Holdings Bhd		1,661,700		1,847,176
Malayan Banking Bhd (a)		1,263,800		2,470,270
				4,317,446
Industrials (0.2%):
Sime Darby Bhd		3,891,800		2,044,511
Utilities (0.2%):
Tenaga Nasional Bhd		969,100		2,286,969
				8,648,926
Mexico (0.7%):
Consumer Staples (0.5%):
Arca Continental SAB de CV		514,881		2,987,087
Kimberly-Clark de Mexico SAB de CV, Class A		1,302,729		2,312,049
				5,299,136
Materials (0.2%):
Orbia Advance Corp. SAB de CV		681,030		1,781,743
				7,080,879
Netherlands (0.9%):
Communication Services (0.1%):
Koninklijke KPN NV		532,375		1,664,884

See notes to financial statements.

28

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Consumer Staples (0.5%):
Koninklijke Ahold Delhaize NV		93,552	$	2,785,601
X5 Retail Group NV, GDR		59,481		2,086,898
				4,872,499
Financials (0.2%):
NN Group NV		38,682		1,827,092
Materials (0.1%):
LyondellBasell Industries NV, Class A		12,897		1,326,714
				9,691,189
Norway (0.8%):
Communication Services (0.2%):
Telenor ASA		148,168		2,500,008
Energy (0.2%):
Aker BP ASA		48,349		1,541,747
Financials (0.2%):
DNB ASA		80,505		1,755,349
Materials (0.2%):
Yara International ASA		42,744		2,253,401
				8,050,505
Philippines (0.6%):
Communication Services (0.4%):
Globe Telecom, Inc.		54,620		2,058,568
PLDT, Inc.		78,655		2,079,788
				4,138,356
Utilities (0.2%):
Manila Electric Co.		348,220		1,977,849
				6,116,205
Portugal (0.2%):
Utilities (0.2%):
EDP - Energias de Portugal SA (b)		319,487		1,695,129
Russian Federation (2.7%):
Communication Services (0.7%):
Mobile TeleSystems PJSC		885,370		4,140,575
Rostelecom PJSC (a)		2,100,870		2,934,671
				7,075,246
Consumer Staples (0.2%):
Magnit PJSC		31,768		2,309,751
Energy (0.2%):
Tatneft PJSC		282,349		2,054,489
Materials (0.9%):
Alrosa PJSC		1,492,080		2,743,971
MMC Norilsk Nickel PJSC		6,365		2,158,107
Polymetal International PLC		61,906		1,332,937

See notes to financial statements.

29

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Severstal PAO		140,189	$	3,010,744
				9,245,759
Utilities (0.7%):
Federal Grid Co. Unified Energy System PJSC		1,030,380,000		3,095,214
Inter RAO UES PJSC		32,998,200		2,115,770
RusHydro PJSC		241,409,000		2,872,190
				8,083,174
				28,768,419
Singapore (0.7%):
Communication Services (0.2%):
Singapore Telecommunications Ltd.		1,260,800		2,147,599
Financials (0.5%):
DBS Group Holdings Ltd.		108,600		2,416,597
United Overseas Bank Ltd.		137,800		2,654,261
				5,070,858
				7,218,457
South Africa (1.0%):
Communication Services (0.4%):
MultiChoice Group		216,544		1,775,579
Vodacom Group Ltd.		311,740		2,811,147
				4,586,726
Energy (0.2%):
Exxaro Resources Ltd.		137,692		1,625,764
Financials (0.3%):
FirstRand Ltd.		425,415		1,596,946
Standard Bank Group Ltd.		162,636		1,453,203
				3,050,149
Materials (0.1%):
African Rainbow Minerals Ltd.		77,012		1,370,813
				10,633,452
Spain (0.5%):
Communication Services (0.1%):
Telefonica SA		261,935		1,222,428
Financials (0.1%):
Banco Bilbao Vizcaya Argentaria SA		169,159		1,049,164
Industrials (0.1%):
ACS Actividades de Construccion y Servicios SA (b)		30,264		811,233
Utilities (0.2%):
Endesa SA (b)		88,163		2,139,968
				5,222,793

See notes to financial statements.

30

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Switzerland (1.2%):
Communication Services (0.3%):
Swisscom AG, Registered Shares		5,880	$	3,360,673
Financials (0.4%):
UBS Group AG		111,327		1,705,682
Zurich Insurance Group AG		5,545		2,227,837
				3,933,519
Health Care (0.3%):
Novartis AG, Registered Shares		30,163		2,752,411
Materials (0.2%):
Holcim Ltd.		36,464		2,192,374
				12,238,977
Taiwan (4.2%):
Communication Services (1.0%):
Chunghwa Telecom Co. Ltd.		1,461,000		5,962,393
Far EasTone Telecommunications Co. Ltd.		2,060,000		4,775,480
				10,737,873
Financials (0.9%):
China Development Financial Holding Corp.		10,604,000		5,001,324
Sinopac Financial Holdings Co. Ltd. (d)		8,103,000		3,997,423
				8,998,747
Industrials (0.6%):
Far Eastern New Century Corp.		2,358,000		2,707,945
Taiwan High Speed Rail Corp.		3,373,000		3,618,642
				6,326,587
Information Technology (1.0%):
Catcher Technology Co. Ltd.		294,000		1,920,464
Compal Electronics, Inc. (a)		3,535,000		2,835,577
Lite-On Technology Corp.		1,095,000		2,262,336
Pegatron Corp.		751,000		1,854,348
Wistron Corp.		1,502,000		1,670,351
				10,543,076
Materials (0.7%):
Asia Cement Corp.		1,932,000		3,515,656
Taiwan Cement Corp. (a)		2,259,000		4,135,091
				7,650,747
				44,257,030
Thailand (1.2%):
Communication Services (0.6%):
Advanced Info Service PCL		564,600		3,014,365
Intouch Holdings PCL		1,650,600		3,349,438
				6,363,803

See notes to financial statements.

31

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Energy (0.1%):
PTT Exploration & Production PCL		434,000	$	1,588,175
Financials (0.3%):
Krung Thai Bank PCL		4,361,700		1,458,729
TMB Bank PCL		35,547,700		1,244,729
				2,703,458
Real Estate (0.2%):
Land & Houses PCL		8,532,600		2,116,515
				12,771,951
Turkey (0.2%):
Industrials (0.2%):
Enka Insaat ve Sanayi A/S		1,777,953		1,913,467
United Kingdom (2.7%):
Communication Services (0.1%):
Vodafone Group PLC		916,563		1,535,972
Consumer Discretionary (0.1%):
Persimmon PLC		32,747		1,341,249
Consumer Staples (0.8%):
British American Tobacco PLC		50,844		1,973,772
Imperial Brands PLC		83,543		1,801,164
Tesco PLC		732,353		2,262,056
Unilever PLC		37,065		2,165,539
				8,202,531
Financials (0.5%):
Admiral Group PLC		53,467		2,326,140
Legal & General Group PLC		351,377		1,253,393
Phoenix Group Holdings PLC		197,759		1,850,969
				5,430,502
Health Care (0.2%):
GlaxoSmithKline PLC (a)		117,327		2,306,221
Industrials (0.2%):
BAE Systems PLC		236,775		1,710,702
Materials (0.4%):
BHP Group PLC		50,087		1,481,916
Evraz PLC (a)		160,483		1,316,455
Rio Tinto PLC		19,119		1,578,770
				4,377,141
Utilities (0.4%):
National Grid PLC		179,479		2,282,595
SSE PLC		87,986		1,827,107
				4,109,702
				29,014,020

See notes to financial statements.

32

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
United States (42.8%):
Communication Services (1.3%):
Cogent Communications Holdings, Inc. (a) (b)		40,618	$	3,123,118
Omnicom Group, Inc.		23,439		1,874,886
Telephone & Data Systems, Inc.		123,935		2,808,367
The Interpublic Group of Cos., Inc.		61,368		1,993,846
Verizon Communications, Inc.		69,380		3,887,361
				13,687,578
Consumer Discretionary (2.0%):
Big Lots, Inc. (b)		20,616		1,360,862
Ethan Allen Interiors, Inc. (b)		78,793		2,174,687
Franchise Group, Inc. (b)		39,624		1,397,538
Genuine Parts Co.		20,029		2,533,068
Hasbro, Inc.		19,897		1,880,664
Haverty Furniture Cos., Inc. (b)		49,734		2,126,626
Kontoor Brands, Inc.		41,475		2,339,605
PetMed Express, Inc. (a) (b)		33,106		1,054,426
Strategic Education, Inc. (b)		20,312		1,544,931
Sturm Ruger & Co., Inc. (a)		29,786		2,680,144
Whirlpool Corp.		8,979		1,957,602
				21,050,153
Consumer Staples (5.8%):
Altria Group, Inc.		59,481		2,836,054
Archer-Daniels-Midland Co.		41,658		2,524,475
B&G Foods, Inc. (b)		61,563		2,019,266
Campbell Soup Co. (b)		55,255		2,519,075
Conagra Brands, Inc. (b)		74,983		2,727,882
General Mills, Inc.		52,457		3,196,205
Kellogg Co.		52,445		3,373,787
Kimberly-Clark Corp.		25,331		3,388,781
Medifast, Inc.		7,333		2,075,092
Natural Grocers by Vitamin Cottage, Inc.		99,538		1,069,038
Nu Skin Enterprises, Inc., Class A		33,543		1,900,211
PepsiCo, Inc.		26,946		3,992,589
Philip Morris International, Inc.		29,448		2,918,591
SpartanNash Co. (b)		94,006		1,815,256
The Andersons, Inc.		58,467		1,784,998
The Coca-Cola Co.		54,615		2,955,218
The J.M. Smucker Co. (b)		22,010		2,851,836
The Kraft Heinz Co.		62,764		2,559,516
The Procter & Gamble Co.		31,671		4,273,368
Tyson Foods, Inc., Class A		29,824		2,199,818
Universal Corp.		57,797		3,292,695
Vector Group Ltd.		151,088		2,136,384
Weis Markets, Inc. (a) (b)		55,546		2,869,506
				61,279,641

See notes to financial statements.

33

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Energy (0.5%):
Kinder Morgan, Inc.		123,548	$	2,252,280
ONEOK, Inc.		24,757		1,377,479
The Williams Cos., Inc.		70,643		1,875,572
				5,505,331
Financials (10.0%):
American National Group, Inc.		30,294		4,500,174
Apollo Global Management, Inc. (b)		32,154		1,999,979
Ares Management Corp., Class A		46,000		2,925,140
BGC Partners, Inc., Class A		375,153		2,127,118
Cathay General Bancorp		49,377		1,943,479
Citigroup, Inc.		22,007		1,556,995
Citizens Financial Group, Inc.		27,397		1,256,700
CME Group, Inc.		10,966		2,332,249
Comerica, Inc.		16,582		1,182,960
Community Trust Bancorp, Inc.		54,705		2,208,988
CVB Financial Corp. (b)		99,258		2,043,722
Dime Community Bancshares, Inc.		60,133		2,021,671
Federal Agricultural Mortgage Corp., Class C		28,661		2,834,573
Federated Hermes, Inc.		76,860		2,606,323
Fidelity National Financial, Inc.		51,990		2,259,485
Fifth Third Bancorp		37,786		1,444,559
First Busey Corp. (b)		87,356		2,154,199
First Commonwealth Financial Corp.		130,257		1,832,716
First Financial Bancorp		74,124		1,751,550
First Horizon Corp.		74,854		1,293,477
Flushing Financial Corp.		91,323		1,957,052
Franklin Resources, Inc.		58,396		1,868,088
Fulton Financial Corp.		113,283		1,787,606
Hope Bancorp, Inc.		132,890		1,884,380
Huntington Bancshares, Inc.		80,607		1,150,262
KeyCorp		61,005		1,259,753
Lincoln National Corp.		17,639		1,108,435
M&T Bank Corp.		7,794		1,132,546
MetLife, Inc.		28,609		1,712,249
Navient Corp.		145,363		2,809,867
Northern Trust Corp.		18,303		2,116,193
Northwest Bancshares, Inc. (a)		158,181		2,157,589
Park National Corp. (b)		14,815		1,739,577
Principal Financial Group, Inc.		25,115		1,587,017
Provident Financial Services, Inc.		97,424		2,230,035
Regions Financial Corp.		61,115		1,233,301
S&T Bancorp, Inc.		58,984		1,846,199
Safety Insurance Group, Inc. (a)		39,971		3,128,930
Santander Consumer USA Holdings, Inc.		58,019		2,107,250
Sculptor Capital Management, Inc.		73,675		1,811,668
Southside Bancshares, Inc. (a) (b)		68,189		2,606,865
State Street Corp.		21,663		1,782,432
The Bank of New York Mellon Corp.		41,326		2,117,131
The Blackstone Group, Inc., Class A		33,539		3,257,978

See notes to financial statements.

34

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
The Carlyle Group, Inc.		56,874	$	2,643,504
The Hartford Financial Services Group, Inc.		31,147		1,930,180
The PNC Financial Services Group, Inc.		9,988		1,905,311
Truist Financial Corp.		25,459		1,412,975
TrustCo Bank Corp. NY		65,509		2,252,199
U.S. Bancorp		31,855		1,814,779
Washington Trust Bancorp, Inc.		43,741		2,246,100
WesBanco, Inc.		58,338		2,078,583
Zions Bancorp NA		21,004		1,110,271
				106,062,362
Health Care (2.2%):
AbbVie, Inc.		22,989		2,589,481
Amgen, Inc.		10,172		2,479,425
Cardinal Health, Inc.		37,227		2,125,289
CVS Health Corp.		31,995		2,669,663
Gilead Sciences, Inc. (a)		41,712		2,872,288
Merck & Co., Inc.		40,483		3,148,363
National HealthCare Corp. (a)		31,831		2,224,987
Organon & Co. (d)		4,048		122,493
Pfizer, Inc.		68,937		2,699,573
Phibro Animal Health Corp., Class A		101,968		2,944,836
				23,876,398
Industrials (5.9%):
3M Co.		14,006		2,782,012
ACCO Brands Corp.		209,212		1,805,500
Apogee Enterprises, Inc. (b)		47,680		1,942,006
Argan, Inc.		50,995		2,437,051
Barrett Business Services, Inc.		33,414		2,426,191
Brady Corp., Class A		52,130		2,921,365
CRA International, Inc.		33,638		2,879,413
Deluxe Corp.		37,415		1,787,315
Ennis, Inc. (a) (b)		150,102		3,230,195
General Dynamics Corp.		14,735		2,774,011
Healthcare Services Group (b)		71,535		2,258,360
HNI Corp.		57,303		2,519,613
Kimball International, Inc., Class B (b)		139,817		1,838,594
Knoll, Inc.		84,916		2,206,967
Lockheed Martin Corp.		7,827		2,961,345
McGrath RentCorp		32,684		2,666,034
Miller Industries, Inc.		76,146		3,003,198
Mueller Water Products, Inc., Class A		223,837		3,227,730
National Presto Industries, Inc.		23,067		2,344,761
Powell Industries, Inc. (b)		67,210		2,080,149
Resources Connection, Inc.		186,243		2,674,449
Steelcase, Inc., Class A		108,337		1,636,972
The Gorman-Rupp Co.		73,046		2,515,704
The Greenbrier Cos., Inc. (b)		38,047		1,658,088
United Parcel Service, Inc., Class B		11,776		2,449,055
Watsco, Inc.		7,618		2,183,623
				63,209,701

See notes to financial statements.

35

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Information Technology (3.5%):
ADTRAN, Inc. (b)		113,604	$	2,345,923
American Software, Inc., Class A		107,674		2,364,521
Benchmark Electronics, Inc.		83,162		2,366,790
Broadcom, Inc.		4,474		2,133,382
Cass Information Systems, Inc.		53,841		2,194,021
Cisco Systems, Inc.		51,311		2,719,483
CSG Systems International, Inc. (b)		70,520		3,327,134
InterDigital, Inc.		46,105		3,367,048
International Business Machines Corp.		17,573		2,576,026
NetApp, Inc.		23,531		1,925,306
NVE Corp.		32,793		2,428,322
Paychex, Inc.		28,112		3,016,418
The Hackett Group, Inc. (b)		154,734		2,788,307
The Western Union Co.		89,589		2,057,859
Xperi Holding Corp.		78,855		1,753,735
				37,364,275
Materials (2.7%):
CF Industries Holdings, Inc.		31,864		1,639,403
Compass Minerals International, Inc.		39,481		2,339,644
Dow, Inc.		26,135		1,653,823
Glatfelter Corp.		134,550		1,879,664
Greif, Inc., Class A		43,298		2,621,694
International Paper Co.		36,557		2,241,310
Kaiser Aluminum Corp.		14,490		1,789,370
Myers Industries, Inc.		109,406		2,297,526
Nucor Corp.		28,227		2,707,816
Packaging Corp. of America		16,050		2,173,491
Schnitzer Steel Industries, Inc. (b)		52,208		2,560,802
Schweitzer-Mauduit International, Inc.		47,609		1,922,451
SunCoke Energy, Inc. (b)		193,666		1,382,775
Trinseo SA		22,798		1,364,232
				28,574,001
Real Estate (0.6%):
Kennedy-Wilson Holdings, Inc.		136,007		2,702,459
RE/MAX Holdings, Inc.		56,550		1,884,811
The RMR Group, Inc., Class A		45,903		1,773,692
				6,360,962
Utilities (8.3%):
Alliant Energy Corp.		62,475		3,483,606
American Electric Power Co., Inc. (a)		37,824		3,199,532
American States Water Co.		45,649		3,631,834
Avista Corp.		77,170		3,292,844
CMS Energy Corp.		54,914		3,244,319
Consolidated Edison, Inc. (a)		41,628		2,985,560
DTE Energy Co.		21,003		2,721,989
Duke Energy Corp. (a)		30,968		3,057,161
Edison International		40,277		2,328,816
Entergy Corp.		27,544		2,746,137

See notes to financial statements.

36

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Evergy, Inc. (a)		41,521	$	2,509,114
Exelon Corp.		61,396		2,720,457
FirstEnergy Corp.		42,980		1,599,286
MGE Energy, Inc.		52,608		3,916,140
Northwest Natural Holding Co.		48,912		2,568,858
NorthWestern Corp.		48,825		2,940,242
NRG Energy, Inc. (b)		52,018		2,096,325
Otter Tail Corp. (a)		72,032		3,515,882
Pinnacle West Capital Corp.		34,455		2,824,276
PPL Corp.		89,926		2,515,230
Public Service Enterprise Group, Inc.		44,075		2,633,040
Sempra Energy		19,491		2,582,168
SJW Group		46,566		2,947,628
South Jersey Industries, Inc.		95,285		2,470,740
The Southern Co. (a)		49,109		2,971,586
The York Water Co.		68,024		3,081,487
UGI Corp.		49,309		2,283,500
Unitil Corp. (a)		67,913		3,597,352
Vistra Corp.		79,776		1,479,845
WEC Energy Group, Inc. (a)		36,677		3,262,419
Xcel Energy, Inc. (a)		47,640		3,138,523
				88,345,896
				455,316,298
Total Common Stocks (Cost $821,550,935)				883,608,772
Rights (0.0%) (e)
Spain (0.0%):
Industrials (0.0%):
ACS Actividades de Construccion y Servicios SA , Expires 7/7/21 (b) (d)		29,148		40,779
Total Rights (Cost $44,196)				40,779
Collateral for Securities Loaned^ (4.5%)
United States (4.5%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (f)		949,592		949,592
Fidelity Investments Money Market Government Portfolio, Class I, 0.01% (f)		25,721,387		25,721,387
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (f)		473,893		473,893
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (f)		3,778,678		3,778,678
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (f)		16,989,676		16,989,676
Total Collateral for Securities Loaned (Cost $47,913,226)				47,913,226
Total Investments (Cost $869,508,357) — 87.6%				931,562,777
Other assets in excess of liabilities — 12.4%				131,575,588
NET ASSETS — 100.00%			$	1,063,138,365

See notes to financial statements.

37

Victory Portfolios II
Victory Market Neutral Income Fund Schedule of Portfolio Investments — continued
June 30, 2021

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $8,259,157 and amounted to 0.8% of net assets.

(d)  Non-income producing security.

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

(f)  Rate disclosed is the daily yield on June 30, 2021.

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		1,360	9/17/21	$	375,702,758	$	395,732,800	$	20,030,042
Futures Contracts Sold
	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI EAFE Index Futures		1,342	9/17/21	$	158,056,916	$	154,605,110	$	3,451,806
E-Mini MSCI Emerging Markets Index Futures		1,355	9/17/21		92,903,994		92,465,200		438,794
E-Mini Russell 2000 Index Futures		1,322	9/17/21		153,522,012		152,545,580		976,432
E-Mini S&P 500 Futures		3,222	9/17/21		678,485,753		690,893,460		(12,407,707	)
								$	(7,540,675	)
Total unrealized appreciation								$	24,897,074
Total unrealized depreciation									(12,407,707	)
Total net unrealized appreciation (depreciation)								$	12,489,367

See notes to financial statements.

38

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Assets:
Investments, at value (Cost $48,933,988 and $869,508,357)	$	72,416,964	(a)	$	931,562,777	(b)
Foreign currency, at value (Cost $— and $886,485)		—			888,393
Cash		—			96,549,683
Deposit with brokers for futures contracts		112,080			73,655,764
Receivables:
From Custody		—			3,800
Interest and dividends		60,661			3,379,183
Capital shares issued		200			5,418,891
Variation margin on open futures contracts		990			1,853,456
Reclaims		—			146,267
From Adviser		12,191			535,799
Prepaid expenses		18,303			76,632
Total Assets		72,621,389			1,114,070,645
Liabilities:
Payables:
Collateral received on loaned securities		1,732,236			47,913,226
Investments purchased		—			106,817
Capital shares redeemed		41,038			189,881
Variation margin on open futures contracts		—			1,657,482
Accrued foreign capital gains taxes		—			379,668
Accrued expenses and other payables:
Investment advisory fees		41,007			292,554
Administration fees		3,566			49,033
Custodian fees		2,245			51,132
Transfer agent fees		15,205			156,277
Compliance fees		41			582
Trustees' fees		33			126
12b-1 fees		13,245			6,006
Other accrued expenses		14,691			129,496
Total Liabilities		1,863,307			50,932,280
Net Assets:
Capital		43,262,111			1,073,815,386
Total accumulated earnings/(loss)		27,495,971			(10,677,021	)
Net Assets	$	70,758,082		$	1,063,138,365
Net Assets
Class A	$	31,504,171		$	50,735,400
Class C		24,465,162			1,975,539
Class I		14,788,749			1,007,909,223
Member Class		—			2,518,203
Total	$	70,758,082		$	1,063,138,365
Shares (unlimited number of shares authorized with a par value of $0.001 per share):
Class A		1,896,054			5,337,713
Class C		1,534,204			210,124
Class I		888,993			105,373,369
Member Class		—			264,830
Total		4,319,251			111,186,036
Net asset value, offering (except Class A) and redemption price per share:
Class A	$	16.62		$	9.51
Class C (c)		15.95			9.40
Class I		16.64			9.57
Member Class		—			9.51
Maximum Sales Charge — Class A		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	$	17.63		$	10.09

(a)  Includes $1,684,443 of securities on loan.

(b)  Includes $46,123,443 of securities on loan.

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

See notes to financial statements.

39

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Investment Income:
Dividends	$	992,114		$	20,850,758
Interest		—			8,974
Securities lending (net of fees)		3,352			87,869
Foreign tax withholding		(51	)		(1,462,517	)
Total Income		995,415			19,485,084
Expenses:
Investment advisory fees		477,736			2,194,718
Administration fees		39,753			289,616
Sub-Administration fees		18,033			17,030
12b-1 fees — Class A		74,572			62,867
12b-1 fees — Class C		242,616			9,886
Custodian fees		5,571			265,031
Transfer agent fees — Class A		31,253			10,308
Transfer agent fees — Class C		26,239			833
Transfer agent fees — Class I		12,092			556,582
Transfer agent fees — Member Class (a)		—			2,305
Trustees' fees		6,617			24,275
Compliance fees		573			3,485
Legal and audit fees		6,357			71,697
State registration and filing fees		29,548			102,463
Broker interest fees		—			183,794
Other expenses		23,498			158,831
Total Expenses		994,458			3,953,721
Expenses waived/reimbursed by Adviser		(170,552	)		(1,612,292	)
Net expenses waived/reimbursed by Distributor		(500	)		(10,000	)
Net Expenses		823,406			2,331,429
Net Investment Income (Loss)		172,009			17,153,655
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		6,107,218			57,755,331
Foreign taxes on realized gains		—			(151,989	)
Net realized gains (losses) from futures contracts		168,490			(129,812,369	)
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		15,242,243			59,535,605
Net change in unrealized appreciation/depreciation on futures contracts		(797	)		6,909,316
Net change in accrued foreign taxes on unrealized gains		—			(358,153	)
Net realized/unrealized gains (losses) on investments		21,517,154			(6,122,259	)
Change in net assets resulting from operations	$	21,689,163		$	11,031,396

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

See notes to financial statements.

40

Victory Portfolios II Statements of Changes in Net Assets

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	172,009		$	282,179		$	17,153,655		$	4,852,563
Net realized gains (losses) from investments		6,275,708			10,001,368			(72,209,027	)		(2,547,963	)
Net change in unrealized appreciation/depreciation on investments		15,241,446			(5,353,313	)		66,086,768			7,737,659
Change in net assets resulting from operations		21,689,163			4,930,234			11,031,396			10,042,259
Distributions to Shareholders:
Class A		(3,095,618	)		(3,629,656	)		(1,168,163	)		(475,577	)
Class C		(2,479,942	)		(3,821,175	)		(43,125	)		(6,981	)
Class I		(1,479,876	)		(2,728,622	)		(20,375,553	)		(4,070,545	)
Member Class (a)		—			—			(28,037	)		—
Change in net assets resulting from distributions to shareholders		(7,055,436	)		(10,179,453	)		(21,614,878	)		(4,553,103	)
Change in net assets resulting from capital transactions		(10,688,711	)		(23,493,549	)		885,507,053			94,738,075
Change in net assets		3,945,016			(28,742,768	)		874,923,571			100,227,231
Net Assets:
Beginning of period		66,813,066			95,555,834			188,214,794			87,987,563
End of period	$	70,758,082		$	66,813,066		$	1,063,138,365		$	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.

41

Victory Portfolios II Statements of Changes in Net Assets

  (continued)

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
Capital Transactions:
Class A
Proceeds from shares issued	$	1,823,429		$	1,011,964		$	45,585,137		$	10,172,219
Distributions reinvested		3,067,725			3,601,418			1,139,275			470,960
Cost of shares redeemed		(6,232,186	)		(9,875,436	)		(8,065,289	)		(31,050,301	)
Total Class A	$	(1,341,032	)	$	(5,262,054	)	$	38,659,123		$	(20,407,122	)
Class C
Proceeds from shares issued	$	514,706		$	744,798		$	1,847,869		$	286,307
Distributions reinvested		2,452,286			3,779,973			43,125			6,981
Cost of shares redeemed		(9,866,326	)		(11,854,457	)		(504,231	)		(120,324	)
Total Class C	$	(6,899,334	)	$	(7,329,686	)	$	1,386,763		$	172,964
Class I
Proceeds from shares issued	$	1,662,249		$	2,905,460		$	899,695,692		$	136,738,767
Distributions reinvested		1,458,551			2,572,276			19,340,855			3,984,071
Cost of shares redeemed		(5,569,145	)		(16,379,545	)		(76,117,382	)		(25,750,605	)
Total Class I	$	(2,448,345	)	$	(10,901,809	)	$	842,919,165		$	114,972,233
Member Class (a)
Proceeds from shares issued	$	—		$	—		$	3,115,297		$	—
Distributions reinvested		—			—			28,033			—
Cost of shares redeemed		—			—			(601,328	)		—
Total Member Class	$	—		$	—		$	2,542,002		$	—
Change in net assets resulting from capital transactions	$	(10,688,711	)	$	(23,493,549	)	$	885,507,053		$	94,738,075
Share Transactions:
Class A
Issued		130,514			73,351			4,742,117			1,055,922
Reinvested		214,063			266,210			118,861			49,332
Redeemed		(415,394	)		(715,630	)		(839,879	)		(3,220,943	)
Total Class A		(70,817	)		(376,069	)		4,021,099			(2,115,689	)
Class C
Issued		35,212			55,810			194,654			29,942
Reinvested		178,089			287,964			4,543			735
Redeemed		(699,614	)		(887,789	)		(53,678	)		(12,813	)
Total Class C		(486,313	)		(544,015	)		145,519			17,864
Class I
Issued		109,438			205,422			93,474,591			14,290,486
Reinvested		101,556			189,857			2,006,390			414,197
Redeemed		(377,582	)		(1,198,037	)		(7,886,007	)		(2,675,738	)
Total Class I		(166,588	)		(802,758	)		87,594,974			12,028,945
Member Class (a)
Issued		—			—			324,844			—
Reinvested		—			—			2,924			—
Redeemed		—			—			(62,938	)		—
Total Member Class		—			—			264,830			—
Change in Shares		(723,718	)		(1,722,842	)		92,026,422			9,931,120

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

See notes to financial statements.

42

This page is intentionally left blank.

43

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities									Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)			Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended:
June 30, 2021	$	13.42		0.07			4.77			4.84			(0.05	)		(1.59	)
June 30, 2020	$	14.26		0.08			0.88			0.96			(0.07	)		(1.73	)
June 30, 2019	$	16.50		0.13			(0.36	)		(0.23	)		(0.12	)		(1.89	)
June 30, 2018	$	16.04		0.11			1.91			2.02			(0.10	)		(1.46	)
June 30, 2017	$	13.80		0.11			2.48			2.59			(0.11	)		(0.24	)
Class C
Year Ended:
June 30, 2021	$	12.99		(0.04	)		4.59			4.55			—	(d)		(1.59	)
June 30, 2020	$	13.90		(0.03	)		0.87			0.84			(0.02	)		(1.73	)
June 30, 2019	$	16.16		0.02			(0.35	)		(0.33	)		(0.04	)		(1.89	)
June 30, 2018	$	15.78		(0.02	)		1.86			1.84			—	(d)		(1.46	)
June 30, 2017	$	13.59		—	(d)		2.44			2.44			(0.01	)		(0.24	)
Class I
Year Ended:
June 30, 2021	$	13.43		0.11			4.77			4.88			(0.08	)		(1.59	)
June 30, 2020	$	14.26		0.12			0.88			1.00			(0.10	)		(1.73	)
June 30, 2019	$	16.50		0.17			(0.36	)		(0.19	)		(0.16	)		(1.89	)
June 30, 2018	$	16.05		0.15			1.90			2.05			(0.14	)		(1.46	)
June 30, 2017	$	13.80		0.15			2.48			2.63			(0.14	)		(0.24	)

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

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

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

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

See notes to financial statements.

44

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)			Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended:
June 30, 2021		(1.64	)	$	16.62		38.05	%		0.99	%		0.47	%		1.24	%	$	31,504		68	%
June 30, 2020		(1.80	)	$	13.42		6.71	%		0.99	%		0.56	%		1.28	%	$	26,394		54	%
June 30, 2019		(2.01	)	$	14.26		(0.01	)%		0.99	%		0.84	%		1.25	%	$	33,406		120	%(c)
June 30, 2018		(1.56	)	$	16.50		12.79	%		0.99	%		0.67	%		1.19	%	$	51,671		45	%
June 30, 2017		(0.35	)	$	16.04		18.89	%		0.99	%		0.75	%		1.35	%	$	36,721		38	%
Class C
Year Ended:
June 30, 2021		(1.59	)	$	15.95		36.98	%		1.74	%		(0.29	)%		1.99	%	$	24,465		68	%
June 30, 2020		(1.75	)	$	12.99		5.96	%		1.74	%		(0.19	)%		2.03	%	$	26,240		54	%
June 30, 2019		(1.93	)	$	13.90		(0.73	)%		1.74	%		0.10	%		2.00	%	$	35,649		120	%(c)
June 30, 2018		(1.46	)	$	16.16		11.78	%		1.74	%		(0.11	)%		1.97	%	$	41,410		45	%
June 30, 2017		(0.25	)	$	15.78		18.09	%		1.74	%		0.01	%		2.12	%	$	57,620		38	%
Class I
Year Ended:
June 30, 2021		(1.67	)	$	16.64		38.43	%		0.74	%		0.71	%		0.98	%	$	14,789		68	%
June 30, 2020		(1.83	)	$	13.43		6.97	%		0.74	%		0.86	%		1.02	%	$	14,179		54	%
June 30, 2019		(2.05	)	$	14.26		0.24	%		0.74	%		1.10	%		1.00	%	$	26,501		120	%(c)
June 30, 2018		(1.60	)	$	16.50		12.97	%		0.74	%		0.91	%		0.95	%	$	36,400		45	%
June 30, 2017		(0.38	)	$	16.05		19.24	%		0.74	%		1.00	%		1.13	%	$	32,751		38	%

See notes to financial statements.

45

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities							Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities		Net Investment Income			Net Realized Gains from Investments
Victory Market Neutral Income Fund
Class A
Year Ended:
June 30, 2021	$	9.77		0.29		(0.06	)		0.23		(0.24	)		(0.25	)
June 30, 2020	$	9.51		0.27		0.23			0.50		(0.24	)		—
June 30, 2019	$	9.61		0.32		(0.13	)		0.19		(0.27	)		(0.02	)
June 30, 2018	$	9.40		0.24		0.26			0.50		(0.29	)		—
June 30, 2017	$	9.21		0.24		0.20			0.44		(0.25	)		—
Class C
Year Ended:
June 30, 2021	$	9.69		0.22		(0.08	)		0.14		(0.18	)		(0.25	)
June 30, 2020	$	9.43		0.21		0.22			0.43		(0.17	)		—
June 30, 2019	$	9.54		0.25		(0.14	)		0.11		(0.20	)		(0.02	)
June 30, 2018	$	9.33		0.17		0.26			0.43		(0.22	)		—
June 30, 2017	$	9.15		0.17		0.20			0.37		(0.19	)		—
Class I
Year Ended:
June 30, 2021	$	9.83		0.33		(0.08	)		0.25		(0.26	)		(0.25	)
June 30, 2020	$	9.55		0.31		0.23			0.54		(0.26	)		—
June 30, 2019	$	9.65		0.38		(0.16	)		0.22		(0.30	)		(0.02	)
June 30, 2018	$	9.44		0.26		0.26			0.52		(0.31	)		—
June 30, 2017	$	9.24		0.27		0.20			0.47		(0.27	)		—
Member Class
November 3, 2020(g) through June 30, 2021	$	9.62		0.25		0.04	(h)		0.29		(0.15	)		(0.25	)

(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)  Includes impact of broker interest fees. Without these broker interest fees, the net expense ratio would have been at the contractual expense cap. (See note 4 in the Notes to Financial Statements)

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

(g)  Commencement of operations.

(h)  The amount shown reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.

See notes to financial statements.

46

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
Year Ended:
June 30, 2021		(0.49	)	$	9.51		2.33	%		0.79	%(e)		3.03	%		0.95	%	$	50,735		89	%
June 30, 2020		(0.24	)	$	9.77		5.31	%		0.75	%		2.78	%		1.17	%	$	12,870		119	%(f)
June 30, 2019		(0.29	)	$	9.51		1.99	%		0.75	%		3.36	%		1.03	%	$	32,627		82	%
June 30, 2018		(0.29	)	$	9.61		5.37	%		0.89	%		2.55	%		1.18	%	$	23,847		69	%
June 30, 2017		(0.25	)	$	9.40		4.77	%		0.90	%		2.59	%		1.25	%	$	24,998		63	%
Class C
Year Ended:
June 30, 2021		(0.43	)	$	9.40		1.40	%		1.54	%(e)		2.28	%		2.29	%	$	1,976		89	%
June 30, 2020		(0.17	)	$	9.69		4.59	%		1.50	%		2.20	%		2.62	%	$	626		119	%(f)
June 30, 2019		(0.22	)	$	9.43		1.19	%		1.50	%		2.57	%		2.56	%	$	441		82	%
June 30, 2018		(0.22	)	$	9.54		4.64	%		1.64	%		1.79	%		2.51	%	$	311		69	%
June 30, 2017		(0.19	)	$	9.33		4.02	%		1.65	%		1.88	%		3.00	%	$	519		63	%
Class I
Year Ended:
June 30, 2021		(0.51	)	$	9.57		2.62	%		0.44	%(e)		3.37	%		0.75	%	$	1,007,909		89	%
June 30, 2020		(0.26	)	$	9.83		5.79	%		0.40	%		3.23	%		0.89	%	$	174,719		119	%(f)
June 30, 2019		(0.32	)	$	9.55		2.25	%		0.40	%		3.91	%		1.05	%	$	54,920		82	%
June 30, 2018		(0.31	)	$	9.65		5.62	%		0.64	%		2.72	%		1.09	%	$	19,483		69	%
June 30, 2017		(0.27	)	$	9.44		5.11	%		0.65	%		2.83	%		1.13	%	$	31,140		63	%
Member Class
November 3, 2020(g) through June 30, 2021		(0.40	)	$	9.51		3.05	%		0.60	%		3.94	%		5.38	%	$	2,518		89	%

See notes to financial statements.

47

Victory Portfolios II Notes to Financial Statements
June 30, 2021

1. Organization:

Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 24 funds, 22 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.

The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.

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 under Accounting Standards Codification Topic 946.

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)

48

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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.

Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.

Portfolio securities listed or traded on securities exchanges, including exchange-traded funds ("ETFs") 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.

In the event that price quotations or valuations are not readily available, investments 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. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.

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 June 30, 2021, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedule of Portfolio Investments:

	Level 1		Level 2		Level 3		Total
US 500 Enhanced Volatility Wtd Index Fund
Common Stocks	$	70,167,223	$	—	$	—	$	70,167,223
Investment Companies		517,505		—		—		517,505
Collateral for Securities Loaned		1,732,236		—		—		1,732,236
Total	$	72,416,964	$	—	$	—	$	72,416,964
Other Financial Investments^:
Assets:
Futures Contracts	$	8,923	$	—	$	—	$	8,923
Total	$	8,923	$	—	$	—	$	8,923

49

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Level 1			Level 2		Level 3		Total
Market Neutral Income Fund
Common Stocks	$	535,892,569		$	347,716,203	$	—	$	883,608,772
Rights		40,779			—		—		40,779
Collateral for Securities Loaned		47,913,226			—		—		47,913,226
Total	$	583,846,574		$	347,716,203	$	—	$	931,562,777
Other Financial Investments^:
Assets:
Futures Contracts	$	24,897,074		$	—	$	—	$	24,897,074
Liabilities:
Futures Contracts		(12,407,707	)		—		—		(12,407,707	)
Total	$	12,489,367		$	—	$	—	$	12,489,367

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

For the year ended June 30, 2021, there were no transfers in or out of Level 3 in the 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. The Funds 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 Funds record 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. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of June 30, 2021, the Funds had no open forward foreign exchange currency contracts.

50

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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. The Funds 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 Funds 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 Funds 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 Funds 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. The Funds 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 Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' 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 reflected on the Statements of Assets and Liabilities under Deposit with brokers for futures contracts. As of June 30, 2021, 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.

The table below, as of June 30, 2021, 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 Statements 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 Enhanced Volatility Wtd Index Fund
Futures Contracts-Goldman Sachs & Co.	$	990	$	—	$	990	$	—		$	—	$	990
Market Neutral Income Fund
Futures Contracts-Goldman Sachs & Co.		1,853,456		—		1,853,456		(1,657,482	)		—		195,974

51

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

							Gross Amounts not Offset in the Statements 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
Market Neutral Income Fund
Futures Contracts-Goldman Sachs & Co.	$	1,657,482	$	—	$	1,657,482	$	(1,657,482	)	$	—	$	—

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

Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2021:

	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	$	8,923	$	—
Market Neutral Income Fund		24,897,074		12,407,707

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

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2021:

	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	$	168,490		$	(797	)
Market Neutral Income Fund		(129,812,369	)		6,909,316

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 year end is generally representative of the notional amount of open positions to net assets throughout the year. The volume associated with futures contracts in the Market Neutral Income Fund was 79% based on average monthly notional amounts in comparison to net assets during the year.

Investment Transactions and Related Income:

Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is determined on the basis

52

Victory Portfolios II Notes to Financial Statements — continued
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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"). 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 Citibank 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 Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them.

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

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2021. 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 Cash		Value of Non-cash Collateral Received by Maturity
	(Value of Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
US 500 Enhanced Volatility Wtd Index Fund	$	1,684,443	$	1,684,443	$	—	$	—	$	—	$	—
Market Neutral Income Fund		46,123,443		46,123,443		—		—		—		—

*  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

53

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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 the Funds are charged to the Funds, while expenses that 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, 12b-1 fees, and printing 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:

Cost of purchases and proceeds from sales/maturities of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2021, were as follows:

	Excluding U.S. Government Securities
	Purchases		Sales
US 500 Enhanced Volatility Wtd Index Fund	$	55,620,700	$	42,583,590
Market Neutral Income Fund		1,008,975,596		386,756,950

For the year ended June 30, 2021, there were no purchases or sales of U.S. Government Securities.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

4. Fees and Transactions with Affiliates and Related Parties:

Investment Advisory Fees:

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

Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.

US 500 Enhanced Volatility Wtd Index Fund	0.70	%
Market Neutral Income Fund	0.35	%*

*  Effective February 1, 2021, the Adviser contractually reduced its advisory fee to 0.35%. Prior to February 1, 2021, the rate at which the Adviser was paid was 0.60% of average daily net assets of the Market Neutral Income Fund.

Amounts incurred and paid to VCM for the year ended June 30, 2021, are reflected on the Statements of Operations as Investment advisory fees.

Administration and Servicing Fees:

VCM serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), as shown in the table below.

Net Assets Up to $15 billion			Net Assets $ 15 billion - $30 billion			Net Assets Over $30 billion
	0.08	%, plus		0.05	%, plus		0.04	%

Amounts incurred for the year ended June 30, 2021, 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 year ended June 30, 2021, are reflected on the Statements of Operations as Sub-Administration 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 year ended June 30, 2021, are reflected on the Statements of Operations as Compliance fees.

Transfer Agency Fees:

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. Victory Capital Transfer Agency, Inc., an affiliate of the Adviser, serves as sub-transfer agent for the Member Class. Victory Capital Transfer Agency, Inc. receives no fee or other compensation for these services. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Transfer agent fees.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

Distributor/Underwriting Services:

Victory Capital Services, Inc. (the "Distributor"), an affiliate of the Adviser, serves as distributor for the continuous offering of the shares of the Funds pursuant to a Distribution Agreement between the Distributor and the Trust.

Pursuant to the Distribution and Service Plans adopted in accordance with Rule 12b-1 under the 1940 Act, the Distributor may receive a monthly distribution and service fee as shown in the table below

	Class A			Class C			Class I			Member Class
US 500 Enhanced Volatility Wtd Index Fund		0.25	%		1.00	%		0.00	%		N/A
Market Neutral Income Fund		0.25	%		1.00	%		0.00	%		0.00	%

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 year ended June 30, 2021, the Distributor reimbursed $500 to the US 500 Enhanced Volatility Wtd Index Fund and $10,000 to the Market Neutral Income Fund.

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 and Class C. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as 12b-1 fees.

In addition, the Distributor is entitled to receive commission on sales of Class A. For the year ended June 30, 2021, the Distributor received $3,862 from commissions earned on sales of Class A. 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.

Other Fees:

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Custodian 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 classes of the Funds in any fiscal year exceed the expense limit for such classes of the Funds. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expense, 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 Funds' business are excluded from the expense limits. As of June 30, 2021, the expense limits (excluding voluntary waivers) are as follows:

	In effect until October 31, 2021
	Class A			Class C			Class I			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	%

Under the terms of the expense limitation agreement, amended May 1, 2021, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty six (36) months) after the waiver or reimbursement took place, subject to the lesser of any

56

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount. Prior to May 1, 2021, the Funds were permitted to recoup fees waived and expenses reimbursed for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the limitations above. This change did not have any effect on the amounts previously reported for recoupment.

As of June 30, 2021, 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 June 30, 2021.

	Expires 2022		Expires 2023		Expires 2024		Total
US 500 Enhanced Volatility Wtd Index Fund	$	292,081	$	229,910	$	170,552	$	692,543
Market Neutral Income Fund		258,188		670,257		1,612,292		2,540,737

The Adviser may voluntarily waive or reimburse additional fees to assist the Fund in maintaining competitive expense ratios. These waivers are not available for recoupment and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser.

Certain officers and/or interested trustees of the Fund are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and Distributor.

5. Risks:

The Funds 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.

Stock Market Risk — Overall stock market risks may affect the value of the Fund. Domestic and international factors such as political events, war, trade disputes, interest rate levels and other fiscal and monetary policy changes, pandemics and other public health crises and related geopolitical events, as well as environmental disasters such as earthquakes, fires and floods, may add to instability in world economies and markets generally. The impact of these and other factors may be short-term or may last for extended periods.

Large Capitalization Stock Risk — The securities of large capitalization companies may underperform the securities of smaller capitalization companies or the market as a whole. The growth rate of larger, more established companies may lag those of smaller companies, especially during periods of economic expansion.

Investment Style Risk — Different types of investment styles, for example 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, the 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.

6. Borrowing and Interfund Lending:

Line of Credit:

The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2021, with a termination date of June 29, 2022. Under the agreement with Citibank, the Victory Funds Complex may borrow up

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Victory Portfolios II Notes to Financial Statements — continued
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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, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2021, Citibank also 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. For the period June 29, 2020, through April 30, 2021, under an amended Line of Credit agreement, Citibank received an annual upfront fee of 0.10% on the $300 million committed line of credit. Each Fund in the Victory Funds Complex paid a pro-rata portion of the upfront fee. Effective with the renewal, the annual commitment fee of 0.15% remains unchanged and the upfront fee of 0.10% was discontinued. Interest charged to each Fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The Funds had no borrowings under the Line of Credit during the year ended June 30, 2021.

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 lend and borrow money to or from any other fund in the Victory Funds Complex 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, if applicable, is presented on the Statements of Operations under Interfund lending fees. As a Lender, interest earned by each Fund during the period, if applicable, is presented on the Statements of Operations under Interest expense on interfund lending.

The Funds did not utilize or participate in the Facility during the year ended June 30, 2021.

7. Federal Income Tax Information:

Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

	Declared	Paid
US 500 Enhanced Volatility Wtd Index Fund	Quarterly	Quarterly
Market Neutral Income Fund	Monthly	Monthly

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 the Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

As of June 30, 2021, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:

	Total Accumulated Earnings/(Loss)			Capital
US 500 Enhanced Volatility Wtd Index Fund	$	(236,020	)	$	236,020
Market Neutral Income Fund		(2,840,530	)		2,840,530

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

	Year Ended June 30, 2021
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	2,457,972	$	4,597,464	$	7,055,436	$	7,055,436
Market Neutral Income Fund		16,574,194		5,040,684		21,614,878		21,614,878
	Year Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	1,380,360	$	8,799,093	$	10,179,453	$	10,179,453
Market Neutral Income Fund		4,553,103		—		4,553,103		4,553,103

As of June 30, 2021, the components of accumulated earnings (loss) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Loss)
US 500 Enhanced Volatility Wtd Index Fund	$	4,451,185	$	336,839	$	4,788,024	$	—		$	22,707,947	$	27,495,971
Market Neutral Income Fund		3,796,825		—		3,796,825		(70,633,978	)		56,160,132		(10,677,021	)

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

At June 30, 2021, the Fund below had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.

	Short-Term		Long-Term		Total
Market Neutral Income Fund	$	—	$	70,633,978	$	70,633,978

As of June 30, 2021, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Net Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Enhanced Volatility Wtd Index Fund	$	49,709,017	$	23,614,975	$	(907,028	)	$	22,707,947
Market Neutral Income Fund		875,021,567		75,249,329		(18,708,119	)		56,541,210

59

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios ll

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory US 500 Enhanced Volatility Wtd Index Fund and Victory Market Neutral Income Fund (the "Funds"), each a series of Victory Portfolios ll, as of June 30, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the five years in the period then ended (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 27, 2021

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Victory Portfolios II Supplemental Information
June 30, 2021

  (Unaudited)

Trustee and Officer Information

Board of Trustees:

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

The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 24 portfolios in the Trust, eight portfolios in Victory Variable Insurance Funds, and 41 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 46 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
Independent Trustees.
David Brooks Adcock, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015)	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

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  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	Vice Chair and Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016- September 2017).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer,* Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

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

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

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

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  (Unaudited)

Officers:

The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.

Name and Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser.
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, Born March 1984	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	Anti-Money Laundering Compliance Officer and Identity Theft Officer	May 2015	Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc.
Jay G. Baris, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

63

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

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

Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 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 is available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021, through June 30, 2021.

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 the 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 below are meant to highlight your ongoing costs only and do not reflect any transactional costs. If these transactional costs were included, your costs would have been higher.

	Beginning Account Value 1/1/21		Actual Ending Account Value 6/30/21		Hypothetical Ending Account Value 6/30/21		Actual Expenses Paid During Period 1/1/21- 6/30/21*		Hypothetical Expenses Paid During Period 1/1/21- 6/30/21*		Annualized Expense Ratio During Period 1/1/21- 6/30/21
US 500 Enhanced Volatility Wtd Index Fund
Class A	$	1,000.00	$	1,144.80	$	1,019.89	$	5.26	$	4.96		0.99	%
Class C		1,000.00		1,140.90		1,016.17		9.24		8.70		1.74	%
Class I		1,000.00		1,146.70		1,021.12		3.94		3.71		0.74	%
Market Neutral Income Fund
Class A		1,000.00		1,010.80		1,021.08		3.74		3.76		0.75	%
Class C		1,000.00		1,005.90		1,017.36		7.46		7.50		1.50	%
Class I		1,000.00		1,013.20		1,022.81		2.00		2.01		0.40	%
Member Class		1,000.00		1,011.60		1,022.07		2.74		2.76		0.55	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

64

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2021, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Percent
US 500 Enhanced Volatility Wtd Index Fund		28	%
Market Neutral Income Fund		91	%

Dividends qualified for corporate dividends received deductions of:

	Percent
US 500 Enhanced Volatility Wtd Index Fund		27	%
Market Neutral Income Fund		41	%

For the year ended June 30, 2021, the following Funds designated short-term capital gain distributions:

	Amount
US 500 Enhanced Volatility Wtd Index Fund	$	2,508,874
Market Neutral Income Fund		1,860,761

For the year ended June 30, 2021, the following Funds designated long-term capital gain distributions:

	Amount
US 500 Enhanced Volatility Wtd Index Fund	$	4,612,677
Market Neutral Income Fund		5,040,684

65

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration the Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.

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

At a meeting held on February 18, 2021, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure the Funds are able to meet redemption requests without significant dilution to the remaining investors' interest in the Funds. During the review period, the Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that the Funds reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

66

Privacy Policy

Protecting the Privacy of Information

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

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

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

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

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

Visit our website at:	Call Victory at:
www.vcm.com	800-539-FUND (800-539-3863)
	800-235-8396 for Member Class

VP-COMPASS-AR (6/21)

June 30, 2021

Annual Report

VictoryShares US 500 Volatility Wtd ETF

VictoryShares US Small Cap Volatility Wtd ETF

VictoryShares International 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

www.vcm.com

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

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

• Detailed performance records

• Daily share prices

• The latest fund news

• Investment resources to help you become a better investor

• A section dedicated to investment professionals

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

Victory Portfolios II

TABLE OF CONTENTS

Shareholder Letter (Unaudited)	4
Managers' Commentary / Investment Overview (Unaudited)	6
Investment Objective and Portfolio Holdings (Unaudited)	38
Schedules of Portfolio Investments
VictoryShares US 500 Volatility Wtd ETF	54
VictoryShares US Small Cap Volatility Wtd ETF	66
VictoryShares International Volatility Wtd ETF	78
VictoryShares US Large Cap High Div Volatility Wtd ETF	97
VictoryShares US Small Cap High Div Volatility Wtd ETF	101
VictoryShares International High Div Volatility Wtd ETF	105
VictoryShares Emerging Market High Div Volatility Wtd ETF	112
VictoryShares Dividend Accelerator ETF	118
VictoryShares US Multi-Factor Minimum Volatility ETF	121
VictoryShares US 500 Enhanced Volatility Wtd ETF	124
VictoryShares US EQ Income Enhanced Volatility Wtd ETF	136
VictoryShares US Discovery Enhanced Volatility Wtd ETF	140
VictoryShares Developed Enhanced Volatility Wtd ETF	152
VictoryShares Nasdaq Next 50 ETF	172
VictoryShares Top Veteran Employers ETF	175
VictoryShares Protect America ETF	177
Financial Statements
Statements of Assets and Liabilities	179
Statements of Operations	185
Statements of Changes in Net Assets	191
Financial Highlights	198
Notes to Financial Statements	210
Report of Independent Registered Public Accounting Firm	231
Supplemental Information (Unaudited)	234
Trustee and Officer Information	234
Proxy Voting and Portfolio Holdings Information	237
Expense Examples	237
Additional Federal Income Tax Information	239
Liquidity Risk Management Program	240
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 800-539-3863 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.

The Funds 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 Victory Funds.

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

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

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

Call Victory at:

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

Visit our website at:

www.vcm.com

2

This page is intentionally left blank.

3

Victory Funds Letter to Shareholders
(Unaudited)

Dear Shareholder,

Never a dull moment. A year ago, we were still coming to grips with a global pandemic, hoping for an effective vaccine, and wondering whether the U.S. Federal Reserve's (the "Fed") aggressive actions would continue to mollify financial markets. As it turns out, a vaccine was rolled out (domestically) faster than expectations, and a recovery that began during the second quarter of 2020 continued unabated.

Fast forward to today and investors are suddenly more concerned about labor shortages, rising commodity prices, and whether inflation will prove to be transitory or more lasting. If anything, this merely exemplifies that markets are unpredictable and the environment can and will change rapidly.

Reflecting on the past year, we must consider ourselves fortunate despite the myriad challenges. For starters, it was impressive how quickly the various forms of monetary and fiscal stimulus contributed to a rebound in GDP. Of course, it wasn't a straight line upward and there were bouts of elevated volatility in both bond and stock markets. Late in 2020, for example, financial markets were alternately fueled and roiled by a contentious election season, growing optimism for an effective vaccine, and a fluid debate regarding the need for even more stimulus. Ultimately, stocks were propelled higher in the fourth quarter of 2020 as it became clear Congress would provide another dose of stimulus in the form of direct payments, more unemployment insurance, and additional aid to businesses.

As we moved into 2021, stocks continued their upward trajectory. Meanwhile, the yield on the 10-Year U.S. Treasury continued rallying sharply as many investors began to shift their focus. Deflation was out; inflation was in. Indeed, the potential for a new era of inflation and higher interest rates seems to be the new worry du jour.

Through all the volatility and surprises, the S&P 500^® Index registered an impressive annual return of 40.79% for the 12-month period ended June 30, 2021. In fact, this broad market index ended the reporting period at an all-time high. Over this same period, the yield on the 10-Year U.S. Treasury jumped 79 basis points (a basis point is 1/100th of a percentage point), reflecting a very low starting rate, substantial fiscal stimulus, and the Fed's ongoing accommodative monetary policy. At the end of the reporting period, the yield on the 10-Year U.S. Treasury was 1.45%.

No doubt, the past year is not one we will forget any time soon. There were many hardships, but we should not overlook the positives and remember our collective spirit and perseverance. Markets endured and even surprised to the upside, but perhaps the key takeaway is that investors need to remain calm in the face of adversity and focused on longer-term investment goals. That's usually the best approach no matter what the markets throw at us.

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

4

From all of us here at Victory Capital, thank you for placing your confidence in us and for letting us help you work toward your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

5

VictoryShares

VictoryShares US 500 Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 42.51% for the fiscal year ended June 30, 2021, compared to the Index's return of 43.02%. The Fund outperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 40.79% during the period.

Over the reporting period, the Fund's performance relative to the S&P 500^® Index was driven by the Index's underweight positions in the largest market cap names within the S&P 500^® Index. The top 10 stocks in the S&P 500^® Index combined to make up over 28% of the Index and the Index only held 2% in these same names. This underweight cost the Fund 1.2% in relative performance. However, the Index's inclusion of other constituent securities offset this headwind and added over 3.3% to relative performance.

6

VictoryShares

VictoryShares US 500 Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap 500 Volatility Weighted Index1			S&P 500® Index2
One Year		42.51	%		42.22	%		43.02	%		40.79	%
Five Year		15.36	%		15.35	%		15.76	%		17.65	%
Since Inception		12.17	%		12.12	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US 500 Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Large Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

7

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 63.72% for the fiscal year ended June 30, 2021, compared to the Index's return of 64.35%. The Fund outperformed the Russell 2000^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 62.03% during the period.

The Fund only invests in stocks included within the Index, which includes stocks with a market cap less than $3 billion at the time of the Index's reconstitution. As the Russell 2000^® Index recovered from the drawdown due to the pandemic, it was led higher by the smaller-market cap stocks in the index. The Index's higher allocation to these smaller-market cap stocks was a tailwind during the reporting period. Underweight positions to the Real Estate and Health Care sectors were also positive contributors. Performance was held back by the Materials and Energy sector stocks included within the Index.

8

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/8/15			7/8/15
	Net Asset Value			Market Price Value			Nasdaq Victory US Small Cap 500 Volatility Weighted Index1			Russell 2000® Index2
One Year		63.72	%		63.45	%		64.35	%		62.03	%
Five Year		15.10	%		15.21	%		15.48	%		16.47	%
Since Inception		12.31	%		12.24	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Small Cap Volatility Wtd ETF — Growth of $10,000

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

²The Russell 2000^® Index measures the performance of the small-cap segment of the U.S. equity universe. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

9

VictoryShares

VictoryShares International Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 32.59% for the fiscal year ended June 30, 2021, compared to the Index's return of 33.05%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned 32.35% during the period.

The Index's country allocations, relative to the MSCI EAFE Index, were a large driver of the Fund's relative returns. The Index's overweight positions to South Korea and Canada were large positive contributors. An underweight position to and stock selection in France was a large detractor. Stock selection in Japan, relative to the MSCI EAFE Index, also detracted from relative performance.

10

VictoryShares

VictoryShares International Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	8/20/15			8/20/15
	Net Asset Value			Market Price Value			Nasdaq Victory International 500 Volatility Weighted Index1			MSCI EAFE Index2
One Year		32.59	%		32.08	%		33.05	%		32.35	%
Five Year		9.49	%		9.51	%		9.80	%		10.28	%
Since Inception		6.79	%		6.74	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares International Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory International 500 Volatility Weighted Index consists of 500 of the largest developed country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

11

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 47.74% for the fiscal year ended June 30, 2021, compared to the Index's return of 48.42%. The Fund outperformed the Russell 1000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned 43.68% during the period.

The Fund invests in high-dividend yielding U.S. Large Cap stocks included within the Index. During the reporting period, high-dividend yielding stocks underperformed low-dividend yielding stocks included within the Russell 1000^® Value Index. This market environment was not favorable to the Fund during the reporting period. The market headwind was offset by the Index's inclusion of securities within the Communication Services and Financials sectors.

12

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/8/15			7/8/15
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap High Div 100 Volatility Weighted Index1			Russell 1000® Value Index2
One Year		47.74	%		47.10	%		48.42	%		43.68	%
Five Year		12.01	%		11.88	%		12.42	%		11.87	%
Since Inception		11.81	%		11.69	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Large Cap High Div Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend yielding stocks of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The Russell 1000^® Value Index is made of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

13

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 69.75% for the fiscal year ended June 30, 2021, compared to the Index's return of 70.73%. The Fund underperformed the Russell 2000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned 73.28% during the period.

The Fund only invests in stocks included within the Index, which includes stocks with a market cap less than $3.0 billion at the time of reconstitution. As the Russell 2000^® Value Index recovered from the drawdown due to the pandemic, it was led higher by the smaller-market cap stocks in the index. The Index's higher allocation to these smaller-market cap stocks was a tailwind during the reporting period. The top positive contributors were the Index's inclusion of stocks within the Financials and Consumer Discretionary sectors. The top detractors were the Index's inclusion of stocks within the Energy and Communication Services sectors.

14

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/8/15			7/8/15
	Net Asset Value			Market Price Value			Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index1			Russell 2000® Value Index2
One Year		69.75	%		68.41	%		70.73	%		73.28	%
Five Year		15.13	%		15.03	%		15.53	%		13.62	%
Since Inception		13.26	%		13.09	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Small Cap High Div Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The Russell 2000^® Index is an index measuring the performance of approximately 2,000 smallest-cap American companies in the Russell 3000^® Index, which is made up of 3,000 of the largest U.S. stocks. It is a market cap-weighted index. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

15

VictoryShares

VictoryShares International High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 35.49% for the fiscal year ended June 30, 2021, compared to the Index's return of 36.12%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned 32.35% during the period.

The Index's country allocations, relative to the MSCI EAFE Index, were a large driver of the Fund's relative returns. The Index's overweight positions to South Korea and Canada were large positive contributors. An underweight position to and stock selection in France was a large detractor. Stock selection in Japan, relative to the MSCI EAFE Index, also detracted from relative performance.

16

VictoryShares

VictoryShares International High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	8/20/15			8/20/15
	Net Asset Value			Market Price Value			Nasdaq Victory International High Dividend 100 Volatility Weighted Index1			MSCI EAFE Index (Net)2
One Year		35.49	%		35.02	%		36.12	%		32.35	%
Five Year		5.67	%		5.40	%		6.17	%		10.28	%
Since Inception		3.02	%		2.91	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares International High Div Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory International High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory International 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Market countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

17

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 29.69% for the fiscal year ended June 30, 2021, compared to the Index's return of 30.97%. The Fund underperformed the MSCI Emerging Markets Index, a market cap-based index against which the performance of the Fund is also measured, which returned 40.90% during the period.

The Fund invests in high-dividend yielding Emerging Markets stocks included within the Index. During the reporting period, high-dividend yielding stocks underperformed low-dividend yielding stocks included within the MSCI Emerging Markets Index. This market environment was not favorable to the Fund during the reporting period.

18

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/26/17			10/26/17
	Net Asset Value			Market Price Value			Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index1			MSCI Emerging Markets Index (Net)2
One Year		29.69	%		29.79	%		30.97	%		40.90	%
Since Inception		3.86	%		3.69	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Emerging Market High Div Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory Emerging Market 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI Emerging Market Index (Net) captures large- and mid-cap representation across 27 Emerging Markets (EM) countries. With 1,412 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

19

VictoryShares

VictoryShares Dividend Accelerator ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 35.33% for the fiscal year ended June 30, 2021, compared to the Index's return of 35.82%. The Fund underperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 40.79% during the period.

The Index's underweight position and stock selection within the Consumer Staples sector was the largest detractor from the Fund's performance relative to the S&P 500^® Index over the fiscal year. The largest positive contributor to relative performance was stock selection in the Consumer Discretionary sector.

20

VictoryShares

VictoryShares Dividend Accelerator ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	4/18/17			4/18/17
	Net Asset Value			Market Price Value			Nasdaq Victory Dividend Accelerator Index1			S&P 500® Index2
One Year		35.33	%		34.85	%		35.82	%		40.79	%
Since Inception		16.01	%		15.90	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Dividend Accelerator ETF — Growth of $10,000

¹The Nasdaq Victory Dividend Accelerator Index utilizes a rules-based approach designed to identify dividend paying stocks with a higher likelihood of future dividend growth. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

21

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 26.47% for the fiscal year ended June 30, 2021, compared to the Index's return of 26.92%. The Fund underperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 40.79% during the period.

The Index's overweight position and stock selection within the Consumer Staples sector was the largest detractor from the Fund's performance relative to the S&P 500^® Index over the fiscal year. The largest positive contributor to relative performance was stock selection in the Consumer Discretionary sector.

22

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	6/22/17			6/22/17
	Net Asset Value			Market Price Value			Nasdaq Victory US Multi-Factor Minimum Volatility Index1			S&P 500® Index2
One Year		26.47	%		26.00	%		26.92	%		40.79	%
Since Inception		13.46	%		13.30	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Multi-Factor Minimum Volatility ETF — Growth of $10,000

¹The Nasdaq Victory US Multi-Factor Minimum Volatility Index utilizes a rules-based approach designed to generate investment returns with less volatility than the broader U.S. market. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

23

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 38.78% over the fiscal year ended June 30, 2021, compared to the Index's return of 39.29%. The Fund outperformed the S&P 500^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 40.79% during the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 50% allocated to T-Bills and 50% to equities during July of 2020, reallocating to 100% equities in August of 2020. The Long/Cash trigger had a negative impact on the Fund's relative performance versus the S&P 500^® Index for the fiscal year.

Over the reporting period, the Fund's performance relative to the S&P 500^® Index was driven by the Index's underweight positions in the largest-market cap names within the S&P 500^® Index. The top 10 stocks in the S&P 500^® Index combined to make up over 28% of the Index and the Index only held 2% in these same names. This underweight cost the Fund 1.2% in relative performance. However, the Index's inclusion of other constituent securities offset this headwind and added over 3.6% to relative performance.

24

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index1			S&P 500® Index2
One Year		38.78	%		38.59	%		39.29	%		40.79	%
Five Year		15.32	%		15.31	%		15.75	%		17.65	%
Since Inception		12.11	%		12.08	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US 500 Enhanced Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

25

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 42.31% for the fiscal year ended June 30, 2021, compared to the Index's return of 42.97%. The Fund underperformed the Russell 1000^® Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned 43.68% during the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities from July through November 2020, reallocating to 100% equities in December of 2020. The Long/Cash trigger had a negative impact on the Fund's relative performance versus the Russell 1000^® Value Index for the fiscal year.

The Index's equity allocation invests in high-dividend yielding U.S. Large Cap stocks. During the reporting period, high-dividend yielding stocks underperformed low-dividend yielding stocks within the Russell 1000^® Value Index. This market environment was not favorable to the Fund during the reporting period.

26

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/1/14			7/1/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index1			Russell 1000® Value Index2
One Year		42.31	%		41.65	%		42.97	%		43.68	%
Five Year		14.15	%		14.10	%		14.59	%		11.87	%
Since Inception		12.43	%		12.34	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US EQ Income Enhanced Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The Russell 1000^® Value Index is made of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

27

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 56.47% for the fiscal year ended June 30, 2021, compared to the Index's return of 57.19%, The Fund underperformed the Russell 2000^® Index, a market cap-based index against which the performance of the Fund is also measured, which returned 62.03% during the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities from July through November 2020, reallocating to 100% equities in December of 2020. The Long/Cash trigger had a negative impact on the Fund's relative performance versus Russell 2000^® Index for the fiscal year.

The Index only includes stocks with a market cap less than $3 billion at the time of reconstitution. As the Russell 2000^® Index recovered from the drawdown due to the pandemic, it was led higher by the smaller-market cap stocks in the index. The Index's higher allocation to these smaller-market cap stocks was a tailwind during the reporting period. Underweight positions to the Real Estate and Health Care sectors were also positive contributors. Performance was held back by the Index's inclusion of stocks within the Materials and Energy sectors.

28

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	7/31/14			7/31/14
	Net Asset Value			Market Price Value			Nasdaq Victory US Small Cap 500 Long/ Cash Volatility Weighted Index1			Russell 2000® Index2
One Year		56.47	%		56.01	%		57.19	%		62.03	%
Five Year		13.97	%		13.96	%		14.44	%		16.47	%
Since Inception		9.53	%		9.48	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Discovery Enhanced Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The Russell 2000^® Index is a market cap-weighted index composed of 2,000 U.S. small-cap common stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

29

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

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

The Fund returned 29.63% for the fiscal year ended June 30, 2021, compared to the Index's return of 30.40%. The Fund underperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned 32.35% during the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 50% allocated to T-Bills and 50% to equities during July of 2020, reallocating to 100% equities in August of 2020. The Long/Cash trigger had a negative impact on the Fund's relative performance versus the MSCI EAFE Index for the fiscal year.

The Index's country allocations, relative to the MSCI EAFE Index, were a large driver of the Fund's relative returns. The Index's overweight positions to South Korea and Canada were large positive contributors. An underweight position to and stock selection in France was a large detractor. Stock selection in Japan, relative to the MSCI EAFE Index, also detracted from relative performance.

30

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	9/30/14			9/30/14
	Net Asset Value			Market Price Value			Nasdaq Victory International 500 Long/Cash Volatility Weighted Index1			MSCI EAFE Index (Net)2
One Year		29.63	%		28.88	%		30.40	%		32.35	%
Five Year		5.60	%		5.27	%		6.14	%		10.28	%
Since Inception		1.74	%		1.61	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Developed Enhanced Volatility Wtd ETF — Growth of $10,000

¹The Nasdaq Victory International 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when the market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

31

VictoryShares

VictoryShares Nasdaq Next 50 ETF

Managers' Commentary
(Unaudited)

VictoryShares Nasdaq Next 50 ETF offers exposure to the new generation of innovators, the 50 stocks that are next in line for inclusion in the Nasdaq-100 Index^®. The Fund seeks to provide investment results that track the performance of the Nasdaq Q-50 Index^® (the "Index") before fees and expenses.

The Fund returned 35.26% from its inception on September 9, 2020, to the period ended June 30, 2021, compared to the Index's return of 35.36% during the period.

The Index's large weight and stock selection within the Technology sector was the largest contributor to the Fund's performance. The Index's inclusion of stocks within the Consumer Discretionary and Communication Services sectors were also large contributors.

32

VictoryShares

VictoryShares Nasdaq Next 50 ETF

Investment Overview
(Unaudited)

Cummulative Total Return

Period Ended June 30, 2021

INCEPTION DATE	9/9/20			9/9/20
	Net Asset Value			Market Price Value			Nasdaq Q-50 Index1
Since Inception		35.26	%		36.70	%		35.36	%

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Nasdaq Next 50 ETF — Growth of $10,000

¹The Nasdaq Q-50 Index is a market capitalization-weighted index designed to track the performance of companies that are next-eligible for inclusion into the Nasdaq-100^® Index. The Index is comprised of 50 securities ranked by market capitalization and reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade, and biotechnology. It does not contain securities of financial companies including banking and investment companies, as these are ineligible for Nasdaq-100^® Index inclusion. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

33

VictoryShares

VictoryShares Top Veteran Employers ETF

Managers' Commentary
(Unaudited)

VictoryShares Top Veteran Employers ETF offers exposure to publicly traded companies that have demonstrated support of U.S. military veterans, service members and their families through employment opportunities and related policies. The Fund seeks to provide investment results that track the performance of the Veterans Select Index^SM (the "Index") before fees and expenses.

The Fund returned 27.12% from its inception on November 3, 2020, to the period ended June 30, 2021, compared to the Index's return of 27.88% during the period.

The Index's large weight and stock selection within the Financials and Industrials sectors were the largest contributors to the Fund's performance. The Index's inclusion of stocks within the Consumer Discretionary sector was the next largest contributor.

34

VictoryShares

VictoryShares Top Veteran Employers ETF

Investment Overview
(Unaudited)

Cummulative Total Return

Period Ended June 30, 2021

INCEPTION DATE	11/3/20			11/3/20
	Net Asset Value			Market Price Value			Veterans Select IndexSM1
Since Inception		27.12	%		26.84	%		27.88	%

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Top Veteran Employers ETF — Growth of $10,000

¹The Veterans Select Index^SM, designed by VETS Indexes LLC, measures the performance of publicly traded companies that support U.S. military veterans. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

35

VictoryShares

VictoryShares Protect America ETF

Managers' Commentary
(Unaudited)

VictoryShares Protect America ETF offers exposure to companies that rank highly according to current and projected U.S. national security revenue as measured by the size of signed defense-related contracts with the four select U.S. government agencies (U.S. Department of Defense, U.S. Department of Energy, U.S. Department of Homeland Security, and NASA) and/or that may be innovative in the area of defense in terms of intellectual property contribution or exposure. The Fund seeks to provide investment results that track the performance of the Nasdaq Yewno Aerospace & Defense Index^® (the "Index") before fees and expenses.

The Fund returned 29.17% from its inception on November 4, 2020, to the period ended June 30, 2021, compared to the Index's return of 29.84% during the period.

The Index's large weight and stock selection within the Industrials sector was the largest contributor to the Fund's performance. The Index's inclusion of stocks within the Technology sector was the second largest contributor to performance.

36

VictoryShares

VictoryShares Protect America ETF

Investment Overview
(Unaudited)

Cummulative Total Return

Period Ended June 30, 2021

INCEPTION DATE	11/4/20			11/4/20
	Net Asset Value			Market Price Value			Nasdaq Yewno Aerospace & Defense Index1
Since Inception		29.17	%		28.96	%		29.84	%

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Protect America ETF — Growth of $10,000

¹The Nasdaq Yewno Aerospace & Defense Index, published by Nasdaq, contains companies that are selected based on proprietary data aggregated through a unique artificial intelligence framework by Yewno, Inc. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

37

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Colgate-Palmolive Co.	0.4	%
The Procter & Gamble Co.	0.4	%
PepsiCo, Inc.	0.4	%
Waste Management, Inc.	0.4	%
Costco Wholesale Corp.	0.4	%
Verizon Communications, Inc.	0.4	%
Mondelez International, Inc., Class A	0.4	%
Republic Services, Inc.	0.3	%
The Hershey Co.	0.3	%
Expeditors International of Washington, Inc.	0.3	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

38

Victory Portfolios II
VictoryShares US Small Cap Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Apollo Medical Holdings, Inc.	0.5	%
Hostess Brands, Inc.	0.4	%
American National Group, Inc.	0.4	%
CorVel Corp.	0.4	%
The Joint Corp.	0.4	%
Coca-Cola Consolidated, Inc.	0.4	%
MGE Energy, Inc.	0.4	%
Prestige Consumer Healthcare, Inc.	0.4	%
Perficient, Inc.	0.4	%
ExlService Holdings, Inc.	0.3	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

39

Victory Portfolios II
VictoryShares International Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Canadian Imperial Bank of Commerce	0.4	%
Nestle SA	0.4	%
Loblaw Cos. Ltd.	0.4	%
Royal Bank of Canada	0.4	%
Fortis, Inc.	0.4	%
Power Assets Holdings Ltd.	0.4	%
George Weston Ltd.	0.4	%
BCE, Inc.	0.4	%
Emera, Inc.	0.4	%
Hong Kong and China Gas Co. Ltd.	0.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

40

Victory Portfolios II
VictoryShares US Large Cap High Div Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

The Procter & Gamble Co.	1.8	%
PepsiCo, Inc.	1.7	%
Verizon Communications, Inc.	1.7	%
Alliant Energy Corp.	1.5	%
Kimberly-Clark Corp.	1.4	%
Kellogg Co.	1.4	%
WEC Energy Group, Inc.	1.4	%
The Blackstone Group, Inc.	1.4	%
CMS Energy Corp.	1.4	%
General Mills, Inc.	1.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

41

Victory Portfolios II
VictoryShares US Small Cap High Div Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

American National Group, Inc.	1.9	%
MGE Energy, Inc.	1.7	%
American States Water Co.	1.5	%
Unitil Corp.	1.5	%
Otter Tail Corp.	1.5	%
InterDigital, Inc.	1.4	%
CSG Systems International, Inc.	1.4	%
Avista Corp.	1.4	%
Universal Corp.	1.4	%
Ennis, Inc.	1.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

42

Victory Portfolios II
VictoryShares International High Div Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Canadian Imperial Bank of Commerce	1.9	%
Fortis, Inc.	1.7	%
Power Assets Holdings Ltd.	1.7	%
BCE, Inc.	1.6	%
Emera, Inc.	1.6	%
Swisscom AG	1.6	%
Hydro One Ltd.	1.5	%
CLP Holdings Ltd.	1.5	%
TELUS Corp.	1.5	%
Power Corp. of Canada	1.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

43

Victory Portfolios II
VictoryShares Emerging Market High Div Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Chunghwa Telecom Co. Ltd.	2.7	%
China Development Financial Holding Corp.	2.2	%
Far EasTone Telecommunications Co. Ltd.	2.1	%
Mobile TeleSystems PJSC	1.9	%
Taiwan Cement Corp.	1.9	%
CEZ A/S	1.8	%
Sinopac Financial Holdings Co. Ltd.	1.8	%
Taiwan High Speed Rail Corp.	1.6	%
Asia Cement Corp.	1.6	%
Intouch Holdings PCL	1.5	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

44

Victory Portfolios II
VictoryShares Dividend Accelerator ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Target Corp.	3.5	%
3M Co.	3.3	%
ResMed, Inc.	3.2	%
Xcel Energy, Inc.	2.7	%
Dollar General Corp.	2.7	%
McDonald's Corp.	2.6	%
Aon PLC	2.3	%
Alliant Energy Corp.	2.3	%
W.W. Grainger, Inc.	2.2	%
NIKE, Inc., Class B	2.1	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

45

Victory Portfolios II
VictoryShares US Multi-Factor Minimum Volatility ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Apple, Inc.	6.8	%
Microsoft Corp.	6.5	%
Johnson & Johnson	4.0	%
Target Corp.	3.8	%
Oracle Corp.	3.6	%
Walmart, Inc.	3.5	%
eBay, Inc.	3.4	%
AbbVie, Inc.	3.4	%
Verizon Communications, Inc.	3.4	%
3M Co.	3.3	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

46

Victory Portfolios II
VictoryShares US 500 Enhanced Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

BlackRock Liquidity Funds T-Fund, Institutional Class	0.4	%
Colgate-Palmolive Co.	0.4	%
The Procter & Gamble Co.	0.4	%
PepsiCo, Inc.	0.4	%
Waste Management, Inc.	0.4	%
Costco Wholesale Corp.	0.4	%
Verizon Communications, Inc.	0.4	%
Mondelez International, Inc., Class A	0.4	%
Republic Services, Inc.	0.3	%
The Hershey Co.	0.3	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

47

Victory Portfolios II
VictoryShares US EQ Income Enhanced Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective 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.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

The Procter & Gamble Co.	1.8	%
PepsiCo, Inc.	1.7	%
Verizon Communications, Inc.	1.7	%
Alliant Energy Corp.	1.5	%
Kimberly-Clark Corp.	1.4	%
Kellogg Co.	1.4	%
WEC Energy Group, Inc.	1.4	%
The Blackstone Group, Inc., Class A	1.4	%
CMS Energy Corp.	1.4	%
General Mills, Inc.	1.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

48

Victory Portfolios II
VictoryShares US Discovery Enhanced Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Apollo Medical Holdings, Inc.	0.5	%
Hostess Brands, Inc.	0.4	%
American National Group, Inc.	0.4	%
CorVel Corp.	0.4	%
The Joint Corp.	0.4	%
Coca-Cola Consolidated, Inc.	0.4	%
MGE Energy, Inc.	0.4	%
BlackRock Liquidity Funds T-Fund, Institutional Class	0.4	%
Prestige Consumer Healthcare, Inc.	0.4	%
Perficient, Inc.	0.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

49

Victory Portfolios II
VictoryShares Developed Enhanced Volatility Wtd ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Canadian Imperial Bank of Commerce	0.4	%
Nestle SA	0.4	%
Loblaw Cos. Ltd.	0.4	%
Royal Bank of Canada	0.4	%
Fortis, Inc.	0.4	%
Power Assets Holdings Ltd.	0.4	%
George Weston Ltd.	0.4	%
BCE, Inc.	0.4	%
Emera, Inc.	0.4	%
Hong Kong and China Gas Co. Ltd.	0.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

50

Victory Portfolios II
VictoryShares Nasdaq Next 50 ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Q-50 Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Roku, Inc.	4.6	%
Crowdstrike Holdings, Inc., Class A	4.3	%
Fortinet, Inc.	3.4	%
The Trade Desk, Inc.	2.9	%
Airbnb, Inc.	2.6	%
Old Dominion Freight Line, Inc.	2.6	%
Zscaler, Inc.	2.5	%
Zebra Technologies Corp.	2.5	%
Liberty Broadband Corp., Class C	2.4	%
Garmin Ltd.	2.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

51

Victory Portfolios II
VictoryShares Top Veteran Employers ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Veterans Select Index before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Amazon.com, Inc.	2.1	%
CDW Corp.	2.0	%
Accenture PLC, Class A	2.0	%
Merck & Co., Inc.	2.0	%
Eaton Corp. PLC	2.0	%
Marsh & McLennan Cos., Inc.	2.0	%
Booz Allen Hamilton Holding Corp.	1.9	%
Humana, Inc.	1.9	%
PG&E Corp.	1.9	%
DaVita, Inc.	1.9	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

52

Victory Portfolios II
VictoryShares Protect America ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks to provide investment results that track the performance of the Nasdaq Yewno Aerospace & Defense Index^TM before fees and expenses.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Northrop Grumman Corp.	8.7	%
Raytheon Technologies Corp.	8.5	%
General Dynamics Corp.	8.0	%
Lockheed Martin Corp.	7.9	%
The Boeing Co.	7.3	%
Booz Allen Hamilton Holding Corp.	4.1	%
Oshkosh Corp.	4.1	%
Science Applications International Corp.	4.1	%
Leidos Holdings, Inc.	4.1	%
Jacobs Engineering Group, Inc.	4.0	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

53

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF Schedule of Portfolio Investments
June 30, 2021

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.9%):
Activision Blizzard, Inc.		13,524	$	1,290,731
Alphabet, Inc., Class A (a)		653		1,594,489
Altice USA, Inc., Class A (a)		35,341		1,206,542
Cable One, Inc.		672		1,285,408
Charter Communications, Inc., Class A (a)		2,343		1,690,357
Comcast Corp., Class A		28,808		1,642,632
Discovery, Inc., Class A (a) (b)		17,283		530,242
DISH Network Corp., Class A (a)		31,142		1,301,736
Electronic Arts, Inc.		10,429		1,500,003
Facebook, Inc., Class A (a)		4,025		1,399,533
Fox Corp., Class A		27,815		1,032,771
Liberty Broadband Corp., Class C (a)		9,319		1,618,338
Netflix, Inc. (a)		1,600		845,136
Omnicom Group, Inc.		15,051		1,203,929
Sirius XM Holdings, Inc. (b)		212,319		1,388,566
Take-Two Interactive Software, Inc. (a)		6,609		1,169,925
The Interpublic Group of Cos., Inc.		39,408		1,280,366
The New York Times Co., Class A		23,571		1,026,517
T-Mobile U.S., Inc. (a)		12,310		1,782,857
Verizon Communications, Inc.		44,552		2,496,249
ViacomCBS, Inc., Class B		14,209		642,247
				27,928,574
Consumer Discretionary (10.0%):
Advance Auto Parts, Inc.		8,590		1,762,153
Amazon.com, Inc. (a)		372		1,279,739
Aptiv PLC (a)		6,916		1,088,094
AutoZone, Inc. (a)		1,467		2,189,087
Best Buy Co., Inc.		11,556		1,328,709
Booking Holdings, Inc. (a)		396		866,484
BorgWarner, Inc.		23,245		1,128,312
Bright Horizons Family Solutions, Inc. (a)		6,267		921,938
CarMax, Inc. (a)		8,828		1,140,136
Chipotle Mexican Grill, Inc. (a)		874		1,354,997
D.R. Horton, Inc.		12,244		1,106,490
Deckers Outdoor Corp. (a)		3,297		1,266,279
Dollar General Corp.		9,912		2,144,858
Dollar Tree, Inc. (a)		13,035		1,296,982
Domino's Pizza, Inc.		4,529		2,112,733
eBay, Inc.		20,670		1,451,241
Etsy, Inc. (a)		2,924		601,876
Five Below, Inc. (a)		5,797		1,120,386
Floor & Decor Holdings, Inc., Class A (a)		9,557		1,010,175
Garmin Ltd.		13,516		1,954,954
General Motors Co. (a)		17,615		1,042,280
Gentex Corp.		44,718		1,479,719
Genuine Parts Co.		12,861		1,626,531
Hasbro, Inc.		12,774		1,207,398

See notes to financial statements.

54

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June 30, 2021

Security Description	Shares		Value
L Brands, Inc.		10,460	$	753,748
Lear Corp.		6,352		1,113,379
Lennar Corp., Class A		10,869		1,079,835
Lithia Motors, Inc., Class A		1,962		674,222
LKQ Corp. (a)		26,373		1,298,079
Lowe's Cos., Inc.		8,426		1,634,391
McDonald's Corp.		10,541		2,434,866
Mohawk Industries, Inc. (a)		4,187		804,700
NIKE, Inc., Class B		10,272		1,586,921
NVR, Inc. (a)		248		1,233,378
O'Reilly Automotive, Inc. (a)		3,796		2,149,333
Peloton Interactive, Inc., Class A (a)		4,747		588,723
Pool Corp.		3,236		1,484,224
PulteGroup, Inc.		20,685		1,128,780
RH (a) (b)		1,720		1,167,880
Ross Stores, Inc.		8,238		1,021,512
Service Corp. International		29,745		1,594,035
Starbucks Corp.		12,787		1,429,714
Target Corp. (c)		8,268		1,998,706
Tesla, Inc. (a)		777		528,127
The Home Depot, Inc.		6,783		2,163,031
The TJX Cos., Inc.		17,203		1,159,826
Tractor Supply Co.		8,345		1,552,671
Ulta Beauty, Inc. (a)		2,958		1,022,788
Vail Resorts, Inc. (a)		3,444		1,090,095
Wayfair, Inc., Class A (a)		2,016		636,471
Whirlpool Corp.		5,767		1,257,321
Williams-Sonoma, Inc.		7,420		1,184,603
Yum! Brands, Inc.		17,565		2,020,502
				70,273,412
Consumer Staples (8.6%):
Altria Group, Inc.		38,195		1,821,138
Archer-Daniels-Midland Co.		26,751		1,621,111
Brown-Forman Corp., Class B		22,868		1,713,728
Bunge Ltd.		16,354		1,278,065
Campbell Soup Co.		35,483		1,617,670
Church & Dwight Co., Inc.		22,498		1,917,280
Colgate-Palmolive Co.		34,155		2,778,509
Conagra Brands, Inc.		48,150		1,751,697
Constellation Brands, Inc., Class A		6,092		1,424,858
Costco Wholesale Corp.		6,445		2,550,093
Darling Ingredients, Inc. (a)		14,221		959,917
General Mills, Inc.		33,685		2,052,427
Hormel Foods Corp.		39,967		1,908,424
Kellogg Co.		33,678		2,166,506
Keurig Dr Pepper, Inc.		64,661		2,278,654
Kimberly-Clark Corp.		16,267		2,176,199
Lamb Weston Holdings, Inc.		11,997		967,678
McCormick & Co., Inc.		21,245		1,876,358
Mondelez International, Inc., Class A		39,671		2,477,057

See notes to financial statements.

55

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June 30, 2021

Security Description	Shares		Value
Monster Beverage Corp. (a)		18,280	$	1,669,878
PepsiCo, Inc.		17,306		2,564,230
Philip Morris International, Inc.		18,909		1,874,071
The Boston Beer Co., Inc., Class A (a)		680		694,144
The Clorox Co.		8,056		1,449,355
The Coca-Cola Co.		35,072		1,897,746
The Estee Lauder Cos., Inc.		4,869		1,548,732
The Hershey Co.		14,157		2,465,866
The J.M. Smucker Co.		14,136		1,831,602
The Kraft Heinz Co.		40,302		1,643,516
The Kroger Co.		44,055		1,687,747
The Procter & Gamble Co.		20,336		2,743,936
Tyson Foods, Inc., Class A		19,150		1,412,504
Walmart, Inc.		13,514		1,905,744
				60,726,440
Energy (0.5%):
Kinder Morgan, Inc.		79,334		1,446,259
ONEOK, Inc.		15,900		884,676
The Williams Cos., Inc.		45,364		1,204,414
				3,535,349
Financials (16.0%):
Aflac, Inc.		25,685		1,378,257
Alleghany Corp. (a)		1,867		1,245,420
Ally Financial, Inc.		21,165		1,054,864
American Express Co.		7,183		1,186,847
American Financial Group, Inc.		9,283		1,157,776
Ameriprise Financial, Inc.		5,202		1,294,674
Aon PLC, Class A		6,875		1,641,475
Apollo Global Management, Inc. (b)		20,649		1,284,368
Arch Capital Group Ltd. (a)		32,397		1,261,539
Ares Management Corp., Class A		29,540		1,878,449
Arthur J. Gallagher & Co.		15,388		2,155,551
Athene Holding Ltd., Class A (a)		18,470		1,246,725
Bank of America Corp.		29,879		1,231,911
Berkshire Hathaway, Inc., Class B (a)		8,216		2,283,391
BlackRock, Inc.		2,216		1,938,933
Brown & Brown, Inc.		38,082		2,023,677
Capital One Financial Corp.		7,264		1,123,668
Cboe Global Markets, Inc.		12,719		1,514,197
Chubb Ltd.		7,926		1,259,758
Cincinnati Financial Corp.		9,996		1,165,733
Citigroup, Inc.		14,133		999,910
Citizens Financial Group, Inc.		17,592		806,945
CME Group, Inc.		7,039		1,497,054
Comerica, Inc.		10,647		759,557
Commerce Bancshares, Inc.		16,544		1,233,521
Discover Financial Services		8,698		1,028,886
East West Bancorp, Inc.		10,882		780,131
Erie Indemnity Co., Class A		6,505		1,257,742

See notes to financial statements.

56

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June 30, 2021

Security Description	Shares		Value
Everest Re Group Ltd.		5,261	$	1,325,825
FactSet Research Systems, Inc.		4,100		1,376,001
Fidelity National Financial, Inc.		33,382		1,450,782
Fifth Third Bancorp		24,261		927,498
First Horizon Corp.		48,066		830,580
First Republic Bank		8,070		1,510,462
Franklin Resources, Inc.		37,501		1,199,657
Globe Life, Inc.		13,166		1,254,061
Huntington Bancshares, Inc.		51,764		738,672
Interactive Brokers Group, Inc.		17,164		1,128,190
Intercontinental Exchange, Inc.		16,164		1,918,667
Invesco Ltd.		37,904		1,013,174
JPMorgan Chase & Co.		7,909		1,230,166
KeyCorp		39,174		808,943
KKR & Co., Inc.		25,484		1,509,672
Lincoln National Corp.		11,328		711,851
LPL Financial Holdings, Inc.		7,923		1,069,447
M&T Bank Corp.		5,007		727,567
Markel Corp. (a)		1,221		1,448,973
MarketAxess Holdings, Inc.		2,100		973,539
Marsh & McLennan Cos., Inc.		16,463		2,316,015
MetLife, Inc.		18,370		1,099,444
Moody's Corp.		5,509		1,996,296
Morgan Stanley		15,213		1,394,880
Morningstar, Inc.		6,184		1,589,968
MSCI, Inc.		2,715		1,447,312
Nasdaq, Inc.		11,980		2,106,084
Northern Trust Corp.		11,756		1,359,229
Principal Financial Group, Inc.		16,130		1,019,255
Raymond James Financial, Inc.		9,771		1,269,253
Regions Financial Corp.		39,246		791,984
Reinsurance Group of America, Inc.		6,374		726,636
RenaissanceRe Holdings Ltd.		8,546		1,271,816
S&P Global, Inc.		4,383		1,799,002
Santander Consumer USA Holdings, Inc.		36,950		1,342,024
SEI Investments Co.		23,403		1,450,284
Signature Bank		3,240		795,906
State Street Corp.		13,912		1,144,679
SVB Financial Group (a)		1,937		1,077,805
Synchrony Financial		22,580		1,095,582
T. Rowe Price Group, Inc.		9,014		1,784,502
The Allstate Corp.		15,571		2,031,081
The Bank of New York Mellon Corp.		26,537		1,359,490
The Blackstone Group, Inc., Class A		21,535		2,091,910
The Carlyle Group, Inc.		36,524		1,697,635
The Charles Schwab Corp.		17,380		1,265,438
The Goldman Sachs Group, Inc.		3,654		1,386,803
The Hartford Financial Services Group, Inc.		20,002		1,239,524
The PNC Financial Services Group, Inc.		6,416		1,223,916
The Progressive Corp.		17,402		1,709,050

See notes to financial statements.

57

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June 30, 2021

Security Description	Shares		Value
The Travelers Cos., Inc.		9,254	$	1,385,416
Tradeweb Markets, Inc., Class A		16,778		1,418,748
Truist Financial Corp.		16,346		907,203
U.S. Bancorp		20,457		1,165,435
W.R. Berkley Corp.		19,104		1,421,911
Wells Fargo & Co.		25,209		1,141,716
Western Alliance Bancorp		7,862		729,987
Zions Bancorp NA		13,489		713,029
				112,610,934
Health Care (14.3%):
Abbott Laboratories		12,835		1,487,962
AbbVie, Inc.		14,759		1,662,454
ABIOMED, Inc. (a)		3,293		1,027,778
Agilent Technologies, Inc.		14,168		2,094,172
Align Technology, Inc. (a)		1,179		720,369
Amedisys, Inc. (a)		4,532		1,110,023
Amgen, Inc.		6,531		1,591,931
Anthem, Inc.		3,781		1,443,586
Avantor, Inc. (a)		37,114		1,317,918
Baxter International, Inc.		22,368		1,800,624
Becton, Dickinson & Co.		6,833		1,661,717
Biogen, Inc. (a)		2,064		714,701
BioMarin Pharmaceutical, Inc. (a)		9,580		799,355
Bio-Rad Laboratories, Inc., Class A (a)		1,919		1,236,393
Bio-Techne Corp.		3,002		1,351,681
Bruker Corp.		20,757		1,577,117
Cardinal Health, Inc.		23,903		1,364,622
Catalent, Inc. (a)		9,762		1,055,467
Centene Corp. (a)		18,177		1,325,649
Cerner Corp.		23,915		1,869,196
Charles River Laboratories International, Inc. (a)		4,368		1,615,811
Cigna Corp.		5,049		1,196,966
CVS Health Corp.		20,544		1,714,191
Danaher Corp.		7,299		1,958,760
DaVita, Inc. (a)		12,908		1,554,510
Denali Therapeutics, Inc. (a)		6,806		533,863
DexCom, Inc. (a)		2,285		975,695
Edwards Lifesciences Corp. (a)		16,046		1,661,884
Eli Lilly & Co.		4,895		1,123,500
Encompass Health Corp.		16,536		1,290,304
Gilead Sciences, Inc. (c)		26,787		1,844,553
HCA Healthcare, Inc.		6,071		1,255,119
Henry Schein, Inc. (a)		18,596		1,379,637
Hologic, Inc. (a)		14,584		973,044
Horizon Therapeutics PLC (a)		7,850		735,074
Humana, Inc.		3,709		1,642,048
IDEXX Laboratories, Inc. (a)		2,293		1,448,144
Illumina, Inc. (a)		2,160		1,022,134
Insulet Corp. (a)		3,636		998,118
Intuitive Surgical, Inc. (a)		1,681		1,545,915

See notes to financial statements.

58

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June 30, 2021

Security Description	Shares		Value
IQVIA Holdings, Inc. (a)		7,159	$	1,734,769
Jazz Pharmaceuticals PLC (a)		6,359		1,129,613
Johnson & Johnson (c)		13,650		2,248,701
Laboratory Corp. of America Holdings (a)		5,841		1,611,240
Masimo Corp. (a)		4,993		1,210,553
Medtronic PLC		12,270		1,523,075
Merck & Co., Inc.		25,998		2,021,864
Mettler-Toledo International, Inc. (a)		1,276		1,767,694
Molina Healthcare, Inc. (a)		4,556		1,152,941
Neurocrine Biosciences, Inc. (a)		7,943		773,013
Novocure Ltd. (a)		4,680		1,038,118
Organon & Co. (a)		2,599		78,646
PerkinElmer, Inc.		9,260		1,429,837
Pfizer, Inc.		44,266		1,733,457
PPD, Inc. (a)		32,834		1,513,319
Quest Diagnostics, Inc.		12,798		1,688,952
Regeneron Pharmaceuticals, Inc. (a)		2,673		1,492,977
Repligen Corp. (a)		4,463		890,904
ResMed, Inc.		6,631		1,634,674
Seagen, Inc. (a)		5,569		879,234
STERIS PLC		9,002		1,857,113
Stryker Corp.		5,486		1,424,879
Syneos Health, Inc. (a)		13,616		1,218,496
Teleflex, Inc.		3,443		1,383,363
The Cooper Cos., Inc.		3,590		1,422,609
Thermo Fisher Scientific, Inc.		3,096		1,561,839
UnitedHealth Group, Inc.		4,455		1,783,960
Universal Health Services, Inc., Class B		8,159		1,194,722
Veeva Systems, Inc., Class A (a)		3,718		1,156,112
Vertex Pharmaceuticals, Inc. (a)		4,797		967,219
Waters Corp. (a)		4,824		1,667,223
West Pharmaceutical Services, Inc.		4,901		1,759,949
Zoetis, Inc.		10,664		1,987,343
				100,620,393
Industrials (17.3%):
3M Co.		8,996		1,786,875
Advanced Drainage Systems, Inc.		7,106		828,346
AGCO Corp.		8,017		1,045,256
Allegion PLC		11,601		1,616,019
AMERCO, Inc.		2,475		1,458,765
AMETEK, Inc.		13,292		1,774,482
AO Smith Corp.		21,664		1,561,108
Builders FirstSource, Inc. (a)		17,408		742,625
C.H. Robinson Worldwide, Inc.		14,956		1,400,928
Carlisle Cos., Inc.		9,252		1,770,648
Carrier Global Corp.		31,295		1,520,937
Caterpillar, Inc.		5,668		1,233,527
Cintas Corp.		4,288		1,638,016
Copart, Inc. (a)		13,524		1,782,869
CoStar Group, Inc. (a) (c)		13,940		1,154,511

See notes to financial statements.

59

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June 30, 2021

Security Description	Shares		Value
CSX Corp.		49,230	$	1,579,298
Cummins, Inc.		5,679		1,384,597
Deere & Co.		3,658		1,290,213
Dover Corp.		13,491		2,031,745
Eaton Corp. PLC		10,672		1,581,377
Emerson Electric Co.		14,822		1,426,469
Enphase Energy, Inc. (a)		2,839		521,326
Equifax, Inc.		8,217		1,968,054
Expeditors International of Washington, Inc.		19,234		2,435,024
Fastenal Co.		34,091		1,772,732
FedEx Corp.		4,278		1,276,256
Fortive Corp.		21,821		1,521,796
Fortune Brands Home & Security, Inc.		13,982		1,392,747
Generac Holdings, Inc. (a)		2,647		1,098,902
General Dynamics Corp.		9,460		1,780,940
General Electric Co.		71,810		966,563
Graco, Inc.		24,396		1,846,777
HEICO Corp.		9,129		1,272,765
Honeywell International, Inc.		6,974		1,529,747
Howmet Aerospace, Inc. (a)		26,816		924,347
Hubbell, Inc.		8,300		1,550,772
IAA, Inc. (a)		20,447		1,115,179
IDEX Corp.		7,762		1,708,028
Illinois Tool Works, Inc.		8,603		1,923,287
J.B. Hunt Transport Services, Inc.		9,603		1,564,809
Jacobs Engineering Group, Inc.		11,651		1,554,476
Johnson Controls International PLC		26,874		1,844,363
Kansas City Southern		6,442		1,825,469
L3Harris Technologies, Inc.		7,662		1,656,141
Lennox International, Inc.		5,240		1,838,192
Lockheed Martin Corp.		5,029		1,902,722
Masco Corp.		27,382		1,613,074
Nordson Corp.		7,398		1,623,935
Norfolk Southern Corp.		5,804		1,540,440
Northrop Grumman Corp.		5,341		1,941,080
Old Dominion Freight Line, Inc.		6,511		1,652,492
Otis Worldwide Corp.		25,408		2,077,612
PACCAR, Inc.		15,900		1,419,075
Parker-Hannifin Corp.		3,894		1,195,886
Quanta Services, Inc.		13,673		1,238,364
Republic Services, Inc. (c)		22,467		2,471,595
Robert Half International, Inc.		12,481		1,110,435
Rockwell Automation, Inc.		6,032		1,725,273
Rollins, Inc.		37,628		1,286,878
Roper Technologies, Inc.		3,944		1,854,469
Snap-on, Inc.		5,975		1,334,994
Stanley Black & Decker, Inc.		8,196		1,680,098
Teledyne Technologies, Inc. (a)		3,211		1,344,863
Textron, Inc.		18,642		1,282,010
The Middleby Corp. (a)		5,577		966,271

See notes to financial statements.

60

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June 30, 2021

Security Description	Shares		Value
The Toro Co.		18,317	$	2,012,672
Trane Technologies PLC		9,126		1,680,462
TransDigm Group, Inc. (a)		1,866		1,207,843
TransUnion		14,574		1,600,371
Trex Co., Inc. (a)		10,485		1,071,672
Union Pacific Corp.		7,090		1,559,304
United Parcel Service, Inc., Class B		7,563		1,572,877
United Rentals, Inc. (a)		2,824		900,884
Verisk Analytics, Inc.		9,609		1,678,884
W.W. Grainger, Inc.		4,293		1,880,334
Waste Management, Inc.		18,270		2,559,810
Watsco, Inc.		4,890		1,401,670
Westinghouse Air Brake Technologies Corp.		13,839		1,138,950
XPO Logistics, Inc. (a)		8,000		1,119,120
Xylem, Inc.		13,918		1,669,603
				121,813,325
Information Technology (16.4%):
Accenture PLC, Class A		5,931		1,748,399
Adobe, Inc. (a)		2,454		1,437,161
Advanced Micro Devices, Inc. (a)		9,095		854,293
Akamai Technologies, Inc. (a)		12,836		1,496,678
Amphenol Corp., Class A		13,067		893,913
Analog Devices, Inc.		8,752		1,506,744
ANSYS, Inc. (a)		3,334		1,157,098
Apple, Inc.		8,628		1,181,691
Applied Materials, Inc.		8,007		1,140,197
Arista Networks, Inc. (a) (b)		3,859		1,398,154
Aspen Technology, Inc. (a)		5,594		769,399
Autodesk, Inc. (a)		4,066		1,186,865
Automatic Data Processing, Inc.		8,459		1,680,127
Black Knight, Inc. (a)		19,517		1,521,936
Booz Allen Hamilton Holding Corp.		18,083		1,540,310
Broadcom, Inc.		2,871		1,369,008
Broadridge Financial Solutions, Inc.		12,516		2,021,709
Cadence Design Systems, Inc. (a)		8,380		1,146,552
CDW Corp.		7,677		1,340,788
Ciena Corp. (a)		18,428		1,048,369
Cisco Systems, Inc.		32,951		1,746,403
Citrix Systems, Inc.		8,659		1,015,441
Cognex Corp.		14,521		1,220,490
Cognizant Technology Solutions Corp., Class A		19,741		1,367,262
Corning, Inc.		33,664		1,376,858
Dell Technologies, Inc., Class C (a)		14,949		1,489,967
Dolby Laboratories, Inc., Class A		15,183		1,492,337
Dynatrace, Inc. (a)		14,728		860,410
Entegris, Inc.		9,838		1,209,779
EPAM Systems, Inc. (a)		3,115		1,591,640
F5 Networks, Inc. (a)		6,363		1,187,718
Fair Isaac Corp. (a)		2,413		1,212,967
Fidelity National Information Services, Inc.		9,947		1,409,192

See notes to financial statements.

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Security Description	Shares		Value
First Solar, Inc. (a)		8,485	$	767,977
Fiserv, Inc. (a)		11,062		1,182,417
FleetCor Technologies, Inc. (a)		3,627		928,730
Fortinet, Inc. (a)		6,112		1,455,817
Gartner, Inc. (a)		6,487		1,571,151
Global Payments, Inc.		6,020		1,128,991
HP, Inc.		43,659		1,318,065
II-VI, Inc. (a) (b)		9,020		654,762
Intel Corp.		16,476		924,963
International Business Machines Corp.		11,284		1,654,122
Intuit, Inc.		3,219		1,577,857
IPG Photonics Corp. (a)		4,896		1,031,930
Jack Henry & Associates, Inc.		8,749		1,430,549
Keysight Technologies, Inc. (a)		9,713		1,499,784
KLA Corp.		3,115		1,009,914
Lam Research Corp.		1,615		1,050,881
Leidos Holdings, Inc.		14,498		1,465,748
Manhattan Associates, Inc. (a)		9,077		1,314,713
Marvell Technology, Inc.		19,817		1,155,926
Mastercard, Inc., Class A		3,353		1,224,147
Microchip Technology, Inc.		6,720		1,006,253
Micron Technology, Inc. (a)		10,877		924,327
Microsoft Corp. (c)		5,758		1,559,842
MKS Instruments, Inc.		5,624		1,000,791
Monolithic Power Systems, Inc.		2,385		890,678
Motorola Solutions, Inc.		8,347		1,810,047
NetApp, Inc.		15,113		1,236,546
NVIDIA Corp.		1,662		1,329,766
NXP Semiconductors NV		5,932		1,220,331
ON Semiconductor Corp. (a)		23,437		897,168
Oracle Corp.		27,281		2,123,553
Paychex, Inc.		18,053		1,937,087
Paycom Software, Inc. (a)		2,475		899,588
Paylocity Holding Corp. (a)		4,873		929,768
PayPal Holdings, Inc. (a)		3,679		1,072,355
PTC, Inc. (a)		7,124		1,006,336
Qorvo, Inc. (a)		5,141		1,005,837
QUALCOMM, Inc.		6,837		977,212
salesforce.com, Inc. (a)		3,923		958,271
Seagate Technology Holdings PLC		15,958		1,403,187
ServiceNow, Inc. (a) (c)		1,955		1,074,370
Skyworks Solutions, Inc.		5,461		1,047,147
Square, Inc., Class A (a)		2,993		729,693
SS&C Technologies Holdings, Inc.		23,466		1,690,960
Synopsys, Inc. (a)		4,653		1,283,251
TE Connectivity Ltd.		10,958		1,481,631
Teradyne, Inc.		7,461		999,476
Texas Instruments, Inc.		8,547		1,643,588
The Trade Desk, Inc., Class A (a)		8,040		621,974
The Western Union Co.		57,527		1,321,395

See notes to financial statements.

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Security Description	Shares		Value
Trimble, Inc. (a)		16,384	$	1,340,703
Tyler Technologies, Inc. (a)		3,236		1,463,869
Universal Display Corp.		5,167		1,148,779
VeriSign, Inc. (a)		8,244		1,877,076
Visa, Inc., Class A		7,209		1,685,608
VMware, Inc., Class A (a) (b)		8,960		1,433,331
Western Digital Corp. (a)		11,292		803,652
Zebra Technologies Corp. (a)		2,277		1,205,649
Zoom Video Communications, Inc., Class A (a)		1,305		505,074
				115,514,468
Materials (5.4%):
Air Products & Chemicals, Inc.		5,121		1,473,209
Albemarle Corp.		4,807		809,787
AptarGroup, Inc.		13,629		1,919,508
Avery Dennison Corp.		7,193		1,512,256
Ball Corp.		17,928		1,452,527
Celanese Corp.		8,799		1,333,928
CF Industries Holdings, Inc.		20,463		1,052,821
Corteva, Inc.		25,376		1,125,426
Crown Holdings, Inc.		13,868		1,417,448
Dow, Inc.		16,781		1,061,902
Eastman Chemical Co.		10,239		1,195,403
FMC Corp.		13,618		1,473,468
Freeport-McMoRan, Inc.		22,249		825,660
International Flavors & Fragrances, Inc.		8,351		1,247,639
International Paper Co.		23,472		1,439,068
LyondellBasell Industries NV, Class A		8,281		851,867
Martin Marietta Materials, Inc.		3,229		1,135,995
Newmont Corp.		21,498		1,362,543
Nucor Corp.		18,123		1,738,539
Packaging Corp. of America		10,307		1,395,774
PPG Industries, Inc.		10,523		1,786,490
Reliance Steel & Aluminum Co.		9,714		1,465,843
RPM International, Inc.		20,643		1,830,621
Steel Dynamics, Inc.		22,609		1,347,496
The Mosaic Co.		23,904		762,777
The Scotts Miracle-Gro Co.		4,944		948,853
The Sherwin-Williams Co.		7,476		2,036,836
Vulcan Materials Co.		6,606		1,149,907
Westlake Chemical Corp.		12,153		1,094,864
				38,248,455
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		12,319		1,056,108
eXp World Holdings, Inc. (a) (b)		7,211		279,571
Jones Lang LaSalle, Inc. (a)		4,853		948,567
				2,284,246

See notes to financial statements.

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Security Description	Shares		Value
Utilities (6.8%):
Alliant Energy Corp.		40,115	$	2,236,812
Ameren Corp.		26,182		2,095,607
American Electric Power Co., Inc. (c)		24,286		2,054,353
American Water Works Co., Inc.		12,729		1,961,921
Atmos Energy Corp.		19,163		1,841,756
CMS Energy Corp.		35,263		2,083,338
Consolidated Edison, Inc. (c)		26,731		1,917,147
DTE Energy Co.		13,487		1,747,915
Duke Energy Corp. (c)		19,888		1,963,343
Edison International		25,861		1,495,283
Entergy Corp.		17,689		1,763,593
Essential Utilities, Inc.		36,938		1,688,067
Evergy, Inc. (c)		26,660		1,611,064
Eversource Energy (c)		22,385		1,796,173
Exelon Corp.		39,426		1,746,966
FirstEnergy Corp.		27,601		1,027,033
NextEra Energy, Inc. (c)		20,792		1,523,638
NRG Energy, Inc.		33,402		1,346,101
Pinnacle West Capital Corp.		22,124		1,813,504
PPL Corp.		57,744		1,615,100
Public Service Enterprise Group, Inc.		28,303		1,690,821
Sempra Energy		12,517		1,658,252
The AES Corp.		40,766		1,062,770
The Southern Co. (c)		31,537		1,908,304
UGI Corp.		31,664		1,466,360
Vistra Corp.		51,227		950,261
WEC Energy Group, Inc. (c)		23,553		2,095,039
Xcel Energy, Inc. (c)		30,591		2,015,335
				48,175,856
Total Common Stocks (Cost $516,571,927)				701,731,452
Collateral for Securities Loaned^ (0.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		128,022		128,022
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		3,467,700		3,467,700
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		63,889		63,889
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		509,433		509,433
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		2,290,510		2,290,510
Total Collateral for Securities Loaned (Cost $6,459,554)				6,459,554
Total Investments (Cost $523,031,481) — 100.4%				708,191,006
Liabilities in excess of other assets — (0.4)%				(2,753,532	)
NET ASSETS — 100.00%			$	705,437,474

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		16	9/17/21	$	3,377,119	$	3,430,880	$	53,761
Total unrealized appreciation								$	53,761
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	53,761

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.1%):
AMC Networks, Inc., Class A (a)		458	$	30,594
Cogent Communications Holdings, Inc. (b)		982		75,506
Consolidated Communications Holdings, Inc. (a)		7,515		66,057
Gray Television, Inc.		2,769		64,795
IDT Corp., Class B (a)		1,446		53,444
Loral Space & Communications, Inc.		710		27,584
MSG Networks, Inc., Class A (a)		2,447		35,677
QuinStreet, Inc. (a)		2,031		37,736
Sciplay Corp., Class A (a) (c)		2,079		35,239
Shenandoah Telecommunications Co.		1,319		63,985
TechTarget, Inc. (a)		482		37,350
Telephone & Data Systems, Inc.		2,996		67,889
The EW Scripps Co., Class A		1,934		39,434
TrueCar, Inc. (a)		5,382		30,408
United States Cellular Corp. (a)		1,981		71,930
WideOpenWest, Inc. (a)		2,739		56,725
				794,353
Consumer Discretionary (11.6%):
1-800-Flowers.com, Inc., Class A (a)		1,224		39,009
Adtalem Global Education, Inc. (a)		1,398		49,825
American Public Education, Inc. (a)		1,617		45,826
America's Car-Mart, Inc. (a)		372		52,720
Beazer Homes USA, Inc. (a)		2,009		38,754
Big Lots, Inc.		498		32,873
Boot Barn Holdings, Inc. (a)		571		47,993
Camping World Holdings, Inc., Class A (c)		854		35,005
Carriage Services, Inc.		1,674		61,888
Cavco Industries, Inc. (a)		212		47,104
Century Communities, Inc.		679		45,181
Citi Trends, Inc. (a)		466		40,542
Clarus Corp.		3,312		85,118
Core-Mark Holding Co., Inc.		1,750		78,767
Duluth Holdings, Inc., Class B (a)		2,630		54,310
El Pollo Loco Holdings, Inc. (a)		2,330		42,616
Ethan Allen Interiors, Inc.		1,860		51,336
Franchise Group, Inc.		958		33,789
Gentherm, Inc. (a)		850		60,392
G-III Apparel Group Ltd. (a)		975		32,038
Green Brick Partners, Inc. (a)		2,002		45,525
Group 1 Automotive, Inc.		240		37,063
GrowGeneration Corp. (a)		420		20,202
Haverty Furniture Cos., Inc.		1,202		51,398
Hibbett, Inc. (a)		544		48,759
Jack in the Box, Inc.		633		70,542
Johnson Outdoors, Inc., Class A		478		57,838
Kontoor Brands, Inc.		1,002		56,523
Lands' End, Inc. (a)		844		34,646

See notes to financial statements.

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Security Description	Shares		Value
La-Z-Boy, Inc.		1,439	$	53,301
LGI Homes, Inc. (a)		367		59,432
Liquidity Services, Inc. (a)		1,557		39,626
Lumber Liquidators Holdings, Inc. (a)		1,250		26,375
M/I Homes, Inc. (a)		744		43,650
Malibu Boats, Inc., Class A (a)		544		39,892
MarineMax, Inc. (a)		784		38,212
Monarch Casino & Resort, Inc. (a)		667		44,135
Monro, Inc.		922		58,556
Motorcar Parts of America, Inc. (a)		1,818		40,796
Nautilus, Inc. (a)		1,280		21,568
OneWater Marine, Inc.		1,035		43,501
Overstock.com, Inc. (a)		266		24,525
Papa John's International, Inc.		596		62,246
Perdoceo Education Corp. (a)		3,786		46,454
PetMed Express, Inc. (b)		800		25,480
Sally Beauty Holdings, Inc. (a)		2,283		50,386
Shoe Carnival, Inc.		805		57,630
Skyline Champion Corp. (a)		886		47,224
Smith & Wesson Brands, Inc.		1,815		62,980
Standard Motor Products, Inc.		1,293		56,052
Strategic Education, Inc.		491		37,345
Stride, Inc. (a)		1,503		48,291
Sturm Ruger & Co., Inc. (b)		720		64,786
Superior Group of Cos., Inc.		1,277		30,533
The Buckle, Inc.		958		47,661
The Container Store Group, Inc. (a)		1,376		17,943
Tri Pointe Homes, Inc. (a)		2,060		44,146
Tupperware Brands Corp. (a)		549		13,039
Turtle Beach Corp. (a)		1,085		34,633
Universal Electronics, Inc. (a)		871		42,243
Vista Outdoor, Inc. (a)		989		45,771
Winmark Corp.		416		79,905
Winnebago Industries, Inc.		570		38,737
WW International, Inc. (a)		1,161		41,959
XPEL, Inc. (a)		598		50,154
Zumiez, Inc. (a)		893		43,748
				3,020,497
Consumer Staples (6.9%):
B&G Foods, Inc. (c)		1,488		48,806
Cal-Maine Foods, Inc.		2,228		80,676
Central Garden & Pet Co., Class A (a)		1,755		84,767
Coca-Cola Consolidated, Inc.		236		94,903
Edgewell Personal Care Co.		1,931		84,771
elf Beauty, Inc. (a)		2,005		54,416
Fresh Del Monte Produce, Inc.		2,299		75,591
Hostess Brands, Inc. (a)		6,755		109,363
Ingles Markets, Inc., Class A		1,235		71,964
Inter Parfums, Inc.		712		51,264
John B Sanfilippo & Son, Inc.		892		79,004

See notes to financial statements.

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Security Description	Shares		Value
Medifast, Inc.		177	$	50,088
MGP Ingredients, Inc.		823		55,668
Natural Grocers by Vitamin Cottage, Inc.		2,406		25,840
Nu Skin Enterprises, Inc., Class A		811		45,943
PriceSmart, Inc.		771		70,169
Seneca Foods Corp., Class A (a)		824		42,090
SpartanNash Co.		2,272		43,872
Sprouts Farmers Market, Inc. (a)		2,825		70,201
The Andersons, Inc.		1,413		43,139
The Simply Good Foods Co. (a)		1,754		64,039
Tootsie Roll Industries, Inc.		1,618		54,866
TreeHouse Foods, Inc. (a)		1,071		47,681
Turning Point Brands, Inc.		915		41,880
United Natural Foods, Inc. (a)		1,129		41,750
Universal Corp.		1,397		79,587
USANA Health Sciences, Inc. (a)		593		60,741
Vector Group Ltd.		3,652		51,639
Veru, Inc. (a)		1,114		8,990
Weis Markets, Inc. (b)		1,343		69,379
				1,803,087
Energy (1.4%):
Bonanza Creek Energy, Inc.		1,025		48,247
Cactus, Inc., Class A		1,084		39,804
Clean Energy Fuels Corp. (a)		1,419		14,403
Diamond S Shipping, Inc. (a)		4,413		43,953
Dorian LPG Ltd. (a)		3,407		48,107
Helix Energy Solutions Group, Inc. (a)		4,783		27,311
International Seaways, Inc.		2,264		43,424
REX American Resources Corp. (a)		351		31,653
W&T Offshore, Inc. (a)		8,122		39,392
World Fuel Services Corp. (b)		1,095		34,744
				371,038
Financials (24.7%):
1st Source Corp.		1,105		51,338
Allegiance Bancshares, Inc.		1,257		48,319
American Equity Investment Life Holding Co.		1,052		34,001
American National Group, Inc.		732		108,739
AMERISAFE, Inc.		1,391		83,029
Atlantic Union Bankshares Corp.		1,089		39,444
Axos Financial, Inc. (a)		1,029		47,735
B Riley Financial, Inc.		835		63,042
BancFirst Corp.		644		40,205
Banner Corp.		790		42,826
BGC Partners, Inc., Class A		9,067		51,410
Brightsphere Investment Group, Inc.		2,269		53,163
Brookline Bancorp, Inc.		3,456		51,667
Capitol Federal Financial, Inc.		4,584		54,000
Cathay General Bancorp		1,193		46,956
City Holding Co.		790		59,440

See notes to financial statements.

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Security Description	Shares		Value
Columbia Financial, Inc. (a) (b)		4,253	$	73,237
Community Trust Bancorp, Inc.		1,322		53,382
ConnectOne Bancorp, Inc.		1,734		45,379
Cowen, Inc., Class A		1,359		55,787
Crossfirst Bankshares, Inc. (a)		3,218		44,247
Customers Bancorp, Inc.		1,362		53,104
CVB Financial Corp.		2,399		49,395
Dime Community Bancshares, Inc.		1,453		48,850
Eagle Bancorp, Inc.		888		49,799
eHealth, Inc. (a)		458		26,747
Employers Holdings, Inc.		2,026		86,713
Encore Capital Group, Inc. (a)		1,201		56,915
Enova International, Inc. (a)		1,288		44,062
Enterprise Financial Services Corp.		1,009		46,808
FB Financial Corp.		1,072		40,007
Federal Agricultural Mortgage Corp., Class C		693		68,538
Federated Hermes, Inc.		1,858		63,005
First BanCorp/Puerto Rico		3,847		45,856
First Bancorp/Southern Pines NC		1,085		44,387
First Busey Corp.		2,111		52,057
First Commonwealth Financial Corp.		3,148		44,292
First Financial Bancorp		1,792		42,345
First Foundation, Inc.		2,250		50,647
First Interstate BancSystem, Inc., Class A		1,171		48,983
First Merchants Corp.		1,076		44,837
First Midwest Bancorp, Inc.		2,202		43,666
FirstCash, Inc.		913		69,790
Flagstar Bancorp, Inc.		1,303		55,078
Flushing Financial Corp.		2,207		47,296
Fulton Financial Corp.		2,738		43,206
German American Bancorp, Inc.		1,504		55,949
Great Southern Bancorp, Inc., Class A		1,033		55,679
Green Dot Corp., Class A (a)		946		44,320
HarborOne Bancorp, Inc.		4,744		68,029
Heartland Financial USA, Inc.		1,007		47,319
Heritage Financial Corp.		1,838		45,987
Hilltop Holdings, Inc.		1,532		55,765
HomeStreet, Inc.		1,196		48,725
Hope Bancorp, Inc.		3,212		45,546
Horace Mann Educators Corp.		1,699		63,577
Horizon Bancorp, Inc.		2,525		44,011
Independent Bank Corp.		562		42,431
International Bancshares Corp.		1,104		47,406
James River Group Holdings Ltd.		1,317		49,414
Kearny Financial Corp.		4,476		53,488
Lakeland Bancorp, Inc.		2,955		51,653
Lakeland Financial Corp.		879		54,182
Live Oak Bancshares, Inc.		687		40,533
Merchants Bancorp		1,496		58,703
Meridian Bancorp, Inc.		2,918		59,702

See notes to financial statements.

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Security Description	Shares		Value
Meta Financial Group, Inc.		882	$	44,656
Mr. Cooper Group, Inc. (a)		1,451		47,970
National Bank Holdings Corp., Class A		1,312		49,515
National Western Life Group, Inc., Class A		225		50,488
Navient Corp.		3,513		67,906
NBT Bancorp, Inc.		1,460		52,516
Nelnet, Inc., Class A		945		71,092
Nicolet Bankshares, Inc. (a)		841		59,156
NMI Holdings, Inc., Class A (a)		1,845		41,476
Northfield Bancorp, Inc.		3,816		62,582
Northwest Bancshares, Inc. (b)		3,823		52,146
Oceanfirst Financial Corp.		2,096		43,681
OFG Bancorp		2,178		48,177
Old National Bancorp		3,013		53,059
Origin Bancorp, Inc.		1,264		53,669
Palomar Holdings, Inc. (a)		455		34,334
Park National Corp.		358		42,036
Piper Sandler Cos.		500		64,780
PJT Partners, Inc., Class A		979		69,881
PRA Group, Inc. (a)		1,603		61,667
Preferred Bank		824		52,134
Premier Financial Corp.		1,341		38,098
Provident Financial Services, Inc.		2,355		53,906
QCR Holdings, Inc.		1,116		53,668
Renasant Corp.		1,239		49,560
S&T Bancorp, Inc.		1,426		44,634
Safety Insurance Group, Inc. (b)		966		75,618
Sandy Spring Bancorp, Inc.		1,181		52,118
Sculptor Capital Management, Inc.		1,781		43,795
Seacoast Banking Corp. of Florida		1,202		41,048
ServisFirst Bancshares, Inc.		1,075		73,078
Silvergate Capital Corp., Class A (a)		196		22,211
SiriusPoint Ltd. (a)		5,621		56,603
Southside Bancshares, Inc. (b)		1,648		63,003
Stewart Information Services Corp.		1,163		65,930
Stock Yards Bancorp, Inc.		1,093		55,623
StoneX Group, Inc. (a)		885		53,693
The Bancorp, Inc. (a)		1,914		44,041
The First Bancshares, Inc.		1,557		58,279
Tompkins Financial Corp. (c)		641		49,716
Towne Bank		1,679		51,075
TriCo Bancshares		1,122		47,775
Tristate Capital Holdings, Inc. (a)		1,628		33,195
Triumph Bancorp, Inc. (a)		543		40,318
TrustCo Bank Corp.		1,583		54,424
Trustmark Corp.		1,718		52,914
United Community Banks, Inc.		1,370		43,854
Univest Financial Corp.		1,743		45,963
Veritex Holdings, Inc.		1,549		54,850
Victory Capital Holdings, Inc., Class A (d)		2,309		74,558

See notes to financial statements.

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Security Description	Shares		Value
Virtus Investment Partners, Inc.		197	$	54,721
Washington Federal, Inc.		1,664		52,882
Washington Trust Bancorp, Inc.		1,057		54,277
WesBanco, Inc.		1,410		50,238
Westamerica Bancorp		1,129		65,516
World Acceptance Corp. (a)		249		39,900
WSFS Financial Corp.		797		37,132
				6,417,283
Health Care (9.4%):
Accuray, Inc. (a)		6,215		28,092
Addus HomeCare Corp. (a)		543		47,371
Amneal Pharmaceuticals, Inc. (a)		6,027		30,858
Amphastar Pharmaceuticals, Inc. (a)		4,110		82,858
Antares Pharma, Inc. (a)		11,075		48,287
Apollo Medical Holdings, Inc. (a)		2,056		129,137
Atrion Corp.		111		68,923
BioDelivery Sciences International, Inc. (a)		9,737		34,859
Brookdale Senior Living, Inc. (a)		4,193		33,125
Cara Therapeutics, Inc. (a)		2,676		38,187
Catalyst Pharmaceuticals, Inc. (a)		9,790		56,293
Co-Diagnostics, Inc. (a)		1,303		10,750
Coherus Biosciences, Inc. (a)		2,671		36,940
Collegium Pharmaceutical, Inc. (a)		1,873		44,278
Community Health Systems, Inc. (a)		2,834		43,757
Computer Programs and Systems, Inc.		1,677		55,727
Corcept Therapeutics, Inc. (a)		983		21,626
CorVel Corp. (a)		744		99,919
Eagle Pharmaceuticals, Inc. (a)		1,390		59,492
Endo International PLC (a)		3,943		18,453
Fulgent Genetics, Inc. (a)		165		15,218
Hanger, Inc. (a)		2,016		50,965
HealthStream, Inc. (a)		3,185		88,989
Infusystem Holdings, Inc. (a)		2,719		56,528
Innoviva, Inc. (a)		4,440		59,540
Integer Holdings Corp. (a)		556		52,375
Ironwood Pharmaceuticals, Inc. (a) (c)		5,807		74,736
LeMaitre Vascular, Inc.		940		57,359
Meridian Bioscience, Inc. (a)		1,390		30,830
ModivCare, Inc. (a)		398		67,688
National HealthCare Corp. (b)		769		53,753
National Research Corp.		1,167		53,565
NextGen Healthcare, Inc. (a)		2,297		38,107
Orthofix Medical, Inc. (a)		1,117		44,803
Owens & Minor, Inc.		472		19,980
Phibro Animal Health Corp., Class A		2,465		71,189
Prestige Consumer Healthcare, Inc. (a)		1,772		92,321
Retractable Technologies, Inc. (a) (c)		1,085		12,543
SIGA Technologies, Inc. (a)		8,180		51,370
Simulations Plus, Inc.		557		30,585
Supernus Pharmaceuticals, Inc. (a)		1,475		45,415

See notes to financial statements.

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Security Description	Shares		Value
Surmodics, Inc. (a)		957	$	51,917
The Joint Corp. (a)		1,149		96,424
The Pennant Group, Inc. (a)		519		21,227
Triple-S Management Corp., Class B (a)		1,979		44,072
U.S. Physical Therapy, Inc.		338		39,164
Vanda Pharmaceuticals, Inc. (a)		2,240		48,182
Vericel Corp. (a)		891		46,778
Zynex, Inc. (a)		1,865		28,963
				2,433,518
Industrials (20.4%):
ACCO Brands Corp.		5,057		43,642
AeroVironment, Inc. (a)		338		33,851
Alamo Group, Inc.		427		65,194
Albany International Corp.		639		57,037
Ameresco, Inc., Class A (a)		673		42,211
American Woodmark Corp. (a)		469		38,313
Apogee Enterprises, Inc.		1,152		46,921
ArcBest Corp.		756		43,992
Arcosa, Inc.		887		52,102
Argan, Inc.		1,233		58,925
Astec Industries, Inc.		702		44,184
Atlas Air Worldwide Holdings, Inc. (a)		960		65,386
AZZ, Inc.		1,078		55,819
Barnes Group, Inc.		848		43,460
Barrett Business Services, Inc.		808		58,669
Blue Bird Corp. (a)		1,363		33,884
Brady Corp., Class A		1,260		70,610
CAI International, Inc.		835		46,760
Casella Waste Systems, Inc. (a)		1,330		84,362
CBIZ, Inc. (a)		2,581		84,579
Columbus McKinnon Corp.		1,093		52,726
Comfort Systems USA, Inc.		804		63,347
Construction Partners, Inc., Class A (a)		1,395		43,803
CRA International, Inc.		813		69,593
CSW Industrials, Inc.		439		52,004
Daseke, Inc. (a)		5,209		33,754
Deluxe Corp.		904		43,184
Ducommun, Inc. (a)		821		44,794
Dycom Industries, Inc. (a)		485		36,147
Echo Global Logistics, Inc. (a)		1,698		52,197
Encore Wire Corp.		1,036		78,518
Energy Recovery, Inc. (a)		2,680		61,050
Enerpac Tool Group Corp.		2,145		57,100
Ennis, Inc. (b)		3,628		78,075
ESCO Technologies, Inc.		634		59,476
Evoqua Water Technologies Corp. (a)		1,852		62,561
Federal Signal Corp.		1,852		74,506
Forrester Research, Inc. (a)		1,158		53,036
Forward Air Corp.		775		69,556
Gibraltar Industries, Inc. (a)		579		44,183

See notes to financial statements.

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Security Description	Shares		Value
Global Industrial Co.		1,182	$	43,391
GMS, Inc. (a)		1,148		55,265
Great Lakes Dredge & Dock Corp. (a)		3,596		52,538
Griffon Corp.		1,605		41,136
Healthcare Services Group		1,729		54,585
Heartland Express, Inc.		4,960		84,965
Helios Technologies, Inc.		897		70,011
Herc Holdings, Inc. (a)		438		49,087
Heritage-Crystal Clean, Inc. (a)		1,402		41,611
HNI Corp.		1,385		60,898
Hub Group, Inc., Class A (a)		1,204		79,440
Hyster-Yale Materials Handling, Inc.		513		37,439
ICF International, Inc.		726		63,786
IES Holdings, Inc. (a)		993		51,000
Insteel Industries, Inc.		1,563		50,250
JELD-WEN Holding, Inc. (a)		1,260		33,088
Kadant, Inc.		312		54,940
Kforce, Inc.		885		55,693
Kimball International, Inc., Class B		3,379		44,434
Knoll, Inc.		2,052		53,331
Lindsay Corp.		408		67,434
Marten Transport Ltd.		3,821		63,008
Matson, Inc.		518		33,152
McGrath RentCorp		790		64,440
Meritor, Inc. (a)		1,436		33,631
Miller Industries, Inc.		1,840		72,570
Mueller Industries, Inc.		1,463		63,363
Mueller Water Products, Inc., Class A		5,410		78,012
MYR Group, Inc. (a)		837		76,100
National Presto Industries, Inc.		558		56,721
Northwest Pipe Co. (a)		1,309		36,979
NV5 Global, Inc. (a)		473		44,703
Omega Flex, Inc.		228		33,450
PAE, Inc. (a)		5,490		48,861
Patrick Industries, Inc.		525		38,325
PGT Innovations, Inc. (a)		2,129		49,457
Powell Industries, Inc.		1,624		50,263
Primoris Services Corp.		1,458		42,909
Quanex Building Products Corp.		2,248		55,840
Radiant Logistics, Inc. (a)		7,036		48,759
Raven Industries, Inc.		1,191		68,899
Resources Connection, Inc.		4,501		64,634
Rush Enterprises, Inc., Class A		1,452		62,784
SPX Corp. (a)		992		60,591
SPX Flow, Inc.		838		54,671
Standex International Corp.		579		54,953
Steelcase, Inc., Class A		2,619		39,573
Sterling Construction Co., Inc. (a)		1,563		37,715
Tennant Co.		816		65,158
Terex Corp.		956		45,525

See notes to financial statements.

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Security Description	Shares		Value
The Gorman-Rupp Co.		1,765	$	60,787
The Greenbrier Cos., Inc.		920		40,094
Titan Machinery, Inc. (a)		1,775		54,919
Tutor Perini Corp. (a)		2,279		31,564
U.S. Xpress Enterprise, Inc., Class A (a)		3,133		26,944
Vectrus, Inc. (a)		988		47,019
Veritiv Corp. (a)		1,347		82,733
Werner Enterprises, Inc.		1,725		76,797
				5,309,736
Information Technology (11.1%):
A10 Networks, Inc. (a)		4,294		48,350
ACM Research, Inc., Class A (a)		227		23,204
ADTRAN, Inc.		2,746		56,705
Alpha & Omega Semiconductor Ltd. (a)		852		25,892
American Software, Inc., Class A		2,602		57,140
Avid Technology, Inc. (a)		1,820		71,253
Axcelis Technologies, Inc. (a)		1,073		43,371
AXT, Inc. (a)		1,923		21,114
Benchmark Electronics, Inc.		2,010		57,205
Calix, Inc. (a)		786		37,335
Cambium Networks Corp. (a)		550		26,592
Casa Systems, Inc. (a)		3,604		31,967
Cass Information Systems, Inc.		1,301		53,016
ChannelAdvisor Corp. (a)		1,259		30,858
Clearfield, Inc. (a)		1,113		41,682
CSG Systems International, Inc.		1,704		80,395
CTS Corp.		1,747		64,918
Digi International, Inc. (a)		1,761		35,414
Ebix, Inc.		881		29,866
eGain Corp. (a)		2,596		29,802
ePlus, Inc. (a)		656		56,869
EVERTEC, Inc.		1,744		76,126
ExlService Holdings, Inc. (a)		846		89,896
FARO Technologies, Inc. (a)		584		45,418
GreenSky, Inc., Class A (a)		6,002		33,311
Ichor Holdings Ltd. (a)		838		45,084
Insight Enterprises, Inc. (a)		703		70,307
Intelligent Systems Corp. (a)		1,046		32,907
InterDigital, Inc.		1,114		81,355
Kimball Electronics, Inc. (a)		1,808		39,306
Knowles Corp. (a)		3,097		61,135
Luna Innovations, Inc. (a)		3,210		34,764
Methode Electronics, Inc.		1,361		66,975
Mimecast Ltd. (a)		1,135		60,212
Mitek Systems, Inc. (a)		2,470		47,572
Napco Security Technologies, Inc. (a)		1,533		55,755
NETGEAR, Inc. (a)		1,093		41,884
NetScout Systems, Inc. (a)		2,427		69,267
NVE Corp.		793		58,722
OSI Systems, Inc. (a)		817		83,040

See notes to financial statements.

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Security Description	Shares			Value
PC Connection, Inc. (c)		1,092		$	50,527
Perficient, Inc. (a)		1,132			91,035
Photronics, Inc. (a)		4,138			54,663
Plexus Corp. (a)		754			68,923
Progress Software Corp.		1,601			74,046
Ribbon Communications, Inc. (a)		3,931			29,915
Sanmina Corp. (a)		1,529			59,570
ShotSpotter, Inc. (a)		785			38,284
SMART Global Holdings, Inc. (a) (c)		1,013			48,300
Super Micro Computer, Inc. (a)		1,362			47,915
Sykes Enterprises, Inc. (a)		1,491			80,067
The Hackett Group, Inc.		3,740			67,395
Ultra Clean Holdings, Inc. (a)		751			40,344
VirnetX Holding Corp. (a) (c)		5,492			23,451
Vishay Precision Group, Inc. (a)		1,796			61,136
Xperi Holding Corp.		1,906			42,389
					2,893,944
Materials (5.4%):
AdvanSix, Inc. (a)		1,385			41,356
American Vanguard Corp.		2,798			48,993
Boise Cascade Co.		905			52,807
Chase Corp.		494			50,689
Clearwater Paper Corp. (a)		1,117	��		32,360
Coeur Mining, Inc. (a)		2,723			24,180
Compass Minerals International, Inc.		954			56,534
FutureFuel Corp.		3,752			36,019
GCP Applied Technologies, Inc. (a)		2,160			50,242
Glatfelter Corp.		3,252			45,430
Greif, Inc., Class A		1,046			63,335
H.B. Fuller Co.		1,077			68,508
Hawkins, Inc.		820			26,855
Ingevity Corp. (a)		622			50,606
Innospec, Inc.		537			48,658
Kaiser Aluminum Corp.		350			43,222
Koppers Holdings, Inc. (a)		1,093			35,359
Materion Corp.		834			62,842
Minerals Technologies, Inc.		711			55,934
Myers Industries, Inc.		2,644			55,524
O-I Glass, Inc. (a)		3,039			49,627
Orion Engineered Carbons SA (a)		2,137			40,582
PQ Group Holdings, Inc.		3,056			46,940
Rayonier Advanced Materials, Inc. (a)		2,349			15,715
Schnitzer Steel Industries, Inc.		1,262			61,901
Schweitzer-Mauduit International, Inc.		1,151			46,477
Stepan Co.		589			70,839
SunCoke Energy, Inc.		4,681			33,422
Trinseo SA		551			32,972
U.S. Concrete, Inc. (a)		595			43,911
					1,391,839

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (1.7%):
Forestar Group, Inc. (a)		2,979	$	62,291
Kennedy-Wilson Holdings, Inc.		3,287		65,313
Marcus & Millichap, Inc. (a)		1,825		70,938
Newmark Group, Inc., Class A		3,434		41,242
RE/MAX Holdings, Inc.		1,367		45,562
Tejon Ranch Co. (a)		4,111		62,528
The RMR Group, Inc., Class A		1,109		42,852
The St. Joe Co.		915		40,818
				431,544
Utilities (3.8%):
American States Water Co.		1,103		87,755
Avista Corp.		1,865		79,579
California Water Service Group		1,370		76,090
Chesapeake Utilities Corp.		632		76,048
MGE Energy, Inc.		1,272		94,688
Middlesex Water Co.		888		72,576
Northwest Natural Holding Co.		1,182		62,079
NorthWestern Corp.		1,180		71,060
Otter Tail Corp. (b)		1,741		84,978
SJW Group		1,125		71,212
South Jersey Industries, Inc.		2,303		59,717
The York Water Co.		1,644		74,473
Unitil Corp. (b)		1,641		86,924
				997,179
Total Common Stocks (Cost $21,979,678)				25,864,018
Collateral for Securities Loaned^ (0.5%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (e)		2,631		2,631
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		71,259		71,259
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (e)		1,313		1,313
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (e)		10,469		10,469
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (e)		47,068		47,068
Total Collateral for Securities Loaned (Cost $132,740)				132,740
Total Investments (Cost $22,112,418) — 100.0%				25,996,758
Liabilities in excess of other assets — 0.0%				(11,071	)
NET ASSETS — 100.00%			$	25,985,687

^  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)  Affiliated security (See Note 8 in the Notes to Financial Statements)

(e)  Rate disclosed is the daily yield on June 30, 2021.

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 Russell 2000 Index Futures		1	9/17/21	$	112,254	$	115,390	$	3,136
Total unrealized appreciation								$	3,136
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	3,136

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Australia (4.6%):
Communication Services (0.5%):
REA Group Ltd.		1,796	$	227,622
Telstra Corp. Ltd.		112,415		316,926
				544,548
Consumer Discretionary (0.2%):
Aristocrat Leisure Ltd.		7,292		235,596
Consumer Staples (0.8%):
Coles Group Ltd.		22,983		294,506
Endeavour Group Ltd. (a)		9,635		45,441
Wesfarmers Ltd.		7,755		343,648
Woolworths Group Ltd.		9,635		275,463
				959,058
Financials (1.5%):
ASX Ltd.		5,843		340,454
Australia & New Zealand Banking Group Ltd.		10,599		223,711
Commonwealth Bank of Australia		4,222		316,154
Macquarie Group Ltd.		2,182		255,929
National Australia Bank Ltd.		11,257		221,310
Suncorp Group Ltd.		22,662		188,781
Westpac Banking Corp.		11,536		223,248
				1,769,587
Health Care (0.7%):
CSL Ltd.		1,142		244,200
Ramsay Health Care Ltd.		4,361		205,839
Sonic Healthcare Ltd.		10,698		308,020
				758,059
Industrials (0.3%):
Brambles Ltd.		35,043		300,588
Materials (0.6%):
BHP Group Ltd.		5,522		201,099
Fortescue Metals Group Ltd.		8,058		141,018
Newcrest Mining Ltd.		10,453		198,136
Rio Tinto Ltd.		2,173		206,336
				746,589
				5,314,025
Austria (0.5%):
Energy (0.1%):
OMV AG		3,070		174,602
Financials (0.2%):
Erste Group Bank AG		4,941		181,249
Utilities (0.2%):
Verbund AG		2,298		211,559
				567,410

See notes to financial statements.

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Security Description	Shares		Value
Belgium (1.2%):
Financials (0.8%):
Ageas SA (b)		3,399	$	188,598
Groupe Bruxelles Lambert SA		2,628		293,942
KBC Group NV		2,138		162,989
Sofina SA		783		337,727
				983,256
Health Care (0.2%):
UCB SA		1,890		197,549
Materials (0.2%):
Umicore SA		2,909		177,620
				1,358,425
Canada (11.9%):
Communication Services (1.0%):
BCE, Inc. (c)		8,844		436,206
Rogers Communications, Inc., Class B		5,575		296,428
TELUS Corp. (b) (c)		17,394		390,151
				1,122,785
Consumer Discretionary (0.6%):
Dollarama, Inc.		7,180		328,702
Magna International, Inc.		1,992		184,462
Restaurant Brands International, Inc. (b)		3,605		232,315
				745,479
Consumer Staples (1.6%):
Alimentation Couche-Tard, Inc., Class B		7,348		270,051
George Weston Ltd.		4,694		447,471
Loblaw Cos. Ltd.		7,564		465,594
Metro, Inc.		8,817		422,781
Saputo, Inc. (b)		9,279		276,783
				1,882,680
Energy (0.5%):
Enbridge, Inc.		7,194		288,074
TC Energy Corp.		5,280		261,316
				549,390
Financials (3.6%):
Bank of Montreal		3,207		328,773
Canadian Imperial Bank of Commerce (b)		4,425		503,802
Fairfax Financial Holdings Ltd.		496		217,545
Great-West Lifeco, Inc. (b)		11,373		337,868
Intact Financial Corp.		2,444		332,091
Manulife Financial Corp.		10,154		199,901
National Bank of Canada		5,343		399,928
Power Corp. of Canada (b)		11,803		373,117
Royal Bank of Canada		4,541		460,145
Sun Life Financial, Inc.		5,901		304,334

See notes to financial statements.

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Security Description	Shares		Value
The Bank of Nova Scotia		5,414	$	352,168
The Toronto-Dominion Bank		5,206		364,891
				4,174,563
Industrials (1.4%):
Canadian National Railway Co.		2,715		286,506
Canadian Pacific Railway Ltd. (b)		4,020		309,171
Thomson Reuters Corp.		3,184		316,319
Waste Connections, Inc.		3,347		399,944
WSP Global, Inc.		2,688		313,824
				1,625,764
Information Technology (0.8%):
CGI, Inc. (a)		3,210		291,086
Constellation Software, Inc.		169		255,997
Open Text Corp.		6,330		321,505
Shopify, Inc., Class A (a)		83		121,404
				989,992
Materials (1.0%):
Aginco Eagle Mines Ltd.		2,667		161,302
Barrick Gold Corp. (b)		8,443		174,664
CCL Industries, Inc.		4,218		232,341
Franco-Nevada Corp.		1,774		257,483
Nutrien Ltd.		3,545		214,834
Wheaton Precious Metals Corp.		3,727		164,308
				1,204,932
Utilities (1.4%):
Algonquin Power & Utilities Corp. (b)		19,086		284,427
Emera, Inc.		9,395		426,315
Fortis, Inc.		10,370		459,094
Hydro One Ltd. (d)		17,020		411,424
				1,581,260
				13,876,845
Denmark (3.0%):
Consumer Discretionary (0.2%):
Pandora A/S		1,381		185,666
Consumer Staples (0.2%):
Carlsberg A/S, Class B		1,514		282,262
Financials (0.3%):
Danske Bank A/S (b)		10,436		183,662
Tryg A/S		7,560		185,615
				369,277
Health Care (1.1%):
Ambu A/S, Class B		2,485		95,551
Coloplast A/S, Class B		1,532		251,412
Demant A/S (a) (b)		3,733		210,157
Genmab A/S (a)		546		223,440

See notes to financial statements.

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Security Description	Shares		Value
GN Store Nord A/S		2,332	$	203,734
Novo Nordisk A/S, Class B		3,593		301,064
				1,285,358
Industrials (0.6%):
AP Moller — Maersk A/S, Class B		79		227,098
DSV PANALPINA A/S		1,216		283,623
Vestas Wind Systems A/S		3,915		152,846
				663,567
Materials (0.5%):
Christian Hansen Holding A/S		2,950		266,287
Novozymes A/S, B Shares		4,040		304,564
				570,851
Utilities (0.1%):
Orsted A/S (d)		1,122		157,466
				3,514,447
Finland (1.9%):
Communication Services (0.3%):
Elisa Oyj		4,985		297,404
Consumer Staples (0.3%):
Kesko Oyj, Class B		9,174		338,811
Energy (0.1%):
Neste Oyj		2,831		173,327
Financials (0.2%):
Nordea Bank Abp		24,635		274,292
Industrials (0.4%):
Kone Oyj, Class B		3,674		299,687
Metso Outotec Oyj		14,021		162,843
				462,530
Materials (0.4%):
Stora Enso Oyj, Class R		11,162		203,601
UPM-Kymmene Oyj		6,341		239,822
				443,423
Utilities (0.2%):
Fortum Oyj		8,997		248,112
				2,237,899
France (7.8%):
Communication Services (0.7%):
Iliad SA		1,374		201,021
Orange SA (b)		19,901		226,864
Publicis Groupe SA		2,880		184,181
Vivendi SA (b)		5,636		189,303
				801,369

See notes to financial statements.

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Security Description	Shares		Value
Consumer Discretionary (1.0%):
Cie Generale des Etablissements Michelin SCA		1,556	$	248,126
Hermes International		262		381,608
Kering SA		327		285,730
LVMH Moet Hennessy Louis Vuitton SE		347		272,062
				1,187,526
Consumer Staples (1.2%):
Carrefour SA		11,077		217,810
Danone SA		3,527		248,264
L'Oreal SA		771		343,520
Pernod Ricard SA		1,371		304,287
Remy Cointreau SA		1,241		256,160
				1,370,041
Financials (0.9%):
Amundi SA (d)		2,937		258,896
AXA SA		8,206		208,057
BNP Paribas SA		2,315		145,111
CNP Assurances		8,945		152,185
Credit Agricole SA		10,878		152,366
Natixis SA		25,145		119,248
				1,035,863
Health Care (0.5%):
BioMerieux		1,261		146,515
Sanofi		2,904		304,224
Sartorius Stedim Biotech		335		158,434
				609,173
Industrials (2.4%):
Alstom SA (a)		3,722		187,942
Bollore SA		40,896		219,159
Bouygues SA		4,833		178,720
Bureau Veritas SA		8,930		282,474
Cie de Saint-Gobain		4,051		266,753
Edenred		3,845		219,044
Eiffage SA		1,630		165,812
Legrand SA		3,009		318,434
Safran SA		1,071		148,463
Schneider Electric SE		1,678		263,960
Teleperformance		596		241,877
Thales SA		1,704		173,824
Vinci SA		1,545		164,840
				2,831,302
Information Technology (0.6%):
Capgemini SE (b)		1,269		243,735
Dassault Systemes SA		1,153		279,552
Worldline SA (a) (d)		1,992		186,435
				709,722

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.3%):
Air Liquide SA		2,137	$	374,118
Utilities (0.2%):
Veolia Environnement SA		7,357		222,162
				9,141,276
Germany (6.9%):
Communication Services (0.3%):
Deutsche Telekom AG		16,285		343,907
Consumer Discretionary (1.0%):
adidas AG		542		201,712
Bayerische Motoren Werke AG		2,423		256,563
Daimler AG		2,165		193,283
HelloFresh SE (a)		1,302		126,549
Puma SE		1,991		237,353
Zalando SE (a) (d)		1,514		183,001
				1,198,461
Consumer Staples (0.3%):
Beiersdorf AG		2,542		306,655
Financials (1.1%):
Allianz SE, Registered Shares		894		222,904
Deutsche Bank AG, Registered Shares (a)		13,173		171,579
Deutsche Boerse AG		1,486		259,339
Hannover Rueck SE		1,288		215,468
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		651		178,254
Talanx AG		4,751		194,220
				1,241,764
Health Care (0.9%):
Carl Zeiss Meditec AG		1,292		249,607	��
Fresenius Medical Care AG & Co. KGaA		3,128		259,749
Fresenius SE & Co. KGaA		4,745		247,503
Merck KGaA		1,544		296,004
				1,052,863
Industrials (1.1%):
Brenntag SE		2,838		263,864
Deutsche Post AG, Registered Shares		5,019		341,324
KION Group AG		2,035		216,855
MTU Aero Engines AG		548		135,725
Rational AG		213		192,936
Siemens AG, Registered Shares		1,293		204,838
				1,355,542
Information Technology (0.4%):
Infineon Technologies AG		3,771		151,207
SAP SE		1,300		183,167
TeamViewer AG (a) (d)		2,794		105,075
				439,449

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.6%):
Covestro AG (d)		2,565	$	165,617
Evonik Industries AG		7,167		240,302
Symrise AG		2,429		338,381
				744,300
Real Estate (0.7%):
Deutsche Wohnen SE		4,824		295,005
LEG Immobilien SE		2,248		323,694
Vonovia SE		3,938		254,549
				873,248
Utilities (0.5%):
E.ON SE		28,900		334,211
RWE AG		5,655		204,893
				539,104
				8,095,293
Hong Kong (4.0%):
Consumer Discretionary (0.3%):
Techtronic Industries Co. Ltd.		8,954		156,381
Xinyi Glass Holdings Ltd.		52,000		211,976
				368,357
Consumer Staples (0.2%):
WH Group Ltd. (d)		211,482		190,124
Financials (0.5%):
AIA Group Ltd.		14,608		181,563
Hang Seng Bank Ltd.		12,772		255,141
Hong Kong Exchanges and Clearing Ltd.		2,658		158,437
				595,141
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		133,204		130,732
Industrials (0.4%):
CK Hutchison Holdings Ltd.		30,066		234,282
MTR Corp. Ltd.		48,272		268,900
				503,182
Real Estate (1.1%):
CK Asset Holdings Ltd.		38,035		262,577
Henderson Land Development Co. Ltd.		62,158		294,614
New World Development Co. Ltd.		40,368		209,793
Sino Land Co. Ltd.		145,158		228,840
Sun Hung Kai Properties Ltd.		16,566		246,865
				1,242,689
Utilities (1.4%):
CK Infrastructure Holdings Ltd.		48,154		287,159
CLP Holdings Ltd.		42,138		416,816

See notes to financial statements.

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Security Description	Shares		Value
Hong Kong and China Gas Co. Ltd.		274,239	$	425,976
Power Assets Holdings Ltd. (c)		73,882		453,430
				1,583,381
				4,613,606
Ireland (1.2%):
Consumer Discretionary (0.1%):
Flutter Entertainment PLC (a)		982		178,537
Consumer Staples (0.3%):
Kerry Group PLC		2,211		308,798
Industrials (0.4%):
Experian PLC		6,383		245,958
Kingspan Group PLC		1,961		185,161
				431,119
Materials (0.4%):
CRH PLC		4,177		210,472
Smurfit Kappa Group PLC		4,007		217,346
				427,818
				1,346,272
Israel (0.4%):
Financials (0.2%):
Bank Hapoalim BM (a)		34,272		275,330
Information Technology (0.2%):
Nice Ltd. (a)		868		212,235
				487,565
Italy (2.7%):
Communication Services (0.4%):
Infrastrutture Wireless Italiane SpA (d)		23,015		259,552
Telecom Italia SpA		326,349		162,081
				421,633
Consumer Discretionary (0.2%):
Moncler SpA		3,125		211,408
Energy (0.2%):
Snam SpA (b)		48,840		282,287
Financials (1.0%):
Assicurazioni Generali SpA		13,356		267,690
FinecoBank Banca Fineco SpA (a)		12,190		212,453
Intesa Sanpaolo SpA		77,872		215,072
Mediobanca Banca di Credito Finanziario SpA (a)		17,341		202,512
Poste Italiane SpA (d)		18,421		243,517
				1,141,244
Health Care (0.3%):
DiaSorin SpA (b)		766		144,854
Recordati Industria Chimica e Farmaceutica SpA		4,634		264,816
				409,670

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (0.2%):
Nexi SpA (a) (d)		9,831	$	215,747
Utilities (0.4%):
Enel SpA		24,084		223,636
Terna SPA		39,740		296,077
				519,713
				3,201,702
Japan (18.4%):
Communication Services (1.1%):
KDDI Corp.		8,900		277,624
Nexon Co. Ltd.		4,000		89,161
Nintendo Co. Ltd. (c)		300		174,523
Nippon Telegraph & Telephone Corp.		10,800		281,424
Softbank Corp.		22,400		293,108
SoftBank Group Corp.		1,500		104,992
Z Holdings Corp.		21,400		107,270
				1,328,102
Consumer Discretionary (2.6%):
Bandai Namco Holdings, Inc.		2,500		173,479
Fast Retailing Co. Ltd.		200		150,576
Honda Motor Co. Ltd.		6,100		194,950
Koito Manufacturing Co. Ltd.		2,300		143,077
Nitori Holdings Co. Ltd.		1,300		230,086
Pan Pacific International Holdings Corp.		9,100		188,914
Panasonic Corp.		14,100		163,176
Sekisui House Ltd.		12,800		262,557
Sharp Corp.		7,300		120,462
Shimano, Inc.		800		189,773
Sony Group Corp.		1,900		184,988
Subaru Corp.		8,900		175,588
Sumitomo Electric Industries Ltd.		12,400		182,964
Suzuki Motor Corp.		3,600		152,355
Toyota Industries Corp.		2,500		216,285
Toyota Motor Corp.		3,500		305,951
				3,035,181
Consumer Staples (1.6%):
Ajinomoto Co., Inc.		10,800		280,403
Asahi Group Holdings Ltd.		3,900		182,255
Japan Tobacco, Inc. (b)		15,000		283,377
Kao Corp.		3,900		239,976
Kikkoman Corp.		2,500		164,971
Kirin Holdings Co. Ltd. (b)		12,100		235,944
Seven & i Holdings Co. Ltd.		4,900		233,663
Unicharm Corp.		5,700		229,375
				1,849,964

See notes to financial statements.

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Security Description	Shares		Value
Financials (2.5%):
Dai-ichi Life Holdings, Inc.		9,700	$	177,618
Japan Exchange Group, Inc.		9,200		204,573
Japan Post Bank Co. Ltd.		27,200		228,462
Japan Post Holdings Co. Ltd.		25,900		212,250
Japan Post Insurance Co. Ltd.		9,100		168,270
Mitsubishi UFJ Financial Group, Inc.		45,400		245,270
Mizuho Financial Group, Inc.		16,270		232,523
MS&AD Insurance Group Holdings, Inc.		8,800		254,145
Nomura Holdings, Inc.		37,100		189,641
ORIX Corp.		9,900		167,065
Sompo Holdings, Inc.		6,300		232,875
Sumitomo Mitsui Financial Group, Inc.		6,700		231,014
Sumitomo Mitsui Trust Holdings, Inc.		6,600		209,622
Tokio Marine Holdings, Inc.		4,000		183,939
				2,937,267
Health Care (2.6%):
Astellas Pharma, Inc.		15,100		262,972
Chugai Pharmaceutical Co. Ltd.		4,300		170,405
Daiichi Sankyo Co. Ltd.		6,300		135,806
Eisai Co. Ltd.		1,900		186,870
Hoya Corp.		1,800		238,693
Kyowa Kirin Co. Ltd.		7,900		280,212
M3, Inc.		1,900		138,771
Olympus Corp.		7,600		151,070
Ono Pharmaceutical Co. Ltd.		8,600		191,928
Otsuka Holdings Co. Ltd.		6,400		265,438
Shionogi & Co. Ltd.		4,800		250,241
Sysmex Corp.		2,100		249,550
Takeda Pharmaceutical Co. Ltd.		7,800		261,147
Terumo Corp.		6,000		243,176
				3,026,279
Industrials (3.1%):
Daifuku Co. Ltd.		1,800		163,504
Daikin Industries Ltd.		1,100		204,888
FANUC Corp.		800		192,978
ITOCHU Corp.		10,800		311,127
Komatsu Ltd.		6,500		161,535
Kubota Corp.		8,800		178,012
Makita Corp.		4,100		193,041
Mitsubishi Corp.		9,800		267,145
Mitsubishi Electric Corp.		16,500		239,523
Mitsui & Co. Ltd.		10,200		229,610
MonotaRO Co. Ltd.		4,400		104,177
Nidec Corp.		1,500		173,861
Recruit Holdings Co. Ltd.		3,400		167,429
Secom Co. Ltd.		3,000		228,052
SG Holdings Co. Ltd.		5,600		146,856
SMC Corp.		400		236,406

See notes to financial statements.

87

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Security Description	Shares		Value
Toshiba Corp.		5,400	$	233,589
Toyota Tsusho Corp.		4,200		198,506
				3,630,239
Information Technology (3.4%):
Advantest Corp.		1,800		162,207
Canon, Inc. (b)		6,900		156,101
Disco Corp.		600		183,381
FUJIFILM Holdings Corp.		4,500		333,773
Fujitsu Ltd.		1,400		262,153
Hitachi Ltd.		4,000		229,060
Keyence Corp.		400		201,909
Kyocera Corp.		3,700		228,768
Lasertec Corp. (b)		1,000		194,364
Murata Manufacturing Co. Ltd.		2,700		206,170
NEC Corp.		3,400		175,081
Nomura Research Institute Ltd.		6,078		201,086
NTT Data Corp.		11,800		184,096
Obic Co. Ltd.		1,300		242,375
Omron Corp.		2,600		206,212
Oracle Corp.		1,800		137,739
Renesas Electronics Corp. (a)		12,600		136,232
TDK Corp.		1,400		170,022
Tokyo Electron Ltd.		400		173,137
Yaskawa Electric Corp.		3,800		185,758
				3,969,624
Materials (0.9%):
Asahi Kasei Corp.		16,000		175,801
Nippon Paint Holdings Co. Ltd.		9,000		122,182
Nitto Denko Corp.		2,600		194,040
Shin-Etsu Chemical Co. Ltd.		1,300		217,447
Sumitomo Metal Mining Co. Ltd.		3,500		136,276
Toray Industries, Inc.		26,400		175,660
				1,021,406
Real Estate (0.6%):
Daiwa House Industry Co. Ltd.		6,600		198,154
Mitsubishi Estate Co. Ltd.		11,600		187,607
Mitsui Fudosan Co. Ltd.		6,500		150,563
Sumitomo Realty & Development Co. Ltd.		4,400		157,256
				693,580
				21,491,642
Korea, Republic Of (4.3%):
Communication Services (0.8%):
Kakao Corp.		1,815		262,740
NAVER Corp.		477		176,863
NCSoft Corp.		175		127,442
Netmarble Corp. (d)		1,142		135,904
SK Telecom Co. Ltd.		928		263,730
				966,679

See notes to financial statements.

88

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Security Description	Shares		Value
Consumer Discretionary (0.4%):
Hyundai Mobis Co. Ltd.		426	$	110,472
Hyundai Motor Co.		537		114,220
Kia Corp.		1,555		123,737
LG Electronics, Inc.		744		108,032
				456,461
Consumer Staples (0.6%):
Amorepacific Corp.		698		156,213
KT&G Corp.		4,013		300,797
LG Household & Health Care Ltd.		141		220,641
				677,651
Financials (0.6%):
Hana Financial Group, Inc.		4,674		191,152
KB Financial Group, Inc.		4,372		216,659
Samsung Life Insurance Co. Ltd.		1,866		132,244
Shinhan Financial Group Co. Ltd.		6,261		225,752
				765,807
Health Care (0.3%):
Celltrion Healthcare Co. Ltd. (a)		926		95,149
Celltrion, Inc. (a)		428		102,059
Samsung Biologics Co. Ltd. (a) (d)		241		180,001
				377,209
Industrials (0.2%):
LG Corp.		1,500		136,545
Samsung C&T Corp.		1,332		161,473
				298,018
Information Technology (0.7%):
Samsung Electro-Mechanics Co. Ltd.		1,039		163,324
Samsung Electronics Co. Ltd.		2,722		195,085
Samsung SDI Co. Ltd.		232		143,815
Samsung SDS Co. Ltd.		920		151,155
SK Hynix, Inc.		1,234		139,729
				793,108
Materials (0.5%):
LG Chem Ltd.		157		118,517
Lotte Chemical Corp.		412		96,048
POSCO		701		216,650
POSCO Chemical Co. Ltd.		804		102,821
				534,036
Utilities (0.2%):
Korea Electric Power Corp.		8,364		184,587
				5,053,556
Luxembourg (0.3%):
Health Care (0.2%):
Eurofins Scientific SE (a)		1,848		211,213

See notes to financial statements.

89

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Security Description	Shares		Value
Real Estate (0.1%):
Aroundtown SA		20,687	$	161,385
				372,598
Netherlands (2.9%):
Communication Services (0.2%):
Koninklijke KPN NV		66,805		208,625
Consumer Staples (0.6%):
Davide Campari-Milano NV		22,476		300,986
Koninklijke Ahold Delhaize NV		11,740		348,950
				649,936
Financials (0.4%):
Aegon NV		26,948		111,792
ING Groep NV		11,928		157,541
NN Group NV		4,854		228,931
				498,264
Health Care (0.2%):
Koninklijke Philips NV		4,266		211,365
Industrials (0.5%):
Randstad NV		2,818		215,497
Wolters Kluwer NV		3,591		360,697
				576,194
Information Technology (0.5%):
Adyen NV (a) (d)		70		171,006
ASM International NV		575		188,838
ASML Holding NV		368		252,794
				612,638
Materials (0.5%):
Akzo Nobel NV		2,486		307,121
Koninklijke DSM NV		1,672		312,019
				619,140
				3,376,162
New Zealand (0.3%):
Health Care (0.1%):
Fisher & Paykel Healthcare Corp. Ltd.		7,198		156,533
Information Technology (0.2%):
Xero Ltd. (a)		1,967		202,203
				358,736
Norway (1.7%):
Communication Services (0.3%):
Telenor ASA		18,594		313,494
Consumer Staples (0.5%):
Mowi ASA		7,366		187,441
Orkla ASA, Class A		35,421		360,951
				548,392

See notes to financial statements.

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Security Description	Shares		Value
Energy (0.1%):
Aker BP ASA		6,069	$	193,504
Financials (0.4%):
DNB ASA		10,102		220,206
Gjensidige Forsikring ASA		11,264		248,415
				468,621
Materials (0.4%):
Norsk Hydro ASA		32,772		209,209
Yara International ASA		5,363		282,414
				491,623
				2,015,634
Portugal (0.5%):
Consumer Staples (0.3%):
Jeronimo Martins SGPS SA		19,585		357,125
Utilities (0.2%):
EDP — Energias de Portugal SA		40,091		212,469
				569,594
Russian Federation (0.1%):
Materials (0.1%):
Polymetal International PLC		7,769		167,036
Singapore (1.3%):
Communication Services (0.2%):
Singapore Telecommunications Ltd.		164,300		279,862
Consumer Staples (0.2%):
Wilmar International Ltd.		53,100		177,737
Financials (0.9%):
DBS Group Holdings Ltd.		13,600		301,559
Oversea-Chinese Banking Corp. Ltd.		40,700		361,771
United Overseas Bank Ltd.		17,300		332,257
				995,587
				1,453,186
Spain (1.3%):
Communication Services (0.1%):
Telefonica SA		32,883		153,645
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		5,452		192,043
Financials (0.2%):
Banco Bilbao Vizcaya Argentaria SA		21,237		131,635
CaixaBank SA		45,837		140,970
				272,605
Health Care (0.2%):
Grifols SA		8,131		220,181

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.1%):
ACS Actividades de Construccion y Servicios SA		3,799	$	101,748
Utilities (0.5%):
Endesa SA		11,064		268,385
Iberdrola SA		25,229		307,492
				575,877
				1,516,099
Sweden (5.6%):
Consumer Discretionary (0.3%):
Evolution AB (d)		1,105		174,669
Hennes & Mauritz AB, Class B (a) (b)		6,777		160,799
				335,468
Consumer Staples (0.7%):
Essity AB, Class B		9,270		307,498
ICA Gruppen AB		6,118		284,819
Swedish Match AB		28,030		239,098
				831,415
Energy (0.2%):
Lundin Energy AB		4,655		164,750
Financials (1.8%):
EQT AB		4,494		163,149
Industrivarden AB, Class C		8,078		295,716
Investor AB, Class B (a)		15,556		358,645
Kinnevik AB, Class B		6,714		268,855
L E Lundbergforetagen AB, Class B		5,288		341,301
Skandinaviska Enskilda Banken AB, Class A		18,923		244,511
Svenska Handelsbanken AB, Class A		21,510		242,765
Swedbank AB, Class A		12,554		233,660
				2,148,602
Industrials (1.8%):
Alfa Laval AB		6,634		234,403
Assa Abloy AB, Class B		8,397		253,021
Atlas Copco AB, Class A		4,159		254,724
Epiroc AB, Class A		11,549		263,226
Nibe Industrier AB, Class B		26,000		273,566
Sandvik AB		7,126		182,073
Skanska AB, Class B		8,730		231,627
SKF AB, B Shares		7,631		194,352
Volvo AB, Class B (b)		9,120		219,483
				2,106,475
Information Technology (0.4%):
Hexagon AB, Class B		21,245		314,866
Telefonaktiebolaget LM Ericsson, Class B		15,184		190,891
				505,757

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.4%):
Boliden AB		4,989	$	191,849
Svenska Cellulosa AB SCA, Class B		15,977		261,907
				453,756
				6,546,223
Switzerland (7.5%):
Communication Services (0.4%):
Swisscom AG, Registered Shares		738		421,418
Consumer Discretionary (0.2%):
Cie Financiere Richemont SA, Registered Shares		2,014		243,748
Consumer Staples (1.3%):
Barry Callebaut AG, Registered Shares		172		399,784
Chocoladefabriken Lindt & Spruengli AG		37		368,200
Coca-Cola HBC AG		5,965		215,661
Nestle SA, Registered Shares		3,924		488,782
				1,472,427
Financials (1.3%):
Credit Suisse Group AG, Registered Shares		12,834		134,473
Julius Baer Group Ltd.		3,397		221,741
Partners Group Holding AG		250		378,784
Swiss Life Holding AG		483		234,764
UBS Group AG		13,970		213,854
Zurich Insurance Group AG		696		279,303
				1,462,919
Health Care (1.2%):
Lonza Group AG, Registered Shares		355		251,686
Novartis AG, Registered Shares		3,785		345,028
Roche Holding AG		855		322,173
Sonova Holding AG		694		261,094
Straumann Holding AG, Class R		161		256,730
				1,436,711
Industrials (1.6%):
ABB Ltd., Registered Shares		9,998		339,283
Geberit AG, Registered Shares		557		417,901
Kuehne + Nagel International AG, Registered Shares		1,217		416,543
Schindler Holding AG		1,050		321,243
SGS SA, Registered Shares		120		370,249
				1,865,219
Information Technology (0.4%):
Logitech International SA, Class R		1,439		174,391
Stmicroelectronics NV		4,098		148,698
Temenos AG		1,063		170,770
				493,859

See notes to financial statements.

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Security Description	Shares		Value
Materials (1.1%):
EMS-Chemie Holding AG		363	$	356,721
Givaudan SA, Registered Shares		84		390,759
Holcim Ltd.		4,575		274,500
Sika AG, Registered Shares		979		320,159
				1,342,139
				8,738,440
United Kingdom (9.1%):
Communication Services (0.4%):
BT Group PLC (a)		85,657		229,837
Vodafone Group PLC		115,064		193,108
				422,945
Consumer Discretionary (0.9%):
Barratt Developments PLC		15,605		150,048
Burberry Group PLC (a)		7,167		204,797
Compass Group PLC (a)		6,350		133,673
JD Sports Fashion PLC		12,476		158,579
Next PLC (a)		1,611		175,046
Persimmon PLC		4,109		168,109
				990,252
Consumer Staples (1.5%):
Associated British Foods PLC		4,921		150,827
British American Tobacco PLC		6,380		247,078
Diageo PLC		5,190		248,442
Imperial Brands PLC		10,483		225,751
Reckitt Benckiser Group PLC		2,990		264,547
Tesco PLC		91,899		283,383
Unilever PLC		4,652		272,200
				1,692,228
Financials (1.9%):
3i Group PLC		13,647		221,407
Admiral Group PLC		6,660		289,609
Aviva PLC		37,761		211,991
Barclays PLC		59,251		140,234
Hargreaves Lansdown PLC		7,613		167,315
HSBC Holdings PLC		26,319		151,906
Legal & General Group PLC		44,095		157,105
Lloyds Banking Group PLC		250,244		161,601
London Stock Exchange Group PLC		1,576		173,728
Phoenix Group Holdings PLC		24,818		232,181
Schroders PLC		4,470		217,191
Standard Chartered PLC		21,332		136,015
				2,260,283

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.6%):
AstraZeneca PLC		2,279	$	273,697
GlaxoSmithKline PLC (c)		14,723		289,039
Smith & Nephew PLC		8,785		189,853
				752,589
Industrials (1.7%):
Ashtead Group PLC		3,672		272,425
BAE Systems PLC		29,711		214,508
Bunzl PLC		7,178		237,179
Ferguson PLC		1,934		268,830
Intertek Group PLC		3,072		234,964
RELX PLC		9,198		244,132
Rentokil Initial PLC		34,154		233,831
Spirax-Sarco Engineering PLC		1,718		323,517
				2,029,386
Information Technology (0.4%):
AVEVA Group PLC		3,515		180,269
Halma PLC		7,701		286,733
				467,002
Materials (1.3%):
Anglo American PLC		4,130		164,084
Antofagasta PLC		7,568		150,259
BHP Group PLC		6,285		185,157
Croda International PLC		2,940		299,608
Evraz PLC (c)		20,147		164,963
Fresnillo PLC		9,419		100,520
Mondi PLC		8,585		225,724
Rio Tinto PLC		2,399		197,392
				1,487,707
Utilities (0.4%):
National Grid PLC		22,523		286,845
SSE PLC		11,041		229,139
				515,984
				10,618,376
Total Common Stocks (Cost $93,136,944)				116,032,047
Rights (0.0%) (e)
Spain (0.0%): (e)
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA , Expires 7/7/21 (a)		3,799		5,315
Total Rights (Cost $5,760)				5,315

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (4.2%)
United States (4.2%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (f)		96,378	$	96,378
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (f)		2,610,558		2,610,558
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (f)		48,097		48,097
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (f)		383,512		383,512
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (f)		1,724,344		1,724,344
Total Collateral for Securities Loaned (Cost $4,862,889)				4,862,889
Total Investments (Cost $98,005,593) — 103.6%				120,900,251
Liabilities in excess of other assets — (3.6)%				(4,190,190	)
NET ASSETS — 100.00%			$	116,710,061

^  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)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $3,083,435 and amounted to 2.6% of net assets.

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

(f)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI EAFE Index Futures		3	9/17/21	$	351,472	$	345,615	$	(5,857	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(5,857	)
Total net unrealized appreciation (depreciation)								$	(5,857	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Communication Services (3.3%):
Omnicom Group, Inc.		22,041	$	1,763,060
The Interpublic Group of Cos., Inc.		57,707		1,874,900
Verizon Communications, Inc.		65,240		3,655,397
				7,293,357
Consumer Discretionary (2.7%):
Genuine Parts Co.		18,833		2,381,810
Hasbro, Inc.		18,710		1,768,469
Whirlpool Corp.		8,443		1,840,743
				5,991,022
Consumer Staples (18.8%):
Altria Group, Inc.		55,932		2,666,838
Archer-Daniels-Midland Co.		39,172		2,373,823
Bunge Ltd.		23,951		1,871,771
Campbell Soup Co.		51,958		2,368,765
Conagra Brands, Inc.		70,507		2,565,045
General Mills, Inc.		49,326		3,005,433
Kellogg Co.		49,316		3,172,498
Kimberly-Clark Corp.		23,820		3,186,640
PepsiCo, Inc.		25,339		3,754,480
Philip Morris International, Inc.		27,692		2,744,554
The Coca-Cola Co.		51,356		2,778,873
The J.M. Smucker Co. (a)		20,697		2,681,710
The Kraft Heinz Co.		59,020		2,406,836
The Procter & Gamble Co.		29,781		4,018,350
Tyson Foods, Inc., Class A		28,046		2,068,673
				41,664,289
Energy (2.3%):
Kinder Morgan, Inc.		116,176		2,117,889
ONEOK, Inc.		23,280		1,295,299
The Williams Cos., Inc.		66,429		1,763,690
				5,176,878
Financials (22.6%):
Apollo Global Management, Inc. (a)		30,235		1,880,617
Ares Management Corp., Class A		43,255		2,750,585
Citigroup, Inc.		20,693		1,464,030
Citizens Financial Group, Inc.		25,762		1,181,703
CME Group, Inc.		10,311		2,192,944
Comerica, Inc.		15,592		1,112,333
Everest Re Group Ltd.		7,708		1,942,493
Fidelity National Financial, Inc.		48,888		2,124,673
Fifth Third Bancorp		35,532		1,358,388
First Horizon Corp.		70,386		1,216,270
Franklin Resources, Inc.		54,911		1,756,603
Huntington Bancshares, Inc.		75,798		1,081,637
Invesco Ltd.		55,501		1,483,542

See notes to financial statements.

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Security Description	Shares		Value
KeyCorp		57,366	$	1,184,608
Lincoln National Corp.		16,587		1,042,327
M&T Bank Corp.		7,329		1,064,977
MetLife, Inc.		26,903		1,610,145
Northern Trust Corp.		17,212		1,990,051
Principal Financial Group, Inc.		23,617		1,492,358
Regions Financial Corp.		57,469		1,159,724
Santander Consumer USA Holdings, Inc.		54,111		1,965,312
State Street Corp.		20,370		1,676,044
The Bank of New York Mellon Corp.		38,859		1,990,747
The Blackstone Group, Inc., Class A		31,537		3,063,504
The Carlyle Group, Inc.		53,480		2,485,750
The Hartford Financial Services Group, Inc.		29,290		1,815,101
The PNC Financial Services Group, Inc.		9,392		1,791,618
Truist Financial Corp.		23,940		1,328,670
U.S. Bancorp		29,955		1,706,536
Zions Bancorp NA		19,751		1,044,038
				49,957,328
Health Care (8.0%):
AbbVie, Inc.		21,617		2,434,939
Amgen, Inc.		9,565		2,331,469
Cardinal Health, Inc.		35,005		1,998,435
CVS Health Corp.		30,085		2,510,292
Gilead Sciences, Inc. (b)		39,223		2,700,896
Merck & Co., Inc.		38,068		2,960,548
Organon & Co. (c)		3,806		115,170
Pfizer, Inc.		64,824		2,538,508
				17,590,257
Industrials (5.6%):
3M Co.		13,170		2,615,957
General Dynamics Corp.		13,855		2,608,342
Lockheed Martin Corp.		7,360		2,784,656
United Parcel Service, Inc., Class B		11,074		2,303,060
Watsco, Inc.		7,164		2,053,489
				12,365,504
Information Technology (7.1%):
Broadcom, Inc.		4,207		2,006,066
Cisco Systems, Inc.		48,250		2,557,250
International Business Machines Corp.		16,525		2,422,400
NetApp, Inc.		22,128		1,810,513
Paychex, Inc.		26,436		2,836,583
Seagate Technology Holdings PLC		23,251		2,044,460
The Western Union Co.		84,244		1,935,084
				15,612,356
Materials (5.0%):
CF Industries Holdings, Inc.		29,963		1,541,596
Dow, Inc.		24,575		1,555,106
International Paper Co.		34,376		2,107,593
LyondellBasell Industries NV, Class A		12,128		1,247,607

See notes to financial statements.

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Security Description	Shares		Value
Nucor Corp.		26,543	$	2,546,270
Packaging Corp. of America		15,092		2,043,759
				11,041,931
Utilities (24.0%):
Alliant Energy Corp.		58,746		3,275,677
American Electric Power Co., Inc. (b)		35,566		3,008,528
CMS Energy Corp.		51,637		3,050,714
Consolidated Edison, Inc. (b)		39,144		2,807,408
DTE Energy Co.		19,749		2,559,470
Duke Energy Corp. (b)		29,119		2,874,628
Edison International		37,874		2,189,875
Entergy Corp.		25,900		2,582,230
Evergy, Inc. (b)		39,044		2,359,429
Exelon Corp.		57,732		2,558,105
FirstEnergy Corp.		40,415		1,503,842
NRG Energy, Inc.		48,915		1,971,274
Pinnacle West Capital Corp.		32,399		2,655,746
PPL Corp.		84,561		2,365,171
Public Service Enterprise Group, Inc.		41,446		2,475,984
Sempra Energy		18,328		2,428,093
The Southern Co. (b)		46,179		2,794,291
UGI Corp.		46,367		2,147,256
Vistra Corp.		75,016		1,391,547
WEC Energy Group, Inc. (b)		34,489		3,067,797
Xcel Energy, Inc. (b)		44,797		2,951,226
				53,018,291
Total Common Stocks (Cost $190,947,065)				219,711,213
Collateral for Securities Loaned^ (1.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		53,154		53,154
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		1,439,781		1,439,781
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		26,527		26,527
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		211,515		211,515
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		951,014		951,014
Total Collateral for Securities Loaned (Cost $2,681,991)				2,681,991
Total Investments (Cost $193,629,056) — 100.6%				222,393,204
Liabilities in excess of other assets — (0.6)%				(1,337,644	)
NET ASSETS — 100.00%			$	221,055,560

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Non-income producing security.

(d)  Rate disclosed is the daily yield on June 30, 2021.

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		5	9/17/21	$	1,059,968	$	1,072,150	$	12,182
Total unrealized appreciation								$	12,182
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	12,182

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.3%)
Communication Services (2.5%):
Cogent Communications Holdings, Inc. (a)		43,288	$	3,328,415
Telephone & Data Systems, Inc.		132,114		2,993,703
				6,322,118
Consumer Discretionary (6.2%):
Big Lots, Inc.		21,983		1,451,098
Ethan Allen Interiors, Inc.		82,012		2,263,531
Franchise Group, Inc. (b)		42,240		1,489,805
Haverty Furniture Cos., Inc. (b)		53,012		2,266,793
Kontoor Brands, Inc.		44,204		2,493,548
PetMed Express, Inc. (a) (b)		35,288		1,123,923
Strategic Education, Inc. (b)		21,657		1,647,231
Sturm Ruger & Co., Inc. (a)		31,751		2,856,955
				15,592,884
Consumer Staples (8.0%):
B&G Foods, Inc. (b)		65,619		2,152,303
Medifast, Inc.		7,816		2,211,772
Natural Grocers by Vitamin Cottage, Inc.		106,101		1,139,525
Nu Skin Enterprises, Inc., Class A		35,762		2,025,917
SpartanNash Co. (b)		100,208		1,935,016
The Andersons, Inc.		62,324		1,902,752
Universal Corp.		61,601		3,509,409
Vector Group Ltd.		161,048		2,277,219
Weis Markets, Inc. (a) (b)		59,213		3,058,943
				20,212,856
Financials (24.0%):
American National Group, Inc.		32,283		4,795,640
BGC Partners, Inc., Class A		399,902		2,267,444
Cathay General Bancorp		52,641		2,071,950
Community Trust Bancorp, Inc.		58,309		2,354,518
CVB Financial Corp.		105,812		2,178,669
Dime Community Bancshares, Inc.		64,097		2,154,941
Federal Agricultural Mortgage Corp., Class C		30,556		3,021,988
Federated Hermes, Inc.		81,922		2,777,975
First Busey Corp.		93,126		2,296,487
First Commonwealth Financial Corp.		138,848		1,953,591
First Financial Bancorp		79,019		1,867,219
Flushing Financial Corp.		97,348		2,086,168
Fulton Financial Corp.		120,762		1,905,624
Hope Bancorp, Inc.		141,647		2,008,555
Navient Corp.		154,958		2,995,338
Northwest Bancshares, Inc. (a)		168,608		2,299,813
Park National Corp.		15,793		1,854,414
Provident Financial Services, Inc.		103,844		2,376,989
S&T Bancorp, Inc.		62,884		1,968,269
Safety Insurance Group, Inc. (a)		42,603		3,334,963
Sculptor Capital Management, Inc.		78,536		1,931,200

See notes to financial statements.

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Security Description	Shares		Value
Southside Bancshares, Inc. (a)		72,681	$	2,778,595
TrustCo Bank Corp.		69,830		2,400,755
Washington Trust Bancorp, Inc.		46,625		2,394,194
WesBanco, Inc.		62,180		2,215,474
				60,290,773
Health Care (2.2%):
National HealthCare Corp. (a)		33,932		2,371,847
Phibro Animal Health Corp., Class A		108,695		3,139,111
				5,510,958
Industrials (21.2%):
ACCO Brands Corp.		223,011		1,924,585
Apogee Enterprises, Inc.		50,823		2,070,021
Argan, Inc.		54,356		2,597,673
Barrett Business Services, Inc.		35,617		2,586,150
Brady Corp., Class A		55,577		3,114,535
CRA International, Inc.		35,859		3,069,530
Deluxe Corp.		39,886		1,905,354
Ennis, Inc. (a)		160,005		3,443,308
Healthcare Services Group (b)		76,257		2,407,433
HNI Corp.		61,079		2,685,644
Kimball International, Inc., Class B		149,033		1,959,784
Knoll, Inc.		90,524		2,352,719
McGrath RentCorp		34,844		2,842,225
Miller Industries, Inc.		81,163		3,201,069
Mueller Water Products, Inc., Class A		238,592		3,440,497
National Presto Industries, Inc.		24,594		2,499,980
Powell Industries, Inc.		71,645		2,217,413
Resources Connection, Inc.		198,519		2,850,733
Steelcase, Inc., Class A		115,487		1,745,009
The Gorman-Rupp Co.		77,864		2,681,636
The Greenbrier Cos., Inc.		40,559		1,767,561
				53,362,859
Information Technology (9.7%):
ADTRAN, Inc.		121,102		2,500,756
American Software, Inc., Class A		114,768		2,520,305
Benchmark Electronics, Inc.		88,641		2,522,723
Cass Information Systems, Inc.		57,388		2,338,561
CSG Systems International, Inc.		75,172		3,546,615
InterDigital, Inc.		49,144		3,588,986
NVE Corp.		34,953		2,588,270
The Hackett Group, Inc.		164,947		2,972,345
Xperi Holding Corp.		84,062		1,869,539
				24,448,100
Materials (9.3%):
Compass Minerals International, Inc.		42,084		2,493,898
Glatfelter Corp.		143,416		2,003,521
Greif, Inc., Class A		46,145		2,794,080
Kaiser Aluminum Corp.		15,447		1,907,550

See notes to financial statements.

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Security Description	Shares		Value
Myers Industries, Inc.		116,615	$	2,448,915
O-I Glass, Inc. (c)		134,003		2,188,269
Orion Engineered Carbons SA (c)		94,250		1,789,807
Schnitzer Steel Industries, Inc.		55,661		2,730,172
Schweitzer-Mauduit International, Inc.		50,746		2,049,123
SunCoke Energy, Inc.		206,447		1,474,032
Trinseo SA		24,296		1,453,873
				23,333,240
Real Estate (2.7%):
Kennedy-Wilson Holdings, Inc.		144,978		2,880,713
RE/MAX Holdings, Inc.		60,287		2,009,366
The RMR Group, Inc., Class A		48,941		1,891,080
				6,781,159
Utilities (13.5%):
American States Water Co.		48,654		3,870,912
Avista Corp.		82,254		3,509,778
MGE Energy, Inc.		56,085		4,174,967
Northwest Natural Holding Co.		52,144		2,738,603
NorthWestern Corp.		52,053		3,134,632
Otter Tail Corp. (a)		76,782		3,747,730
SJW Group		49,639		3,142,149
South Jersey Industries, Inc.		101,567		2,633,632
The York Water Co.		72,507		3,284,567
Unitil Corp. (a)		72,396		3,834,816
				34,071,786
Total Common Stocks (Cost $237,523,857)				249,926,733
Collateral for Securities Loaned^ (2.4%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		120,847		120,847
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		3,273,346		3,273,346
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		60,308		60,308
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		480,881		480,881
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		2,162,134		2,162,134
Total Collateral for Securities Loaned (Cost $6,097,516)				6,097,516
Total Investments (Cost $243,621,373) — 101.7%				256,024,249
Liabilities in excess of other assets — (1.7)%				(4,226,864	)
NET ASSETS — 100.00%			$	251,797,385

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Non-income producing security.

(d)  Rate disclosed is the daily yield on June 30, 2021.

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		14	9/17/21	$	1,617,671	$	1,615,460	$	(2,211	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(2,211	)
Total net unrealized appreciation (depreciation)								$	(2,211	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.7%)
Australia (3.6%):
Communication Services (1.2%):
Telstra Corp. Ltd.		96,186	$	271,172
Consumer Staples (1.1%):
Coles Group Ltd.		19,664		251,976
Materials (1.3%):
Fortescue Metals Group Ltd.		6,895		120,665
Rio Tinto Ltd.		1,860		176,615
				297,280
				820,428
Austria (0.7%):
Energy (0.7%):
OMV AG		2,626		149,350
Canada (19.5%):
Communication Services (4.2%):
BCE, Inc. (a)		7,565		373,123
Rogers Communications, Inc., Class B		4,769		253,572
TELUS Corp. (a) (b)		14,881		333,784
				960,479
Consumer Discretionary (0.8%):
Restaurant Brands International, Inc.		3,084		198,741
Energy (2.0%):
Enbridge, Inc.		6,155		246,468
TC Energy Corp.		4,517		223,554
				470,022
Financials (6.6%):
Canadian Imperial Bank of Commerce (b)		3,768		429,000
Great-West Lifeco, Inc.		9,729		289,028
Manulife Financial Corp.		8,688		171,040
Power Corp. of Canada (b)		10,097		319,187
The Bank of Nova Scotia		4,632		301,301
				1,509,556
Utilities (5.9%):
Algonquin Power & Utilities Corp. (b)		16,328		243,326
Emera, Inc.		8,038		364,738
Fortis, Inc.		8,871		392,732
Hydro One Ltd. (c)		14,561		351,983
				1,352,779
				4,491,577
Finland (2.9%):
Communication Services (1.1%):
Elisa Oyj		4,265		254,449

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.9%):
UPM-Kymmene Oyj		5,425	$	205,178
Utilities (0.9%):
Fortum Oyj		7,698		212,289
				671,916
France (3.6%):
Communication Services (0.9%):
Orange SA (b)		17,029		194,124
Consumer Staples (0.9%):
Danone SA		3,018		212,435
Health Care (1.1%):
Sanofi		2,485		260,329
Industrials (0.7%):
Bouygues SA		4,134		152,872
				819,760
Germany (4.3%):
Communication Services (1.3%):
Deutsche Telekom AG		13,934		294,259
Financials (0.8%):
Allianz SE, Registered Shares		765		190,740
Materials (0.9%):
Evonik Industries AG		6,132		205,599
Utilities (1.3%):
E.ON SE		24,725		285,930
				976,528
Hong Kong (11.4%):
Consumer Staples (0.7%):
WH Group Ltd. (c)		181,152		162,857
Financials (0.9%):
Hang Seng Bank Ltd.		10,964		219,023
Industrials (0.9%):
CK Hutchison Holdings Ltd.		25,186		196,256
Real Estate (4.6%):
CK Asset Holdings Ltd.		32,500		224,366
Henderson Land Development Co. Ltd.		53,648		254,279
New World Development Co. Ltd.		35,000		181,895
Sino Land Co. Ltd.		123,456		194,626
Sun Hung Kai Properties Ltd.		14,000		208,627
				1,063,793

See notes to financial statements.

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Security Description	Shares		Value
Utilities (4.3%):
CK Infrastructure Holdings Ltd.		40,911	$	243,967
CLP Holdings Ltd.		35,500		351,155
Power Assets Holdings Ltd. (a)		63,637		390,554
				985,676
				2,627,605
Italy (3.9%):
Energy (1.1%):
Snam SpA (b)		41,783		241,498
Financials (0.9%):
Poste Italiane SpA (c)		15,761		208,353
Utilities (1.9%):
Enel SpA		20,605		191,331
Terna SPA		33,999		253,305
				444,636
				894,487
Japan (11.1%):
Communication Services (2.1%):
KDDI Corp.		7,600		237,072
Softbank Corp.		19,100		249,927
				486,999
Consumer Discretionary (1.0%):
Sekisui House Ltd.		11,000		225,635
Consumer Staples (1.0%):
Japan Tobacco, Inc. (b)		12,900		243,704
Financials (4.3%):
Mitsubishi UFJ Financial Group, Inc.		38,900		210,154
Mizuho Financial Group, Inc.		14,000		200,081
MS&AD Insurance Group Holdings, Inc.		7,500		216,601
Sumitomo Mitsui Financial Group, Inc.		5,700		196,534
Tokio Marine Holdings, Inc.		3,500		160,947
				984,317
Health Care (1.0%):
Takeda Pharmaceutical Co. Ltd.		6,700		224,318
Industrials (1.0%):
Mitsubishi Corp.		8,400		228,981
Real Estate (0.7%):
Daiwa House Industry Co. Ltd.		5,500		165,129
				2,559,083
Korea, Republic Of (3.7%):
Communication Services (1.0%):
SK Telecom Co. Ltd.		794		225,648

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.1%):
KT&G Corp.		3,433	$	257,323
Financials (1.6%):
Hana Financial Group, Inc.		3,997		163,465
Shinhan Financial Group Co. Ltd.		5,358		193,193
				356,658
				839,629
Netherlands (2.9%):
Communication Services (0.8%):
Koninklijke KPN NV		57,160		178,504
Consumer Staples (1.3%):
Koninklijke Ahold Delhaize NV		10,045		298,569
Financials (0.8%):
NN Group NV		4,153		195,870
				672,943
Norway (3.8%):
Communication Services (1.2%):
Telenor ASA		15,909		268,225
Energy (0.7%):
Aker BP ASA		5,191		165,510
Financials (0.8%):
DNB ASA		8,644		188,424
Materials (1.1%):
Yara International ASA		4,589		241,655
				863,814
Portugal (0.8%):
Utilities (0.8%):
EDP — Energias de Portugal SA		34,303		181,794
Russian Federation (0.6%):
Materials (0.6%):
Polymetal International PLC		6,647		142,913
Singapore (3.4%):
Communication Services (1.0%):
Singapore Telecommunications Ltd.		140,500		239,323
Financials (2.4%):
DBS Group Holdings Ltd.		11,700		259,429
United Overseas Bank Ltd.		14,800		284,243
				543,672
				782,995
Spain (2.4%):
Communication Services (0.5%):
Telefonica SA		28,124		131,409

See notes to financial statements.

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Security Description	Shares		Value
Financials (0.5%):
Banco Bilbao Vizcaya Argentaria SA		18,163	$	112,581
Industrials (0.4%):
ACS Actividades de Construccion y Servicios SA		3,249		87,017
Utilities (1.0%):
Endesa SA		9,466		229,622
				560,629
Switzerland (5.7%):
Communication Services (1.6%):
Swisscom AG, Registered Shares		631		360,318
Financials (1.8%):
UBS Group AG		11,953		182,977
Zurich Insurance Group AG		595		238,772
				421,749
Health Care (1.3%):
Novartis AG, Registered Shares		3,239		295,257
Materials (1.0%):
Holcim Ltd.		3,915		234,900
				1,312,224
United Kingdom (14.4%):
Communication Services (1.6%):
BT Group PLC (d)		73,290		196,654
Vodafone Group PLC		98,412		165,161
				361,815
Consumer Discretionary (0.6%):
Persimmon PLC		3,516		143,848
Consumer Staples (3.8%):
British American Tobacco PLC		5,459		211,411
Imperial Brands PLC		8,970		193,169
Tesco PLC		78,631		242,469
Unilever PLC		3,980		232,879
				879,928
Financials (2.5%):
Admiral Group PLC		5,699		247,820
Legal & General Group PLC		37,727		134,417
Phoenix Group Holdings PLC		21,233		198,642
				580,879
Health Care (1.1%):
GlaxoSmithKline PLC (a)		12,597		247,302
Industrials (0.8%):
BAE Systems PLC		25,422		183,542

See notes to financial statements.

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Security Description	Shares		Value
Materials (2.1%):
BHP Group PLC		5,378	$	158,437
Evraz PLC (a)		17,231		141,087
Rio Tinto PLC		2,053		168,923
				468,447
Utilities (1.9%):
National Grid PLC		19,270		245,416
SSE PLC		9,447		196,058
				441,474
				3,307,235
Total Common Stocks (Cost $21,452,508)				22,674,910
Rights (0.0%) (e)
Spain (0.0%): (e)
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA , Expires 7/7/21 (d)		3,249		4,545
Total Rights (Cost $4,926)				4,545
Collateral for Securities Loaned^ (6.7%)
United States (6.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (f)		30,678		30,678
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (f)		830,982		830,982
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (f)		15,310		15,310
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (f)		122,078		122,078
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (f)		548,886		548,886
Total Collateral for Securities Loaned (Cost $1,547,934)				1,547,934
Total Investments (Cost $23,005,368) — 105.4%				24,227,389
Liabilities in excess of other assets — (5.4)%				(1,249,133	)
NET ASSETS — 100.00%			$	22,978,256

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $723,193 and amounted to 3.1% of net assets.

(d)  Non-income producing security.

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

(f)  Rate disclosed is the daily yield on June 30, 2021.

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		2	9/17/21	$	232,993	$	230,410	$	(2,583	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(2,583	)
Total net unrealized appreciation (depreciation)								$	(2,583	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.8%)
Brazil (6.6%):
Consumer Discretionary (1.1%):
Petrobras Distribuidora SA		40,400	$	216,736
Health Care (0.9%):
Hypera SA		24,400		169,120
Industrials (0.9%):
CCR SA		65,366		176,782
Materials (1.0%):
Vale SA		9,100		207,226
Utilities (2.7%):
Centrais Eletricas Brasileiras SA		17,000		147,569
Cia de Saneamento Basico do Estado de Sao Paulo		21,800		160,348
Engie Brasil Energia SA		27,400		215,698
				523,615
				1,293,479
Chile (2.6%):
Consumer Staples (1.0%):
Cia Cervecerias Unidas SA		18,383		185,335
Utilities (1.6%):
Colbun SA		1,020,555		142,669
Enel Americas SA		1,197,532		175,878
				318,547
				503,882
China (17.4%):
Energy (2.6%):
China Petroleum & Chemical Corp., Class H		264,194		133,729
China Shenhua Energy Co. Ltd., Class H		100,916		197,826
PetroChina Co. Ltd., Class H		394,000		191,821
				523,376
Financials (11.8%):
Agricultural Bank of China Ltd., Class H (a)		514,858		179,044
Bank of China Ltd., Class H (a)		650,136		233,624
Bank of Communications Co. Ltd., Class H		383,646		257,935
China Cinda Asset Management Co. Ltd., Class H		824,000		157,072
China CITIC Bank Corp. Ltd., Class H		381,216		180,687
China Construction Bank Corp., Class H (a)		261,000		205,395
China Everbright Bank Co. Ltd., Class H (b)		289,998		118,403
China Life Insurance Co. Ltd., Class H		61,000		120,993
China Minsheng Banking Corp. Ltd., Class H		332,466		159,294
GF Securities Co. Ltd., Class H		88,162		114,232
Industrial & Commercial Bank of China Ltd., Class H		281,118		165,106
New China Life Insurance Co. Ltd., Class H		30,200		103,077

See notes to financial statements.

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Security Description	Shares		Value
PICC Property & Casualty Co. Ltd., Class H		195,194	$	170,956
The People's Insurance Co. Group of China Ltd., Class H		464,000		154,784
				2,320,602
Information Technology (0.7%):
China Railway Signal & Communication Corp. Ltd., Class H (c)		364,064		134,576
Real Estate (1.5%):
Country Garden Holdings Co. Ltd.		129,000		144,550
Logan Group Co. Ltd.		99,000		148,167
				292,717
Utilities (0.8%):
Huaneng Power International, Inc., Class H		401,742		157,300
				3,428,571
Czech Republic (2.8%):
Financials (1.0%):
Komercni Banka A/S (b)		5,665		199,506
Utilities (1.8%):
CEZ A/S (a)		12,020		356,768
				556,274
Hong Kong (0.6%):
Materials (0.6%):
China Resources Cement Holdings Ltd.		128,000		121,668
India (8.2%):
Communication Services (0.5%):
Indus Towers Ltd.		29,546		94,869
Consumer Discretionary (1.0%):
Bajaj Auto Ltd. (b)		3,653		203,175
Consumer Staples (0.9%):
ITC Ltd.		65,987		179,961
Energy (1.6%):
Bharat Petroleum Corp. Ltd.		21,856		137,649
Hindustan Petroleum Corp. Ltd.		43,309		170,847
				308,496
Financials (1.5%):
Power Finance Corp. Ltd.		84,819		146,985
REC Ltd.		75,870		151,638
				298,623
Materials (1.0%):
Ambuja Cements Ltd.		42,367		194,179
Utilities (1.7%):
NTPC Ltd.		105,609		165,394
Power Grid Corp. of India Ltd.		56,168		175,626
				341,020
				1,620,323

See notes to financial statements.

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Security Description	Shares		Value
Indonesia (2.6%):
Communication Services (0.6%):
PT Telkom Indonesia Persero Tbk		558,778	$	121,432
Consumer Staples (1.0%):
PT Indofood Sukses Makmur Tbk		446,100		190,043
Energy (0.5%):
PT United Tractors Tbk		73,324		102,436
Materials (0.5%):
PT Indocement Tunggal Prakarsa Tbk		141,600		100,619
				514,530
Malaysia (3.9%):
Financials (2.0%):
CIMB Group Holdings Bhd		146,800		163,072
Malayan Banking Bhd (a)		111,600		218,091
				381,163
Industrials (0.9%):
Sime Darby Bhd		342,800		180,073
Utilities (1.0%):
Tenaga Nasional Bhd		84,900		200,282
				761,518
Mexico (3.9%):
Consumer Staples (2.4%):
Arca Continental SAB de CV		45,479		263,847
Kimberly-Clark de Mexico SAB de CV, Class A		115,070		204,223
				468,070
Industrials (0.7%):
Grupo Aeroportuario del Pacifico SAB de CV, Class B		12,464		132,681
Materials (0.8%):
Orbia Advance Corp. SAB de CV		60,156		157,383
				758,134
Netherlands (0.9%):
Consumer Staples (0.9%):
X5 Retail Group NV, GDR		5,254		184,205
Philippines (2.7%):
Communication Services (1.8%):
Globe Telecom, Inc.		4,825		181,926
PLDT, Inc.		6,950		184,147
				366,073
Utilities (0.9%):
Manila Electric Co.		30,760		174,727
				540,800

See notes to financial statements.

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Security Description	Shares		Value
Russian Federation (12.3%):
Communication Services (3.2%):
Mobile TeleSystems PJSC		78,210	$	366,590
Rostelecom PJSC (a)		185,570		259,103
				625,693
Consumer Staples (1.0%):
Magnit PJSC		2,806		203,917
Energy (0.9%):
Tatneft PJSC		24,940		181,226
Materials (3.6%):
Alrosa PJSC		131,793		242,267
MMC Norilsk Nickel PJSC		562		190,335
Severstal PAO		12,383		265,675
				698,277
Utilities (3.6%):
Federal Grid Co. Unified Energy System PJSC		91,010,246		273,270
Inter RAO UES PJSC		2,914,700		186,797
RusHydro PJSC		21,324,184		253,606
				713,673
				2,422,786
South Africa (7.8%):
Communication Services (2.9%):
MTN Group (b)		21,547		155,845
MultiChoice Group		19,127		157,251
Vodacom Group Ltd.		27,536		248,436
				561,532
Consumer Discretionary (0.8%):
Woolworths Holdings Ltd. (b)		42,786		161,611
Energy (0.7%):
Exxaro Resources Ltd.		12,087		142,631
Financials (2.8%):
Absa Group Ltd. (b)		15,299		145,481
FirstRand Ltd.		37,577		141,093
Nedbank Group Ltd. (b)		11,458		137,175
Standard Bank Group Ltd.		14,366		128,446
				552,195
Materials (0.6%):
African Rainbow Minerals Ltd.		6,802		121,695
				1,539,664
Taiwan (19.9%):
Communication Services (4.8%):
Chunghwa Telecom Co. Ltd.		129,000		527,854
Far EasTone Telecommunications Co. Ltd.		182,000		422,010
				949,864

See notes to financial statements.

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Security Description	Shares		Value
Financials (4.1%):
China Development Financial Holding Corp.		937,000	$	442,267
Sinopac Financial Holdings Co. Ltd. (b)		716,000		353,374
				795,641
Industrials (2.8%):
Far Eastern New Century Corp.		208,000		238,909
Taiwan High Speed Rail Corp.		298,000		319,820
				558,729
Information Technology (4.7%):
Catcher Technology Co. Ltd.		26,000		169,849
Compal Electronics, Inc. (a)		312,000		250,294
Lite-On Technology Corp.		97,059		200,668
Pegatron Corp.		66,000		162,986
Wistron Corp.		133,000		147,990
				931,787
Materials (3.5%):
Asia Cement Corp.		171,000		311,188
Taiwan Cement Corp. (a)		200,000		366,116
				677,304
				3,913,325
Thailand (5.7%):
Communication Services (2.9%):
Advanced Info Service PCL		49,900		266,258
Intouch Holdings PCL		145,800		295,717
				561,975
Energy (0.7%):
PTT Exploration & Production PCL		38,300		139,827
Financials (1.2%):
Krung Thai Bank PCL		385,300		128,644
TMB Bank PCL		3,156,600		110,317
				238,961
Real Estate (0.9%):
Land & Houses PCL		753,700		186,970
				1,127,733
Turkey (0.9%):
Industrials (0.9%):
Enka Insaat ve Sanayi A/S		157,047		168,483
Total Common Stocks (Cost $18,501,751)				19,455,375
Total Investments (Cost $18,501,751) — 98.8%				19,455,375
Other assets in excess of liabilities — 1.2%				230,998
NET ASSETS — 100.00%			$	19,686,373

See notes to financial statements.

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

(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 June 30, 2021, the fair value of these securities was $134,576 and amounted to 0.7% of net assets.

GDR — Global Depositary Receipt

PCL — Public Company Limited

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini MSCI Emerging Markets Index Futures		1	9/17/21	$	68,014	$	68,240	$	226
Total unrealized appreciation								$	226
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	226

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Consumer Discretionary (11.7%):
Dollar General Corp. (a)		42,667	$	9,232,712
Lowe's Cos., Inc.		16,076		3,118,262
McDonald's Corp.		38,315		8,850,382
NIKE, Inc., Class B		46,729		7,219,163
Target Corp. (b)		49,271		11,910,771
				40,331,290
Consumer Staples (16.5%):
Altria Group, Inc.		27,871		1,328,889
Archer-Daniels-Midland Co.		80,103		4,854,242
Brown-Forman Corp., Class B		56,766		4,254,044
Church & Dwight Co., Inc.		31,106		2,650,853
Colgate-Palmolive Co.		71,136		5,786,914
Costco Wholesale Corp.		15,401		6,093,714
Hormel Foods Corp. (a)		66,864		3,192,756
Kimberly-Clark Corp.		26,376		3,528,581
Lancaster Colony Corp.		32,530		6,294,880
McCormick & Co., Inc.		27,937		2,467,396
PepsiCo, Inc.		21,196		3,140,611
The Clorox Co.		16,512		2,970,674
The Coca-Cola Co.		53,306		2,884,388
The Procter & Gamble Co.		26,057		3,515,871
Walmart, Inc.		28,248		3,983,533
				56,947,346
Financials (10.7%):
Aflac, Inc.		62,880		3,374,141
Aon PLC, Class A		33,451		7,986,761
Cincinnati Financial Corp.		12,295		1,433,843
CME Group, Inc.		25,061		5,329,973
Commerce Bancshares, Inc.		52,610		3,922,602
Old Republic International Corp.		54,468		1,356,798
S&P Global, Inc.		3,836		1,574,486
SEI Investments Co.		47,591		2,949,214
T. Rowe Price Group, Inc.		14,333		2,837,504
The Allstate Corp.		46,924		6,120,766
				36,886,088
Health Care (15.0%):
Abbott Laboratories		33,488		3,882,264
Becton, Dickinson & Co.		12,391		3,013,367
Chemed Corp.		6,777		3,215,687
Eli Lilly & Co.		27,743		6,367,573
Humana, Inc.		12,647		5,599,080
Johnson & Johnson (b)		15,234		2,509,649
Medtronic PLC		38,770		4,812,520
Merck & Co., Inc.		75,781		5,893,489
Organon & Co. (c)		7,576		229,250
ResMed, Inc.		44,612		10,997,750

See notes to financial statements.

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Security Description	Shares		Value
STERIS PLC		15,231	$	3,142,155
West Pharmaceutical Services, Inc.		5,839		2,096,785
				51,759,569
Industrials (22.6%):
3M Co.		56,473		11,217,232
Carlisle Cos., Inc.		19,801		3,789,515
Cintas Corp.		5,467		2,088,394
CSX Corp.		120,894		3,878,279
Dover Corp.		40,092		6,037,855
Emerson Electric Co.		66,173		6,368,490
Graco, Inc.		28,244		2,138,071
Illinois Tool Works, Inc.		24,702		5,522,379
Lennox International, Inc.		13,322		4,673,358
Nordson Corp.		21,363		4,689,392
Republic Services, Inc. (b)		53,956		5,935,700
Roper Technologies, Inc.		4,549		2,138,940
Stanley Black & Decker, Inc.		13,904		2,850,181
Union Pacific Corp.		20,979		4,613,911
W.W. Grainger, Inc.		17,618		7,716,684
Waste Management, Inc.		28,847		4,041,753
				77,700,134
Information Technology (8.6%):
Automatic Data Processing, Inc.		19,059		3,785,499
Jack Henry & Associates, Inc.		38,062		6,223,518
Mastercard, Inc., Class A		17,177		6,271,151
Microsoft Corp. (b)		17,396		4,712,576
Texas Instruments, Inc.		23,164		4,454,437
Visa, Inc., Class A		18,156		4,245,236
				29,692,417
Materials (5.8%):
Air Products & Chemicals, Inc.		12,562		3,613,836
Ecolab, Inc.		13,458		2,771,944
PPG Industries, Inc.		22,010		3,736,638
RPM International, Inc.		30,506		2,705,272
Sonoco Products Co.		72,748		4,866,841
The Sherwin-Williams Co.		8,090		2,204,121
				19,898,652
Utilities (8.7%):
Alliant Energy Corp.		141,752		7,904,092
Atmos Energy Corp.		21,555		2,071,651
Consolidated Edison, Inc. (b)		92,412		6,627,789
MDU Resources Group, Inc.		65,659		2,057,753
NextEra Energy, Inc. (b)		24,073		1,764,069
Xcel Energy, Inc. (b)		141,697		9,334,998
				29,760,352
Total Common Stocks (Cost $290,768,470)				342,975,848

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (1.0%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		66,022	$	66,022
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		1,788,311		1,788,311
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		32,948		32,948
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		262,717		262,717
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		1,181,228		1,181,228
Total Collateral for Securities Loaned (Cost $3,331,226)				3,331,226
Total Investments (Cost $294,099,696) — 100.6%				346,307,074
Liabilities in excess of other assets — (0.6)%				(2,152,603	)
NET ASSETS — 100.00%			$	344,154,471

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Non-income producing security.

(d)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		4	9/17/21	$	846,901	$	857,720	$	10,819
Total unrealized appreciation								$	10,819
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	10,819

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (3.4%):
Verizon Communications, Inc.		99,327	$	5,565,292
Consumer Discretionary (15.1%):
AutoNation, Inc. (a)		4,251		403,037
AutoZone, Inc. (a)		2,522		3,763,379
Best Buy Co., Inc.		3,452		396,911
eBay, Inc.		80,254		5,634,633
Lowe's Cos., Inc.		2,084		404,233
Mohawk Industries, Inc. (a)		2,977		572,150
O'Reilly Automotive, Inc. (a)		3,063		1,734,301
Qurate Retail, Inc., Class A		58,839		770,203
Service Corp. International		7,761		415,912
Target Corp. (b)		25,961		6,275,812
Tractor Supply Co.		23,651		4,400,505
				24,771,076
Consumer Staples (13.1%):
Altria Group, Inc.		7,746		369,329
Campbell Soup Co.		39,132		1,784,028
Casey's General Stores, Inc.		1,833		356,775
Colgate-Palmolive Co.		5,027		408,947
Ingredion, Inc.		4,407		398,834
Kellogg Co.		8,054		518,114
The Clorox Co.		25,052		4,507,105
The Hershey Co.		3,950		688,011
The J.M. Smucker Co. (c)		3,131		405,684
The Kroger Co.		134,611		5,156,947
The Procter & Gamble Co.		5,330		719,177
Tyson Foods, Inc., Class A		5,332		393,288
Walmart, Inc.		41,100		5,795,922
				21,502,161
Financials (6.5%):
Fidelity National Financial, Inc.		43,178		1,876,516
Huntington Bancshares, Inc.		25,208		359,718
Lazard Ltd., Class A		15,258		690,424
Old Republic International Corp.		19,444		484,350
SEI Investments Co.		14,409		892,926
The Allstate Corp.		11,536		1,504,756
The Travelers Cos., Inc.		32,449		4,857,940
				10,666,630
Health Care (15.4%):
AbbVie, Inc.		49,495		5,575,117
Biogen, Inc. (a)		1,417		490,665
Bristol-Myers Squibb Co.		71,261		4,761,660
DaVita, Inc. (a)		7,171		863,604
Henry Schein, Inc. (a)		6,465		479,638
Johnson & Johnson (b)		40,185		6,620,077

See notes to financial statements.

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Security Description	Shares		Value
Laboratory Corp. of America Holdings (a)		2,015	$	555,838
McKesson Corp.		2,032		388,600
Merck & Co., Inc.		62,363		4,849,970
Organon & Co. (a)		6,236		188,701
UnitedHealth Group, Inc.		1,064		426,068
				25,199,938
Industrials (21.4%):
3M Co.		27,079		5,378,702
Illinois Tool Works, Inc.		6,920		1,547,035
J.B. Hunt Transport Services, Inc.		15,599		2,541,857
Lockheed Martin Corp.		7,610		2,879,243
ManpowerGroup, Inc.		8,634		1,026,669
Masco Corp.		6,616		389,749
MasTec, Inc. (a)		4,229		448,697
Northrop Grumman Corp.		5,168		1,878,206
Republic Services, Inc. (b)		45,535		5,009,305
Robert Half International, Inc.		20,242		1,800,931
The Middleby Corp. (a)		4,119		713,658
Union Pacific Corp.		4,067		894,455
W.W. Grainger, Inc.		10,123		4,433,874
Waste Management, Inc.		32,836		4,600,652
Watsco, Inc.		5,203		1,491,388
				35,034,421
Information Technology (24.2%):
Apple, Inc.		80,932		11,084,447
Automatic Data Processing, Inc.		2,264		449,676
Citrix Systems, Inc.		22,343		2,620,164
Microsoft Corp. (b)		39,065		10,582,708
NetApp, Inc.		33,820		2,767,152
NXP Semiconductors NV		2,572		529,112
Oracle Corp.		75,242		5,856,837
QUALCOMM, Inc.		4,926		704,073
Seagate Technology Holdings PLC		48,129		4,231,983
Texas Instruments, Inc.		4,731		909,771
				39,735,923
Materials (0.5%):
Packaging Corp. of America		6,706		908,127
Total Common Stocks (Cost $137,691,621)				163,383,568
Collateral for Securities Loaned^ (0.0%) (d)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (e)		11		11
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		285		285
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (e)		5		5
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (e)		42		42

See notes to financial statements.

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Security Description	Shares		Value
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (e)		188	$	188
Total Collateral for Securities Loaned (Cost $531)				531
Total Investments (Cost $137,692,152) — 99.6%				163,384,099
Other assets in excess of liabilities — 0.4%				680,858
NET ASSETS — 100.00%			$	164,064,957

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

(e)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		3	9/17/21	$	634,297	$	643,290	$	8,993
Total unrealized appreciation								$	8,993
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	8,993

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.9%):
Activision Blizzard, Inc.		17,968	$	1,714,866
Alphabet, Inc., Class A (a)		863		2,107,265
Altice USA, Inc., Class A (a)		46,968		1,603,487
Cable One, Inc.		886		1,694,750
Charter Communications, Inc., Class A (a)		3,117		2,248,760
Comcast Corp., Class A		38,286		2,183,068
Discovery, Inc., Class A (a) (b)		22,964		704,535
DISH Network Corp., Class A (a)		41,381		1,729,726
Electronic Arts, Inc.		13,864		1,994,059
Facebook, Inc., Class A (a)		5,343		1,857,815
Fox Corp., Class A		36,966		1,372,548
Liberty Broadband Corp., Class C (a)		12,384		2,150,605
Netflix, Inc. (a)		2,125		1,122,446
Omnicom Group, Inc.		20,003		1,600,040
Sirius XM Holdings, Inc. (b)		282,165		1,845,359
Take-Two Interactive Software, Inc. (a)		8,777		1,553,705
The Interpublic Group of Cos., Inc.		52,370		1,701,501
The New York Times Co., Class A		31,323		1,364,117
T-Mobile U.S., Inc. (a)		16,357		2,368,984
Verizon Communications, Inc.		59,208		3,317,424
ViacomCBS, Inc., Class B		18,887		853,692
				37,088,752
Consumer Discretionary (10.0%):
Advance Auto Parts, Inc.		11,409		2,340,442
Amazon.com, Inc. (a)		497		1,709,760
Aptiv PLC (a)		9,192		1,446,177
AutoZone, Inc. (a)		1,942		2,897,891
Best Buy Co., Inc.		15,351		1,765,058
Booking Holdings, Inc. (a)		526		1,150,935
BorgWarner, Inc.		30,885		1,499,158
Bright Horizons Family Solutions, Inc. (a)		8,333		1,225,868
CarMax, Inc. (a)		11,738		1,515,963
Chipotle Mexican Grill, Inc. (a)		1,154		1,789,092
D.R. Horton, Inc.		16,275		1,470,772
Deckers Outdoor Corp. (a)		4,388		1,685,299
Dollar General Corp.		13,172		2,850,289
Dollar Tree, Inc. (a)		17,325		1,723,838
Domino's Pizza, Inc.		6,021		2,808,736
eBay, Inc.		27,463		1,928,177
Etsy, Inc. (a)		3,890		800,718
Five Below, Inc. (a)		7,699		1,487,986
Floor & Decor Holdings, Inc., Class A (a)		12,697		1,342,073
Garmin Ltd.		17,957		2,597,300
General Motors Co. (a)		23,410		1,385,170
Gentex Corp.		59,431		1,966,572
Genuine Parts Co.		17,093		2,161,752
Hasbro, Inc.		16,984		1,605,328

See notes to financial statements.

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Security Description	Shares		Value
L Brands, Inc.		13,904	$	1,001,922
Lear Corp.		8,441		1,479,538
Lennar Corp., Class A		14,446		1,435,210
Lithia Motors, Inc., Class A		2,610		896,900
LKQ Corp. (a)		35,044		1,724,866
Lowe's Cos., Inc.		11,204		2,173,240
McDonald's Corp.		14,004		3,234,784
Mohawk Industries, Inc. (a)		5,562		1,068,961
NIKE, Inc., Class B		13,653		2,109,252
NVR, Inc. (a)		325		1,616,322
O'Reilly Automotive, Inc. (a)		5,042		2,854,831
Peloton Interactive, Inc., Class A (a) (b)		6,309		782,442
Pool Corp.		4,295		1,969,945
PulteGroup, Inc.		27,491		1,500,184
RH (a) (b)		2,292		1,556,268
Ross Stores, Inc.		10,954		1,358,296
Service Corp. International		39,525		2,118,145
Starbucks Corp.		17,000		1,900,770
Target Corp. (c)		10,993		2,657,448
Tesla, Inc. (a)		1,034		702,810
The Home Depot, Inc.		9,010		2,873,199
The TJX Cos., Inc.		22,864		1,541,491
Tractor Supply Co.		11,088		2,063,033
Ulta Beauty, Inc. (a)		3,932		1,359,568
Vail Resorts, Inc. (a)		4,569		1,446,180
Wayfair, Inc., Class A (a) (b)		2,676		844,840
Whirlpool Corp.		7,662		1,670,469
Williams-Sonoma, Inc.		9,853		1,573,031
Yum! Brands, Inc.		23,348		2,685,720
				93,354,019
Consumer Staples (8.6%):
Altria Group, Inc.		50,760		2,420,237
Archer-Daniels-Midland Co.		35,549		2,154,269
Brown-Forman Corp., Class B		30,392		2,277,576
Bunge Ltd.		21,740		1,698,981
Campbell Soup Co.		47,151		2,149,614
Church & Dwight Co., Inc.		29,905		2,548,504
Colgate-Palmolive Co.		45,392		3,692,639
Conagra Brands, Inc.		63,986		2,327,811
Constellation Brands, Inc., Class A		8,100		1,894,509
Costco Wholesale Corp.		8,572		3,391,683
Darling Ingredients, Inc. (a)		18,902		1,275,885
General Mills, Inc.		44,764		2,727,470
Hormel Foods Corp. (b)		53,117		2,536,337
Kellogg Co.		44,755		2,879,089
Keurig Dr Pepper, Inc.		85,920		3,027,821
Kimberly-Clark Corp.		21,616		2,891,788
Lamb Weston Holdings, Inc.		15,950		1,286,527
McCormick & Co., Inc.		28,229		2,493,185
Mondelez International, Inc., Class A		52,715		3,291,525

See notes to financial statements.

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Security Description	Shares		Value
Monster Beverage Corp. (a)		24,288	$	2,218,709
PepsiCo, Inc.		22,992		3,406,725
Philip Morris International, Inc.		25,135		2,491,130
The Boston Beer Co., Inc., Class A (a)		896		914,637
The Clorox Co.		10,710		1,926,836
The Coca-Cola Co.		46,606		2,521,851
The Estee Lauder Cos., Inc.		6,476		2,059,886
The Hershey Co.		18,820		3,278,068
The J.M. Smucker Co.		18,780		2,433,325
The Kraft Heinz Co.		53,566		2,184,421
The Kroger Co.		58,548		2,242,974
The Procter & Gamble Co.		27,030		3,647,158
Tyson Foods, Inc., Class A		25,454		1,877,487
Walmart, Inc.		17,956		2,532,155
				80,700,812
Energy (0.5%):
Kinder Morgan, Inc.		105,436		1,922,098
ONEOK, Inc.		21,125		1,175,395
The Williams Cos., Inc.		60,285		1,600,567
				4,698,060
Financials (16.0%):
Aflac, Inc.		34,138		1,831,845
Alleghany Corp. (a)		2,474		1,650,331
Ally Financial, Inc.		28,128		1,401,900
American Express Co.		9,542		1,576,625
American Financial Group, Inc.		12,336		1,538,546
Ameriprise Financial, Inc.		6,909		1,719,512
Aon PLC, Class A		9,142		2,182,744
Apollo Global Management, Inc. (b)		27,436		1,706,519
Arch Capital Group Ltd. (a)		43,060		1,676,756
Ares Management Corp., Class A		39,253		2,496,098
Arthur J. Gallagher & Co.		20,454		2,865,196
Athene Holding Ltd., Class A (a)		24,541		1,656,518
Bank of America Corp.		39,710		1,637,243
Berkshire Hathaway, Inc., Class B (a)		10,919		3,034,608
BlackRock, Inc.		2,942		2,574,162
Brown & Brown, Inc.		50,603		2,689,043
Capital One Financial Corp.		9,660		1,494,305
Cboe Global Markets, Inc.		16,899		2,011,826
Chubb Ltd.		10,533		1,674,115
Cincinnati Financial Corp.		13,276		1,548,247
Citigroup, Inc.		18,776		1,328,402
Citizens Financial Group, Inc.		23,381		1,072,486
CME Group, Inc.		9,362		1,991,110
Comerica, Inc.		14,152		1,009,604
Commerce Bancshares, Inc.		21,993		1,639,798
Discover Financial Services		11,560		1,367,432
East West Bancorp, Inc.		14,463		1,036,852
Erie Indemnity Co., Class A		8,648		1,672,091

See notes to financial statements.

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Security Description	Shares		Value
Everest Re Group Ltd.		6,999	$	1,763,818
FactSet Research Systems, Inc.		5,454		1,830,417
Fidelity National Financial, Inc.		44,370		1,928,320
Fifth Third Bancorp		32,250		1,232,918
First Horizon Corp.		63,880		1,103,846
First Republic Bank		10,729		2,008,147
Franklin Resources, Inc.		49,830		1,594,062
Globe Life, Inc.		17,497		1,666,589
Huntington Bancshares, Inc.		68,794		981,690
Interactive Brokers Group, Inc.		22,815		1,499,630
Intercontinental Exchange, Inc.		21,487		2,550,507
Invesco Ltd.		50,373		1,346,470
JPMorgan Chase & Co.		10,512		1,635,036
KeyCorp		52,063		1,075,101
KKR & Co., Inc.		33,871		2,006,518
Lincoln National Corp.		15,051		945,805
LPL Financial Holdings, Inc.		10,529		1,421,204
M&T Bank Corp.		6,649		966,166
Markel Corp. (a)		1,620		1,922,470
MarketAxess Holdings, Inc.		2,798		1,297,125
Marsh & McLennan Cos., Inc.		21,877		3,077,656
MetLife, Inc.		24,417		1,461,357
Moody's Corp.		7,324		2,653,998
Morgan Stanley		20,220		1,853,972
Morningstar, Inc.		8,214		2,111,902
MSCI, Inc.		3,614		1,926,551
Nasdaq, Inc.		15,929		2,800,318
Northern Trust Corp.		15,617		1,805,638
Principal Financial Group, Inc.		21,429		1,354,099
Raymond James Financial, Inc.		12,979		1,685,972
Regions Financial Corp.		52,153		1,052,448
Reinsurance Group of America, Inc.		8,468		965,352
RenaissanceRe Holdings Ltd.		11,354		1,689,702
S&P Global, Inc.		5,822		2,389,640
Santander Consumer USA Holdings, Inc.		49,111		1,783,712
SEI Investments Co.		31,099		1,927,205
Signature Bank		4,300		1,056,295
State Street Corp.		18,485		1,520,946
SVB Financial Group (a)		2,578		1,434,477
Synchrony Financial		30,006		1,455,891
T. Rowe Price Group, Inc.		11,986		2,372,868
The Allstate Corp.		20,699		2,699,978
The Bank of New York Mellon Corp.		35,266		1,806,677
The Blackstone Group, Inc., Class A		28,623		2,780,438
The Carlyle Group, Inc.		48,539		2,256,093
The Charles Schwab Corp.		23,101		1,681,984
The Goldman Sachs Group, Inc.		4,847		1,839,582
The Hartford Financial Services Group, Inc.		26,581		1,647,225
The PNC Financial Services Group, Inc.		8,520		1,625,275
The Progressive Corp.		23,128		2,271,401

See notes to financial statements.

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Security Description	Shares		Value
The Travelers Cos., Inc.		12,301	$	1,841,583
Tradeweb Markets, Inc., Class A		22,302		1,885,857
Truist Financial Corp.		21,730		1,206,015
U.S. Bancorp		27,182		1,548,559
W.R. Berkley Corp.		25,390		1,889,778
Wells Fargo & Co.		33,496		1,517,034
Western Alliance Bancorp		10,454		970,654
Zions Bancorp NA		17,924		947,463
				149,655,348
Health Care (14.3%):
Abbott Laboratories		17,059		1,977,650
AbbVie, Inc.		19,622		2,210,222
ABIOMED, Inc. (a)		4,383		1,367,978
Agilent Technologies, Inc.		18,835		2,784,001
Align Technology, Inc. (a)		1,568		958,048
Amedisys, Inc. (a)		6,025		1,475,703
Amgen, Inc.		8,680		2,115,750
Anthem, Inc.		5,024		1,918,163
Avantor, Inc. (a)		49,324		1,751,495
Baxter International, Inc.		29,726		2,392,943
Becton, Dickinson & Co.		9,088		2,210,111
Biogen, Inc. (a)		2,735		947,048
BioMarin Pharmaceutical, Inc. (a)		12,725		1,061,774
Bio-Rad Laboratories, Inc., Class A (a)		2,556		1,646,805
Bio-Techne Corp.		3,987		1,795,187
Bruker Corp.		27,587		2,096,060
Cardinal Health, Inc.		31,771		1,813,806
Catalent, Inc. (a)		12,968		1,402,100
Centene Corp. (a)		24,159		1,761,916
Cerner Corp.		31,785		2,484,316
Charles River Laboratories International, Inc. (a)		5,803		2,146,646
Cigna Corp.		6,711		1,590,977
CVS Health Corp.		27,305		2,278,329
Danaher Corp.		9,702		2,603,629
DaVita, Inc. (a)		17,151		2,065,495
Denali Therapeutics, Inc. (a)		9,038		708,941
DexCom, Inc. (a)		3,043		1,299,361
Edwards Lifesciences Corp. (a)		21,324		2,208,527
Eli Lilly & Co.		6,510		1,494,175
Encompass Health Corp.		21,984		1,715,412
Gilead Sciences, Inc. (c)		35,594		2,451,003
HCA Healthcare, Inc.		8,074		1,669,219
Henry Schein, Inc. (a)		24,714		1,833,532
Hologic, Inc. (a)		19,386		1,293,434
Horizon Therapeutics PLC (a)		10,438		977,414
Humana, Inc.		4,935		2,184,823
IDEXX Laboratories, Inc. (a)		3,055		1,929,385
Illumina, Inc. (a)		2,873		1,359,532
Insulet Corp. (a)		4,826		1,324,785
Intuitive Surgical, Inc. (a)		2,225		2,046,199

See notes to financial statements.

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Security Description	Shares		Value
IQVIA Holdings, Inc. (a)		9,511	$	2,304,706
Jazz Pharmaceuticals PLC (a)		8,449		1,500,880
Johnson & Johnson (c)		18,142		2,988,713
Laboratory Corp. of America Holdings (a)		7,764		2,141,699
Masimo Corp. (a)		6,632		1,607,928
Medtronic PLC		16,308		2,024,312
Merck & Co., Inc.		34,545		2,686,565
Mettler-Toledo International, Inc. (a)		1,688		2,338,454
Molina Healthcare, Inc. (a)		6,055		1,532,278
Neurocrine Biosciences, Inc. (a)		10,554		1,027,115
Novocure Ltd. (a) (b)		6,226		1,381,051
Organon & Co. (a)		3,454		104,518
PerkinElmer, Inc.		12,310		1,900,787
Pfizer, Inc.		58,834		2,303,939
PPD, Inc. (a)		43,637		2,011,229
Quest Diagnostics, Inc.		17,013		2,245,206
Regeneron Pharmaceuticals, Inc. (a)		3,556		1,986,168
Repligen Corp. (a)		5,938		1,185,344
ResMed, Inc.		8,804		2,170,362
Seagen, Inc. (a)		7,399		1,168,154
STERIS PLC		11,955		2,466,317
Stryker Corp.		7,296		1,894,990
Syneos Health, Inc. (a)		18,099		1,619,680
Teleflex, Inc.		4,569		1,835,779
The Cooper Cos., Inc.		4,769		1,889,812
Thermo Fisher Scientific, Inc.		4,121		2,078,921
UnitedHealth Group, Inc.		5,926		2,373,007
Universal Health Services, Inc., Class B		10,839		1,587,155
Veeva Systems, Inc., Class A (a)		4,945		1,537,648
Vertex Pharmaceuticals, Inc. (a)		6,371		1,284,585
Waters Corp. (a)		6,405		2,213,632
West Pharmaceutical Services, Inc.		6,517		2,340,255
Zoetis, Inc.		14,175		2,641,653
				133,724,736
Industrials (17.3%):
3M Co.		11,948		2,373,231
Advanced Drainage Systems, Inc.		9,446		1,101,120
AGCO Corp.		10,646		1,388,026
Allegion PLC		15,424		2,148,563
AMERCO, Inc.		3,292		1,940,305
AMETEK, Inc.		17,662		2,357,877
AO Smith Corp.		28,783		2,074,103
Builders FirstSource, Inc. (a)		23,135		986,939
C.H. Robinson Worldwide, Inc.		19,884		1,862,534
Carlisle Cos., Inc.		12,299		2,353,783
Carrier Global Corp.		41,588		2,021,177
Caterpillar, Inc.		7,538		1,640,495
Cintas Corp.		5,705		2,179,310
Copart, Inc. (a)		17,968		2,368,721
CoStar Group, Inc. (a) (c)		18,520		1,533,826

See notes to financial statements.

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Security Description	Shares		Value
CSX Corp.		65,430	$	2,098,994
Cummins, Inc.		7,553		1,841,497
Deere & Co.		4,854		1,712,054
Dover Corp.		17,927		2,699,806
Eaton Corp. PLC		14,185		2,101,933
Emerson Electric Co.		19,699		1,895,832
Enphase Energy, Inc. (a)		3,767		691,734
Equifax, Inc.		10,927		2,617,126
Expeditors International of Washington, Inc.		25,560		3,235,896
Fastenal Co.		45,301		2,355,652
FedEx Corp.		5,693		1,698,393
Fortive Corp.		28,995		2,022,111
Fortune Brands Home & Security, Inc.		18,587		1,851,451
Generac Holdings, Inc. (a)		3,511		1,457,592
General Dynamics Corp.		12,576		2,367,558
General Electric Co.		95,437		1,284,582
Graco, Inc.		32,419		2,454,118
HEICO Corp. (b)		12,130		1,691,165
Honeywell International, Inc.		9,264		2,032,058
Howmet Aerospace, Inc. (a)		35,631		1,228,201
Hubbell, Inc.		11,032		2,061,219
IAA, Inc. (a)		27,168		1,481,743
IDEX Corp.		10,312		2,269,156
Illinois Tool Works, Inc.		11,425		2,554,173
J.B. Hunt Transport Services, Inc.		12,767		2,080,383
Jacobs Engineering Group, Inc.		15,487		2,066,276
Johnson Controls International PLC		35,718		2,451,326
Kansas City Southern		8,568		2,427,914
L3Harris Technologies, Inc.		10,187		2,201,920
Lennox International, Inc.		6,956		2,440,165
Lockheed Martin Corp.		6,676		2,525,865
Masco Corp.		36,385		2,143,440
Nordson Corp.		9,825		2,156,686
Norfolk Southern Corp.		7,708		2,045,780
Northrop Grumman Corp.		7,099		2,579,990
Old Dominion Freight Line, Inc.		8,655		2,196,639
Otis Worldwide Corp.		33,761		2,760,637
PACCAR, Inc.		21,125		1,885,406
Parker-Hannifin Corp.		5,181		1,591,137
Quanta Services, Inc.		18,170		1,645,657
Republic Services, Inc. (c)		29,859		3,284,789
Robert Half International, Inc.		16,586		1,475,656
Rockwell Automation, Inc.		8,008		2,290,448
Rollins, Inc.		50,005		1,710,171
Roper Technologies, Inc.		5,243		2,465,259
Snap-on, Inc.		7,937		1,773,364
Stanley Black & Decker, Inc.		10,885		2,231,316
Teledyne Technologies, Inc. (a)		4,263		1,785,472
Textron, Inc.		24,772		1,703,570
The Middleby Corp. (a)		7,409		1,283,683

See notes to financial statements.

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Security Description	Shares		Value
The Toro Co.		24,351	$	2,675,688
Trane Technologies PLC		12,126		2,232,882
TransDigm Group, Inc. (a)		2,472		1,600,101
TransUnion		19,374		2,127,459
Trex Co., Inc. (a)		13,935		1,424,296
Union Pacific Corp.		9,425		2,072,840
United Parcel Service, Inc., Class B		10,048		2,089,683
United Rentals, Inc. (a)		3,748		1,195,650
Verisk Analytics, Inc.		12,777		2,232,397
W.W. Grainger, Inc.		5,710		2,500,980
Waste Management, Inc.		24,276		3,401,310
Watsco, Inc.		6,504		1,864,307
Westinghouse Air Brake Technologies Corp.		18,394		1,513,826
XPO Logistics, Inc. (a)		10,624		1,486,191
Xylem, Inc.		18,492		2,218,300
				161,872,913
Information Technology (16.4%):
Accenture PLC, Class A		7,883		2,323,830
Adobe, Inc. (a)		3,254		1,905,673
Advanced Micro Devices, Inc. (a)		12,089		1,135,520
Akamai Technologies, Inc. (a)		17,061		1,989,313
Amphenol Corp., Class A		17,366		1,188,008
Analog Devices, Inc.		11,628		2,001,876
ANSYS, Inc. (a)		4,434		1,538,864
Apple, Inc.		11,473		1,571,342
Applied Materials, Inc.		10,633		1,514,139
Arista Networks, Inc. (a) (b)		5,119		1,854,665
Aspen Technology, Inc. (a)		7,430		1,021,922
Autodesk, Inc. (a)		5,410		1,579,179
Automatic Data Processing, Inc.		11,247		2,233,879
Black Knight, Inc. (a)		25,944		2,023,113
Booz Allen Hamilton Holding Corp.		24,026		2,046,535
Broadcom, Inc.		3,822		1,822,482
Broadridge Financial Solutions, Inc.		16,630		2,686,244
Cadence Design Systems, Inc. (a)		11,132		1,523,080
CDW Corp.		10,207		1,782,653
Ciena Corp. (a)		24,489		1,393,179
Cisco Systems, Inc.		43,784		2,320,552
Citrix Systems, Inc.		11,513		1,350,130
Cognex Corp.		19,292		1,621,493
Cognizant Technology Solutions Corp., Class A		26,240		1,817,382
Corning, Inc.		44,737		1,829,743
Dell Technologies, Inc., Class C (a)		19,875		1,980,941
Dolby Laboratories, Inc., Class A		20,182		1,983,689
Dynatrace, Inc. (a)		19,566		1,143,046
Entegris, Inc.		13,078		1,608,202
EPAM Systems, Inc. (a)		4,145		2,117,929
F5 Networks, Inc. (a)		8,454		1,578,024
Fair Isaac Corp. (a)		3,203		1,610,084
Fidelity National Information Services, Inc.		13,216		1,872,311

See notes to financial statements.

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Security Description	Shares		Value
First Solar, Inc. (a)		11,279	$	1,020,862
Fiserv, Inc. (a)		14,704		1,571,711
FleetCor Technologies, Inc. (a)		4,814		1,232,673
Fortinet, Inc. (a)		8,126		1,935,532
Gartner, Inc. (a)		8,625		2,088,975
Global Payments, Inc.		7,993		1,499,007
HP, Inc.		58,025		1,751,775
II-VI, Inc. (a) (b)		11,994		870,644
Intel Corp.		21,892		1,229,017
International Business Machines Corp.		14,997		2,198,410
Intuit, Inc.		4,273		2,094,496
IPG Photonics Corp. (a) (b)		6,511		1,372,323
Jack Henry & Associates, Inc. (b)		11,624		1,900,640
Keysight Technologies, Inc. (a)		12,908		1,993,124
KLA Corp.		4,145		1,343,850
Lam Research Corp.		2,143		1,394,450
Leidos Holdings, Inc.		19,264		1,947,590
Manhattan Associates, Inc. (a)		12,066		1,747,639
Marvell Technology, Inc.		26,335		1,536,121
Mastercard, Inc., Class A		4,458		1,627,571
Microchip Technology, Inc.		8,931		1,337,328
Micron Technology, Inc. (a)		14,456		1,228,471
Microsoft Corp. (c)		7,651		2,072,656
MKS Instruments, Inc.		7,467		1,328,753
Monolithic Power Systems, Inc.		3,169		1,183,463
Motorola Solutions, Inc.		11,091		2,405,083
NetApp, Inc.		20,079		1,642,864
NVIDIA Corp.		2,201		1,761,020
NXP Semiconductors NV		7,884		1,621,896
ON Semiconductor Corp. (a)		31,141		1,192,077
Oracle Corp.		36,258		2,822,323
Paychex, Inc.		23,989		2,574,020
Paycom Software, Inc. (a)		3,282		1,192,909
Paylocity Holding Corp. (a)		6,482		1,236,766
PayPal Holdings, Inc. (a)		4,896		1,427,086
PTC, Inc. (a)		9,468		1,337,450
Qorvo, Inc. (a)		6,833		1,336,876
QUALCOMM, Inc.		9,094		1,299,805
salesforce.com, Inc. (a)		5,217		1,274,357
Seagate Technology Holdings PLC		21,100		1,855,323
ServiceNow, Inc. (a) (c)		2,600		1,428,830
Skyworks Solutions, Inc.		7,264		1,392,872
Square, Inc., Class A (a)		3,976		969,349
SS&C Technologies Holdings, Inc.		31,194		2,247,840
Synopsys, Inc. (a)		6,188		1,706,589
TE Connectivity Ltd.		14,556		1,968,117
Teradyne, Inc.		9,920		1,328,883
Texas Instruments, Inc.		11,356		2,183,759
The Trade Desk, Inc., Class A (a)		10,671		825,509
The Western Union Co.		76,458		1,756,240

See notes to financial statements.

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Security Description	Shares		Value
Trimble, Inc. (a)		21,777	$	1,782,012
Tyler Technologies, Inc. (a)		4,295		1,942,929
Universal Display Corp.		6,865		1,526,295
VeriSign, Inc. (a)		10,961		2,495,710
Visa, Inc., Class A		9,573		2,238,359
VMware, Inc., Class A (a) (b)		11,903		1,904,123
Western Digital Corp. (a)		15,007		1,068,048
Zebra Technologies Corp. (a)		3,019		1,598,530
Zoom Video Communications, Inc., Class A (a)		1,741		673,819
				153,493,771
Materials (5.4%):
Air Products & Chemicals, Inc.		6,809		1,958,813
Albemarle Corp.		6,384		1,075,449
AptarGroup, Inc.		18,114		2,551,176
Avery Dennison Corp.		9,553		2,008,423
Ball Corp.		23,832		1,930,869
Celanese Corp.		11,686		1,771,598
CF Industries Holdings, Inc.		27,189		1,398,874
Corteva, Inc.		33,720		1,495,482
Crown Holdings, Inc.		18,430		1,883,730
Dow, Inc.		22,305		1,411,460
Eastman Chemical Co.		13,611		1,589,084
FMC Corp.		18,101		1,958,528
Freeport-McMoRan, Inc.		29,562		1,097,046
International Flavors & Fragrances, Inc.		11,095		1,657,593
International Paper Co.		31,201		1,912,933
LyondellBasell Industries NV, Class A		11,008		1,132,393
Martin Marietta Materials, Inc.		4,286		1,507,858
Newmont Corp.		28,577		1,811,210
Nucor Corp.		24,093		2,311,241
Packaging Corp. of America		13,697		1,854,848
PPG Industries, Inc.		13,982		2,373,724
Reliance Steel & Aluminum Co.		12,908		1,947,817
RPM International, Inc.		27,429		2,432,404
Steel Dynamics, Inc.		30,043		1,790,563
The Mosaic Co.		31,771		1,013,813
The Scotts Miracle-Gro Co.		6,571		1,261,106
The Sherwin-Williams Co.		9,943		2,708,970
Vulcan Materials Co.		8,773		1,527,116
Westlake Chemical Corp.		16,144		1,454,413
				50,828,534
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		16,368		1,403,229
eXp World Holdings, Inc. (a) (b)		9,576		371,261
Jones Lang LaSalle, Inc. (a)		6,457		1,262,085
				3,036,575
Utilities (6.8%):
Alliant Energy Corp.		53,318		2,973,012

See notes to financial statements.

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Security Description	Shares		Value
Ameren Corp.		34,791	$	2,784,672
American Electric Power Co., Inc. (c)		32,280		2,730,565
American Water Works Co., Inc.		16,912		2,606,647
Atmos Energy Corp.		25,470		2,447,922
CMS Energy Corp.		46,861		2,768,548
Consolidated Edison, Inc. (c)		35,524		2,547,781
DTE Energy Co.		17,922		2,322,691
Duke Energy Corp. (c)		26,423		2,608,479
Edison International		34,375		1,987,562
Entergy Corp.		23,502		2,343,149
Essential Utilities, Inc.		49,097		2,243,733
Evergy, Inc. (c)		35,436		2,141,397
Eversource Energy (c)		29,746		2,386,819
Exelon Corp.		52,393		2,321,534
FirstEnergy Corp.		36,675		1,364,677
NextEra Energy, Inc. (c)		27,631		2,024,800
NRG Energy, Inc.		44,394		1,789,078
Pinnacle West Capital Corp.		29,406		2,410,410
PPL Corp.		76,745		2,146,558
Public Service Enterprise Group, Inc.		37,614		2,247,060
Sempra Energy		16,632		2,203,407
The AES Corp.		54,178		1,412,420
The Southern Co. (c)		41,906		2,535,732
UGI Corp.		42,081		1,948,771
Vistra Corp.		68,082		1,262,921
WEC Energy Group, Inc. (c)		31,301		2,784,224
Xcel Energy, Inc. (c)		40,660		2,678,681
				64,023,250
Total Common Stocks (Cost $723,978,421)				932,476,770
Investment Companies (0.4%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01% (d)		3,806,845		3,806,845
Total Investment Companies (Cost $3,806,845)				3,806,845
Collateral for Securities Loaned^ (1.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		233,981		233,981
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		6,337,792		6,337,792
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		116,768		116,768
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		931,073		931,073
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		4,186,284		4,186,284
Total Collateral for Securities Loaned (Cost $11,805,898)				11,805,898
Total Investments (Cost $739,591,164) — 101.1%				948,089,513
Liabilities in excess of other assets — (1.1)%				(10,748,763	)
NET ASSETS — 100.00%			$	937,340,750

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		20	9/17/21	$	4,218,306	$	4,288,600	$	70,294
Total unrealized appreciation								$	70,294
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	70,294

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Communication Services (3.3%):
Omnicom Group, Inc.		91,490	$	7,318,285
The Interpublic Group of Cos., Inc.		239,534		7,782,459
Verizon Communications, Inc.		270,827		15,174,437
				30,275,181
Consumer Discretionary (2.7%):
Genuine Parts Co.		78,174		9,886,666
Hasbro, Inc.		77,654		7,339,856
Whirlpool Corp.		35,040		7,639,421
				24,865,943
Consumer Staples (18.8%):
Altria Group, Inc.		232,188		11,070,724
Archer-Daniels-Midland Co.		162,615		9,854,469
Bunge Ltd.		99,420		7,769,673
Campbell Soup Co.		215,669		9,832,350
Conagra Brands, Inc.		292,691		10,648,099
General Mills, Inc.		204,757		12,475,844
Kellogg Co. (a)		204,719		13,169,573
Kimberly-Clark Corp.		98,874		13,227,364
PepsiCo, Inc.		105,173		15,583,483
Philip Morris International, Inc.		114,956		11,393,289
The Coca-Cola Co.		213,191		11,535,765
The J.M. Smucker Co.		85,926		11,133,432
The Kraft Heinz Co.		245,003		9,991,222
The Procter & Gamble Co.		123,618		16,679,777
Tyson Foods, Inc., Class A		116,419		8,587,065
				172,952,129
Energy (2.3%):
Kinder Morgan, Inc.		482,253		8,791,472
ONEOK, Inc.		96,632		5,376,604
The Williams Cos., Inc.		275,749		7,321,136
				21,489,212
Financials (22.6%):
Apollo Global Management, Inc. (a)		125,508		7,806,598
Ares Management Corp., Class A		179,547		11,417,394
Citigroup, Inc.		85,887		6,076,505
Citizens Financial Group, Inc.		106,950		4,905,796
CME Group, Inc.		42,811		9,105,043
Comerica, Inc.		64,727		4,617,624
Everest Re Group Ltd.		32,003		8,065,076
Fidelity National Financial, Inc.		202,946		8,820,033
Fifth Third Bancorp		147,483		5,638,275
First Horizon Corp.		292,184		5,048,940
Franklin Resources, Inc.		227,948		7,292,057
Huntington Bancshares, Inc.		314,643		4,489,956
Invesco Ltd.		230,380		6,158,057

See notes to financial statements.

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Security Description	Shares		Value
KeyCorp		238,118	$	4,917,137
Lincoln National Corp.		68,842		4,326,031
M&T Bank Corp.		30,420		4,420,330
MetLife, Inc.		111,669		6,683,390
Northern Trust Corp.		71,456		8,261,743
Principal Financial Group, Inc.		98,030		6,194,516
Regions Financial Corp.		238,557		4,814,080
Santander Consumer USA Holdings, Inc.		224,620		8,158,198
State Street Corp.		84,565		6,958,008
The Bank of New York Mellon Corp.		161,308		8,263,809
The Blackstone Group, Inc., Class A		130,914		12,716,986
The Carlyle Group, Inc.		222,006		10,318,839
The Hartford Financial Services Group, Inc.		121,579		7,534,251
The PNC Financial Services Group, Inc.		38,980		7,435,825
Truist Financial Corp.		99,379		5,515,534
U.S. Bancorp		124,348		7,084,106
Zions Bancorp NA		81,998		4,334,414
				207,378,551
Health Care (8.0%):
AbbVie, Inc.		89,734		10,107,638
Amgen, Inc.		39,708		9,678,825
Cardinal Health, Inc.		145,317		8,296,148
CVS Health Corp.		124,891		10,420,905
Gilead Sciences, Inc. (b)		162,811		11,211,165
Merck & Co., Inc.		158,013		12,288,671
Organon & Co. (c)		15,804		478,229
Pfizer, Inc.		269,077		10,537,055
				73,018,636
Industrials (5.6%):
3M Co.		54,656		10,856,321
General Dynamics Corp.		57,525		10,829,657
Lockheed Martin Corp.		30,562		11,563,133
United Parcel Service, Inc., Class B		45,971		9,560,589
Watsco, Inc.		29,746		8,526,393
				51,336,093
Information Technology (7.1%):
Broadcom, Inc.		17,450		8,320,858
Cisco Systems, Inc.		200,280		10,614,840
International Business Machines Corp.		68,607		10,057,100
NetApp, Inc.		91,843		7,514,594
Paychex, Inc.		109,726		11,773,600
Seagate Technology Holdings PLC		96,521		8,487,092
The Western Union Co.		349,694		8,032,471
				64,800,555
Materials (5.0%):
CF Industries Holdings, Inc.		124,378		6,399,248
Dow, Inc.		102,008		6,455,066
International Paper Co.		142,686		8,748,079

See notes to financial statements.

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Security Description	Shares		Value
LyondellBasell Industries NV, Class A		50,338	$	5,178,270
Nucor Corp.		110,183		10,569,855
Packaging Corp. of America		62,660		8,485,417
				45,835,935
Utilities (24.0%):
Alliant Energy Corp.		243,868		13,598,080
American Electric Power Co., Inc. (b)		147,641		12,488,952
CMS Energy Corp.		214,355		12,664,093
Consolidated Edison, Inc. (b)		162,485		11,653,424
DTE Energy Co.		81,990		10,625,904
Duke Energy Corp. (b)		120,885		11,933,767
Edison International		157,225		9,090,750
Entergy Corp.		107,522		10,719,943
Evergy, Inc. (b)		162,080		9,794,494
Exelon Corp.		239,655		10,619,113
FirstEnergy Corp.		167,774		6,242,871
NRG Energy, Inc.		203,050		8,182,915
Pinnacle West Capital Corp.		134,502		11,025,129
PPL Corp.		351,018		9,817,974
Public Service Enterprise Group, Inc.		172,050		10,278,267
Sempra Energy		76,084		10,079,608
The Southern Co. (b)		191,692		11,599,283
UGI Corp.		192,481		8,913,795
Vistra Corp.		311,386		5,776,210
WEC Energy Group, Inc. (b)		143,165		12,734,527
Xcel Energy, Inc. (b)		185,963		12,251,243
				220,090,342
Total Common Stocks (Cost $779,413,219)				912,042,577
Investment Companies (0.3%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01% (d)		2,914,423		2,914,423
Total Investment Companies (Cost $2,914,423)				2,914,423
Collateral for Securities Loaned^ (0.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		154,968		154,968
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		4,197,571		4,197,571
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		77,336		77,336
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		616,657		616,657
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		2,772,610		2,772,610
Total Collateral for Securities Loaned (Cost $7,819,142)				7,819,142
Total Investments (Cost $790,146,784) — 100.6%				922,776,142
Liabilities in excess of other assets — (0.6)%				(5,930,191	)
NET ASSETS — 100.00%			$	916,845,951

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

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

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

(c)  Non-income producing security.

(d)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		15	9/17/21	$	3,175,378	$	3,216,450	$	41,072
Total unrealized appreciation								$	41,072
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	41,072

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (3.1%):
AMC Networks, Inc., Class A (a)		1,120	$	74,816
Cogent Communications Holdings, Inc. (b)		2,402		184,690
Consolidated Communications Holdings, Inc. (a)		18,389		161,639
Gray Television, Inc.		6,776		158,558
IDT Corp., Class B (a)		3,539		130,801
Loral Space & Communications, Inc. (c)		1,739		67,560
MSG Networks, Inc., Class A (a)		5,988		87,305
QuinStreet, Inc. (a)		4,970		92,343
Sciplay Corp., Class A (a) (c)		5,087		86,225
Shenandoah Telecommunications Co.		3,228		156,590
TechTarget, Inc. (a)		1,179		91,361
Telephone & Data Systems, Inc.		7,330		166,098
The EW Scripps Co., Class A		4,732		96,485
TrueCar, Inc. (a) (c)		13,169		74,405
United States Cellular Corp. (a)		4,848		176,031
WideOpenWest, Inc. (a)		6,701		138,778
				1,943,685
Consumer Discretionary (11.6%):
1-800-Flowers.com, Inc., Class A (a)		2,995		95,451
Adtalem Global Education, Inc. (a)		3,421		121,924
American Public Education, Inc. (a)		3,956		112,113
America's Car-Mart, Inc. (a)		911		129,107
Beazer Homes USA, Inc. (a)		4,915		94,810
Big Lots, Inc.		1,219		80,466
Boot Barn Holdings, Inc. (a)		1,398		117,502
Camping World Holdings, Inc., Class A (c)		2,088		85,587
Carriage Services, Inc.		4,097		151,466
Cavco Industries, Inc. (a)		519		115,317
Century Communities, Inc.		1,661		110,523
Citi Trends, Inc. (a)		1,141		99,267
Clarus Corp.		8,105		208,298
Core-Mark Holding Co., Inc.		4,283		192,778
Duluth Holdings, Inc., Class B (a)		6,434		132,862
El Pollo Loco Holdings, Inc. (a)		5,702		104,290
Ethan Allen Interiors, Inc.		4,551		125,608
Franchise Group, Inc.		2,344		82,673
Gentherm, Inc. (a)		2,081		147,855
G-III Apparel Group Ltd. (a)		2,386		78,404
Green Brick Partners, Inc. (a)		4,898		111,380
Group 1 Automotive, Inc.		588		90,805
GrowGeneration Corp. (a)		1,028		49,447
Haverty Furniture Cos., Inc.		2,941		125,757
Hibbett, Inc. (a)		1,330		119,208
Jack in the Box, Inc.		1,548		172,509
Johnson Outdoors, Inc., Class A		1,171		141,691
Kontoor Brands, Inc.		2,453		138,374
Lands' End, Inc. (a)		2,066		84,809

See notes to financial statements.

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Security Description	Shares		Value
La-Z-Boy, Inc.		3,521	$	130,418
LGI Homes, Inc. (a)		899		145,584
Liquidity Services, Inc. (a)		3,808		96,914
Lumber Liquidators Holdings, Inc. (a)		3,059		64,545
M/I Homes, Inc. (a)		1,822		106,897
Malibu Boats, Inc., Class A (a)		1,331		97,602
MarineMax, Inc. (a) (c)		1,918		93,483
Monarch Casino & Resort, Inc. (a)		1,632		107,989
Monro, Inc.		2,256		143,279
Motorcar Parts of America, Inc. (a)		4,448		99,813
Nautilus, Inc. (a) (c)		3,131		52,757
OneWater Marine, Inc.		2,533		106,462
Overstock.com, Inc. (a)		652		60,114
Papa John's International, Inc.		1,460		152,482
Perdoceo Education Corp. (a)		9,265		113,682
PetMed Express, Inc. (b)		1,958		62,362
Sally Beauty Holdings, Inc. (a)		5,587		123,305
Shoe Carnival, Inc.		1,971		141,104
Skyline Champion Corp. (a)		2,168		115,554
Smith & Wesson Brands, Inc.		4,440		154,068
Standard Motor Products, Inc.		3,163		137,116
Strategic Education, Inc.		1,201		91,348
Stride, Inc. (a)		3,677		118,142
Sturm Ruger & Co., Inc. (b)		1,762		158,545
Superior Group of Cos., Inc.		3,126		74,743
The Buckle, Inc. (c)		2,344		116,614
The Container Store Group, Inc. (a)		3,367		43,906
Tri Pointe Homes, Inc. (a)		5,042		108,050
Tupperware Brands Corp. (a)		1,342		31,872
Turtle Beach Corp. (a)		2,654		84,716
Universal Electronics, Inc. (a)		2,132		103,402
Vista Outdoor, Inc. (a)		2,419		111,951
Winmark Corp.		1,020		195,922
Winnebago Industries, Inc.		1,395		94,804
WW International, Inc. (a)		2,840		102,638
XPEL, Inc. (a)		1,465		122,870
Zumiez, Inc. (a)		2,186		107,092
				7,392,426
Consumer Staples (6.9%):
B&G Foods, Inc. (c)		3,641		119,425
Cal-Maine Foods, Inc.		5,452		197,417
Central Garden & Pet Co., Class A (a)		4,295		207,449
Coca-Cola Consolidated, Inc.		578		232,431
Edgewell Personal Care Co.		4,726		207,471
elf Beauty, Inc. (a)		4,908		133,203
Fresh Del Monte Produce, Inc.		5,625		184,950
Hostess Brands, Inc. (a)		16,531		267,637
Ingles Markets, Inc., Class A		3,023		176,150
Inter Parfums, Inc.		1,743		125,496
John B Sanfilippo & Son, Inc.		2,184		193,437

See notes to financial statements.

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Security Description	Shares		Value
Medifast, Inc.		434	$	122,813
MGP Ingredients, Inc.		2,014		136,227
Natural Grocers by Vitamin Cottage, Inc.		5,887		63,226
Nu Skin Enterprises, Inc., Class A		1,983		112,337
PriceSmart, Inc.		1,888		171,827
Seneca Foods Corp., Class A (a)		2,017		103,028
SpartanNash Co.		5,560		107,364
Sprouts Farmers Market, Inc. (a)		6,914		171,813
The Andersons, Inc.		3,458		105,573
The Simply Good Foods Co. (a)		4,293		156,737
Tootsie Roll Industries, Inc. (c)		3,960		134,284
TreeHouse Foods, Inc. (a)		2,620		116,642
Turning Point Brands, Inc.		2,240		102,525
United Natural Foods, Inc. (a)		2,763		102,176
Universal Corp.		3,419		194,780
USANA Health Sciences, Inc. (a) (c)		1,450		148,524
Vector Group Ltd.		8,937		126,369
Veru, Inc. (a)		2,727		22,007
Weis Markets, Inc. (b)		3,285		169,703
				4,413,021
Energy (1.4%):
Bonanza Creek Energy, Inc.		2,507		118,005
Cactus, Inc., Class A		2,652		97,381
Clean Energy Fuels Corp. (a)		3,471		35,231
Diamond S Shipping, Inc. (a)		10,799		107,558
Dorian LPG Ltd. (a)		8,336		117,704
Helix Energy Solutions Group, Inc. (a)		11,703		66,824
International Seaways, Inc.		5,541		106,276
REX American Resources Corp. (a)		859		77,465
W&T Offshore, Inc. (a)		19,874		96,389
World Fuel Services Corp. (b)		2,680		85,036
				907,869
Financials (24.7%):
1st Source Corp.		2,705		125,674
Allegiance Bancshares, Inc.		3,077		118,280
American Equity Investment Life Holding Co.		2,575		83,224
American National Group, Inc.		1,791		266,053
AMERISAFE, Inc.		3,404		203,185
Atlantic Union Bankshares Corp.		2,665		96,526
Axos Financial, Inc. (a)		2,519		116,856
B Riley Financial, Inc.		2,044		154,322
BancFirst Corp.		1,575		98,327
Banner Corp.		1,934		104,842
BGC Partners, Inc., Class A		22,189		125,812
Brightsphere Investment Group, Inc.		5,552		130,083
Brookline Bancorp, Inc.		8,457		126,432
Capitol Federal Financial, Inc.		11,217		132,136
Cathay General Bancorp		2,920		114,931
City Holding Co.		1,932		145,364

See notes to financial statements.

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Security Description	Shares		Value
Columbia Financial, Inc. (a) (b)		10,407	$	179,209
Community Trust Bancorp, Inc.		3,235		130,629
ConnectOne Bancorp, Inc.		4,243		111,039
Cowen, Inc., Class A		3,324		136,450
Crossfirst Bankshares, Inc. (a)		7,875		108,281
Customers Bancorp, Inc.		3,332		129,915
CVB Financial Corp.		5,871		120,884
Dime Community Bancshares, Inc.		3,556		119,553
Eagle Bancorp, Inc.		2,172		121,806
eHealth, Inc. (a)		1,120		65,408
Employers Holdings, Inc.		4,959		212,245
Encore Capital Group, Inc. (a)		2,938		139,232
Enova International, Inc. (a)		3,152		107,830
Enterprise Financial Services Corp.		2,470		114,583
FB Financial Corp.		2,623		97,890
Federal Agricultural Mortgage Corp., Class C		1,695		167,636
Federated Hermes, Inc.		4,545		154,121
First BanCorp/Puerto Rico		9,413		112,203
First Bancorp/Southern Pines NC		2,654		108,575
First Busey Corp.		5,167		127,418
First Commonwealth Financial Corp.		7,704		108,395
First Financial Bancorp		4,384		103,594
First Foundation, Inc.		5,506		123,940
First Interstate BancSystem, Inc., Class A		2,864		119,801
First Merchants Corp.		2,632		109,675
First Midwest Bancorp, Inc.		5,388		106,844
FirstCash, Inc.		2,234		170,767
Flagstar Bancorp, Inc.		3,190		134,841
Flushing Financial Corp.		5,401		115,743
Fulton Financial Corp.		6,700		105,726
German American Bancorp, Inc.		3,679		136,859
Great Southern Bancorp, Inc., Class A		2,526		136,151
Green Dot Corp., Class A (a)		2,314		108,411
HarborOne Bancorp, Inc.		11,609		166,473
Heartland Financial USA, Inc.		2,463		115,736
Heritage Financial Corp.		4,498		112,540
Hilltop Holdings, Inc.		3,750		136,500
HomeStreet, Inc.		2,927		119,246
Hope Bancorp, Inc.		7,859		111,441
Horace Mann Educators Corp.		4,157		155,555
Horizon Bancorp, Inc.		6,178		107,683
Independent Bank Corp.		1,374		103,737
International Bancshares Corp.		2,703		116,067
James River Group Holdings Ltd.		3,224		120,965
Kearny Financial Corp.		10,953		130,888
Lakeland Bancorp, Inc.		7,231		126,398
Lakeland Financial Corp.		2,151		132,588
Live Oak Bancshares, Inc.		1,681		99,179
Merchants Bancorp		3,660		143,618
Meridian Bancorp, Inc.		7,140		146,084

See notes to financial statements.

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Security Description	Shares		Value
Meta Financial Group, Inc.		2,159	$	109,310
Mr. Cooper Group, Inc. (a)		3,551		117,396
National Bank Holdings Corp., Class A		3,210		121,145
National Western Life Group, Inc., Class A		550		123,415
Navient Corp.		8,597		166,180
NBT Bancorp, Inc.		3,573		128,521
Nelnet, Inc., Class A		2,313		174,007
Nicolet Bankshares, Inc. (a)		2,057		144,689
NMI Holdings, Inc., Class A (a)		4,515		101,497
Northfield Bancorp, Inc.		9,339		153,160
Northwest Bancshares, Inc. (b)		9,356		127,616
Oceanfirst Financial Corp.		5,128		106,868
OFG Bancorp		5,330		117,900
Old National Bancorp		7,372		129,821
Origin Bancorp, Inc.		3,093		131,329
Palomar Holdings, Inc. (a)		1,113		83,987
Park National Corp.		877		102,977
Piper Sandler Cos.		1,223		158,452
PJT Partners, Inc., Class A		2,396		171,027
PRA Group, Inc. (a)		3,923		150,918
Preferred Bank		2,017		127,616
Premier Financial Corp.		3,281		93,213
Provident Financial Services, Inc.		5,762		131,892
QCR Holdings, Inc.		2,730		131,286
Renasant Corp.		3,030		121,200
S&T Bancorp, Inc.		3,488		109,174
Safety Insurance Group, Inc. (b)		2,365		185,132
Sandy Spring Bancorp, Inc.		2,889		127,492
Sculptor Capital Management, Inc.		4,358		107,163
Seacoast Banking Corp. of Florida		2,941		100,435
ServisFirst Bancshares, Inc.		2,631		178,855
Silvergate Capital Corp., Class A (a)		481		54,507
SiriusPoint Ltd. (a)		13,755		138,513
Southside Bancshares, Inc. (b)		4,033		154,182
Stewart Information Services Corp.		2,847		161,396
Stock Yards Bancorp, Inc.		2,675		136,131
StoneX Group, Inc. (a)		2,166		131,411
The Bancorp, Inc. (a)		4,685		107,802
The First Bancshares, Inc.		3,808		142,533
Tompkins Financial Corp. (c)		1,568		121,614
Towne Bank		4,109		124,996
TriCo Bancshares		2,747		116,967
Tristate Capital Holdings, Inc. (a)		3,984		81,234
Triumph Bancorp, Inc. (a)		1,329		98,678
TrustCo Bank Corp.		3,875		133,223
Trustmark Corp.		4,203		129,452
United Community Banks, Inc.		3,352		107,298
Univest Financial Corp.		4,266		112,494
Veritex Holdings, Inc.		3,789		134,169
Victory Capital Holdings, Inc., Class A (d)		5,651		182,471

See notes to financial statements.

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Security Description	Shares		Value
Virtus Investment Partners, Inc.		482	$	133,885
Washington Federal, Inc.		4,072		129,408
Washington Trust Bancorp, Inc.		2,587		132,843
WesBanco, Inc.		3,450		122,924
Westamerica Bancorp		2,762		160,279
World Acceptance Corp. (a) (c)		610		97,746
WSFS Financial Corp.		1,950		90,851
				15,703,079
Health Care (9.4%):
Accuray, Inc. (a)		15,208		68,740
Addus HomeCare Corp. (a)		1,328		115,855
Amneal Pharmaceuticals, Inc. (a)		14,749		75,515
Amphastar Pharmaceuticals, Inc. (a) (c)		10,058		202,769
Antares Pharma, Inc. (a)		27,101		118,160
Apollo Medical Holdings, Inc. (a) (c)		5,033		316,123
Atrion Corp.		271		168,272
BioDelivery Sciences International, Inc. (a)		23,827		85,301
Brookdale Senior Living, Inc. (a)		10,261		81,062
Cara Therapeutics, Inc. (a)		6,548		93,440
Catalyst Pharmaceuticals, Inc. (a)		23,957		137,753
Co-Diagnostics, Inc. (a)		3,188		26,301
Coherus Biosciences, Inc. (a)		6,535		90,379
Collegium Pharmaceutical, Inc. (a)		4,582		108,318
Community Health Systems, Inc. (a)		6,934		107,061
Computer Programs and Systems, Inc.		4,103		136,343
Corcept Therapeutics, Inc. (a)		2,407		52,954
CorVel Corp. (a)		1,821		244,560
Eagle Pharmaceuticals, Inc. (a)		3,401		145,563
Endo International PLC (a)		9,647		45,148
Fulgent Genetics, Inc. (a) (c)		404		37,261
Hanger, Inc. (a)		4,934		124,732
HealthStream, Inc. (a)		7,794		217,764
Infusystem Holdings, Inc. (a)		6,654		138,337
Innoviva, Inc. (a)		10,865		145,700
Integer Holdings Corp. (a)		1,362		128,300
Ironwood Pharmaceuticals, Inc. (a)		14,212		182,908
LeMaitre Vascular, Inc.		2,302		140,468
Meridian Bioscience, Inc. (a)		3,401		75,434
ModivCare, Inc. (a)		973		165,478
National HealthCare Corp. (b)		1,883		131,622
National Research Corp.		2,855		131,044
NextGen Healthcare, Inc. (a)		5,621		93,252
Orthofix Medical, Inc. (a)		2,734		109,661
Owens & Minor, Inc.		1,156		48,933
Phibro Animal Health Corp., Class A		6,031		174,175
Prestige Consumer Healthcare, Inc. (a)		4,338		226,010
Retractable Technologies, Inc. (a) (c)		2,655		30,692
SIGA Technologies, Inc. (a)		20,018		125,713
Simulations Plus, Inc.		1,364		74,897
Supernus Pharmaceuticals, Inc. (a)		3,609		111,121

See notes to financial statements.

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Security Description	Shares		Value
Surmodics, Inc. (a)		2,343	$	127,108
The Joint Corp. (a)		2,813		236,067
The Pennant Group, Inc. (a)		1,271		51,984
Triple-S Management Corp., Class B (a)		4,843		107,854
U.S. Physical Therapy, Inc.		828		95,940
Vanda Pharmaceuticals, Inc. (a)		5,481		117,896
Vericel Corp. (a)		2,181		114,503
Zynex, Inc. (a)		4,564		70,879
				5,955,350
Industrials (20.4%):
ACCO Brands Corp.		12,374		106,788
AeroVironment, Inc. (a)		826		82,724
Alamo Group, Inc.		1,045		159,551
Albany International Corp.		1,562		139,424
Ameresco, Inc., Class A (a)		1,647		103,300
American Woodmark Corp. (a)		1,147		93,698
Apogee Enterprises, Inc.		2,820		114,859
ArcBest Corp.		1,850		107,651
Arcosa, Inc.		2,171		127,525
Argan, Inc.		3,016		144,135
Astec Industries, Inc.		1,719		108,194
Atlas Air Worldwide Holdings, Inc. (a)		2,350		160,058
AZZ, Inc.		2,639		136,647
Barnes Group, Inc.		2,076		106,395
Barrett Business Services, Inc.		1,976		143,477
Blue Bird Corp. (a)		3,336		82,933
Brady Corp., Class A		3,083		172,771
CAI International, Inc.		2,042		114,352
Casella Waste Systems, Inc. (a)		3,255		206,465
CBIZ, Inc. (a)		6,317		207,008
Columbus McKinnon Corp.		2,674		128,994
Comfort Systems USA, Inc.		1,968		155,059
Construction Partners, Inc., Class A (a)		3,414		107,200
CRA International, Inc.		1,990		170,344
CSW Industrials, Inc.		1,074		127,226
Daseke, Inc. (a)		12,747		82,601
Deluxe Corp.		2,212		105,667
Ducommun, Inc. (a)		2,008		109,556
Dycom Industries, Inc. (a)		1,187		88,467
Echo Global Logistics, Inc. (a)		4,155		127,725
Encore Wire Corp.		2,535		192,128
Energy Recovery, Inc. (a)		6,557		149,368
Enerpac Tool Group Corp.		5,250		139,755
Ennis, Inc. (b)		8,878		191,055
ESCO Technologies, Inc.		1,551		145,499
Evoqua Water Technologies Corp. (a)		4,532		153,091
Federal Signal Corp.		4,531		182,282
Forrester Research, Inc. (a)		2,835		129,843
Forward Air Corp.		1,895		170,076
Gibraltar Industries, Inc. (a)		1,418		108,208

See notes to financial statements.

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Security Description	Shares		Value
Global Industrial Co.		2,892	$	106,165
GMS, Inc. (a)		2,811		135,322
Great Lakes Dredge & Dock Corp. (a)		8,799		128,553
Griffon Corp.		3,927		100,649
Healthcare Services Group		4,230		133,541
Heartland Express, Inc.		12,138		207,924
Helios Technologies, Inc.		2,196		171,398
Herc Holdings, Inc. (a)		1,072		120,139
Heritage-Crystal Clean, Inc. (a)		3,431		101,832
HNI Corp.		3,389		149,014
Hub Group, Inc., Class A (a)		2,945		194,311
Hyster-Yale Materials Handling, Inc.		1,257		91,736
ICF International, Inc.		1,778		156,215
IES Holdings, Inc. (a)		2,429		124,753
Insteel Industries, Inc.		3,825		122,974
JELD-WEN Holding, Inc. (a)		3,084		80,986
Kadant, Inc.		763		134,357
Kforce, Inc.		2,166		136,306
Kimball International, Inc., Class B		8,270		108,750
Knoll, Inc.		5,022		130,522
Lindsay Corp.		999		165,115
Marten Transport Ltd.		9,351		154,198
Matson, Inc.		1,268		81,152
McGrath RentCorp		1,933		157,675
Meritor, Inc. (a)		3,514		82,298
Miller Industries, Inc.		4,503		177,598
Mueller Industries, Inc.		3,579		155,006
Mueller Water Products, Inc., Class A		13,238		190,892
MYR Group, Inc. (a)		2,049		186,295
National Presto Industries, Inc.		1,364		138,651
Northwest Pipe Co. (a)		3,203		90,485
NV5 Global, Inc. (a)		1,158		109,443
Omega Flex, Inc.		558		81,864
PAE, Inc. (a)		13,435		119,572
Patrick Industries, Inc.		1,285		93,805
PGT Innovations, Inc. (a)		5,210		121,028
Powell Industries, Inc.		3,975		123,026
Primoris Services Corp.		3,568		105,006
Quanex Building Products Corp.		5,501		136,645
Radiant Logistics, Inc. (a)		17,218		119,321
Raven Industries, Inc.		2,916		168,691
Resources Connection, Inc.		11,016		158,190
Rush Enterprises, Inc., Class A		3,553		153,632
SPX Corp. (a)		2,427		148,241
SPX Flow, Inc.		2,052		133,872
Standex International Corp.		1,419		134,677
Steelcase, Inc., Class A		6,408		96,825
Sterling Construction Co., Inc. (a)		3,824		92,273
Tennant Co.		1,998		159,540
Terex Corp.		2,339		111,383

See notes to financial statements.

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Security Description	Shares		Value
The Gorman-Rupp Co.		4,321	$	148,815
The Greenbrier Cos., Inc.		2,250		98,055
Titan Machinery, Inc. (a)		4,344		134,403
Tutor Perini Corp. (a)		5,576		77,228
U.S. Xpress Enterprise, Inc., Class A (a)		7,666		65,928
Vectrus, Inc. (a)		2,417		115,025
Veritiv Corp. (a)		3,296		202,440
Werner Enterprises, Inc.		4,221		187,919
				12,993,758
Information Technology (11.1%):
A10 Networks, Inc. (a)		10,508		118,320
ACM Research, Inc., Class A (a)		555		56,732
ADTRAN, Inc.		6,719		138,747
Alpha & Omega Semiconductor Ltd. (a)		2,085		63,363
American Software, Inc., Class A		6,368		139,841
Avid Technology, Inc. (a)		4,453		174,335
Axcelis Technologies, Inc. (a)		2,625		106,103
AXT, Inc. (a)		4,705		51,661
Benchmark Electronics, Inc.		4,918		139,966
Calix, Inc. (a)		1,925		91,437
Cambium Networks Corp. (a)		1,347		65,127
Casa Systems, Inc. (a)		8,818		78,216
Cass Information Systems, Inc.		3,185		129,789
ChannelAdvisor Corp. (a)		3,082		75,540
Clearfield, Inc. (a)		2,724		102,014
CSG Systems International, Inc.		4,171		196,788
CTS Corp.		4,275		158,859
Digi International, Inc. (a)		4,310		86,674
Ebix, Inc.		2,156		73,088
eGain Corp. (a)		6,354		72,944
ePlus, Inc. (a)		1,607		139,311
EVERTEC, Inc.		4,268		186,298
ExlService Holdings, Inc. (a)		2,071		220,064
FARO Technologies, Inc. (a)		1,430		111,211
GreenSky, Inc., Class A (a)		14,687		81,513
Ichor Holdings Ltd. (a)		2,051		110,344
Insight Enterprises, Inc. (a)		1,721		172,117
Intelligent Systems Corp. (a) (c)		2,560		80,538
InterDigital, Inc.		2,727		199,153
Kimball Electronics, Inc. (a)		4,425		96,200
Knowles Corp. (a)		7,580		149,629
Luna Innovations, Inc. (a)		7,855		85,070
Methode Electronics, Inc.		3,331		163,919
Mimecast Ltd. (a)		2,778		147,373
Mitek Systems, Inc. (a)		6,044		116,407
Napco Security Technologies, Inc. (a)		3,751		136,424
NETGEAR, Inc. (a)		2,675		102,506
NetScout Systems, Inc. (a)		5,940		169,528
NVE Corp.		1,939		143,583
OSI Systems, Inc. (a)		2,000		203,280

See notes to financial statements.

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Security Description	Shares		Value
PC Connection, Inc. (c)		2,671	$	123,587
Perficient, Inc. (a)		2,771		222,844
Photronics, Inc. (a)		10,125		133,751
Plexus Corp. (a)		1,846		168,743
Progress Software Corp.		3,918		181,208
Ribbon Communications, Inc. (a)		9,620		73,208
Sanmina Corp. (a)		3,742		145,788
ShotSpotter, Inc. (a)		1,922		93,736
SMART Global Holdings, Inc. (a) (c)		2,478		118,151
Super Micro Computer, Inc. (a)		3,333		117,255
Sykes Enterprises, Inc. (a)		3,649		195,951
The Hackett Group, Inc.		9,152		164,919
Ultra Clean Holdings, Inc. (a)		1,838		98,737
VirnetX Holding Corp. (a) (c)		13,440		57,389
Vishay Precision Group, Inc. (a)		4,395		149,606
Xperi Holding Corp.		4,664		103,727
				7,082,612
Materials (5.4%):
AdvanSix, Inc. (a)		3,388		101,166
American Vanguard Corp.		6,846		119,873
Boise Cascade Co.		2,213		129,129
Chase Corp.		1,210		124,158
Clearwater Paper Corp. (a)		2,732		79,146
Coeur Mining, Inc. (a)		6,663		59,167
Compass Minerals International, Inc.		2,335		138,372
FutureFuel Corp.		9,181		88,138
GCP Applied Technologies, Inc. (a)		5,286		122,952
Glatfelter Corp.		7,958		111,173
Greif, Inc., Class A		2,561		155,069
H.B. Fuller Co.		2,636		167,676
Hawkins, Inc.		2,007		65,729
Ingevity Corp. (a)		1,523		123,911
Innospec, Inc.		1,315		119,152
Kaiser Aluminum Corp.		857		105,831
Koppers Holdings, Inc. (a)		2,674		86,504
Materion Corp.		2,040		153,714
Minerals Technologies, Inc.		1,740		136,886
Myers Industries, Inc.		6,471		135,891
O-I Glass, Inc. (a)		7,435		121,414
Orion Engineered Carbons SA (a)		5,230		99,318
PQ Group Holdings, Inc.		7,478		114,862
Rayonier Advanced Materials, Inc. (a)		5,748		38,454
Schnitzer Steel Industries, Inc.		3,088		151,466
Schweitzer-Mauduit International, Inc.		2,816		113,710
Stepan Co.		1,441		173,309
SunCoke Energy, Inc.		11,454		81,782
Trinseo SA		1,348		80,664
U.S. Concrete, Inc. (a)		1,456		107,453
				3,406,069

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (1.7%):
Forestar Group, Inc. (a)		7,289	$	152,413
Kennedy-Wilson Holdings, Inc.		8,044		159,834
Marcus & Millichap, Inc. (a)		4,467		173,632
Newmark Group, Inc., Class A		8,402		100,908
RE/MAX Holdings, Inc.		3,344		111,456
Tejon Ranch Co. (a)		10,060		153,013
The RMR Group, Inc., Class A		2,715		104,908
The St. Joe Co.		2,240		99,926
				1,056,090
Utilities (3.8%):
American States Water Co.		2,700		214,812
Avista Corp.		4,564		194,746
California Water Service Group		3,352		186,170
Chesapeake Utilities Corp.		1,548		186,271
MGE Energy, Inc.		3,111		231,583
Middlesex Water Co.		2,174		177,681
Northwest Natural Holding Co.		2,893		151,940
NorthWestern Corp.		2,888		173,915
Otter Tail Corp. (b)		4,260		207,931
SJW Group		2,754		174,328
South Jersey Industries, Inc.		5,635		146,116
The York Water Co.		4,024		182,287
Unitil Corp. (b)		4,016		212,728
				2,440,508
Total Common Stocks (Cost $52,562,675)				63,294,467
Investment Companies (0.4%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01% (e)		231,049		231,049
Total Investment Companies (Cost $231,049)				231,049
Collateral for Securities Loaned^ (1.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (e)		23,866		23,866
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		646,445		646,445
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (e)		11,910		11,910
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (e)		94,968		94,968
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (e)		426,995		426,995
Total Collateral for Securities Loaned (Cost $1,204,184)				1,204,184
Total Investments (Cost $53,997,908) — 101.8%				64,729,700
Liabilities in excess of other assets — (1.8)%				(1,157,249	)
NET ASSETS — 100.00%			$	63,572,451

See notes to financial statements.

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^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Affiliated security (See Note 8 in the Notes to Financial Statements)

(e)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini Russell 2000 Index Futures		2	9/17/21	$	229,763	$	230,780	$	1,017
Total unrealized appreciation								$	1,017
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	1,017

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.8%)
Australia (4.5%):
Communication Services (0.5%):
REA Group Ltd.		654	$	82,887
Telstra Corp. Ltd.		40,952		115,454
				198,341
Consumer Discretionary (0.2%):
Aristocrat Leisure Ltd.		2,660		85,942
Consumer Staples (0.8%):
Coles Group Ltd.		8,385		107,446
Endeavour Group Ltd. (a)		3,513		16,568
Wesfarmers Ltd.		2,830		125,407
Woolworths Group Ltd.		3,513		100,436
				349,857
Financials (1.5%):
ASX Ltd.		2,134		124,342
Australia & New Zealand Banking Group Ltd.		3,861		81,493
Commonwealth Bank of Australia		1,540		115,319
Macquarie Group Ltd.		797		93,481
National Australia Bank Ltd.		4,101		80,625
Suncorp Group Ltd.		8,256		68,775
Westpac Banking Corp.		4,202		81,318
				645,353
Health Care (0.6%):
CSL Ltd.		417		89,169
Ramsay Health Care Ltd.		1,591		75,095
Sonic Healthcare Ltd.		3,904		112,405
				276,669
Industrials (0.3%):
Brambles Ltd.		12,787		109,683
Materials (0.6%):
BHP Group Ltd.		2,012		73,272
Fortescue Metals Group Ltd.		2,936		51,381
Newcrest Mining Ltd.		3,817		72,351
Rio Tinto Ltd.		792		75,204
				272,208
				1,938,053
Austria (0.5%):
Energy (0.1%):
OMV AG		1,118		63,585
Financials (0.2%):
Erste Group Bank AG		1,800		66,029

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.2%):
Verbund AG (b)		837	$	77,056
				206,670
Belgium (1.2%):
Financials (0.8%):
Ageas SA (b)		1,239		68,748
Groupe Bruxelles Lambert SA		959		107,264
KBC Group NV		779		59,387
Sofina SA		285		122,927
				358,326
Health Care (0.2%):
UCB SA		689		72,016
Materials (0.2%):
Umicore SA		1,060		64,722
				495,064
Canada (11.9%):
Communication Services (1.0%):
BCE, Inc. (c)		3,232		159,409
Rogers Communications, Inc., Class B		2,034		108,150
TELUS Corp. (b) (c)		6,353		142,499
				410,058
Consumer Discretionary (0.6%):
Dollarama, Inc.		2,619		119,898
Magna International, Inc.		731		67,692
Restaurant Brands International, Inc. (b)		1,316		84,806
				272,396
Consumer Staples (1.6%):
Alimentation Couche-Tard, Inc., Class B		2,681		98,531
George Weston Ltd.		1,714		163,393
Loblaw Cos. Ltd.		2,764		170,135
Metro, Inc.		3,219		154,353
Saputo, Inc.		3,382		100,882
				687,294
Energy (0.5%):
Enbridge, Inc.		2,627		105,194
TC Energy Corp.		1,929		95,470
				200,664
Financials (3.6%):
Bank of Montreal		1,171		120,048
Canadian Imperial Bank of Commerce (b)		1,618		184,215
Fairfax Financial Holdings Ltd.		182		79,825
Great-West Lifeco, Inc. (b)		4,154		123,407
Intact Financial Corp.		892		121,205
Manulife Financial Corp.		3,702		72,881
National Bank of Canada		1,953		146,184

See notes to financial statements.

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Security Description	Shares		Value
Power Corp. of Canada (b)		4,314	$	136,374
Royal Bank of Canada		1,660		168,210
Sun Life Financial, Inc.		2,154		111,089
The Bank of Nova Scotia		1,977		128,599
The Toronto-Dominion Bank		1,901		133,242
				1,525,279
Industrials (1.4%):
Canadian National Railway Co.		991		104,577
Canadian Pacific Railway Ltd.		1,465		112,670
Thomson Reuters Corp.		1,160		115,242
Waste Connections, Inc.		1,223		146,140
WSP Global, Inc.		986		115,116
				593,745
Information Technology (0.8%):
CGI, Inc. (a)		1,170		106,097
Constellation Software, Inc.		61		92,401
Open Text Corp.		2,311		117,377
Shopify, Inc., Class A (a)		31		45,344
				361,219
Materials (1.0%):
Aginco Eagle Mines Ltd.		974		58,908
Barrick Gold Corp. (b)		3,084		63,800
CCL Industries, Inc.		1,547		85,214
Franco-Nevada Corp.		648		94,052
Nutrien Ltd.		1,291		78,237
Wheaton Precious Metals Corp.		1,360		59,957
				440,168
Utilities (1.4%):
Algonquin Power & Utilities Corp. (b)		6,972		103,900
Emera, Inc.		3,435		155,869
Fortis, Inc.		3,792		167,877
Hydro One Ltd. (d)		6,216		150,259
				577,905
				5,068,728
Denmark (3.0%):
Consumer Discretionary (0.2%):
Pandora A/S		507		68,163
Consumer Staples (0.2%):
Carlsberg A/S, Class B		551		102,725
Financials (0.3%):
Danske Bank A/S		3,802		66,911
Tryg A/S		2,754		67,617
				134,528

See notes to financial statements.

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Security Description	Shares		Value
Health Care (1.1%):
Ambu A/S, Class B (b)		911	$	35,029
Coloplast A/S, Class B		558		91,572
Demant A/S (a) (b)		1,369		77,071
Genmab A/S (a)		199		81,437
GN Store Nord A/S		849		74,172
Novo Nordisk A/S, Class B		1,309		109,683
				468,964
Industrials (0.6%):
AP Moller — Maersk A/S, Class B		28		80,491
DSV PANALPINA A/S		443		103,326
Vestas Wind Systems A/S		1,425		55,634
				239,451
Materials (0.5%):
Christian Hansen Holding A/S		1,077		97,217
Novozymes A/S, B Shares		1,472		110,970
				208,187
Utilities (0.1%):
Orsted A/S (d)		409		57,401
				1,279,419
Finland (1.9%):
Communication Services (0.3%):
Elisa Oyj		1,819		108,521
Consumer Staples (0.3%):
Kesko Oyj, Class B		3,344		123,500
Energy (0.1%):
Neste Oyj		1,031		63,123
Financials (0.2%):					��
Nordea Bank Abp		8,980		99,985
Industrials (0.4%):
Kone Oyj, Class B		1,339		109,222
Metso Outotec Oyj		5,143		59,732
				168,954
Materials (0.4%):
Stora Enso Oyj, Class R		4,066		74,166
UPM-Kymmene Oyj		2,310		87,366
				161,532
Utilities (0.2%):
Fortum Oyj		3,278		90,398
				816,013
France (7.8%):
Communication Services (0.7%):
Iliad SA		502		73,445
Orange SA (b)		7,250		82,647

See notes to financial statements.

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Security Description	Shares		Value
Publicis Groupe SA		1,049	$	67,085
Vivendi SA		2,053		68,957
				292,134
Consumer Discretionary (1.0%):
Cie Generale des Etablissements Michelin SCA		567		90,416
Hermes International		95		138,369
Kering SA		119		103,982
LVMH Moet Hennessy Louis Vuitton SE		126		98,789
				431,556
Consumer Staples (1.2%):
Carrefour SA		4,035		79,341
Danone SA		1,285		90,451
L'Oreal SA		281		125,200
Pernod Ricard SA		500		110,973
Remy Cointreau SA		452		93,299
				499,264
Financials (0.9%):
Amundi SA (d)		1,072		94,497
AXA SA		2,991		75,834
BNP Paribas SA		843		52,842
CNP Assurances		3,258		55,430
Credit Agricole SA (b)		3,963		55,509
Natixis SA		9,160		43,440
				377,552
Health Care (0.5%):
BioMerieux		460		53,447
Sanofi (b)		1,058		110,836
Sartorius Stedim Biotech (b)		122		57,699
				221,982
Industrials (2.4%):
Alstom SA (a)		1,357		68,522
Bollore SA		14,898		79,838
Bouygues SA		1,764		65,231
Bureau Veritas SA		3,254		102,930
Cie de Saint-Gobain		1,477		97,258
Edenred		1,402		79,870
Eiffage SA		594		60,425
Legrand SA		1,098		116,198
Safran SA		390		54,062
Schneider Electric SE		612		96,271
Teleperformance		217		88,066
Thales SA		621		63,348
Vinci SA		563		60,068
				1,032,087

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (0.6%):
Capgemini SE (b)		462	$	88,735
Dassault Systemes SA		420		101,832
Worldline SA (a) (d)		731		68,416
				258,983
Materials (0.3%):
Air Liquide SA		781		136,727
Utilities (0.2%):
Veolia Environnement SA		2,680		80,929
				3,331,214
Germany (6.9%):
Communication Services (0.3%):
Deutsche Telekom AG		5,940		125,441
Consumer Discretionary (1.0%):
adidas AG		197		73,316
Bayerische Motoren Werke AG		884		93,604
Daimler AG		794		70,885
HelloFresh SE (a)		478		46,460
Puma SE		726		86,548
Zalando SE (a) (b) (d)		551		66,601
				437,414
Consumer Staples (0.3%):
Beiersdorf AG		927		111,829
Financials (1.1%):
Allianz SE, Registered Shares		326		81,283
Deutsche Bank AG, Registered Shares (a)		4,832		62,937
Deutsche Boerse AG		542		94,590
Hannover Rueck SE		470		78,626
Muenchener Rueckversicherungs-Gesellschaft AG, Class R		237		64,894
Talanx AG		1,733		70,845
				453,175
Health Care (0.9%):
Carl Zeiss Meditec AG		471		90,995
Fresenius Medical Care AG & Co. KGaA		1,139		94,582
Fresenius SE & Co. KGaA		1,731		90,290
Merck KGaA		562		107,743
				383,610
Industrials (1.1%):
Brenntag SE		1,034		96,136
Deutsche Post AG, Registered Shares		1,831		124,520
KION Group AG		742		79,069
MTU Aero Engines AG		200		49,535
Rational AG		78		70,653
Siemens AG, Registered Shares		471		74,616
				494,529

See notes to financial statements.

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Security Description	Shares		Value
Information Technology (0.4%):
Infineon Technologies AG		1,374	$	55,094
SAP SE		473		66,645
TeamViewer AG (a) (b) (d)		1,018		38,284
				160,023
Materials (0.6%):
Covestro AG (d)		934		60,307
Evonik Industries AG		2,614		87,645
Symrise AG		886		123,427
				271,379
Real Estate (0.7%):
Deutsche Wohnen SE		1,757		107,447
LEG Immobilien SE		821		118,217
Vonovia SE		1,436		92,822
				318,486
Utilities (0.5%):
E.ON SE		10,550		122,004
RWE AG		2,062		74,711
				196,715
				2,952,601
Hong Kong (3.9%):
Consumer Discretionary (0.3%):
Techtronic Industries Co. Ltd.		3,149		54,998
Xinyi Glass Holdings Ltd.		18,000		73,376
				128,374
Consumer Staples (0.2%):
WH Group Ltd. (d)		77,085		69,300
Financials (0.5%):
AIA Group Ltd.		5,197		64,593
Hang Seng Bank Ltd.		4,701		93,910
Hong Kong Exchanges and Clearing Ltd.		1,017		60,621
				219,124
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		48,728		47,824
Industrials (0.4%):
CK Hutchison Holdings Ltd.		10,511		81,905
MTR Corp. Ltd.		17,543		97,723
				179,628
Real Estate (1.0%):
CK Asset Holdings Ltd.		13,627		94,075
Henderson Land Development Co. Ltd.		22,630		107,261
New World Development Co. Ltd.		14,635		76,058
Sino Land Co. Ltd.		52,133		82,187
Sun Hung Kai Properties Ltd.		5,776		86,073
				445,654

See notes to financial statements.

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Security Description	Shares		Value
Utilities (1.4%):
China Common Rich Renewable Energy INV Ltd. (a) (e) (f)		26,000	$	670
CK Infrastructure Holdings Ltd.		17,194		102,533
CLP Holdings Ltd.		15,446		152,787
Hong Kong and China Gas Co. Ltd.		100,310		155,812
Power Assets Holdings Ltd. (c)		27,217		167,037
				578,839
				1,668,743
Ireland (1.2%):
Consumer Discretionary (0.1%):
Flutter Entertainment PLC (a)		360		65,451
Consumer Staples (0.3%):
Kerry Group PLC		807		112,709
Industrials (0.4%):
Experian PLC		2,329		89,744
Kingspan Group PLC		714		67,417
				157,161
Materials (0.4%):
CRH PLC		1,522		76,691
Smurfit Kappa Group PLC		1,460		79,193
				155,884
				491,205
Israel (0.4%):
Financials (0.2%):
Bank Hapoalim BM (a)		12,486		100,308
Information Technology (0.2%):
Nice Ltd. (a)		316		77,266
				177,574
Italy (2.7%):
Communication Services (0.4%):
Infrastrutture Wireless Italiane SpA (b) (d)		8,392		94,641
Telecom Italia SpA		118,957		59,080
				153,721
Consumer Discretionary (0.2%):
Moncler SpA		1,138		76,986
Energy (0.2%):
Snam SpA		17,829		103,049
Financials (1.0%):
Assicurazioni Generali SpA		4,866		97,528
FinecoBank Banca Fineco SpA (a) (b)		4,445		77,469
Intesa Sanpaolo SpA		28,372		78,360
Mediobanca Banca di Credito Finanziario SpA (a)		6,361		74,285
Poste Italiane SpA (d)		6,714		88,756
				416,398

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.3%):
DiaSorin SpA (b)		279	$	52,760
Recordati Industria Chimica e Farmaceutica SpA (b)		1,692		96,692
				149,452
Information Technology (0.2%):
Nexi SpA (a) (b) (d)		3,587		78,719
Utilities (0.4%):
Enel SpA		8,780		81,528
Terna SPA		14,507		108,082
				189,610
				1,167,935
Japan (18.2%):
Communication Services (1.1%):
KDDI Corp.		3,208		100,070
Nexon Co. Ltd.		1,500		33,435
Nintendo Co. Ltd. (c)		100		58,174
Nippon Telegraph & Telephone Corp.		3,928		102,355
Softbank Corp.		8,100		105,990
SoftBank Group Corp.		600		41,997
Z Holdings Corp.		7,730		38,747
				480,768
Consumer Discretionary (2.6%):
Bandai Namco Holdings, Inc.		900		62,452
Fast Retailing Co. Ltd.		100		75,288
Honda Motor Co. Ltd.		2,200		70,310
Koito Manufacturing Co. Ltd.		800		49,766
Nitori Holdings Co. Ltd.		530		93,805
Pan Pacific International Holdings Corp.		3,300		68,507
Panasonic Corp.		5,100		59,021
Sekisui House Ltd.		4,672		95,833
Sharp Corp.		2,700		44,554
Shimano, Inc.		240		56,932
Sony Group Corp.		700		68,154
Subaru Corp.		3,200		63,133
Sumitomo Electric Industries Ltd.		4,600		67,874
Suzuki Motor Corp.		1,300		55,017
Toyota Industries Corp.		908		78,555
Toyota Motor Corp.		1,224		106,995
				1,116,196
Consumer Staples (1.6%):
Ajinomoto Co., Inc.		3,900		101,257
Asahi Group Holdings Ltd.		1,360		63,556
Japan Tobacco, Inc. (b)		5,444		102,847
Kao Corp.		1,418		87,253
Kikkoman Corp.		900		59,390

See notes to financial statements.

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Security Description	Shares		Value
Kirin Holdings Co. Ltd. (b)		4,400	$	85,797
Seven & i Holdings Co. Ltd.		1,800		85,835
Unicharm Corp.		2,094		84,265
				670,200
Financials (2.5%):
Dai-ichi Life Holdings, Inc.		3,488		63,869
Japan Exchange Group, Inc.		3,300		73,380
Japan Post Bank Co. Ltd.		9,912		83,254
Japan Post Holdings Co. Ltd.		9,400		77,033
Japan Post Insurance Co. Ltd.		3,400		62,870
Mitsubishi UFJ Financial Group, Inc.		16,500		89,140
Mizuho Financial Group, Inc.		6,000		85,749
MS&AD Insurance Group Holdings, Inc.		3,200		92,416
Nomura Holdings, Inc.		13,500		69,007
ORIX Corp.		3,568		60,211
Sompo Holdings, Inc.		2,300		85,018
Sumitomo Mitsui Financial Group, Inc.		2,484		85,648
Sumitomo Mitsui Trust Holdings, Inc.		2,400		76,226
Tokio Marine Holdings, Inc.		1,500		68,977
				1,072,798
Health Care (2.5%):
Astellas Pharma, Inc.		5,452		94,949
Chugai Pharmaceutical Co. Ltd.		1,490		59,047
Daiichi Sankyo Co. Ltd.		2,300		49,580
Eisai Co. Ltd.		654		64,322
Hoya Corp.		618		81,951
Kyowa Kirin Co. Ltd.		2,900		102,863
M3, Inc.		700		51,126
Olympus Corp.		2,800		55,657
Ono Pharmaceutical Co. Ltd.		3,184		71,058
Otsuka Holdings Co. Ltd.		2,300		95,392
Shionogi & Co. Ltd.		1,728		90,087
Sysmex Corp.		774		91,977
Takeda Pharmaceutical Co. Ltd.		2,800		93,745
Terumo Corp.		2,200		89,165
				1,090,919
Industrials (3.0%):
Daifuku Co. Ltd.		700		63,585
Daikin Industries Ltd.		366		68,172
FANUC Corp.		230		55,481
ITOCHU Corp.		3,900		112,351
Komatsu Ltd.		2,388		59,345
Kubota Corp.		3,204		64,813
Makita Corp.		1,500		70,625
Mitsubishi Corp.		3,592		97,916
Mitsubishi Electric Corp.		6,052		87,854
Mitsui & Co. Ltd.		3,686		82,975
MonotaRO Co. Ltd.		1,600		37,883

See notes to financial statements.

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Security Description	Shares		Value
Nidec Corp.		554	$	64,213
Recruit Holdings Co. Ltd.		1,220		60,077
Secom Co. Ltd.		1,110		84,379
SG Holdings Co. Ltd.		2,000		52,449
SMC Corp.		114		67,376
Toshiba Corp.		2,000		86,514
Toyota Tsusho Corp.		1,600		75,621
				1,291,629
Information Technology (3.4%):
Advantest Corp.		600		54,069
Canon, Inc. (b)		2,514		56,875
Disco Corp.		200		61,127
FUJIFILM Holdings Corp.		1,660		123,125
Fujitsu Ltd.		500		93,626
Hitachi Ltd.		1,500		85,898
Keyence Corp.		128		64,611
Kyocera Corp.		1,300		80,378
Lasertec Corp.		400		77,746
Murata Manufacturing Co. Ltd.		1,002		76,512
NEC Corp.		1,300		66,943
Nomura Research Institute Ltd.		2,174		71,925
NTT Data Corp.		4,308		67,211
Obic Co. Ltd.		500		93,221
Omron Corp.		1,000		79,312
Oracle Corp.		700		53,565
Renesas Electronics Corp. (a)		4,600		49,735
TDK Corp.		500		60,722
Tokyo Electron Ltd.		126		54,538
Yaskawa Electric Corp.		1,400		68,437
				1,439,576
Materials (0.9%):
Asahi Kasei Corp.		5,900		64,827
Nippon Paint Holdings Co. Ltd.		3,190		43,307
Nitto Denko Corp.		1,000		74,631
Shin-Etsu Chemical Co. Ltd.		470		78,615
Sumitomo Metal Mining Co. Ltd.		1,300		50,617
Toray Industries, Inc.		9,700		64,541
				376,538
Real Estate (0.6%):
Daiwa House Industry Co. Ltd.		2,400		72,056
Mitsubishi Estate Co. Ltd.		4,252		68,768
Mitsui Fudosan Co. Ltd.		2,378		55,083
Sumitomo Realty & Development Co. Ltd.		1,600		57,184
				253,091
				7,791,715

See notes to financial statements.

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Security Description	Shares		Value
Korea, Republic Of (4.3%):
Communication Services (0.8%):
Kakao Corp.		665	$	96,266
NAVER Corp.		174		64,516
NCSoft Corp.		64		46,607
Netmarble Corp. (d)		416		49,506
SK Telecom Co. Ltd.		338		96,057
				352,952
Consumer Discretionary (0.4%):
Hyundai Mobis Co. Ltd.		155		40,196
Hyundai Motor Co.		196		41,689
Kia Corp.		566		45,039
LG Electronics, Inc.		271		39,350
				166,274
Consumer Staples (0.6%):
Amorepacific Corp.		254		56,846
KT&G Corp.		1,463		109,660
LG Household & Health Care Ltd.		51		79,806
				246,312
Financials (0.6%):
Hana Financial Group, Inc.		1,714		70,097
KB Financial Group, Inc.		1,593		78,942
Samsung Life Insurance Co. Ltd.		680		48,192
Shinhan Financial Group Co. Ltd.		2,281		82,246
				279,477
Health Care (0.3%):
Celltrion Healthcare Co. Ltd. (a)		337		34,628
Celltrion, Inc. (a)		156		37,199
Samsung Biologics Co. Ltd. (a) (d)		88		65,726
				137,553
Industrials (0.2%):
LG Corp.		546		49,703
Samsung C&T Corp.		485		58,794
				108,497
Information Technology (0.7%):
Samsung Electro-Mechanics Co. Ltd.		378		59,419
Samsung Electronics Co. Ltd.		991		71,024
Samsung SDI Co. Ltd.		84		52,071
Samsung SDS Co. Ltd.		335		55,040
SK Hynix, Inc.		450		50,955
				288,509
Materials (0.5%):
LG Chem Ltd.		57		43,028
Lotte Chemical Corp.		151		35,202

See notes to financial statements.

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Security Description	Shares		Value
POSCO		255	$	78,810
POSCO Chemical Co. Ltd.		295		37,727
				194,767
Utilities (0.2%):
Korea Electric Power Corp.		3,068		67,709
				1,842,050
Luxembourg (0.3%):
Health Care (0.2%):
Eurofins Scientific SE (a)		673		76,919
Real Estate (0.1%):
Aroundtown SA		7,536		58,790
				135,709
Netherlands (2.9%):
Communication Services (0.2%):
Koninklijke KPN NV		24,336		75,998
Consumer Staples (0.6%):
Davide Campari-Milano NV (b)		8,199		109,797
Koninklijke Ahold Delhaize NV		4,283		127,304
				237,101
Financials (0.4%):
Aegon NV		9,884		41,003
ING Groep NV		4,346		57,401
NN Group NV		1,770		83,479
				181,883
Health Care (0.2%):
Koninklijke Philips NV		1,554		76,995
Industrials (0.5%):
Randstad NV		1,026		78,460
Wolters Kluwer NV		1,309		131,482
				209,942
Information Technology (0.5%):
Adyen NV (a) (d)		25		61,074
ASM International NV		211		69,295
ASML Holding NV		134		92,050
				222,419
Materials (0.5%):
Akzo Nobel NV		907		112,051
Koninklijke DSM NV		610		113,835
				225,886
				1,230,224

See notes to financial statements.

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Security Description	Shares		Value
New Zealand (0.3%):
Health Care (0.1%):
Fisher & Paykel Healthcare Corp. Ltd.		2,622	$	57,020
Information Technology (0.2%):
Xero Ltd. (a)		716		73,603
				130,623
Norway (1.7%):
Communication Services (0.3%):
Telenor ASA		6,779		114,293
Consumer Staples (0.5%):
Mowi ASA		2,683		68,274
Orkla ASA, Class A		12,931		131,771
				200,045
Energy (0.1%):
Aker BP ASA		2,226		70,974
Financials (0.4%):
DNB ASA		3,680		80,218
Gjensidige Forsikring ASA		4,103		90,487
				170,705
Materials (0.4%):
Norsk Hydro ASA		12,021		76,739
Yara International ASA		1,954		102,897
				179,636
				735,653
Portugal (0.5%):
Consumer Staples (0.3%):
Jeronimo Martins SGPS SA		7,147		130,323
Utilities (0.2%):
EDP — Energias de Portugal SA (b)		14,607		77,412
				207,735
Russian Federation (0.1%):
Materials (0.1%):
Polymetal International PLC		2,834		60,932
Singapore (1.2%):
Communication Services (0.2%):
Singapore Telecommunications Ltd.		59,800		101,861
Consumer Staples (0.2%):
Wilmar International Ltd.		19,362		64,809
Financials (0.8%):
DBS Group Holdings Ltd.		4,978		110,379
Oversea-Chinese Banking Corp. Ltd.		14,838		131,891
United Overseas Bank Ltd.		6,292		120,842
				363,112
				529,782

See notes to financial statements.

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Security Description	Shares		Value
Spain (1.3%):
Communication Services (0.1%):
Telefonica SA		12,062	$	56,359
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		1,986		69,956
Financials (0.2%):
Banco Bilbao Vizcaya Argentaria SA		7,790		48,285
CaixaBank SA		16,698		51,354
				99,639
Health Care (0.2%):
Grifols SA		2,964		80,263
Industrials (0.1%):
ACS Actividades de Construccion y Servicios SA		1,394		37,335
Utilities (0.5%):
Endesa SA		4,039		97,976
Iberdrola SA		9,211		112,264
				210,240
				553,792
Sweden (5.6%):
Consumer Discretionary (0.3%):
Evolution AB (d)		402		63,545
Hennes & Mauritz AB, Class B (a)		2,469		58,582
				122,127
Consumer Staples (0.7%):
Essity AB, Class B		3,381		112,152
ICA Gruppen AB		2,233		103,956
Swedish Match AB		10,210		87,092
				303,200
Energy (0.2%):
Lundin Energy AB		1,707		60,414
Financials (1.8%):
EQT AB (b)		1,637		59,429
Industrivarden AB, Class C		2,944		107,773
Investor AB, Class B (a)		5,672		130,768
Kinnevik AB, Class B		2,445		97,908
L E Lundbergforetagen AB, Class B		1,928		124,438
Skandinaviska Enskilda Banken AB, Class A		6,895		89,093
Svenska Handelsbanken AB, Class A		7,845		88,540
Swedbank AB, Class A		4,578		85,207
				783,156
Industrials (1.8%):
Alfa Laval AB		2,417		85,401
Assa Abloy AB, Class B		3,059		92,175
Atlas Copco AB, Class A		1,515		92,788

See notes to financial statements.

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Security Description	Shares		Value
Epiroc AB, Class A		4,207	$	95,886
Nibe Industrier AB, Class B		9,476		99,704
Sandvik AB		2,596		66,329
Skanska AB, Class B		3,180		84,373
SKF AB, B Shares		2,780		70,803
Volvo AB, Class B (b)		3,047		73,330
				760,789
Information Technology (0.4%):
Hexagon AB, Class B		7,749		114,846
Telefonaktiebolaget LM Ericsson, Class B		5,531		69,535
				184,381
Materials (0.4%):
Boliden AB		1,818		69,910
Svenska Cellulosa AB SCA, Class B		5,821		95,423
				165,333
				2,379,400
Switzerland (7.4%):
Communication Services (0.4%):
Swisscom AG, Registered Shares		269		153,606
Consumer Discretionary (0.2%):
Cie Financiere Richemont SA, Registered Shares		734		88,834
Consumer Staples (1.2%):
Barry Callebaut AG, Registered Shares		62		144,108
Chocoladefabriken Lindt & Spruengli AG		13		129,368
Coca-Cola HBC AG		2,173		78,563
Nestle SA, Registered Shares		1,433		178,498
				530,537
Financials (1.2%):
Credit Suisse Group AG, Registered Shares		4,675		48,984
Julius Baer Group Ltd.		1,238		80,811
Partners Group Holding AG		91		137,877
Swiss Life Holding AG		176		85,546
UBS Group AG		5,090		77,918
Zurich Insurance Group AG		254		101,930
				533,066
Health Care (1.2%):
Lonza Group AG, Registered Shares		129		91,458
Novartis AG, Registered Shares		1,380		125,796
Roche Holding AG		312		117,565
Sonova Holding AG		253		95,183
Straumann Holding AG, Class R (b)		59		94,081
				524,083
Industrials (1.6%):
ABB Ltd., Registered Shares		3,648		123,795
Geberit AG, Registered Shares		203		152,305

See notes to financial statements.

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Security Description	Shares		Value
Kuehne + Nagel International AG, Registered Shares		443	$	151,626
Schindler Holding AG		382		116,871
SGS SA, Registered Shares		44		135,758
				680,355
Information Technology (0.4%):
Logitech International SA, Class R		524		63,503
Stmicroelectronics NV		1,493		54,174
Temenos AG		387		62,171
				179,848
Materials (1.2%):
EMS-Chemie Holding AG		132		129,717
Givaudan SA, Registered Shares (b)		31		144,208
Holcim Ltd.		1,668		100,080
Sika AG, Registered Shares		357		116,749
				490,754
				3,181,083
United Kingdom (9.1%):
Communication Services (0.4%):
BT Group PLC (a)		31,204		83,728
Vodafone Group PLC		42,207		70,834
				154,562
Consumer Discretionary (0.9%):
Barratt Developments PLC		5,724		55,038
Burberry Group PLC (a)		2,629		75,124
Compass Group PLC (a)		2,313		48,691
JD Sports Fashion PLC		4,549		57,821
Next PLC (a)		587		63,781
Persimmon PLC		1,498		61,287
				361,742
Consumer Staples (1.5%):
Associated British Foods PLC		1,793		54,955
British American Tobacco PLC		2,324		90,001
Diageo PLC		1,891		90,521
Imperial Brands PLC		3,819		82,242
Reckitt Benckiser Group PLC		1,097		97,060
Tesco PLC		33,478		103,234
Unilever PLC		1,695		99,178
				617,191
Financials (1.9%):
3i Group PLC		4,977		80,746
Admiral Group PLC		2,426		105,494
Aviva PLC		13,756		77,226
Barclays PLC		21,585		51,087
Hargreaves Lansdown PLC		2,776		61,010
HSBC Holdings PLC		9,654		55,720

See notes to financial statements.

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Security Description	Shares		Value
Legal & General Group PLC		16,077	$	57,280
Lloyds Banking Group PLC		91,162		58,870
London Stock Exchange Group PLC		574		63,274
Phoenix Group Holdings PLC		9,061		84,769
Schroders PLC		1,629		79,151
Standard Chartered PLC		7,771		49,549
				824,176
Health Care (0.6%):
AstraZeneca PLC		830		99,679
GlaxoSmithKline PLC (c)		5,367		105,364
Smith & Nephew PLC		3,201		69,177
				274,220
Industrials (1.7%):
Ashtead Group PLC		1,339		99,340
BAE Systems PLC		10,826		78,162
Bunzl PLC		2,618		86,505
Ferguson PLC		705		97,996
Intertek Group PLC		1,120		85,664
RELX PLC		3,351		88,942
Rentokil Initial PLC		12,467		85,354
Spirax-Sarco Engineering PLC		626		117,882
				739,845
Information Technology (0.4%):
AVEVA Group PLC		1,284		65,851
Halma PLC		2,807		104,514
				170,365
Materials (1.3%):
Anglo American PLC		1,644		65,316
Antofagasta PLC		2,757		54,739
BHP Group PLC		2,290		67,464
Croda International PLC		1,071		109,143
Evraz PLC (c)		7,390		60,509
Fresnillo PLC		3,435		36,658
Mondi PLC		3,128		82,244
Rio Tinto PLC		874		71,914
				547,987
Utilities (0.4%):
National Grid PLC		8,214		104,610
SSE PLC		4,026		83,554
				188,164
				3,878,252
Total Common Stocks (Cost $35,080,779)				42,250,169

See notes to financial statements.

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Security Description	Shares		Value
Rights (0.0%) (g)
Spain (0.0%): (g)
Industrials (0.0%): (g)
ACS Actividades de Construccion y Servicios SA , Expires 7/7/21 (a)		1,394	$	1,950
Total Rights (Cost $2,114)				1,950
Investment Companies (0.3%)
United States (0.3%):
BlackRock Liquidity Funds T-Fund, Institutional Class, 0.01% (h)		121,116		121,116
Total Investment Companies (Cost $121,116)				121,116
Collateral for Securities Loaned^ (5.3%)
United States (5.3%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (h)		44,574		44,574
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (h)		1,207,369		1,207,369
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (h)		22,245		22,245
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (h)		177,372		177,372
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (h)		797,500		797,500
Total Collateral for Securities Loaned (Cost $2,249,060)				2,249,060
Total Investments (Cost $37,453,069) — 104.4%				44,622,295
Liabilities in excess of other assets — (4.4)%				(1,879,837	)
NET ASSETS — 100.00%			$	42,742,458

^  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)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $1,107,032 and amounted to 2.6% of net assets.

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2021. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, illiquid securities were 0.0% of the Fund's net assets.

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

(h)  Rate disclosed is the daily yield on June 30, 2021.

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		2	9/17/21	$	236,248	$	230,410	$	(5,838	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(5,838	)
Total net unrealized appreciation (depreciation)								$	(5,838	)

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.8%)
Communication Services (13.2%):
Bilibili, Inc., ADR (a) (b)		25,435	$	3,099,000
Discovery, Inc., Class A (a) (b)		21,744		667,106
Discovery, Inc., Class C (a)		42,540		1,232,809
IAC/InterActiveCorp. (a)		10,740		1,655,786
Liberty Broadband Corp., Class C (a)		20,647		3,585,558
Take-Two Interactive Software, Inc. (a)		14,902		2,637,952
Viacomcbs, Inc., Class A		5,245		254,120
ViacomCBS, Inc., Class B		78,029		3,526,911
Yandex NV, Class A (a)		41,221		2,916,386
				19,575,628
Consumer Discretionary (22.7%):
Airbnb, Inc., Class A (a)		24,892		3,811,961
Caesars Entertainment, Inc. (a)		26,891		2,789,941
DraftKings, Inc., Class A (a) (b)		51,752		2,699,902
Etsy, Inc. (a)		16,378		3,371,248
Expedia Group, Inc. (a)		18,226		2,983,778
Garmin Ltd.		24,758		3,580,997
Pool Corp.		5,167		2,369,896
Roku, Inc. (a)		14,843		6,816,648
Tractor Supply Co.		14,850		2,762,991
Ulta Beauty, Inc. (a)		7,055		2,439,407
				33,626,769
Electronic Equipment, Instruments & Components (4.2%):
Trimble, Inc. (a)		32,336		2,646,055
Zebra Technologies Corp. (a)		6,894		3,650,304
				6,296,359
Health Care (14.2%):
10X Genomics, Inc., Class A (a)		11,245		2,201,996
AstraZeneca PLC, ADR (b)		45,962		2,753,124
BeiGene Ltd., ADR (a)		6,463		2,218,037
CureVac NV (a) (b)		24,044		1,766,753
Horizon Therapeutics PLC (a)		28,962		2,712,002
Insulet Corp. (a)		8,539		2,344,041
Novavax, Inc. (a)		9,547		2,026,923
Novocure Ltd. (a) (b)		13,324		2,955,530
Royalty Pharma PLC, Class A		50,619		2,074,873
				21,053,279
Industrials (11.2%):
Enphase Energy, Inc. (a)		17,485		3,210,770
Expeditors International of Washington, Inc.		21,761		2,754,943
J.B. Hunt Transport Services, Inc.		13,616		2,218,727
Lyft, Inc., Class A (a)		41,306		2,498,187
Old Dominion Freight Line, Inc.		14,941		3,792,026
United Airlines Holdings, Inc. (a) (b)		41,692		2,180,075
				16,654,728

See notes to financial statements.

172

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June 30, 2021

Security Description	Shares		Value
IT Services (6.6%):
Akamai Technologies, Inc. (a)		21,002	$	2,448,833
MongoDB, Inc. (a)		8,002		2,892,883
StoneCo Ltd., Class A (a)		34,021		2,281,449
Wix.com Ltd. (a)		7,268		2,109,755
				9,732,920
Semiconductors & Semiconductor Equipment (3.8%):
Qorvo, Inc. (a)		14,506		2,838,099
Teradyne, Inc.		21,423		2,869,825
				5,707,924
Software (18.5%):
Coupa Software, Inc. (a)		9,458		2,479,036
Crowdstrike Holdings, Inc., Class A (a)		25,216		6,337,033
Datadog, Inc., Class A (a)		30,143		3,137,284
Fortinet, Inc. (a)		21,044		5,012,470
SS&C Technologies Holdings, Inc.		32,956		2,374,809
The Trade Desk, Inc., Class A (a)		55,561		4,298,199
Zscaler, Inc. (a)		17,515		3,784,291
				27,423,122
Technology Hardware, Storage & Peripherals (5.4%):
Logitech International SA, Class R (b)		21,704		2,624,448
Seagate Technology Holdings PLC		29,490		2,593,056
Western Digital Corp. (a)		39,486		2,810,218
				8,027,722
Total Common Stocks (Cost $126,753,151)				148,098,451
Collateral for Securities Loaned^ (9.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (c)		267,966		267,966
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (c)		7,258,327		7,258,327
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (c)		133,728		133,728
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (c)		1,066,307		1,066,307
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (c)		4,794,322		4,794,322
Total Collateral for Securities Loaned (Cost $13,520,650)				13,520,650
Total Investments (Cost $140,273,801) — 108.9%				161,619,101
Liabilities in excess of other assets — (8.9)%				(13,152,159	)
NET ASSETS — 100.00%			$	148,466,942

^  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 June 30, 2021.

ADR — American Depositary Receipt

PLC — Public Limited Company

See notes to financial statements.

173

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June 30, 2021

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
NASDAQ 100 E-Mini Futures		1	9/17/21	$	281,014	$	290,980	$	9,966
Total unrealized appreciation								$	9,966
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	9,966

See notes to financial statements.

174

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June 30, 2021

Security Description	Shares		Value
Common Stocks (99.9%)
Communication Services (5.7%):
AT&T, Inc.		2,115	$	60,870
Comcast Corp., Class A		1,084		61,809
Verizon Communications, Inc.		1,101		61,689
				184,368
Consumer Discretionary (7.8%):
Amazon.com, Inc. (a)		20		68,803
General Motors Co. (a)		1,048		62,010
Hilton Worldwide Holdings, Inc. (a)		496		59,827
The Home Depot, Inc.		195		62,184
				252,824
Consumer Staples (9.4%):
Brown-Forman Corp., Class B		774		58,004
Hormel Foods Corp.		1,281		61,168
Kellogg Co.		949		61,049
PepsiCo, Inc.		420		62,231
Walmart, Inc.		437		61,626
				304,078
Financials (20.3%):
Bank of America Corp.		1,468		60,526
Capital One Financial Corp.		386		59,710
Citigroup, Inc.		790		55,893
JPMorgan Chase & Co.		378		58,794
Marsh & McLennan Cos., Inc.		449		63,165
Prudential Financial, Inc.		581		59,535
The Allstate Corp.		456		59,481
The Charles Schwab Corp.		842		61,306
The Progressive Corp.		627		61,578
The Travelers Cos., Inc.		389		58,237
U.S. Bancorp		1,023		58,280
				656,505
Health Care (9.7%):
CVS Health Corp.		719		59,993
DaVita, Inc. (a)		518		62,383
Humana, Inc.		142		62,866
Johnson & Johnson		367		60,460
Merck & Co., Inc.		819		63,694
Organon & Co. (a)		81		2,451
				311,847
Industrials (24.2%):
AECOM (a)		957		60,597
Eaton Corp. PLC		428		63,421
General Dynamics Corp.		327		61,561
General Electric Co.		4,424		59,547
J.B. Hunt Transport Services, Inc.		362		58,988

See notes to financial statements.

175

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June 30, 2021

Security Description	Shares		Value
Lockheed Martin Corp.		162	$	61,293
Northrop Grumman Corp.		169		61,420
Oshkosh Corp.		473		58,955
Southwest Airlines Co. (a)		1,011		53,674
The Boeing Co. (a)		252		60,369
Union Pacific Corp.		276		60,701
United Rentals, Inc. (a)		186		59,336
Waste Management, Inc.		442		61,928
				781,790
Information Technology (13.5%):
Accenture PLC, Class A		221		65,148
Booz Allen Hamilton Holding Corp.		733		62,437
CACI International, Inc., Class A (a)		244		62,249
CDW Corp.		375		65,494
Fiserv, Inc. (a)		539		57,614
Leidos Holdings, Inc.		605		61,165
Oracle Corp.		789		61,416
				435,523
Utilities (9.3%):
Dominion Energy, Inc.		816		60,033
Exelon Corp.		1,378		61,059
PG&E Corp. (a)		6,134		62,383
The Southern Co.		973		58,876
Xcel Energy, Inc.		877		57,777
				300,128
Total Common Stocks (Cost $2,692,991)				3,227,063
Total Investments (Cost $2,692,991) — 99.9%				3,227,063
Other assets in excess of liabilities — 0.1%				4,279
NET ASSETS — 100.00%			$	3,231,342

(a)  Non-income producing security.

PLC — Public Limited Company

See notes to financial statements.

176

Victory Portfolios II
VictoryShares Protect America ETF Schedule of Portfolio Investments
June 30, 2021

Security Description	Shares		Value
Common Stocks (99.2%)
Aerospace & Defense (53.6%):
AeroVironment, Inc. (a)		162	$	16,224
Axon Enterprise, Inc. (a)		18		3,182
CAE, Inc. (a)		480		14,784
Elbit Systems Ltd.		202		26,210
General Dynamics Corp.		1,413		266,011
Huntington Ingalls Industries, Inc.		623		131,297
L3Harris Technologies, Inc.		411		88,838
Lockheed Martin Corp.		694		262,575
Moog, Inc., Class A		80		6,725
Northrop Grumman Corp.		793		288,200
Parsons Corp. (a)		1,199		47,193
Raytheon Technologies Corp.		3,320		283,229
Teledyne Technologies, Inc. (a)		45		18,847
Textron, Inc.		43		2,957
The Boeing Co. (a)		1,007		241,237
Vectrus, Inc. (a)		1,737		82,664
				1,780,173
Air Freight & Logistics (1.5%):
FedEx Corp.		167		49,821
Communication Services (0.7%):
AT&T, Inc.		183		5,267
Iridium Communications, Inc. (a)		426		17,036
				22,303
Construction & Engineering (8.0%):
AECOM (a)		608		38,498
Ameresco, Inc., Class A (a)		318		19,945
Great Lakes Dredge & Dock Corp. (a)		3,544		51,778
Jacobs Engineering Group, Inc.		992		132,353
Tutor Perini Corp. (a)		1,792		24,819
				267,393
Health Care (1.9%):
Cigna Corp.		197		46,703
Hologic, Inc. (a)		248		16,546
				63,249
Industrial Conglomerates (4.8%):
3M Co.		144		28,603
General Electric Co.		9,770		131,504
Honeywell International, Inc.		6		1,316
				161,423
Information Technology (20.9%):
Booz Allen Hamilton Holding Corp.		1,593		135,692
CACI International, Inc., Class A (a)		140		35,717
Cisco Systems, Inc.		740		39,220
Conduent, Inc. (a)		3,001		22,508

See notes to financial statements.

177

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June 30, 2021

Security Description	Shares		Value
International Business Machines Corp.		4	$	586
KBR, Inc.		710		27,086
KVH Industries, Inc. (a)		63		775
Leidos Holdings, Inc.		1,332		134,665
ManTech International Corp., Class A		405		35,049
Microsoft Corp.		216		58,514
Science Applications International Corp.		1,535		134,666
ViaSat, Inc. (a)		1,418		70,673
				695,151
Machinery (5.2%):
Caterpillar, Inc.		97		21,110
Cummins, Inc.		67		16,335
Oshkosh Corp.		1,081		134,736
				172,181
Materials (0.7%):
Ball Corp.		283		22,929
Professional Services (0.7%):
ASGN, Inc. (a)		239		23,166
Real Estate (0.4%):
The GEO Group, Inc. (b)		1,963		13,977
Utilities (0.8%):
Duke Energy Corp.		278		27,444
Total Common Stocks (Cost $2,683,890)				3,299,210
Collateral for Securities Loaned^ (0.4%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (c)		251		251
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (c)		6,804		6,804
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (c)		125		125
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (c)		1,000		1,000
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (c)		4,494		4,494
Total Collateral for Securities Loaned (Cost $12,674)				12,674
Total Investments (Cost $2,696,564) — 99.6%				3,311,884
Other assets in excess of liabilities — 0.4%				11,641
NET ASSETS — 100.00%			$	3,323,525

^  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 June 30, 2021.

See notes to financial statements.

178

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
ASSETS:
Affiliated investments, at value (Cost $—, $39,932 and $—)	$	—		$	74,558		$	—
Unaffiliated investments, at value (Cost $523,031,481, $22,072,486 and $98,005,593)		708,191,006	(a)		25,922,200	(b)		120,900,251	(c)
Foreign currency, at value (Cost $—, $— and $166,603)		—			—			166,170
Cash		2,906,888			80,223			137,275
Deposit with brokers for futures contracts		455,385			40,816			104,446
Receivables:
Interest and dividends		599,596			15,859			199,058
Variation margin on open futures contracts		5,088			160			—
Reclaims		—			—			154,506
From Adviser		—			612			21,971
Prepaid expenses		5,187			134			714
Total Assets		712,163,150			26,134,562			121,684,391
LIABILITIES:
Payables:
Collateral received on loaned securities		6,459,554			132,740			4,862,889
Due to custodian		—			—			3,797
Investments purchased		—			—			18,180
Variation margin on open futures contracts		—			—			2,670
Accrued expenses and other payables:
Investment advisory fees		189,587			6,473			38,912
Administration fees		8,865			328			1,951
Custodian fees		5,348			584			22,922
Compliance fees		405			16			68
Trustees' fees		156			26			36
Other accrued expenses		61,761			8,708			22,905
Total Liabilities		6,725,676			148,875			4,974,330
NET ASSETS:
Capital		592,545,702			30,420,373			99,339,127
Total accumulated earnings/(loss)		112,891,772			(4,434,686	)		17,370,934
Net Assets	$	705,437,474		$	25,985,687		$	116,710,061
Shares Outstanding (unlimited shares authorized, no par value):		9,900,000			400,000			2,600,000
Net asset value:	$	71.26		$	64.96		$	44.89

(a)  Includes $6,249,346 of securities on loan.

(b)  Includes $128,103 of securities on loan.

(c)  Includes $4,606,324 of securities on loan.

See notes to financial statements.

179

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
ASSETS:
Investments, at value (Cost$193,629,056 and $243,621,373)	$	222,393,204	(a)	$	256,024,249	(b)
Cash		835,562			1,377,129
Deposit with brokers for futures contracts		148,878			181,728
Receivables:
Interest and dividends		449,015			377,038
Capital shares issued		—			2,984,079
Variation margin on open futures contracts		1,458			2,466
From Adviser		—			11,451
Prepaid expenses		1,457			499
Total Assets		223,829,574			260,958,639
LIABILITIES:
Payables:
Collateral received on loaned securities		2,681,991			6,097,516
Investments purchased		—			2,962,745
Accrued expenses and other payables:
Investment advisory fees		60,678			61,444
Administration fees		3,003			4,350
Custodian fees		1,937			1,871
Compliance fees		130			151
Trustees' fees		41			33
Other accrued expenses		26,234			33,144
Total Liabilities		2,774,014			9,161,254
NET ASSETS:
Capital		240,298,947			263,250,136
Total accumulated earnings/(loss)		(19,243,387	)		(11,452,751	)
Net Assets	$	221,055,560		$	251,797,385
Shares Outstanding (unlimited shares authorized, no par value):		3,900,000			4,200,000
Net asset value:	$	56.68		$	59.95

(a)  Includes $2,610,717 of securities on loan.

(b)  Includes $5,939,272 of securities on loan.

See notes to financial statements.

180

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
ASSETS:
Investments, at value (Cost $23,005,368, $18,501,751 and $294,099,696)	$	24,227,389	(a)	$	19,455,375		$	346,307,074	(b)
Foreign currency, at value (Cost $61,667, $39,535 and $—)		61,663			39,509			—
Cash		82,392			35,818			577,837
Deposit with brokers for futures contracts		22,383			15,268			261,044
Receivables:
Interest and dividends		77,146			175,226			458,898
Variation margin on open futures contracts		—			—			1,320
Reclaims		79,057			2,460			—
From Adviser		59			7,707			3,256
Prepaid expenses		509			170			2,159
Total Assets		24,550,598			19,731,533			347,611,588
LIABILITIES:
Payables:
Collateral received on loaned securities		1,547,934			—			3,331,226
Variation margin on open futures contracts		554			490			—
Accrued foreign capital gains taxes		—			9,836			—
Accrued expenses and other payables:
Investment advisory fees		7,737			7,408			85,222
Administration fees		123			79			5,820
Custodian fees		4,417			13,679			2,963
Compliance fees		14			12			198
Trustees' fees		30			26			63
Other accrued expenses		11,533			13,630			31,625
Total Liabilities		1,572,342			45,160			3,457,117
NET ASSETS:
Capital		35,889,884			23,936,244			298,515,372
Total accumulated earnings/(loss)		(12,911,628	)		(4,249,871	)		45,639,099
Net Assets	$	22,978,256		$	19,686,373		$	344,154,471
Shares Outstanding (unlimited shares authorized, no par value):		700,000			800,000			7,800,000
Net asset value:	$	32.83		$	24.61		$	44.12

(a)  Includes $1,470,033 of securities on loan.

(b)  Includes $3,247,235 of securities on loan.

See notes to financial statements.

181

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	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 $137,692,152, $739,591,164 and $790,146,784)	$	163,384,099	(a)	$	948,089,513	(b)	$	922,776,142	(c)
Cash		363,253			—			—
Deposit with brokers for futures contracts		241,940			587,080			367,055
Receivables:
Interest and dividends		135,091			791,489			1,837,875
Variation margin on open futures contracts		990			6,408			4,567
From Adviser		672			—			5,044
Prepaid expenses		1,312			5,110			4,646
Total Assets		164,127,357			949,479,600			924,995,329
LIABILITIES:
Payables:
Collateral received on loaned securities		531			11,805,898			7,819,142
Accrued expenses and other payables:
Investment advisory fees		40,113			230,568			226,071
Administration fees		2,620			12,170			13,487
Custodian fees		1,580			6,725			6,409
Compliance fees		95			536			536
Trustees' fees		44			177			156
Other accrued expenses		17,417			82,776			83,577
Total Liabilities		62,400			12,138,850			8,149,378
NET ASSETS:
Capital		148,651,235			793,939,213			854,712,343
Total accumulated earnings/(loss)		15,413,722			143,401,537			62,133,608
Net Assets	$	164,064,957		$	937,340,750		$	916,845,951
Shares Outstanding (unlimited shares authorized, no par value):		4,300,000			13,150,000			14,200,000
Net asset value:	$	38.15		$	71.28		$	64.57

(a)  Includes $518 of securities on loan.

(b)  Includes $11,403,804 of securities on loan.

(c)  Includes $7,606,226 of securities on loan.

See notes to financial statements.

182

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares Nasdaq Next 50 ETF
ASSETS:
Affiliated investments, at value (Cost $104,214, $— and $—)	$	182,471		$	—		$	—
Unaffiliated investments, at value (Cost $53,893,694, $37,453,069 and $140,273,801)		64,547,229	(a)		44,622,295	(b)		161,619,101	(c)
Foreign currency, at value (Cost $—, $62,595 and $—)		—			62,474			—
Cash		—			—			206,377
Deposit with brokers for futures contracts		37,542			84,299			114,995
Receivables:
Interest and dividends		38,386			70,388			103,251
Variation margin on open futures contracts		320			—			—
Reclaims		—			212,132			—
From Adviser		568			—			9,671
Prepaid expenses		324			362			252
Total Assets		64,806,840			45,051,950			162,053,647
LIABILITIES:
Payables:
Collateral received on loaned securities		1,204,184			2,249,060			13,520,650
Variation margin on open futures contracts		—			1,780			280
Accrued expenses and other payables:
Investment advisory fees		15,406			16,894			18,006
Administration fees		664			107			637
Custodian fees		868			22,580			—
Compliance fees		36			25			88
Trustees' fees		30			29			329
Other accrued expenses		13,201			19,017			46,715
Total Liabilities		1,234,389			2,309,492			13,586,705
NET ASSETS:
Capital		86,735,874			61,771,265			134,340,079
Total accumulated earnings/(loss)		(23,163,423	)		(19,028,807	)		14,126,863
Net Assets	$	63,572,451		$	42,742,458		$	148,466,942
Shares Outstanding (unlimited shares authorized, no par value):		1,050,000			1,250,000			4,325,000
Net asset value:	$	60.55		$	34.19		$	34.33

(a)  Includes $1,177,685 of securities on loan.

(b)  Includes $2,123,767 of securities on loan.

(c)  Includes $13,233,574 of securities on loan.

See notes to financial statements.

183

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares Top Veteran Employers ETF		VictoryShares Protect America ETF
ASSETS:
Investments, at value (Cost $2,692,991 and $2,696,564)	$	3,227,063	$	3,311,884	(a)
Cash		9,132		30,847
Deposit with brokers for futures contracts		1,000		1,000
Receivables:
Interest and dividends		2,026		305
From Adviser		8,481		8,627
Total Assets		3,247,702		3,352,663
LIABILITIES:
Payables:
Collateral received on loaned securities		—		12,674
Accrued expenses and other payables:
Investment advisory fees		1,475		1,533
Administration fees		57		58
Custodian fees		538		536
Compliance fees		6		5
Trustees' fees		328		322
Other accrued expenses		13,956		14,010
Total Liabilities		16,360		29,138
NET ASSETS:
Capital		2,562,420		2,586,924
Total accumulated earnings/(loss)		668,922		736,601
Net Assets	$	3,231,342	$	3,323,525
Shares Outstanding (unlimited shares, no par value):		100,000		100,000
Net asset value:	$	32.31	$	33.24

(a)  Includes $12,574 of securities on loan.

See notes to financial statements.

184

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
Investment Income:
Dividends	$	9,997,363		$	355,042		$	3,252,049
Affiliated dividend income		—			737			—
Interest		90			11			60
Securities lending (net of fees)		31,114			1,421			31,051
Foreign tax withholding		(500	)		(224	)		(394,451	)
Total Income		10,028,067			356,987			2,888,709
Expenses:
Investment advisory fees		2,025,415			64,683			412,719
Administration fees		393,250			12,474			59,872
Sub-Administration fees		18,023			18,023			18,023
Custodian fees		31,209			3,527			116,045
Servicing fees		4,515			4,427			4,427
Trustees' fees		51,072			2,974			8,450
Compliance fees		5,679			172			831
Legal and audit fees		77,052			3,683			13,165
Interest fees		—			—			745
Other expenses		63,248			8,583			18,397
Total Expenses		2,669,463			118,546			652,674
Expenses waived/reimbursed by Adviser		(302,947	)		(42,901	)		(186,619	)
Net Expenses		2,366,516			75,645			466,055
Net Investment Income (Loss)		7,661,551			281,342			2,422,654
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities and foreign currency translations		(15,150,395	)		(755,332	)		942,726
Net realized gains (losses) from affiliated investment securities		—			(347	)		—
Net realized gains (losses) from futures contracts		740,776			32,769			117,720
Net realized gains (losses) from in-kind redemptions		83,663,535			4,163,243			1,186,259
Net change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations		160,485,402			6,298,832			23,698,791
Net change in unrealized appreciation/depreciation on affiliated investment securities		—			34,765			—
Net change in unrealized appreciation/depreciation on futures contracts		5,984			320			(2,003	)
Net realized/unrealized gains (losses) on investments		229,745,302			9,774,250			25,943,493
Change in net assets resulting from operations	$	237,406,853		$	10,055,592		$	28,366,147

See notes to financial statements.

185

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Income:
Dividends	$	6,666,662		$	5,059,287
Interest		131			104
Securities lending (net of fees)		1,180			20,873
Foreign tax withholding		—			(1,519	)
Total Income		6,667,973			5,078,745
Expenses:
Investment advisory fees		589,587			393,407
Administration fees		114,235			74,812
Sub-Administration fees		18,023			18,023
Custodian fees		10,330			8,116
Servicing fees		4,427			4,427
Trustees' fees		15,410			8,103
Compliance fees		1,634			943
Legal and audit fees		23,157			18,448
Other expenses		27,913			27,353
Total Expenses		804,716			553,632
Expenses waived/reimbursed by Adviser		(115,722	)		(92,551	)
Net Expenses		688,994			461,081
Net Investment Income (Loss)		5,978,979			4,617,664
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(9,248,093	)		(3,904,966	)
Net realized gains (losses) from futures contracts		258,287			161,399
Net realized gains (losses) from in-kind redemptions		22,588,508			28,636,191
Net change in unrealized appreciation/depreciation on investment securities		54,529,281			22,095,653
Net change in unrealized appreciation/depreciation on futures contracts		14,330			(8,925	)
Net realized/unrealized gains (losses) on investments		68,142,313			46,979,352
Change in net assets resulting from operations	$	74,121,292		$	51,597,016

See notes to financial statements.

186

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
Investment Income:
Dividends	$	1,910,871		$	1,166,703		$	6,212,287
Interest		98			43			63
Securities lending (net of fees)		19,195			6			199
Foreign tax withholding		(246,172	)		(149,666	)		—
Total Income		1,683,992			1,017,086			6,212,549
Expenses:
Investment advisory fees		153,347			90,497			920,160
Administration fees		22,754			11,749			177,921
Sub-Administration fees		18,023			20,030			18,025
Custodian fees		30,393			81,852			15,824
Servicing fees		4,427			4,309			4,309
Trustees' fees		5,236			3,163			21,932
Compliance fees		367			175			2,462
Legal and audit fees		6,564			16,924			36,915
Line of credit fees		—			332			—
Interest fees		381			403			—
Other expenses		10,676			9,254			31,524
Total Expenses		252,168			238,688			1,229,072
Expenses waived/reimbursed by Adviser		(79,421	)		(137,281	)		(153,181	)
Net Expenses		172,747			101,407			1,075,891
Net Investment Income (Loss)		1,511,245			915,679			5,136,658
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(1,275,769	)		(482,782	)		1,580,380
Foreign taxes on realized gains		—			(11,703	)		—
Net realized gains (losses) from futures contracts		62,689			72,311			347,689
Net realized gains (losses) from in-kind redemptions		1,957,778			106,717			36,523,263
Net change in unrealized appreciation/ depreciation on investment securities and foreign currency translations		10,016,633			4,626,888			47,584,751
Net change in unrealized appreciation/ depreciation on futures contracts		(2,322	)		(1,126	)		5,364
Net change in accrued foreign taxes on unrealized gains		—			(9,836	)		—
Net realized/unrealized gains (losses) on investments		10,759,009			4,300,469			86,041,447
Change in net assets resulting from operations	$	12,270,254		$	5,216,148		$	91,178,105

See notes to financial statements.

187

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares US Multi-Factor Minimum Volatility ETF			VictoryShares US 500 Enhanced Volatility Wtd ETF			VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	3,303,841		$	11,228,053		$	22,231,824
Interest		205			—			—
Securities lending (net of fees)		296			31,812			5,917
Foreign tax withholding		(217	)		(658	)		—
Total Income		3,304,125			11,259,207			22,237,741
Expenses:
Investment advisory fees		459,365			2,281,481			2,109,770
Administration fees		89,237			440,672			407,031
Sub-Administration fees		18,025			18,023			18,023
Custodian fees		9,176			31,683			29,455
Servicing fees		4,353			4,516			4,515
Trustees' fees		12,804			52,439			47,598
Compliance fees		1,288			6,105			5,609
Legal and audit fees		18,470			93,834			93,950
Broker interest fees		—			892			856
Other expenses		17,922			80,805			85,470
Total Expenses		630,640			3,010,450			2,802,277
Expenses waived/reimbursed by Adviser		(93,897	)		(341,488	)		(333,815	)
Net Expenses		536,743			2,668,962			2,468,462
Net Investment Income (Loss)		2,767,382			8,590,245			19,769,279
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		523,773			345,194			14,574,890
Net realized gains (losses) from futures contracts		126,513			842,748			930,942
Net realized gains (losses) from in-kind redemptions		12,391,813			71,293,520			107,187,678
Net change in unrealized appreciation/ depreciation on investment securities		20,064,174			162,645,472			97,477,192
Net change in unrealized appreciation/ depreciation on futures contracts		16,842			97,767			55,816
Net realized/unrealized gains (losses) on investments		33,123,115			235,224,701			220,226,518
Change in net assets resulting from operations	$	35,890,497		$	243,814,946		$	239,995,797

See notes to financial statements.

188

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF			VictoryShares Nasdaq Next 50 ETF(a)
Investment Income:
Dividends	$	784,068		$	1,289,477		$	472,869
Affiliated dividend income		1,636			—			—
Interest		35			630			57
Securities lending (net of fees)		3,845			12,072			124,822
Foreign tax withholding		(462	)		(161,963	)		(1,497	)
Total Income		789,122			1,140,216			596,251
Expenses:
Investment advisory fees		150,781			174,430			138,833
Administration fees		29,094			25,456			52,728
Sub-Administration fees		18,029			18,022			—
Custodian fees		4,689			133,475			115
Servicing fees		4,431			4,427			2,852
Trustees' fees		4,840			4,950			4,858
Compliance fees		400			374			669
Legal and audit fees		6,794			5,809			16,828
Printing fees		8,659			7,675			21,147
Other expenses		4,657			9,702			36,952
Total Expenses		232,374			384,320			274,982
Expenses waived/reimbursed by Adviser		(56,006	)		(187,876	)		(107,539	)
Net Expenses		176,368			196,444			167,443
Net Investment Income (Loss)		612,754			943,772			428,808
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities		2,099,060			188,918			(7,433,727	)
Net realized gains (losses) from affiliated investment securities		1,720			—			—
Net realized gains (losses) from futures contracts		53,735			76,767			79,750
Net realized gains (losses) from in-kind redemptions		11,464,628			2,327,668			13,843,485
Net change in unrealized appreciation/ depreciation on unaffiliated investment securities		6,727,626			7,829,939			21,345,300
Net change in unrealized appreciation/ depreciation on affiliated investment securities		74,138			—			—
Net change in unrealized appreciation/ depreciation on futures contracts		(5,795	)		(5,465	)		9,966
Net realized/unrealized gains (losses) on investments		20,415,112			10,417,827			27,844,774
Change in net assets resulting from operations	$	21,027,866		$	11,361,599		$	28,273,582

(a)  VictoryShares Nasdaq Next 50 ETF commenced operations on September 10, 2020.

See notes to financial statements.

189

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares Top Veteran Employers ETF(a)			VictoryShares Protect America ETF(b)
Investment Income:
Dividends	$	39,071		$	29,500
Interest		—			—
Securities lending (net of fees)		—			9
Foreign tax withholding		—			(22	)
Total Income		39,071			29,487
Expenses:
Investment advisory fees		10,876			11,162
Administration fees		1,122			1,151
Sub-Administration fees		9,435			9,350
Custodian fees		1,220			1,219
Servicing fees		2,961			3,046
Trustees' fees		428			424
Compliance fees		13			12
Legal and audit fees		21,142			21,160
Printing fees		12,050			12,218
Other expenses		7,333			7,330
Total Expenses		66,580			67,072
Expenses waived/reimbursed by Adviser		(54,698	)		(54,876	)
Net Expenses		11,882			12,196
Net Investment Income (Loss)		27,189			17,291
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		132,018			121,060
Net change in unrealized appreciation/depreciation on investment securities		534,072			615,330
Net realized/unrealized gains (losses) on investments		666,090			736,390
Change in net assets resulting from operations	$	693,279		$	753,681

(a)  VictoryShares Top Veteran Employers ETF commenced operations on November 4, 2020.

(b)  VictoryShares Protect America ETF commenced operations on November 5, 2020.

See notes to financial statements.

190

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US 500 Volatility Wtd ETF						VictoryShares US Small Cap Volatility Wtd ETF						VictoryShares International Volatility Wtd ETF
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	7,661,551		$	11,430,747		$	281,342		$	325,336		$	2,422,654		$	1,712,775
Net realized gains (losses) from investments		69,253,916			(8,106,151	)		3,440,333			(2,962,991	)		2,246,705			(4,588,893	)
Net change in unrealized appreciation/ depreciation on investments		160,491,386			(37,017,453	)		6,333,917			(729,592	)		23,696,788			(3,660,392	)
Change in net assets resulting from operations		237,406,853			(33,692,857	)		10,055,592			(3,367,247	)		28,366,147			(6,536,510	)
Change in net assets resulting from distributions to shareholders		(7,561,107	)		(11,639,455	)		(287,612	)		(333,395	)		(2,408,306	)		(1,636,991	)
Change in net assets resulting from capital transactions		(194,413,139	)		(16,437,793	)		128,296			(10,023,892	)		7,632,260			55,078,264
Change in net assets		35,432,607			(61,770,105	)		9,896,276			(13,724,534	)		33,590,101			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	$	705,437,474		$	670,004,867		$	25,985,687		$	16,089,411		$	116,710,061		$	83,119,960
Capital Transactions:
Proceeds from shares issued	$	109,696,136		$	176,174,573		$	9,846,161		$	4,863,773		$	11,872,178		$	63,002,989
Cost of shares redeemed		(304,109,275	)		(192,612,366	)		(9,717,865	)		(14,887,665	)		(4,239,918	)		(7,924,725	)
Change in net assets resulting from capital transactions	$	(194,413,139	)	$	(16,437,793	)	$	128,296		$	(10,023,892	)	$	7,632,260		$	55,078,264
Share Transactions:
Issued		1,650,000			3,300,000			150,000			100,000			300,000			1,700,000
Redeemed		(5,000,000	)		(4,000,000	)		(150,000	)		(350,000	)		(100,000	)		(250,000	)
Change in Shares		(3,350,000	)		(700,000	)		—			(250,000	)		200,000			1,450,000

See notes to financial statements.

191

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Large Cap High Div Volatility Wtd ETF						VictoryShares US Small Cap High Div Volatility Wtd ETF
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	5,978,979		$	10,457,657		$	4,617,664		$	3,214,648
Net realized gains (losses) from investments		13,598,702			(27,598,774	)		24,892,624			(11,297,828	)
Net change in unrealized appreciation/depreciation on investments		54,543,611			(42,199,209	)		22,086,728			(8,242,123	)
Change in net assets resulting from operations		74,121,292			(59,340,326	)		51,597,016			(16,325,303	)
Change in net assets resulting from distributions to shareholders		(5,707,683	)		(10,982,914	)		(4,510,283	)		(3,347,836	)
Change in net assets resulting from capital transactions		(40,993,350	)		(67,568,336	)		138,568,910			10,537,591
Change in net assets		27,420,259			(137,891,576	)		185,655,643			(9,135,548	)
Net Assets:
Beginning of period		193,635,301			331,526,877			66,141,742			75,277,290
End of period	$	221,055,560		$	193,635,301		$	251,797,385		$	66,141,742
Capital Transactions:
Proceeds from shares issued	$	73,170,915		$	175,033,492		$	248,883,695		$	61,100,744
Cost of shares redeemed		(114,164,265	)		(242,601,828	)		(110,314,785	)		(50,563,153	)
Change in net assets resulting from capital transactions	$	(40,993,350	)	$	(67,568,336	)	$	138,568,910		$	10,537,591
Share Transactions:
Issued		1,350,000			3,700,000			4,350,000			1,400,000
Redeemed		(2,350,000	)		(5,850,000	)		(1,950,000	)		(1,300,000	)
Change in Shares		(1,000,000	)		(2,150,000	)		2,400,000			100,000

See notes to financial statements.

192

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares International High Div Volatility Wtd ETF						VictoryShares Emerging Market High Div Volatility Wtd ETF						VictoryShares Dividend Accelerator ETF
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	1,511,245		$	2,619,735		$	915,679		$	1,591,736		$	5,136,658		$	2,715,156
Net realized gains (losses) from investments		744,698			(11,187,546	)		(315,457	)		(6,079,435	)		38,451,332			(5,716,266	)
Net change in unrealized appreciation/ depreciation on investments		10,014,311			(7,487,291	)		4,615,926			(3,444,499	)		47,590,115			3,435,766
Change in net assets resulting from operations		12,270,254			(16,055,102	)		5,216,148			(7,932,198	)		91,178,105			434,656
Change in net assets resulting from distributions to shareholders		(1,705,787	)		(2,460,188	)		(809,574	)		(1,690,396	)		(4,931,587	)		(2,413,888	)
Change in net assets resulting from capital transactions		(49,628,242	)		40,017,292			(6,399,375	)		(8,949,498	)		22,631,344			220,806,252
Change in net assets		(39,063,775	)		21,502,002			(1,992,801	)		(18,572,092	)		108,877,862			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	$	22,978,256		$	62,042,031		$	19,686,373		$	21,679,174		$	344,154,471		$	235,276,609
Capital Transactions:
Proceeds from shares issued	$	3,066,706		$	51,700,753		$	1,135,264		$	5,939,593		$	156,222,479		$	239,360,512
Cost of shares redeemed		(52,694,948	)		(11,683,461	)		(7,534,639	)		(14,889,091	)		(133,591,135	)		(18,554,260	)
Change in net assets resulting from capital transactions	$	(49,628,242	)	$	40,017,292		$	(6,399,375	)	$	(8,949,498	)	$	22,631,344		$	220,806,252
Share Transactions:
Issued		100,000			1,600,000			50,000			250,000			3,850,000			7,150,000
Redeemed		(1,850,000	)		(400,000	)		(350,000	)		(800,000	)		(3,150,000	)		(550,000	)
Change in Shares		(1,750,000	)		1,200,000			(300,000	)		(550,000	)		700,000			6,600,000

See notes to financial statements.

193

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares US Multi-Factor Minimum Volatility ETF						VictoryShares US 500 Enhanced Volatility Wtd ETF						VictoryShares US EQ Income Enhanced Volatility Wtd ETF
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020
From Investment Activities:
Operations:
Net investment income (loss)	$	2,767,382		$	3,305,520		$	8,590,245		$	8,359,234		$	19,769,279		$	19,107,515
Net realized gains (losses) from investments		13,042,099			(6,565,700	)		72,481,462			54,278,678			122,693,510			6,923,829
Net change in unrealized appreciation/ depreciation on investments		20,081,016			2,884,358			162,743,239			(16,435,854	)		97,533,008			408,079
Change in net assets resulting from operations		35,890,497			(375,822	)		243,814,946			46,202,058			239,995,797			26,439,423
Change in net assets resulting from distributions to shareholders		(2,790,098	)		(3,232,593	)		(7,661,659	)		(9,141,838	)		(18,139,639	)		(19,790,977	)
Change in net assets resulting from capital transactions		(24,217,756	)		115,578,154			91,574,225			(256,176,351	)		129,097,767			(137,570,641	)
Change in net assets		8,882,643			111,969,739			327,727,512			(219,116,131	)		350,953,925			(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	$	164,064,957		$	155,182,314		$	937,340,750		$	609,613,238		$	916,845,951		$	565,892,026
Capital Transactions:
Proceeds from shares issued	$	52,363,615		$	153,857,553		$	281,258,675		$	2,604,112		$	465,006,422		$	39,877,087
Cost of shares redeemed		(76,581,371	)		(38,279,399	)		(189,684,450	)		(258,780,463	)		(335,908,655	)		(177,447,728	)
Change in net assets resulting from capital transactions	$	(24,217,756	)	$	115,578,154		$	91,574,225		$	(256,176,351	)	$	129,097,767		$	(137,570,641	)
Share Transactions:
Issued		1,450,000			4,900,000			4,250,000			50,000			7,600,000			900,000
Redeemed		(2,200,000	)		(1,250,000	)		(2,850,000	)		(5,250,000	)		(5,550,000	)		(4,050,000	)
Change in Shares		(750,000	)		3,650,000			1,400,000			(5,200,000	)		2,050,000			(3,150,000	)

See notes to financial statements.

194

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
	Year Ended June 30, 2021			Year Ended June 30, 2020			Year Ended June 30, 2021			Year Ended June 30, 2020			For the Period September 10, 2020(a) through June 30, 2021
From Investment Activities:
Operations:
Net investment income (loss)	$	612,754		$	666,883		$	943,772		$	1,380,661		$	428,808
Net realized gains (losses) from investments		13,619,143			(1,534,257	)		2,593,353			(11,742,934	)		6,489,508
Net change in unrealized appreciation/depreciation on investments		6,795,969			1,632,537			7,824,474			(2,332,722	)		21,355,266
Change in net assets resulting from operations		21,027,866			765,163			11,361,599			(12,694,995	)		28,273,582
Change in net assets resulting from distributions to shareholders		(596,428	)		(764,303	)		(879,139	)		(1,518,775	)		(345,554	)
Change in net assets resulting from capital transactions		5,938,386			(55,411,980	)		(16,195,189	)		(48,077,018	)		120,538,914
Change in net assets		26,369,824			(55,411,120	)		(5,712,729	)		(62,290,788	)		148,466,942
Net Assets:
Beginning of period		37,202,627			92,613,747			48,455,187			110,745,975			—
End of period	$	63,572,451		$	37,202,627		$	42,742,458		$	48,455,187		$	148,466,942
Capital Transactions:
Proceeds from shares issued	$	34,562,229		$	6,387,747		$	—		$	—		$	196,036,909
Cost of shares redeemed		(28,623,843	)		(61,799,727	)		(16,195,189	)		(48,077,018	)		(75,497,995	)
Change in net assets resulting from capital transactions	$	5,938,386		$	(55,411,980	)	$	(16,195,189	)	$	(48,077,018	)	$	120,538,914
Share Transactions:
Issued		600,000			200,000			—			—			6,675,000
Redeemed		(500,000	)		(1,700,000	)		(550,000	)		(1,650,000	)		(2,350,000	)
Change in Shares		100,000			(1,500,000	)		(550,000	)		(1,650,000	)		4,325,000

(a)  Commencement of operations.

See notes to financial statements.

195

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares Top Veteran Employers ETF			VictoryShares Protect America ETF
	For the Period November 4, 2020(a) through June 30, 2021			For the Period November 5, 2020(a) through June 30, 2021
From Investment Activities:
Operations:
Net investment income (loss)	$	27,189		$	17,291
Net realized gains (losses) from investments		132,018			121,060
Net change in unrealized appreciation/depreciation on investments		534,072			615,330
Change in net assets resulting from operations		693,279			753,681
Change in net assets resulting from distributions to shareholders		(24,357	)		(17,080	)
Change in net assets resulting from capital transactions		2,562,420			2,586,924
Change in net assets		3,231,342			3,323,525
Net Assets:
Beginning of period		—			—
End of period	$	3,231,342		$	3,323,525
Capital Transactions:
Proceeds from shares issued	$	2,562,420		$	2,586,924
Change in net assets resulting from capital transactions	$	2,562,420		$	2,586,924
Share Transactions:
Issued		100,000			100,000
Change in Shares		100,000			100,000

(a)  Commencement of operations.

See notes to financial statements.

196

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197

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US 500 Volatility Wtd ETF
Year Ended:
June 30, 2021	$	50.57		0.69		20.68			21.37			(0.68	)		—
June 30, 2020	$	52.46		0.77		(1.88	)		(1.11	)		(0.78	)		—
June 30, 2019	$	49.34		0.73		3.09			3.82			(0.70	)		—
June 30, 2018	$	44.05		0.63		5.26			5.89			(0.60	)		—
June 30, 2017	$	37.24		0.60		6.71			7.31			(0.50	)		—
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended:
June 30, 2021	$	40.22		0.70		24.76			25.46			(0.72	)		—
June 30, 2020	$	45.87		0.59		(5.62	)		(5.03	)		(0.62	)		—
June 30, 2019	$	48.54		0.63		(2.62	)		(1.99	)		(0.68	)		—
June 30, 2018	$	42.40		0.50		6.14			6.64			(0.50	)		—
June 30, 2017	$	34.35		0.50		8.01			8.51			(0.46	)		—
VictoryShares International Volatility Wtd ETF
Year Ended:
June 30, 2021	$	34.63		0.95		10.25			11.20			(0.94	)		—
June 30, 2020	$	38.12		0.77		(3.51	)		(2.74	)		(0.75	)		—
June 30, 2019	$	39.09		1.17		(1.07	)		0.10			(1.07	)		—
June 30, 2018	$	37.20		1.04		1.81			2.85			(0.96	)		—
June 30, 2017	$	32.11		0.76		5.10			5.86			(0.77	)		—

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

(b)  Excludes impact of in-kind transaction.

See notes to financial statements.

198

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			Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
VictoryShares US 500 Volatility Wtd ETF
Year Ended:
June 30, 2021		(0.68	)	$	71.26		42.51	%		0.35	%		1.13	%		0.39	%	$	705,437		34	%
June 30, 2020		(0.78	)	$	50.57		(2.12	)%		0.35	%		1.49	%		0.40	%	$	670,005		28	%
June 30, 2019		(0.70	)	$	52.46		7.86	%		0.35	%		1.48	%		0.40	%	$	731,775		46	%
June 30, 2018		(0.60	)	$	49.34		13.42	%		0.35	%		1.32	%		0.41	%	$	567,370		36	%
June 30, 2017		(0.50	)	$	44.05		19.72	%		0.35	%		1.43	%		0.47	%	$	292,921		26	%
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended:
June 30, 2021		(0.72	)	$	64.96		63.72	%		0.35	%		1.30	%		0.55	%	$	25,986		71	%
June 30, 2020		(0.62	)	$	40.22		(11.00	)%		0.35	%		1.35	%		0.55	%	$	16,089		50	%
June 30, 2019		(0.68	)	$	45.87		(4.07	)%		0.35	%		1.36	%		0.46	%	$	29,814		62	%
June 30, 2018		(0.50	)	$	48.54		15.75	%		0.35	%		1.10	%		0.47	%	$	41,261		47	%
June 30, 2017		(0.46	)	$	42.40		24.86	%		0.35	%		1.25	%		0.68	%	$	25,438		47	%
VictoryShares International Volatility Wtd ETF
Year Ended:
June 30, 2021		(0.94	)	$	44.89		32.59	%		0.45	%		2.34	%		0.63	%	$	116,710		45	%
June 30, 2020		(0.75	)	$	34.63		(7.23	)%		0.45	%		2.12	%		0.64	%	$	83,120		41	%
June 30, 2019		(1.07	)	$	38.12		0.33	%		0.45	%		3.14	%		0.73	%	$	36,215		53	%
June 30, 2018		(0.96	)	$	39.09		7.62	%		0.45	%		2.61	%		0.98	%	$	21,497		37	%
June 30, 2017		(0.77	)	$	37.20		18.44	%		0.45	%		2.25	%		1.54	%	$	13,021		46	%

See notes to financial statements.

199

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

				Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period			Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended:
June 30, 2021	$	39.52			1.45		17.10			18.55			(1.39	)		—
June 30, 2020	$	47.03			1.58		(7.44	)		(5.86	)		(1.65	)		—
June 30, 2019	$	45.06	��		1.51		1.83			3.34			(1.37	)		—
June 30, 2018	$	42.17			1.34		2.92			4.26			(1.37	)		—
June 30, 2017	$	37.58			1.24		4.46			5.70			(1.11	)		—
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended:
June 30, 2021	$	36.75			1.85		23.26			25.11			(1.91	)		—
June 30, 2020	$	44.28			1.53		(7.47	)		(5.94	)		(1.59	)		—
June 30, 2019	$	45.96			1.38		(1.74	)		(0.36	)		(1.32	)		—
June 30, 2018	$	40.41			1.39		5.61			7.00			(1.45	)		—
June 30, 2017	$	35.40			1.43		4.93			6.36			(1.35	)		—

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

(b)  Excludes impact of in-kind transaction.

See notes to financial statements.

200

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			Net Expenses			Net Investment Income (Loss)			Gross Expenses			Net Assets, End of Period (000's)		Portfolio Turnover(b)
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended:
June 30, 2021		(1.39	)	$	56.68		47.74	%		0.35	%		3.04	%		0.41	%	$	221,056		67	%
June 30, 2020		(1.65	)	$	39.52		(12.78	)%		0.35	%		3.47	%		0.41	%	$	193,635		56	%
June 30, 2019		(1.37	)	$	47.03		7.59	%		0.35	%		3.33	%		0.42	%	$	331,527		66	%
June 30, 2018		(1.37	)	$	45.06		10.23	%		0.35	%		3.04	%		0.42	%	$	144,187		52	%
June 30, 2017		(1.11	)	$	42.17		15.37	%		0.35	%		3.05	%		0.45	%	$	120,181		48	%
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended:
June 30, 2021		(1.91	)	$	59.95		69.75	%		0.35	%		3.51	%		0.42	%	$	251,797		104	%
June 30, 2020		(1.59	)	$	36.75		(13.61	)%		0.35	%		3.69	%		0.44	%	$	66,142		68	%
June 30, 2019		(1.32	)	$	44.28		(0.70	)%		0.35	%		3.10	%		0.44	%	$	75,277		83	%
June 30, 2018		(1.45	)	$	45.96		17.64	%		0.35	%		3.23	%		0.45	%	$	43,665		68	%
June 30, 2017		(1.35	)	$	40.41		18.07	%		0.35	%		3.65	%		0.55	%	$	32,325		65	%

See notes to financial statements.

201

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares International High Div Volatility Wtd ETF
Year Ended:
June 30, 2021	$	25.32		1.11		7.73			8.84			(1.33	)		—
June 30, 2020	$	32.43		1.02		(7.13	)		(6.11	)		(1.00	)		—
June 30, 2019	$	33.94		1.63		(1.48	)		0.15			(1.66	)		—
June 30, 2018	$	34.25		1.47		(0.41	)		1.06			(1.37	)		—
June 30, 2017	$	30.65		1.40		3.47			4.87			(1.27	)		—
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended:
June 30, 2021	$	19.71		0.99		4.73			5.72			(0.82	)		—
June 30, 2020	$	24.39		0.94		(4.63	)		(3.69	)		(0.99	)		—
June 30, 2019	$	23.92		1.31		0.35			1.66			(1.05	)		(0.14	)
October 26, 2017(e) through June 30, 2018	$	24.95		0.78		(1.29	)		(0.51	)		(0.52	)		—
VictoryShares Dividend Accelerator ETF
Year Ended:
June 30, 2021	$	33.14		0.66		10.95			11.61			(0.63	)		—
June 30, 2020	$	32.90		0.55		0.19	(f)		0.74			(0.50	)		—
June 30, 2019	$	28.41		0.48		4.47			4.95			(0.46	)		—
June 30, 2018	$	25.95		0.48		2.45			2.93			(0.47	)		—
April 18, 2017(e) through June 30, 2017	$	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)  The amount shown reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.

(g)  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%.

See notes to financial statements.

202

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares International High Div Volatility Wtd ETF
Year Ended:
June 30, 2021		(1.33	)	$	32.83		35.49	%		0.45	%		3.95	%		0.66	%	$	22,978		111	%
June 30, 2020		(1.00	)	$	25.32		(19.22	)%		0.45	%		3.45	%		0.57	%	$	62,042		71	%
June 30, 2019		(1.66	)	$	32.43		0.58	%		0.45	%		5.06	%		0.59	%	$	40,540		76	%
June 30, 2018		(1.37	)	$	33.94		3.00	%		0.45	%		4.14	%		0.60	%	$	45,824		58	%
June 30, 2017		(1.27	)	$	34.25		16.16	%		0.45	%		4.32	%		0.77	%	$	32,541		69	%
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended:
June 30, 2021		(0.82	)	$	24.61		29.69	%		0.50	%		4.55	%		1.19	%	$	19,686		101	%
June 30, 2020		(0.99	)	$	19.71		(15.55	)%		0.50	%		4.24	%		0.85	%	$	21,679		86	%
June 30, 2019		(1.19	)	$	24.39		7.30	%		0.51	%(g)		5.52	%		0.88	%	$	40,251		103	%
October 26, 2017(e) through June 30, 2018		(0.52	)	$	23.92		(2.17	)%		0.50	%		4.44	%		1.05	%	$	21,532		52	%
VictoryShares Dividend Accelerator ETF
Year Ended:
June 30, 2021		(0.63	)	$	44.12		35.33	%		0.35	%		1.67	%		0.40	%	$	344,154		41	%
June 30, 2020		(0.50	)	$	33.14		2.23	%		0.35	%		1.65	%		0.42	%	$	235,277		74	%
June 30, 2019		(0.46	)	$	32.90		17.60	%		0.35	%		1.57	%		0.59	%	$	16,450		62	%
June 30, 2018		(0.47	)	$	28.41		11.33	%		0.35	%		1.75	%		0.67	%	$	7,102		43	%
April 18, 2017(e) through June 30, 2017		(0.08	)	$	25.95		3.05	%		0.35	%		2.31	%		1.92	%	$	3,893		—	%

See notes to financial statements.

203

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended:
June 30, 2021	$	30.73		0.62		7.43			8.05			(0.63	)		—
June 30, 2020	$	30.87		0.70		(0.14	)(e)		0.56			(0.70	)		—
June 30, 2019	$	27.58		0.73		3.20			3.93			(0.64	)		—
June 30, 2018	$	24.83		0.63		2.69			3.32			(0.57	)		—
June 22, 2017 (f) through June 30, 2017	$	24.97		0.02		(0.16	)		(0.14	)		—			—
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021	$	51.88		0.70		19.32			20.02			(0.62	)		—
June 30, 2020	$	48.89		0.60		3.04			3.64			(0.65	)		—
June 30, 2019	$	49.30		0.73		(0.42	)		0.31			(0.72	)		—
June 30, 2018	$	44.00		0.64		5.25			5.89			(0.59	)		—
June 30, 2017	$	37.23		0.58		6.71			7.29			(0.52	)		—
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021	$	46.58		1.56		17.87			19.43			(1.44	)		—
June 30, 2020	$	45.54		1.39		1.09			2.48			(1.44	)		—
June 30, 2019	$	46.29		1.46		(0.80	)		0.66			(1.41	)		—
June 30, 2018	$	43.30		1.39		2.99			4.38			(1.39	)		—
June 30, 2017	$	38.59		1.28		4.58			5.86			(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 amount shown reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class 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.

(h)  Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility.

See notes to financial statements.

204

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return(b)			Net Expenses(c)			Net Investment Income (Loss)(c)			Gross Expenses(c)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(d)
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended:
June 30, 2021		(0.63	)	$	38.15		26.47	%		0.35	%		1.80	%		0.41	%	$	164,065		56	%
June 30, 2020		(0.70	)	$	30.73		1.82	%		0.35	%		2.23	%		0.42	%	$	155,182		69	%
June 30, 2019		(0.64	)	$	30.87		14.47	%		0.35	%		2.50	%		0.48	%	$	43,213		34	%
June 30, 2018		(0.57	)	$	27.58		13.41	%		0.35	%		2.33	%		0.74	%	$	8,273		26	%
June 22, 2017 (f) through June 30, 2017		—		$	24.83		(0.54	)%		0.35	%		3.20	%		7.21	%	$	2,483		—	%
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021		(0.62	)	$	71.28		38.78	%		0.35	%		1.13	%		0.39	%	$	937,341		34	%
June 30, 2020		(0.65	)	$	51.88		7.49	%		0.35	%		1.20	%		0.40	%	$	609,613		56	%
June 30, 2019		(0.72	)	$	48.89		0.69	%		0.35	%		1.51	%		0.40	%	$	828,729		116	%(g)
June 30, 2018		(0.59	)	$	49.30		13.42	%		0.35	%		1.32	%		0.41	%	$	951,411		37	%
June 30, 2017		(0.52	)	$	44.00		19.72	%		0.35	%		1.42	%		0.45	%	$	415,847		26	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021		(1.44	)	$	64.57		42.31	%		0.35	%		2.80	%		0.40	%	$	916,846		65	%(h)
June 30, 2020		(1.44	)	$	46.58		5.49	%		0.35	%		3.02	%		0.40	%	$	565,892		116	%
June 30, 2019		(1.41	)	$	45.54		1.52	%		0.35	%		3.22	%		0.40	%	$	696,814		143	%(g)
June 30, 2018		(1.39	)	$	46.29		10.23	%		0.35	%		3.06	%		0.41	%	$	738,260		52	%
June 30, 2017		(1.15	)	$	43.30		15.35	%		0.35	%		3.06	%		0.43	%	$	471,927		49	%

See notes to financial statements.

205

Victory Portfolios II Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Total Distributions			Net Asset Value, End of Period		Total Return(b)
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021	$	39.16		0.62		21.38			22.00			(0.61	)		(0.61	)	$	60.55		56.47	%
June 30, 2020	$	37.80		0.44		1.42	(e)		1.86			(0.50	)		(0.50	)	$	39.16		5.00	%
June 30, 2019	$	47.41		0.64		(9.61	)		(8.97	)		(0.64	)		(0.64	)	$	37.80		(19.04	)%
June 30, 2018	$	41.41		0.50		5.98			6.48			(0.48	)		(0.48	)	$	47.41		15.75	%
June 30, 2017	$	33.55		0.49		7.84			8.33			(0.47	)		(0.47	)	$	41.41		24.91	%
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021	$	26.92		0.66		7.26			7.92			(0.65	)		(0.65	)	$	34.19		29.63	%
June 30, 2020	$	32.10		0.52		(5.14	)		(4.62	)		(0.56	)		(0.56	)	$	26.92		(14.55	)%
June 30, 2019	$	33.79		0.85		(1.59	)		(0.74	)		(0.95	)		(0.95	)	$	32.10		(2.16	)%
June 30, 2018	$	32.22		0.94		1.45			2.39			(0.82	)		(0.82	)	$	33.79		7.41	%
June 30, 2017	$	29.00		0.78		2.90	(h)		3.68			(0.46	)		(0.46	)	$	32.22		12.79	%(i)
VictoryShares Nasdaq Next 50 ETF
September 10, 2020(j) through June 30, 2021	$	25.45		0.12		8.85			8.97			(0.09	)		(0.09	)	$	34.33		35.26	%

(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 reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.

(f)  Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility.

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

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

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

(j)  Commencement of operations.

See notes to financial statements.

206

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 US Discovery Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021		0.35	%		1.22	%		0.46	%	$	63,572		70	%(f)
June 30, 2020		0.35	%		1.19	%		0.47	%	$	37,203		232	%
June 30, 2019		0.35	%		1.48	%		0.42	%	$	92,614		398	%(g)
June 30, 2018		0.35	%		1.13	%		0.43	%	$	116,157		47	%
June 30, 2017		0.35	%		1.25	%		0.55	%	$	57,971		50	%
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended:
June 30, 2021		0.45	%		2.16	%		0.88	%	$	42,742		55	%
June 30, 2020		0.45	%		1.69	%		0.65	%	$	48,455		33	%
June 30, 2019		0.45	%		2.63	%		0.56	%	$	110,746		154	%(g)
June 30, 2018		0.45	%		2.73	%		0.58	%	$	179,103		38	%
June 30, 2017		0.45	%		2.59	%		0.86	%	$	82,150		164	%
VictoryShares Nasdaq Next 50 ETF
September 10, 2020(j) through June 30, 2021		0.18	%		0.46	%		0.30	%	$	148,467		68	%

See notes to financial statements.

207

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 Top Veteran Employers ETF
November 4, 2020(e) through June 30, 2021	$	25.62		0.27		6.66		6.93		(0.24	)		(0.24	)	$	32.31		27.12	%
VictoryShares Protect America ETF
November 5, 2020(e) through June 30, 2021	$	25.87		0.17		7.37		7.54		(0.17	)		(0.17	)	$	33.24		29.17	%

(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.

208

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 Top Veteran Employers ETF
November 4, 2020(e) through June 30, 2021		0.60	%		1.37	%		3.36	%	$	3,231		19	%
VictoryShares Protect America ETF
November 5, 2020(e) through June 30, 2021		0.60	%		0.85	%		3.30	%	$	3,324		17	%

See notes to financial statements.

209

Victory Portfolios II Notes to Financial Statements
June 30, 2021

1. Organization:

Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 24 funds, 22 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. The accompanying financial statements are those of the following 16 Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.

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 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 10, 2020.

**  Commenced operations on November 4, 2020.

***  Commenced operations on November 5, 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. A Fund's 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 under Accounting Standards Codification Topic 946.

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 NAV only in aggregations of 50,000 Shares, or 25,000

210

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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 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	%
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.

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

211

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

• 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.

Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.

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 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.

In the event that price quotations or valuations are not readily available, investments 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. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded, and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.

A summary of the valuations as of June 30, 2021, 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	$	701,731,452	$	—	$	—	$	701,731,452
Collateral for Securities Loaned		6,459,554		—		—		6,459,554
Total	$	708,191,006	$	—	$	—	$	708,191,006
Other Financial Investments^:
Assets:
Futures Contracts	$	53,761	$	—	$	—	$	53,761
Total	$	53,761	$	—	$	—	$	53,761
US Small Cap Volatility Wtd ETF
Common Stocks	$	25,864,018	$	—	$	—	$	25,864,018
Collateral for Securities Loaned		132,740		—		—		132,740
Total	$	25,996,758	$	—	$	—	$	25,996,758
Other Financial Investments^:
Assets:
Futures Contracts	$	3,136	$	—	$	—	$	3,136
Total	$	3,136	$	—	$	—	$	3,136

212

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Level 1			Level 2		Level 3		Total
International Volatility Wtd ETF
Common Stocks	$	116,032,047		$	—	$	—	$	116,032,047
Rights		5,315			—		—		5,315
Collateral for Securities Loaned		4,862,889			—		—		4,862,889
Total	$	120,900,251		$	—	$	—	$	120,900,251
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(5,857	)	$	—	$	—	$	(5,857	)
Total	$	(5,857	)	$	—	$	—	$	(5,857	)
US Large Cap High Div Volatility Wtd ETF
Common Stocks	$	219,711,213		$	—	$	—	$	219,711,213
Collateral for Securities Loaned		2,681,991			—		—		2,681,991
Total	$	222,393,204		$	—	$	—	$	222,393,204
Other Financial Investments^:
Assets:
Futures Contracts	$	12,182		$	—	$	—	$	12,182
Total	$	12,182		$	—	$	—	$	12,182
US Small Cap High Div Volatility Wtd ETF
Common Stocks	$	249,926,733		$	—	$	—	$	249,926,733
Collateral for Securities Loaned		6,097,516			—		—		6,097,516
Total	$	256,024,249		$	—	$	—	$	256,024,249
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(2,211	)	$	—	$	—	$	(2,211	)
Total	$	(2,211	)	$	—	$	—	$	(2,211	)
International High Div Volatility Wtd ETF
Common Stocks	$	22,674,910		$	—	$	—	$	22,674,910
Rights		4,545			—		—		4,545
Collateral for Securities Loaned		1,547,934			—		—		1,547,934
Total	$	24,227,389		$	—	$	—	$	24,227,389
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(2,583	)	$	—	$	—	$	(2,583	)
Total	$	(2,583	)	$	—	$	—	$	(2,583	)
Emerging Market High Div Volatility Wtd ETF
Common Stocks	$	19,455,375		$	—	$	—	$	19,455,375
Total	$	19,455,375		$	—	$	—	$	19,455,375
Other Financial Investments^:
Assets:
Futures Contracts	$	226		$	—	$	—	$	226
Total	$	226		$	—	$	—	$	226
Dividend Accelerator ETF
Common Stocks	$	342,975,848		$	—	$	—	$	342,975,848
Collateral for Securities Loaned		3,331,226			—		—		3,331,226
Total	$	346,307,074		$	—	$	—	$	346,307,074

213

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Level 1		Level 2		Level 3		Total
Other Financial Investments^:
Assets:
Futures Contracts	$	10,819	$	—	$	—	$	10,819
Total	$	10,819	$	—	$	—	$	10,819
US Multi-Factor Minimum Volatility ETF
Common Stocks	$	163,383,568	$	—	$	—	$	163,383,568
Collateral for Securities Loaned		531		—		—		531
Total	$	163,384,099	$	—	$	—	$	163,384,099
Other Financial Investments^:
Assets:
Futures Contracts	$	8,993	$	—	$	—	$	8,993
Total	$	8,993	$	—	$	—	$	8,993
US 500 Enhanced Volatility Wtd ETF
Common Stocks	$	932,476,770	$	—	$	—	$	932,476,770
Investment Companies		3,806,845		—		—		3,806,845
Collateral for Securities Loaned		11,805,898		—		—		11,805,898
Total	$	948,089,513	$	—	$	—	$	948,089,513
Other Financial Investments^:
Assets:
Futures Contracts	$	70,294	$	—	$	—	$	70,294
Total	$	70,294	$	—	$	—	$	70,294
US EQ Income Enhanced Volatility Wtd ETF
Common Stocks	$	912,042,577	$	—	$	—	$	912,042,577
Investment Companies		2,914,423		—		—		2,914,423
Collateral for Securities Loaned		7,819,142		—		—		7,819,142
Total	$	922,776,142	$	—	$	—	$	922,776,142
Other Financial Investments^:
Assets:
Futures Contracts	$	41,072	$	—	$	—	$	41,072
Total	$	41,072	$	—	$	—	$	41,072
US Discovery Enhanced Volatility Wtd ETF
Common Stocks	$	63,294,467	$	—	$	—	$	63,294,467
Investment Companies		231,049		—		—		231,049
Collateral for Securities Loaned		1,204,184		—		—		1,204,184
Total	$	64,729,700	$	—	$	—	$	64,729,700
Other Financial Investments^:
Assets:
Futures Contracts	$	1,017	$	—	$	—	$	1,017
Total	$	1,017	$	—	$	—	$	1,017
Developed Enhanced Volatility Wtd ETF
Common Stocks	$	42,249,499	$	—	$	670	$	42,250,169
Rights		1,950		—		—		1,950
Investment Companies		121,116		—		—		121,116
Collateral for Securities Loaned		2,249,060		—		—		2,249,060
Total	$	44,621,625	$	—	$	670	$	44,622,295

214

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Level 1			Level 2		Level 3		Total
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(5,838	)	$	—	$	—	$	(5,838	)
Total	$	(5,838	)	$	—	$	—	$	(5,838	)
Nasdaq Next 50 ETF
Common Stocks	$	148,098,451		$	—	$	—	$	148,098,451
Collateral for Securities Loaned		13,520,650			—		—		13,520,650
Total	$	161,619,101		$	—	$	—	$	161,619,101
Other Financial Investments^:
Assets:
Futures Contracts	$	9,966		$	—	$	—	$	9,966
Total	$	9,966		$	—	$	—	$	9,966
Top Veteran Employers ETF
Common Stocks	$	3,227,063		$	—	$	—	$	3,227,063
Total	$	3,227,063		$	—	$	—	$	3,227,063
Protect America ETF
Common Stocks	$	3,299,210		$	—	$	—	$	3,299,210
Collateral for Securities Loaned		12,674			—		—		12,674
Total	$	3,311,884		$	—	$	—	$	3,311,884

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

For the year ended June 30, 2021, there were no significant transfers in or out of the Level 3 fair value hierarchy.

As of June 30, 2021, there were no significant Level 3 holdings in the 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:

Certain 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

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hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter 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 Funds record 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. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of June 30, 2021, 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. The Funds 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 Funds 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 Funds 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 Funds 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. The Funds 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 Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' 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 June 30, 2021, 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.

The table below, as of June 30, 2021, discloses both gross information and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and

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instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to collateral held at clearing brokers and counterparties.

	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
US 500 Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co	$	5,088	$	—	$	5,088	$	—		$	5,088
US Small Cap Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		160		—		160		—			160
US Large Cap High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		1,458		—		1,458		—			1,458
US Small Cap High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		2,466		—		2,466		—			2,466
Dividend Accelerator ETF
Futures Contracts-Goldman Sachs & Co		1,320		—		1,320		—			1,320
US Multi-Factor Minimum Volatility ETF
Futures Contracts-Goldman Sachs & Co		990		—		990		—			990
US 500 Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		6,408		—		6,408		—			6,408
US EQ Income Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		4,567		—		4,567		—			4,567
US Discovery Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		320		—		320		—			320
	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Pledged*			Net Amount
International Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co	$	2,670	$	—	$	2,670	$	(2,670	)	$	—
International High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		554		—		554		(554	)		—
Emerging Market High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		490		—		490		(490	)		—
Developed Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		1,780		—		1,780		(1,780	)		—
Nasdaq Next 50 ETF
Futures Contracts-Goldman Sachs & Co		280		—		280		(280	)		—

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

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Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2021:

	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*
Equity Risk Exposure:
US 500 Volatility Wtd ETF	$	53,761	$	—
US Small Cap Volatility Wtd ETF		3,136		—
International Volatility Wtd ETF		—		5,857
US Large Cap High Div Volatility Wtd ETF		12,182		—
US Small Cap High Div Volatility Wtd ETF		—		2,211
International High Div Volatility Wtd ETF		—		2,583
Emerging Market High Div Volatility Wtd ETF		226		—
Dividend Accelerator ETF		10,819		—
US Multi-Factor Minimum Volatility ETF		8,993		—
US 500 Enhanced Volatility Wtd ETF		70,294		—
US EQ Income Enhanced Volatility Wtd ETF		41,072		—
US Discovery Enhanced Volatility Wtd ETF		1,017		—
Developed Enhanced Volatility Wtd ETF		—		5,838
Nasdaq Next 50 ETF		9,966		—

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

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2021:

	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	$	740,776	$	5,984
US Small Cap Volatility Wtd ETF		32,769		320
International Volatility Wtd ETF		117,720		(2,003	)
US Large Cap High Div Volatility Wtd ETF		258,287		14,330
US Small Cap High Div Volatility Wtd ETF		161,399		(8,925	)
International High Div Volatility Wtd ETF		62,689		(2,322	)
Emerging Market High Div Volatility Wtd ETF		72,311		(1,126	)
Dividend Accelerator ETF		347,689		5,364
US Multi-Factor Minimum Volatility ETF		126,513		16,842
US 500 Enhanced Volatility Wtd ETF		842,748		97,767
US EQ Income Enhanced Volatility Wtd ETF		930,942		55,816
US Discovery Enhanced Volatility Wtd ETF		53,735		(5,795	)
Developed Enhanced Volatility Wtd ETF		76,767		(5,465	)
Nasdaq Next 50 ETF		79,750		9,966

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.

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Investment Transactions and Related Income:

Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date on the last business day of the reporting period. Interest income is 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"). 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 Citibank 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 Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them.

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

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2021. 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 Cash		Value of Non-cash Collateral Received by Maturity
	(Value of Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
US 500 Volatility Wtd ETF	$	6,249,346	$	6,249,346	$	—	$	—	$	—	$	—
US Small Cap Volatility Wtd ETF		128,103		128,103		—		—		—		—
International Volatility Wtd ETF		4,606,324		4,606,324		—		—		—		—
US Large Cap High Div Volatility Wtd ETF		2,610,717		2,610,717		—		—		—		—

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	Gross Amount of Recognized Assets		Value of Cash		Value of Non-cash Collateral Received by Maturity
	(Value of Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
US Small Cap High Div Volatility Wtd ETF	$	5,939,272	$	5,939,272	$	—	$	—	$	—	$	—
International High Div Volatility Wtd ETF		1,470,033		1,470,033		—		—		—		—
Dividend Accelerator ETF		3,247,235		3,247,235		—		—		—		—
US Multi-Factor Minimum Volatility ETF		518		518		—		—		—		—
US 500 Enhanced Volatility Wtd ETF		11,403,804		11,403,804		—		—		—		—
US EQ Income Enhanced Volatility Wtd ETF		7,606,226		7,606,226		—		—		—		—
US Discovery Enhanced Volatility Wtd ETF		1,177,685		1,177,685		—		—		—		—
Developed Enhanced Volatility Wtd ETF		2,123,767		2,123,767		—		—		—		—
Nasdaq Next 50 ETF		13,233,574		13,233,574		—		—		—		—
Protect America ETF		12,574		12,574		—		—		—		—

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

Foreign Currency Translations:

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

Foreign Taxes:

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

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

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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 the Funds are charged to the Funds, while expenses that 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 year ended June 30, 2021, 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 in-kind transactions				Associated with in-kind transactions
	Purchases		Sales		Purchases		Sales
US 500 Volatility Wtd ETF	$	225,430,761	$	225,034,566	$	109,163,991	$	303,683,729
US Small Cap Volatility Wtd ETF		14,851,658		14,832,002		9,825,322		9,737,540
International Volatility Wtd ETF		46,484,960		45,426,160		10,664,088		3,981,714
US Large Cap High Div Volatility Wtd ETF		131,342,956		130,146,069		72,731,442		113,669,184
US Small Cap High Div Volatility Wtd ETF		134,462,161		134,723,957		247,832,393		110,049,554
International High Div Volatility Wtd ETF		41,404,946		43,214,908		2,652,248		50,269,900
Emerging Market High Div Volatility Wtd ETF		19,833,613		21,975,545		503,324		4,693,822
Dividend Accelerator ETF		124,945,411		124,419,255		155,416,733		133,275,535
US Multi-Factor Minimum Volatility ETF		85,389,917		85,122,519		52,205,354		76,414,338
US 500 Enhanced Volatility Wtd ETF		523,869,927		244,632,241		279,947,912		189,739,455
US EQ Income Enhanced Volatility Wtd ETF		544,378,807		412,583,261		460,117,470		331,646,611
US Discovery Enhanced Volatility Wtd ETF		40,205,936		31,690,086		33,616,530		28,232,773
Developed Enhanced Volatility Wtd ETF		42,379,414		21,757,698		—		14,094,796
Nasdaq Next 50 ETF		79,945,848		80,292,263		195,736,405		75,046,578
Top Veteran Employers ETF		584,649		586,077		2,562,420		—
Protect America ETF		512,704		528,497		2,578,623		—

For the year ended June 30, 2021, there were no purchases or sales of U.S. Government Securities.

4. Fees and Transactions with Affiliates and Related Parties:

Investment Advisory Fees:

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

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Under the terms of the Investment Advisory 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	%
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		0.15	%
Top Veteran Employers ETF		0.55	%
Protect America ETF		0.55	%

Amounts incurred and paid to VCM for the year ended June 30, 2021, are reflected on the Statements of Operations as Investment advisory fees.

Administration and Servicing Fees:

VCM serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"). Tiered rates at which VCM is paid by the Funds are shown in the table below:

Net Assets up to $15 billion			Net Assets $15 billion – $30 billion			Net Assets over $30 billion
	0.08	%, plus		0.05	%, plus		0.04	%

Amounts incurred for the year ended June 30, 2021, 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 Fund 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 Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Fund. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Sub-Administration 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 year ended June 30, 2021, are reflected on the Statements of Operations as Compliance fees.

Transfer Agency Fees:

Citibank serves as the Funds' Transfer Agent. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Transfer agent fees.

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Distributor/Underwriting Services:

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

Other Fees:

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Custodian 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. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2021, the expense limits (excluding voluntary waivers) are as follows:

	In Effect Until October 31, 2021
US 500 Volatility Wtd ETF		0.35	%
US Small Cap Volatility Wtd ETF		0.35	%
International Volatility Wtd ETF		0.45	%
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.

Under the terms of the expense limitation agreement, amended May 1, 2021, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount. Prior to May 1, 2021, the Funds were permitted to recoup fees waived and expenses reimbursed for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the limitations above. This change did not have any effect on the amounts previously reported for recoupment.

As of June 30, 2021, 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 June 30, 2021.

	Expires 2022		Expires 2023		Expires 2024		Total
US 500 Volatility Wtd ETF	$	180,818	$	99,179	$	66,415	$	346,412
US Small Cap Volatility Wtd ETF		29,837		39,631		35,421		104,889
International Volatility Wtd ETF		76,477		121,119		150,668		348,264

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Expires 2022		Expires 2023		Expires 2024		Total
US Large Cap High Div Volatility Wtd ETF	$	85,683	$	64,858	$	47,070	$	197,611
US Small Cap High Div Volatility Wtd ETF		35,161		45,375		47,951		128,487
International High Div Volatility Wtd ETF		48,516		63,200		65,624		177,340
Emerging Market High Div Volatility Wtd ETF		93,761		117,270		130,204		341,235
Dividend Accelerator ETF		21,708		51,403		46,360		119,471
US Multi-Factor Minimum Volatility ETF		28,089		47,372		40,209		115,670
US 500 Enhanced Volatility Wtd ETF		226,258		90,547		77,028		393,833
US EQ Income Enhanced Volatility Wtd ETF		183,343		75,542		89,656		348,541
US Discovery Enhanced Volatility Wtd ETF		50,577		45,253		38,554		134,384
Developed Enhanced Volatility Wtd ETF		126,154		132,700		172,550		431,404
Nasdaq Next 50 ETF		—		—		74,147		74,147
Top Veteran Employers ETF		—		—		54,031		54,031
Protect America ETF		—		—		54,192		54,192

The Adviser may voluntarily waive or reimburse additional fees to assist the Fund in maintaining competitive expense ratios. These waivers are not available for recoupment and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. The Adviser voluntarily waived the following administration fees during the year ended June 30, 2021.

US 500 Volatility Wtd ETF	$	236,532
US Small Cap Volatility Wtd ETF		7,480
International Volatility Wtd ETF		35,951
US Large Cap High Div Volatility Wtd ETF		68,652
US Small Cap High Div Volatility Wtd ETF		44,600
International High Div Volatility Wtd ETF		13,797
Emerging Market High Div Volatility Wtd ETF		7,077
Dividend Accelerator ETF		106,821
US Multi-Factor Minimum Volatility ETF		53,688
US 500 Enhanced Volatility Wtd ETF		264,460
US EQ Income Enhanced Volatility Wtd ETF		244,159
US Discovery Enhanced Volatility Wtd ETF		17,452
Developed Enhanced Volatility Wtd ETF		15,326
Nasdaq Next 50 ETF		33,392
Top Veteran Employers ETF		667
Protect America ETF		684

Certain officers and/or interested trustees of the Fund are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.

5. Risks:

The Funds 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, 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,

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised and continue to exercise substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital re-investment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments include 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.

6. Borrowing and Interfund Lending:

Line of Credit:

The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2021, with a termination date of June 27, 2022. Under the agreement with Citibank, the Victory Funds Complex 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, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2021, 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. For the period June 29, 2020, through April 30, 2021, under an amended Line of Credit agreement, Citibank received an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the upfront fee. Effective with the renewal, the annual commitment fee of 0.15% remains unchanged and the upfront fee of 0.10% was discontinued. Interest charged to each fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The average borrowing for the days outstanding and average interest rate for each Fund that utilized the Line of Credit during the year ended June 30, 2021, were as follows:

	Amount Outstanding at June 30, 2021		Average Borrowing*		Days Borrowings Outstanding		Average Interest Rate			Maximum Borrowing During the Period
Emerging Market High Div Volatility Wtd ETF	$	—	$	3,900,000		2		1.21	%	$	4,600,000

*  For the year ended June 30, 2021, based on the number of days borrowings were outstanding.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

7. Federal Income Tax Information:

Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

	Declared	Paid
US 500 Volatility Wtd ETF	Monthly	Monthly
US Small Cap Volatility Wtd ETF	Monthly	Monthly
International Volatility Wtd ETF	Monthly	Monthly
US Large Cap High Div Volatility Wtd ETF	Monthly	Monthly
US US Small Cap High Div Volatility Wtd ETF	Monthly	Monthly
International High Div Volatility Wtd ETF	Monthly	Monthly
Emerging Market High Div Volatility Wtd ETF	Monthly	Monthly
Dividend Accelerator ETF	Monthly	Monthly
US Multi-Factor Minimum Volatility ETF	Monthly	Monthly
US 500 Enhanced Volatility Wtd ETF	Monthly	Monthly
US EQ Income Enhanced Volatility Wtd ETF	Monthly	Monthly
US Discovery Enhanced Volatility Wtd ETF	Monthly	Monthly
Developed Enhanced Volatility Wtd ETF	Monthly	Monthly
Nasdaq Next 50 ETF	Monthly	Monthly
Top Veteran Employers ETF	Monthly	Monthly
Protect America ETF	Monthly	Monthly

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 the Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

As of June 30, 2021, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions as applicable) were as follows:

	Total Accumulated Earnings/(Loss)			Capital
US 500 Volatility Wtd ETF	$	(83,732,285	)	$	83,732,285
US Small Cap Volatility Wtd ETF		(4,170,443	)		4,170,443
International Volatility Wtd ETF		(1,154,055	)		1,154,055
US Large Cap High Div Volatility Wtd ETF		(22,727,928	)		22,727,928
US Small Cap High Div Volatility Wtd ETF		(28,596,304	)		28,596,304
International High Div Volatility Wtd ETF		(1,863,119	)		1,863,119
Emerging Market High Div Volatility Wtd ETF		(83,111	)		83,111
Dividend Accelerator ETF		(36,487,647	)		36,487,647
US Multi-Factor Minimum Volatility ETF		(12,382,173	)		12,382,173
US 500 Enhanced Volatility Wtd ETF		(63,736,597	)		63,736,597
US EQ Income Enhanced Volatility Wtd ETF		(91,527,002	)		91,527,002
US Discovery Enhanced Volatility Wtd ETF		(10,200,234	)		10,200,234
Developed Enhanced Volatility Wtd ETF		(2,260,440	)		2,260,440
Nasdaq Next 50 ETF		(13,801,165	)		13,801,165

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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

	Year Ended June 30, 2021
	Distributions Paid From:
	Ordinary Income		Total Distributions Paid
US 500 Volatility Wtd ETF	$	7,561,107	$	7,561,107
US Small Cap Volatility Wtd ETF		287,612		287,612
International Volatility Wtd ETF		2,408,306		2,408,306
US Large Cap High Div Volatility Wtd ETF		5,707,683		5,707,683
US Small Cap High Div Volatility Wtd ETF		4,510,283		4,510,283
International High Div Volatility Wtd ETF		1,705,787		1,705,787
Dividend Accelerator ETF		4,931,587		4,931,587
US Multi-Factor Minimum Volatility ETF		2,790,098		2,790,098
US 500 Enhanced Volatility Wtd ETF		7,661,659		7,661,659
US EQ Income Enhanced Volatility Wtd ETF		18,139,639		18,139,639
US Discovery Enhanced Volatility Wtd ETF		596,428		596,428
Developed Enhanced Volatility Wtd ETF		879,139		879,139
Nasdaq Next 50 ETF		345,554		345,554
Top Veteran Employers ETF		24,357		24,357
Protect America ETF		17,080		17,080
	Year Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Total Distributions Paid
US 500 Volatility Wtd ETF	$	11,639,455	$	11,639,455
US Small Cap Volatility Wtd ETF		333,395		333,395
International Volatility Wtd ETF		1,636,991		1,636,991
US Large Cap High Div Volatility Wtd ETF		10,982,914		10,982,914
US Small Cap High Div Volatility Wtd ETF		3,347,836		3,347,836
International High Div Volatility Wtd ETF		2,460,188		2,460,188
Emerging Market High Div Volatility Wtd ETF		1,690,396		1,690,396
Dividend Accelerator ETF		2,413,888		2,413,888
US Multi-Factor Minimum Volatility ETF		3,232,593		3,232,593
US 500 Enhanced Volatility Wtd ETF		9,141,838		9,141,838
US EQ Income Enhanced Volatility Wtd ETF		19,790,977		19,790,977
US Discovery Enhanced Volatility Wtd ETF		764,303		764,303
Developed Enhanced Volatility Wtd ETF		1,518,775		1,518,775

As of June 30, 2021, the components of accumulated earnings deficit on a tax basis were as follows:

	Undistributed Ordinary Income		Accumulated Earnings		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Loss)
US 500 Volatility Wtd ETF	$	762,579	$	762,579	$	(72,976,837	)	$	185,106,030	$	112,891,772
US Small Cap Volatility Wtd ETF		18,040		18,040		(8,332,545	)		3,879,819		(4,434,686	)

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Undistributed Ordinary Income		Accumulated Earnings		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Loss)
International Volatility Wtd ETF	$	1,069,755	$	1,069,755	$	(5,761,389	)	$	22,062,568	$	17,370,934
US Large Cap High Div Volatility Wtd ETF		589,480		589,480		(48,580,586	)		28,747,719		(19,243,387	)
US Small Cap High Div Volatility Wtd ETF		611,974		611,974		(24,374,348	)		12,309,623		(11,452,751	)
International High Div Volatility Wtd ETF		203,430		203,430		(14,335,752	)		1,220,694		(12,911,628	)
Emerging Market High Div Volatility Wtd ETF		253,233		253,233		(5,381,531	)		878,427		(4,249,871	)
Dividend Accelerator ETF		521,812		521,812		(7,066,437	)		52,183,724		45,639,099
US Multi-Factor Minimum Volatility ETF		143,164		143,164		(10,357,953	)		25,628,511		15,413,722
US 500 Enhanced Volatility Wtd ETF		1,114,534		1,114,534		(58,934,247	)		201,221,250		143,401,537
US EQ Income Enhanced Volatility Wtd ETF		2,412,351		2,412,351		(61,916,554	)		121,637,811		62,133,608
US Discovery Enhanced Volatility Wtd ETF		56,650		56,650		(32,336,804	)		9,116,731		(23,163,423	)
Developed Enhanced Volatility Wtd ETF		392,423		392,423		(26,271,404	)		6,850,174		(19,028,807	)
Nasdaq Next 50 ETF		84,769		84,769		(7,214,867	)		21,256,961		14,126,863
Top Veteran Employers ETF		134,968		134,968		—			533,954		668,922
Protect America ETF		121,341		121,341		—			615,260		736,601

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

At June 30, 2021, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.

	Short-Term		Long-Term		Total
US 500 Volatility Wtd ETF	$	32,961,455	$	40,015,382	$	72,976,837
US Small Cap Volatility Wtd ETF		4,331,731		4,000,814		8,332,545
International Volatility Wtd ETF		2,133,118		3,628,271		5,761,389
US Large Cap High Div Volatility Wtd ETF		24,533,271		24,047,315		48,580,586
US Small Cap High Div Volatility Wtd ETF		17,059,791		7,314,557		24,374,348
International High Div Volatility Wtd ETF		6,491,232		7,844,520		14,335,752
Emerging Market High Div Volatility Wtd ETF		1,878,803		3,502,728		5,381,531
Dividend Accelerator ETF		6,483,950		582,487		7,066,437
US Multi-Factor Minimum Volatility ETF		9,291,562		1,066,391		10,357,953
US 500 Enhanced Volatility Wtd ETF		37,473,355		21,460,892		58,934,247
US EQ Income Enhanced Volatility Wtd ETF		23,545,385		38,371,169		61,916,554
US Discovery Enhanced Volatility Wtd ETF		28,850,722		3,486,082		32,336,804
Developed Enhanced Volatility Wtd ETF		15,822,824		10,448,580		26,271,404
Nasdaq Next 50 ETF		7,214,867		—		7,214,867

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

During the tax year ended June 30, 2021, the Funds utilized capital loss carryforwards as shown in the table below:

	Short-Term
US Small Cap Volatility Wtd ETF	$	111,760
International Volatility Wtd ETF		2,053,431
International High Div Volatility Wtd ETF		2,221,698
Emerging Market High Div Volatility Wtd ETF		952,663
Dividend Accelerator ETF		2,454,372
US Multi-Factor Minimum Volatility ETF		1,557,149
US 500 Enhanced Volatility Wtd ETF		1,402,098
US EQ Income Enhanced Volatility Wtd ETF		8,587,815
US Discovery Enhanced Volatility Wtd ETF		1,582,359
Developed Enhanced Volatility Wtd ETF		1,111,359

As of June 30, 2021, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Net Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Volatility Wtd ETF	$	523,084,976	$	187,748,346	$	(2,642,316	)	$	185,106,030
US Small Cap Volatility Wtd ETF		22,116,939		4,639,907		(760,088	)		3,879,819
International Volatility Wtd ETF		98,838,025		24,279,562		(2,217,336	)		22,062,226
US Large Cap High Div Volatility Wtd ETF		193,645,485		30,315,684		(1,567,965	)		28,747,719
US Small Cap High Div Volatility Wtd ETF		243,714,626		18,478,366		(6,168,743	)		12,309,623
International High Div Volatility Wtd ETF		23,008,205		2,016,093		(796,908	)		1,219,185
Emerging Market High Div Volatility Wtd ETF		18,567,548		1,991,194		(1,103,367	)		887,827
Dividend Accelerator ETF		294,123,351		54,695,563		(2,511,839	)		52,183,724
US Multi-Factor Minimum Volatility ETF		137,755,588		26,653,324		(1,024,813	)		25,628,511
US 500 Enhanced Volatility Wtd ETF		746,868,263		211,509,668		(10,288,418	)		201,221,250
US EQ Income Enhanced Volatility Wtd ETF		801,138,331		135,803,551		(14,165,740	)		121,637,811
US Discovery Enhanced Volatility Wtd ETF		55,612,969		12,114,740		(2,998,009	)		9,116,731
Developed Enhanced Volatility Wtd ETF		37,779,024		7,818,432		(975,161	)		6,843,271
Nasdaq Next 50 ETF		140,362,140		24,852,289		(3,595,328	)		21,256,961
Top Veteran Employers ETF		2,693,109		554,151		(20,197	)		533,954
Protect America ETF		2,696,634		630,607		(15,347	)		615,260

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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 or 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.

Section 12(d)(3) of the 1940 Act, and Rule 12d3-1(c) under the 1940 Act, generally prohibit a fund from purchasing the securities issued by, among other entities, a fund's investment adviser. When a fund's investment objective is to track the performance of an unaffiliated index by investing in the stocks that comprise that index, the staff of the SEC has taken the position that, subject to certain conditions, the fund may establish and maintain a position in the common stock of an affiliate of the fund's investment adviser in an amount approximately in proportion to the percentage that the stock is represented in the index. In seeking to provide investment results that closely correspond to its respective unaffiliated index, one or more Funds may hold the securities of Victory Capital Holdings, Inc., the parent company of VCM and other Fund service providers.

Transactions in affiliated securities during the year ended June 30, 2021 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 6/30/21		Dividend Income
Victory Capital Holdings, Inc.	$	27,676	$	34,345	$	(21,881	)	$	(347	)	$	—	$	34,765	$	74,558	$	737
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 6/30/21		Dividend Income
Victory Capital Holdings, Inc.	$	50,212	$	121,377	$	(64,976	)	$	1,720		$	—	$	74,138	$	182,471	$	1,636

230

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory Portfolios II, comprising the Funds listed below (the "Funds"), as of June 30, 2021, and the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

Fund Name	Statements of Operations	Statements of Changes in Net Assets	Financial Highlights
VictoryShares US 500 Volatility Wtd ETF, VictoryShares US Small Cap Volatility Wtd ETF, VictoryShares International 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 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	For the year ended June 30, 2021	For the years ended June 30, 2021 and 2020	For the years ended June 30, 2021, 2020, 2019, 2018, and 2017
VictoryShares Emerging Market High Div Volatility Wtd ETF	For the year ended June 30, 2021	For the years ended June 30, 2021 and 2020	For the years ended June 30, 2021, 2020, 2019 and for the period from October 26, 2017 (commencement of operations) through June 30, 2018

231

Fund Name	Statements of Operations	Statements of Changes in Net Assets	Financial Highlights
VictoryShares Dividend Accelerator ETF	For the year ended June 30, 2021	For the years ended June 30, 2021 and 2020	For the years ended June 30, 2021, 2020, 2019, 2018 and for the period from April 18, 2017 (commencement of operations) through June 30, 2017
VictoryShares US Multi-Factor Minimum Volatility ETF	For the year ended June 30, 2021	For the years ended June 30, 2021 and 2020	For the years ended June 30, 2021, 2020, 2019, 2018 and for the period from June 22, 2017 (commencement of operations) through June 30, 2017
VictoryShares Nasdaq Next 50 ETF	For the period from September 10, 2020 (commencement of operations) through June 30, 2021
VictoryShares Top Veteran Employers ETF	For the period from November 4, 2020 (commencement of operations) through June 30, 2021
VictoryShares Protect America ETF	For the period from November 5, 2020 (commencement of operations) through June 30, 2021

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

232

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

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 27, 2021

233

Victory Portfolios II Supplemental Information
June 30, 2021

  (Unaudited)

Trustee and Officer Information

Board of Trustees:

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

The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 24 portfolios in the Trust, eight portfolios in Victory Variable Insurance Funds, and 41 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds and oversees 46 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
Independent Trustees.
David Brooks Adcock, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015)	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

234

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	Vice Chair and Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016- September 2017).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer,* Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

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

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

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

235

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Officers:

The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.

Name and Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser.
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, Born March 1984	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	Anti-Money Laundering Compliance Officer and Identity Theft Officer	May 2015	Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc.
Jay G. Baris, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

236

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

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

Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 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 is available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021, through June 30, 2021.

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 the 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 below are meant to highlight your ongoing costs only and do not reflect any transactional costs. If these transactional costs were included, your costs would have been higher.

	Beginning Account Value 1/1/21		Actual Ending Account Value 6/30/21		Hypothetical Ending Account Value 6/30/21		Actual Expenses Paid During Period 1/1/21- 6/30/21*		Hypothetical Expenses Paid During Period 1/1/21- 6/30/21*		Annualized Expense Ratio During Period 1/1/21- 6/30/21
US 500 Volatility Wtd ETF	$	1,000.00	$	1,148.30	$	1,023.06	$	1.86	$	1.76		0.35	%
US Small Cap Volatility Wtd ETF		1,000.00		1,211.60		1,023.06		1.92		1.76		0.35	%
International Volatility Wtd ETF		1,000.00		1,094.30		1,022.56		2.34		2.26		0.45	%
US Large Cap High Div Volatility Wtd ETF		1,000.00		1,213.60		1,023.06		1.92		1.76		0.35	%
US Small Cap High Div Volatility Wtd ETF		1,000.00		1,220.10		1,023.06		1.93		1.76		0.35	%

237

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

	Beginning Account Value 1/1/21		Actual Ending Account Value 6/30/21		Hypothetical Ending Account Value 6/30/21		Actual Expenses Paid During Period 1/1/21- 6/30/21*		Hypothetical Expenses Paid During Period 1/1/21- 6/30/21*		Annualized Expense Ratio During Period 1/1/21- 6/30/21
International High Div Volatility Wtd ETF	$	1,000.00	$	1,122.70	$	1,022.56	$	2.37	$	2.26		0.45	%
Emerging Market High Div Volatility Wtd ETF		1,000.00		1,118.30		1,022.32		2.63		2.51		0.50	%
Dividend Accelerator ETF		1,000.00		1,118.50		1,023.06		1.84		1.76		0.35	%
US Multi-Factor Minimum Volatility ETF		1,000.00		1,129.80		1,023.06		1.85		1.76		0.35	%
US 500 Enhanced Volatility Wtd ETF		1,000.00		1,148.30		1,023.06		1.86		1.76		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		1,000.00		1,213.50		1,023.06		1.92		1.76		0.35	%
US Discovery Enhanced Volatility Wtd ETF		1,000.00		1,210.70		1,023.06		1.92		1.76		0.35	%
Developed Enhanced Volatility Wtd ETF		1,000.00		1,093.50		1,022.56		2.34		2.26		0.45	%
Nasdaq Next 50 ETF		1,000.00		1,086.00		1,023.90		0.93		0.90		0.18	%
Top Veteran Employers ETF		1,000.00		1,143.80		1,021.82		3.19		3.01		0.60	%
Protect America ETF		1,000.00		1,142.30		1,021.82		3.19		3.01		0.60	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

238

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2021, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Percent
US 500 Volatility Wtd ETF		100	%
US Small Cap Volatility Wtd ETF		100	%
International Volatility Wtd ETF		77	%
US Large Cap High Div Volatility Wtd ETF		100	%
US Small Cap High Div Volatility Wtd ETF		99	%
International High Div Volatility Wtd ETF		77	%
Emerging Market High Div Volatility Wtd ETF		67	%
Dividend Accelerator ETF		100	%
US Multi-Factor Minimum Volatility ETF		100	%
US 500 Enhanced Volatility Wtd ETF		100	%
US EQ Income Enhanced Volatility Wtd ETF		100	%
US Discovery Enhanced Volatility Wtd ETF		100	%
Developed Enhanced Volatility Wtd ETF		67	%
Nasdaq Next 50 ETF		100	%
Top Veteran Employers ETF		24	%
Protect America ETF		21	%

Dividends qualified for corporate dividends received deductions of:

	Percent
US 500 Volatility Wtd ETF		100	%
US Small Cap Volatility Wtd ETF		100	%
US Large Cap High Div Volatility Wtd ETF		100	%
US Small Cap High Div Volatility Wtd ETF		99	%
Dividend Accelerator ETF		100	%
US Multi-Factor Minimum Volatility ETF		100	%
US 500 Enhanced Volatility Wtd ETF		100	%
US EQ Income Enhanced Volatility Wtd ETF		100	%
US Discovery Enhanced Volatility Wtd ETF		100	%
Nasdaq Next 50 ETF		60	%
Top Veteran Employers ETF		24	%
Protect America ETF		21	%

The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2021, were as follows:

	Foreign Source Income		Foreign Tax Expense
International Volatility Wtd ETF		1.05		0.11
International High Div Volatility WTD ETF		2.27		0.26
Emerging Market High Div Volatility Wtd ETF		1.46		0.20
Developed Enhanced Volatility Wtd ETF		0.90		0.10

239

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration the Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.

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

At a meeting held on February 18, 2021, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure the Funds are able to meet redemption requests without significant dilution to the remaining investors' interest in the Funds. During the review period, the Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that the Funds reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

240

Privacy Policy

Protecting the Privacy of Information

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

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

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

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

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

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

VPII-VICTORYSHARESETF-AR (6/21)

June 30, 2021

Annual Report

VictoryShares USAA Core Short-Term Bond ETF

VictoryShares USAA Core Intermediate-Term Bond ETF

vcm.com

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

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

•  Detailed performance records

•  Daily share prices

•  The latest fund news

•  Investment resources to help you become a better investor

•  A section dedicated to investment professionals

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

Victory Portfolios II

TABLE OF CONTENTS

Shareholder Letter (Unaudited)	3
Managers' Commentary / Investment Overview (Unaudited)	5
Investment Objective and Portfolio Holdings (Unaudited)	11
Schedules of Portfolio Investments
VictoryShares USAA Core Short-Term Bond ETF	13
VictoryShares USAA Core Intermediate-Term Bond ETF	25
Financial Statements
Statements of Assets and Liabilities	45
Statements of Operations	46
Statements of Changes in Net Assets	47
Financial Highlights	48
Notes to Financial Statements	50
Report of Independent Registered Public Accounting Firm	61
Supplemental Information (Unaudited)	62
Trustee and Officer Information	62
Proxy Voting and Portfolio Holdings Information	65
Expense Examples	65
Additional Federal Income Tax Information	66
Liquidity Risk Management Program	67
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 800-539-3863 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.

The Funds 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 Victory Funds.

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

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

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

Call Victory at:

800-539-FUND (800-539-3863)
Visit our website at:

www.vcm.com

2

Victory Funds Letter to Shareholders
(Unaudited)

Dear Shareholder,

Never a dull moment. A year ago, we were still coming to grips with a global pandemic, hoping for an effective vaccine, and wondering whether the U.S. Federal Reserve's (the "Fed") aggressive actions would continue to mollify financial markets. As it turns out, a vaccine was rolled out (domestically) faster than expectations, and a recovery that began during the second quarter of 2020 continued unabated.

Fast forward to today and investors are suddenly more concerned about labor shortages, rising commodity prices, and whether inflation will prove to be transitory or more lasting. If anything, this merely exemplifies that markets are unpredictable and the environment can and will change rapidly.

Reflecting on the past year, we must consider ourselves fortunate despite the myriad challenges. For starters, it was impressive how quickly the various forms of monetary and fiscal stimulus contributed to a rebound in GDP. Of course, it wasn't a straight line upward and there were bouts of elevated volatility in both bond and stock markets. Late in 2020, for example, financial markets were alternately fueled and roiled by a contentious election season, growing optimism for an effective vaccine, and a fluid debate regarding the need for even more stimulus. Ultimately, stocks were propelled higher in the fourth quarter of 2020 as it became clear Congress would provide another dose of stimulus in the form of direct payments, more unemployment insurance, and additional aid to businesses.

As we moved into 2021, stocks continued their upward trajectory. Meanwhile, the yield on the 10-Year U.S. Treasury continued rallying sharply as many investors began to shift their focus. Deflation was out; inflation was in. Indeed, the potential for a new era of inflation and higher interest rates seems to be the new worry du jour.

Through all the volatility and surprises, the S&P 500^® Index registered an impressive annual return of 40.79% for the 12-month period ended June 30, 2021. In fact, this broad market index ended the reporting period at an all-time high. Over this same period, the yield on the 10-Year U.S. Treasury jumped 79 basis points (a basis point is 1/100th of a percentage point), reflecting a very low starting rate, substantial fiscal stimulus, and the Fed's ongoing accommodative monetary policy. At the end of the reporting period, the yield on the 10-Year U.S. Treasury was 1.45%.

No doubt, the past year is not one we will forget any time soon. There were many hardships, but we should not overlook the positives and remember our collective spirit and perseverance. Markets endured and even surprised to the upside, but perhaps the key takeaway is that investors need to remain calm in the face of adversity and focused on longer-term investment goals. That's usually the best approach no matter what the markets throw at us.

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

3

From all of us here at Victory Capital, thank you for placing your confidence in us and for letting us help you work toward your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

4

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF

Manager's Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

"Unprecedented" is a word that has been used quite a bit over the last year or so. Never in the history of the United States (and most, if not all, of the world for that matter) has most of the country's economy been put into a self-imposed shutdown. The COVID-19 pandemic was the reason for this self-imposed shutdown, which led to unprecedented economic results. For example, at its nadir, U.S. employment shrank by almost 21 million people in one month alone. The pre-COVID-19 unemployment rate jumped from a very low 3.5% to a high of 14.8%, all in the matter of two months. Similarly, real gross domestic product ("GDP") saw a collapse of –31.4% in the second quarter of 2020. While these numbers are unprecedented, there was other human and economic damage that stemmed from the pandemic, including bankruptcies (both business and personal), deferred health care, and other human tragedies that are difficult, if not impossible, to measure.

Thankfully, the United States and the world are beginning to emerge from this tragedy. Most states have lifted their lockdowns, and life has begun returning to normal. The economy started adding jobs in May 2020, but still remains about 6 million jobs short of the jobs that were lost during the pandemic; however, we are seeing progress every month. Likewise, GDP jumped 33.4% in the third quarter of 2020 and has been relatively strong since. One result of returning to normal, however, has been a surge in the inflation numbers.

Higher inflation was a trigger that led to the recent increase in interest rates, causing the yield curve to steepen, especially in the one-year and longer part of the U.S. Treasury curve, as the market began pricing in increases in the short-term Fed Funds rate. The widely followed Consumer Price Index ("CPI") began showing the effects of the economy getting back to normal in March 2021, as CPI posted a 2.6% increase, and then 4.2%, 5%, and 5.40% in April through June 2021, respectively. While these rates are higher than they have recently been, this increase is likely transitory, as much of the increase has been in used car prices, gasoline, and rents, demand of which was suppressed during the pandemic. In fact, if we take the average monthly CPI from March 2020 through June 2021 (to account for lower CPI during the pandemic), the average is 1.89%, which is just over the 2019 average CPI of 1.81%.

Credit spreads spiked in March 2020 and hit their zenith at 373 basis points ("bps"), but decreased relatively quickly during the year. They are now lower than pre-pandemic spreads: the Bloomberg Barclays U.S. Aggregate Investment Grade Corporate option-adjusted spread was 93 bps at December 31, 2019, and ended June 2021 at 80 bps. By ratings, AAA, AA, A, and BBB spreads fell by 19, 43, 51, and 95 bps, respectively. High-yield spreads decreased by 359 bps. (Spreads generally are considered an indication of risk; the wider the spread, the greater the perceived risk.)

No doubt, the stimulus from the U.S. federal and state governments, in the form of direct payments to consumers and businesses (funded by unprecedented government borrowing), helped calm markets and allowed out-of-work employees to manage for a time without a paycheck. Likewise, the U.S. Federal Reserve (the "Fed") corporate bond buying programs and effectively zero short-term interest rates helped the credit markets stay open. Many corporations took advantage of cheap funding and borrowed heavily to have adequate cash to help survive the lockdowns.

5

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF (continued)

For its part, the Fed appears committed to an effectively zero Fed Funds rate for the near term, indicating no increases until 2023. Although U.S. Treasury rates have recently risen and the yield curve has steepened, rates remain below year end 2019 by about 150 bps at the short end of the curve, 45 bps for the 10 year, and by 30 bps at the long end.

How did VictoryShares USAA Core Short-Term Bond ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 3.48%, outperforming its benchmark, Bloomberg Barclays 1-3 Yr Credit Index (the "Index"), which returned 1.31% during the period.

What strategies did you employ during the year ended June 30, 2021?

The Fund earned a positive total return during the reporting period, driven primarily by coupon income and the decline in U.S. Treasury yields and credit spreads. Reflecting the portfolio's diversification, the Fund's results were spread among a variety of sectors. Within corporate bonds, the Fund benefited from investments in Airlines, Consumer Cyclical Services, Independent Exploration & Production, Aerospace & Defense, and Metals & Mining sectors. Certain other market segments weighed on relative performance, although they generally produced positive returns. These included Asset-Backed Securities, Pharmaceuticals, Lodging, Consumer Products, and Food & Beverage. In addition, the Fund's cash position was a drag on performance as bond prices rose during the reporting period. We continued to adhere to our disciplined investment approach, which is to maintain an attractive yield with an acceptable level of risk. From a credit risk perspective, our higher exposure to BBB and high yield bonds outperformed, while higher rated investment-grade bonds posted lower returns.

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

6

VictoryShares

VictoryShares USAA Core Short-Term Bond ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			Bloomberg Barclays 1-3 Yr Credit Index1
One Year		3.48	%		2.49	%		1.31	%
Since Inception		3.38	%		3.21	%		NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA Core Short-Term Bond ETF — Growth of $10,000

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

7

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF

Manager's Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

"Unprecedented" is a word that has been used quite a bit over the last year or so. Never in the history of the United States (and most, if not all, of the world for that matter) has most of the country's economy been put into a self-imposed shutdown. The COVID-19 pandemic was the reason for this self-imposed shutdown, which led to unprecedented economic results. For example, at its nadir, U.S. employment shrank by almost 21 million people in one month alone. The pre-COVID-19 unemployment rate jumped from a very low 3.5% to a high of 14.8%, all in the matter of two months. Similarly, real gross domestic product ("GDP") saw a collapse of –31.4% in the second quarter of 2020. While these numbers are unprecedented, there was other human and economic damage that stemmed from the pandemic, including bankruptcies (both business and personal), deferred health care, and other human tragedies that are difficult, if not impossible, to measure.

Thankfully, the United States and the world are beginning to emerge from this tragedy. Most states have lifted their lockdowns, and life has begun returning to normal. The economy started adding jobs in May 2020, but still remains about 6 million jobs short of the jobs that were lost during the pandemic; however, we are seeing progress every month. Likewise, GDP jumped 33.4% in the third quarter of 2020 and has been relatively strong since. One result of returning to normal, however, has been a surge in the inflation numbers.

Higher inflation was a trigger that led to the recent increase in interest rates, causing the yield curve to steepen, especially in the one-year and longer part of the U.S. Treasury curve, as the market began pricing in increases in the short-term Fed Funds rate. The widely followed Consumer Price Index ("CPI") began showing the effects of the economy getting back to normal in March 2021, as CPI posted a 2.6% increase, and then 4.2%, 5%, and 5.40% in April through June 2021, respectively. While these rates are higher than they have recently been, this increase is likely transitory, as much of the increase has been in used car prices, gasoline, and rents, demand of which was suppressed during the pandemic. In fact, if we take the average monthly CPI from March 2020 through June 2021 (to account for lower CPI during the pandemic), the average is 1.89%, which is just over the 2019 average CPI of 1.81%.

Credit spreads spiked in March 2020 and hit their zenith at 373 basis points ("bps"), but decreased relatively quickly during the year. They are now lower than pre-pandemic spreads: the Bloomberg Barclays U.S. Aggregate Investment Grade Corporate option-adjusted spread was 93 bps at December 31, 2019, and ended June 2021 at 80 bps. By ratings, AAA, AA, A, and BBB spreads fell by 19, 43, 51, and 95 bps, respectively. High-yield spreads decreased by 359 bps. (Spreads generally are considered an indication of risk; the wider the spread, the greater the perceived risk.)

No doubt, the stimulus from the U.S. federal and state governments, in the form of direct payments to consumers and businesses (funded by unprecedented government borrowing), helped calm markets and allowed out-of-work employees to manage for a time without a paycheck. Likewise, the U.S. Federal Reserve (the "Fed") corporate bond buying programs and effectively zero short-term interest rates helped the credit markets stay open. Many corporations took advantage of cheap funding and borrowed heavily to have adequate cash to help survive the lockdowns.

8

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF (continued)

For its part, the Fed appears committed to an effectively zero Fed Funds rate for the near term, indicating no increases until 2023. Although U.S. Treasury rates have recently risen and the yield curve has steepened, rates remain below year end 2019 by about 150 bps at the short end of the curve, 45 bps for the 10 year, and by 30 bps at the long end.

How did VictoryShares USAA Core Intermediate-Term Bond ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 2.55%, outperforming its benchmark, Bloomberg Barclays US Aggregate Bond Index (the "Index"), which returned –0.33% during the period.

What strategies did you employ during the year ended June 30, 2021?

The Fund outperformed the Index over the past year as asset allocation and security selection within the Fund contributed significantly to performance. Relative to the Index, the Fund was helped by its allocation to, and security selection within, corporate bonds. Within corporate bonds, the Fund benefited from investments in Banking, Insurance, Energy, Airlines, Auto, Aerospace & Defense and Manufacturing sectors. The Fund also benefited from investments in taxable municipal securities and asset-backed securities, many of which we purchased when the markets were disrupted due to COVID-19. An underweight in U.S. Treasury securities and Agency Residential Mortgage-Backed Securities also benefited performance as these asset types had negative overall returns during the reporting period unlike most other asset types within the fixed income index. The Fund's holdings of Agency CMBS and cash detracted from performance. We continued to adhere to our disciplined investment approach, which is to maintain an attractive yield with an acceptable level of risk. From a credit risk perspective, our higher exposure relative to the Index in A, BBB, and high yield bonds contributed most to performance.

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

9

VictoryShares

VictoryShares USAA Core Intermediate-Term Bond ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			Bloomberg Barclays US Aggregate Bond Index1
One Year		2.55	%		1.52	%		–0.33	%
Since Inception		4.83	%		4.64	%		NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA Core Intermediate-Term Bond ETF — Growth of $10,000

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

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

10

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks high current income consistent with preservation of principal.

Asset Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

11

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks high current income without undue risk to principal.

Asset Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

12

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments
June 30, 2021

Security Description	Principal Amount		Value
Asset-Backed Securities (12.5%)
AmeriCredit Automobile Receivables Trust, Series 2017-4, Class C, 2.60%, 9/18/23, Callable 5/18/22 @ 100	$	447,279	$	450,714
AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.01%, 1/19/27, Callable 4/18/25 @ 100		1,000,000		994,298
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 12/18/21 @ 100		820,000		830,804
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.18%, 7/18/23, Callable 3/18/22 @ 100		500,000		509,077
Bank of The West Auto Trust, Series 2018-1, Class C, 3.98%, 5/15/24, Callable 5/15/22 @ 100 (a)		400,000		411,770
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 2/15/22 @ 100 (a)		500,000		507,746
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 3/19/22 @ 100 (a)		500,000		510,970
CarMax Auto Owner Trust, Series 2020-4, Class A3, 0.50%, 8/15/25, Callable 3/15/24 @ 100		1,000,000		1,002,524
CarMax Auto Owner Trust, Series 2021-2, Class A3, 0.52%, 2/17/26, Callable 4/15/24 @ 100		2,000,000		2,003,532
CARS LP, Series 2020-1A, Class A1, 2.69%, 2/15/50, Callable 2/15/23 @ 100 (a)		599,581		619,838
Carvana Auto Receivables Trust, Series 2021-N1, Class A, 0.70%, 1/10/28, Callable 5/10/25 @ 100		1,588,057		1,589,140
Carvana Auto Receivables Trust, Series 2021-N1, Class C, 1.30%, 1/10/28, Callable 5/10/25 @ 100		1,500,000		1,512,701
CNH Equipment Trust, Series 2018-B, Class B, 3.56%, 2/17/26, Callable 1/15/23 @ 100		350,000		362,195
CNH Equipment Trust, Series 2017-B, Class B, 2.47%, 12/16/24, Callable 7/15/21 @ 100		500,000		500,385
Dell Equipment Finance Trust, Series 2020-2, Class D, 1.92%, 3/23/26, Callable 5/22/23 @ 100 (a)		1,000,000		1,017,963
Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, 7/15/25, Callable 12/15/24 @ 100		750,000		751,307
Drive Auto Receivables Trust, Series 2021-1, Class C, 1.02%, 6/15/27, Callable 12/15/24 @ 100		708,000		711,006
Drive Auto Receivables Trust, Series 2018-4, Class C, 3.66%, 11/15/24, Callable 9/15/22 @ 100		12,080		12,093
Drive Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26, Callable 2/15/23 @ 100		750,000		766,530
Evergreen Credit Card Trust, Series 2019-2, Class B, 2.27%, 9/15/24 (a)		750,000		765,028
Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.32%, 7/15/25, Callable 7/15/23 @ 100		472,000		475,310
Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.98%, 6/15/26, Callable 7/15/25 @ 100		1,500,000		1,502,692
Ford Credit Auto Owner Trust, Series 2018-B, Class A3, 3.24%, 4/15/23, Callable 8/15/22 @ 100		126,802		127,890
GLS Auto Receivables Issuer Trust, Series 2020-2A, Class B, 3.16%, 6/16/25, Callable 2/15/24 @ 100 (a)		1,250,000		1,296,490
GM Financial Automobile Leasing Trust, Series 2020-3, Class A4, 0.51%, 10/21/24, Callable 4/20/23 @ 100		1,000,000		1,003,121

See notes to financial statements.

13

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
GM Financial Automobile Leasing Trust, Series 2020-1, Class B, 1.84%, 12/20/23, Callable 7/20/22 @ 100	$	489,000	$	496,000
GM Financial Consumer Automobile Receivables Trust, Series 2018-3, Class A3, 3.02%, 5/16/23, Callable 5/16/22 @ 100		140,917		142,093
GreatAmerica Leasing Receivables Funding LLC, Series 2018-1, Class A4, 2.83%, 6/17/24, Callable 11/15/21 @ 100 (a)		236,659		238,102
Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.37%, 10/18/24, Callable 8/18/23 @ 100		1,000,000		1,001,154
Hyundai Auto Receivables Trust, Series 2020-C, Class A3, 0.38%, 5/15/25, Callable 11/15/24 @ 100		1,000,000		1,000,296
Kubota Credit Owner Trust, Series 2020-1A, Class A2, 1.92%, 12/15/22 (a)		453,915		455,708
Mercedes-Benz Auto Lease Trust, Series 2020-B, Class A3, 0.40%, 11/15/23, Callable 5/15/23 @ 100		1,000,000		1,001,669
MMAF Equipment Finance LLC, Series 2016-A, Class A4, 1.76%, 1/17/23 (a)		9,341		9,365
Nissan Auto Lease Trust 2020-B, Series 2020-B, Class A3, 0.43%, 10/16/23, Callable 5/15/23 @ 100		1,000,000		1,001,933
Nissan Auto Receivables Owner Trust, Series 2017-B, Class A4, 1.95%, 10/16/23, Callable 8/15/21 @ 100		241,477		242,018
PSNH Funding LLC, Series 2018-1, Class A1, 3.09%, 2/1/26		251,703		260,060
Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.01%, 1/15/26, Callable 8/15/23 @ 100		1,000,000		1,006,402
Santander Drive Auto Receivables Trust, Series 2021-2, Class B, 0.59%, 9/15/25, Callable 5/15/25 @ 100		1,000,000		1,001,501
Santander Drive Auto Receivables Trust, Series 2019-3, Class C, 2.49%, 10/15/25, Callable 1/15/23 @ 100		750,000		758,374
SCF Equipment Leasing LLC, Series 2020-1A, Class A3, 1.19%, 10/20/27, Callable 7/20/25 @ 100 (a)		1,500,000		1,508,042
SCF Equipment Leasing LLC, Series 2019-2A, Class A2, 2.47%, 4/20/26, Callable 12/20/24 @ 100 (a)		750,000		770,900
Synchrony Card Issuance Trust, Series 2018-A1, Class A, 3.38%, 9/15/24		370,000		372,400
Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.65%, 9/15/45, Callable 9/15/23 @ 100 (a)		1,000,000		1,001,699
Westlake Automobile Receivables Trust, Series 2019-2A, Class C, 2.84%, 7/15/24, Callable 1/15/23 @ 100 (a)		500,000		507,980
World Omni Select Auto Trust, Series 2020-A, Class A3, 0.55%, 7/15/25, Callable 3/15/23 @ 100		1,000,000		1,002,288
Total Asset-Backed Securities (Cost $33,849,395)				34,013,108
Collateralized Mortgage Obligations (1.4%)
BBCMS Mortgage Trust, Series 2020-BID, Class A, 2.21% (LIBOR01M+214bps), 10/15/37 (a) (b)		1,000,000		1,009,590
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class B, 4.38%, 1/10/36 (a)		500,000		538,627
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A5, 3.14%, 12/15/47, Callable 2/15/23 @ 100		979,433		1,013,552
Palmer Square Loan Funding Ltd., Series 2020-1A, Class A1, 0.96% (LIBOR03M+80bps), 2/20/28, Callable 8/20/21 @ 100 (a) (b)		334,204		334,203

See notes to financial statements.

14

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
WFRBS Commercial Mortgage Trust, Series 2011-C5, Class A4, 3.67%, 11/15/44, Callable 8/15/21 @ 100	$	559,668	$	560,172
WFRBS Commercial Mortgage Trust, Series 2012-C9, Class ASB, 2.45%, 11/15/45, Callable 7/15/22 @ 100		149,846		151,053
WFRBS Commercial Mortgage Trust, Series 2012-C7, Class AS, 4.09%, 6/15/45, Callable 6/15/22 @ 100 (c)		225,017		230,116
Total Collateralized Mortgage Obligations (Cost $3,801,960)				3,837,313
Senior Secured Loans (0.6%)
Clean Harbors, Inc., Loan, First Lien, 1.84% (LIBOR01M+175bps), 6/30/24 (b)		498,701		497,920
The Boeing Co., Advance, First Lien, 1.37% (LIBOR03M+125bps), 2/6/22 (b)		1,289,331		1,287,242
Total Senior Secured Loans (Cost $1,785,751)				1,785,162
Corporate Bonds (46.6%)
Communication Services (1.0%):
Qwest Corp., 6.75%, 12/1/21		1,000,000		1,024,910
Sprint Corp., 7.25%, 9/15/21		1,500,000		1,518,750
Sprint Spectrum, 3.36%, 3/20/23 (a)		90,625		91,113
				2,634,773
Consumer Discretionary (8.7%):
Association of American Medical Colleges, 2.12%, 10/1/24		750,000		760,979
Expedia Group, Inc., 6.25%, 5/1/25, Callable 2/1/25 @ 100 (a)		1,000,000		1,163,290
Genting New York LLC/GENNY Capital, Inc., 3.30%, 2/15/26, Callable 1/15/26 @ 100 (a)		500,000		504,935
Howard University 2.64%, 10/1/21		500,000		502,700
2.74%, 10/1/22		500,000		513,440
Hyatt Hotels Corp., 5.38%, 8/15/21, Callable 8/2/21 @ 100		1,456,000		1,460,353
KB Home, 7.00%, 12/15/21, Callable 9/15/21 @ 100		1,000,000		1,009,770
Lennar Corp., 5.38%, 10/1/22		500,000		528,545
LGI Homes, Inc., 6.88%, 7/15/26, Callable 7/15/21 @ 103.44 (a) (d)		1,000,000		1,036,010
Lithia Motors, Inc., 5.25%, 8/1/25, Callable 8/1/21 @ 102.63 (a)		1,400,000		1,440,278
M/I Homes, Inc., 5.63%, 8/1/25, Callable 7/23/21 @ 104.22		1,448,000		1,492,309
Macy's Retail Holdings LLC, 2.88%, 2/15/23, Callable 11/15/22 @ 100		750,000		756,060
Marriott International, Inc., 2.30%, 1/15/22, Callable 12/15/21 @ 100		1,000,000		1,006,780
MDC Holdings, Inc., 5.50%, 1/15/24, Callable 10/15/23 @ 100		426,000		466,555
Murphy Oil USA, Inc., 5.63%, 5/1/27, Callable 5/1/22 @ 102.81		1,500,000		1,585,860
Nordstrom, Inc., 2.30%, 4/8/24, Callable 4/8/22 @ 100 (a)		1,500,000		1,503,825
QVC, Inc., 4.38%, 3/15/23		667,000		702,998
Sodexo, Inc., 1.63%, 4/16/26, Callable 3/16/26 @ 100 (a)		2,000,000		2,014,160
Toll Brothers Finance Corp., 5.88%, 2/15/22, Callable 11/15/21 @ 100		2,154,000		2,199,479
Travel + Leisure Co., 4.25%, 3/1/22, Callable 12/1/21 @ 100		1,278,000		1,292,377
ZF North America Capital, Inc., 4.50%, 4/29/22 (a)		1,750,000		1,798,265
				23,738,968
Consumer Staples (1.8%):
Central Garden & Pet Co., 5.13%, 2/1/28, Callable 1/1/23 @ 102.56		1,000,000		1,058,930
Hormel Foods Corp., 0.65%, 6/3/24, Callable 6/3/22 @ 100		1,500,000		1,502,880

See notes to financial statements.

15

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
Lamb Weston Holdings, Inc., 4.63%, 11/1/24, Callable 11/1/21 @ 102.31 (a)	$	1,500,000	$	1,551,480
Smithfield Foods, Inc., 2.65%, 10/3/21, Callable 9/3/21 @ 100 (a)		920,000		923,183
				5,036,473
Energy (9.3%):
Apache Corp., 3.25%, 4/15/22, Callable 1/15/22 @ 100		1,250,000		1,261,675
Continental Resources, Inc. 4.50%, 4/15/23, Callable 1/15/23 @ 100		1,230,000		1,282,816
3.80%, 6/1/24, Callable 3/1/24 @ 100		381,000		402,911
Diamondback Energy, Inc. 0.90%, 3/24/23, Callable 9/24/21 @ 100		1,000,000		1,000,220
5.38%, 5/31/25, Callable 8/9/21 @ 102.69		1,147,000		1,181,743
Energy Transfer LP, 4.90%, 2/1/24, Callable 11/1/23 @ 100		500,000		543,635
Energy Transfer Operating LP, 5.20%, 2/1/22, Callable 11/1/21 @ 100		1,000,000		1,015,390
EQM Midstream Partners LP 4.75%, 7/15/23, Callable 6/15/23 @ 100		135,000		140,943
4.00%, 8/1/24, Callable 5/1/24 @ 100		865,000		886,703
Gray Oak Pipeline LLC, 2.00%, 9/15/23 (a)		833,000		850,002
Hess Corp., 3.50%, 7/15/24, Callable 4/15/24 @ 100		1,000,000		1,062,210
HollyFrontier Corp., 2.63%, 10/1/23		1,000,000		1,034,810
Marathon Petroleum Corp., 4.50%, 5/1/23, Callable 4/1/23 @ 100		1,000,000		1,066,830
Midwest Connector Capital Co. LLC, 3.63%, 4/1/22, Callable 3/1/22 @ 100 (a)		1,500,000		1,524,450
MPLX LP, 3.50%, 12/1/22, Callable 11/1/22 @ 100		271,000		281,545
Murphy Oil Corp., 6.88%, 8/15/24, Callable 8/9/21 @ 103.44		1,265,000		1,293,943
Occidental Petroleum Corp. 2.70%, 8/15/22		750,000		764,842
2.90%, 8/15/24, Callable 7/15/24 @ 100		687,000		702,478
Ovintiv Exploration, Inc., 5.63%, 7/1/24		1,000,000		1,112,920
Parsley Energy LLC/Parsley Finance Corp., 4.13%, 2/15/28, Callable 2/15/23 @ 102.06 (a)		1,000,000		1,052,380
PDC Energy, Inc., 1.13%, 9/15/21 (d)		1,000,000		996,700
Phillips 66, 0.90%, 2/15/24, Callable 11/19/21 @ 100		462,000		462,462
Range Resources Corp., 5.88%, 7/1/22, Callable 4/1/22 @ 100		540,000		552,771
Southwestern Energy Co., 4.10%, 3/15/22, Callable 12/15/21 @ 100		1,500,000		1,514,235
USX Corp., 8.13%, 7/15/23		400,000		451,028
Valero Energy Corp. 2.70%, 4/15/23		698,000		723,777
1.20%, 3/15/24		500,000		504,045
Western Midstream Operating LP 2.29% (LIBOR03M+185bps), 1/13/23 (b)		500,000		499,265
4.35%, 2/1/25, Callable 1/1/25 @ 100		632,000		667,752
WPX Energy, Inc., 8.25%, 8/1/23, Callable 6/1/23 @ 100		500,000		570,620
				25,405,101
Financials (11.1%):
Alexander Funding Trust, 1.84%, 11/15/23 (a)		1,800,000		1,831,554
Ares Capital Corp., 3.25%, 7/15/25, Callable 6/15/25 @ 100		750,000		789,150
Associated Bank NA, 3.50%, 8/13/21, Callable 7/13/21 @ 100		500,000		500,480
Athene Global Funding 2.80%, 5/26/23 (a)		750,000		781,245
1.20%, 10/13/23 (a)		500,000		505,640

See notes to financial statements.

16

Victory Portfolios II
VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (b)	$	500,000	$	522,995
CIT Group, Inc., 5.00%, 8/15/22		1,740,000		1,817,830
Citigroup, Inc., 3.14% (LIBOR03M+72bps), 1/24/23, Callable 1/24/22 @ 100 (b)		400,000		406,024
Colfax Corp., 6.38%, 2/15/26, Callable 2/15/22 @ 103.19 (a)		1,500,000		1,585,905
DAE Funding LLC 5.25%, 11/15/21, Callable 10/15/21 @ 100 (a)		1,000,000		1,013,380
4.50%, 8/1/22, Callable 8/1/21 @ 100 (a)		500,000		501,580
1.55%, 8/1/24, Callable 7/1/24 @ 100 (a)		250,000		249,420
First Citizens BancShares, Inc., 3.38% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,018,170
FNB Corp., 2.20%, 2/24/23, Callable 1/24/23 @ 100		876,000		889,867
Ford Motor Credit Co. LLC, 3.38%, 11/13/25, Callable 10/13/25 @ 100		1,000,000		1,036,960
Fulton Financial Corp., 3.25% (SOFR+230bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,007,050
GA Global Funding Trust, 1.63%, 1/15/26 (a)		500,000		506,040
Infinity Property & Casualty Corp., 5.00%, 9/19/22		500,000		524,410
Main Street Capital Corp. 5.20%, 5/1/24		500,000		544,255
3.00%, 7/14/26, Callable 6/14/26 @ 100		500,000		513,520
Morgan Stanley, 0.79% (SOFR+53bps), 5/30/25, Callable 5/30/24 @ 100 (b)		2,000,000		1,992,100
ProAssurance Corp., 5.30%, 11/15/23		1,000,000		1,077,480
Protective Life Global Funding, 3.10%, 4/15/24 (a)		500,000		530,910
Reliance Standard Life Global Funding II, 2.75%, 5/7/25 (a)		750,000		789,172
Santander Holdings USA, Inc., 3.40%, 1/18/23, Callable 12/18/22 @ 100		250,000		260,175
SCE Recovery Funding LLC, 0.86%, 11/15/31		2,000,000		1,949,620
SLM Corp., 5.13%, 4/5/22, Callable 3/5/22 @ 100		1,130,000		1,158,024
Synovus Bank, 2.29% (SOFR+95bps), 2/10/23, Callable 2/10/22 @ 100 (b)		608,000		612,755
TCF National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (b)		750,000		772,582
Texas Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (b)		1,000,000		1,039,670
The Prudential Insurance Co. of America, 8.30%, 7/1/25 (a)		1,000,000		1,254,710
TIAA FSB Holdings, Inc., 4.82% (LIBOR03M+470bps), 3/15/26, Callable 8/9/21 @ 100 (b)		750,000		761,325
UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (b)		750,000		769,868
WEA Finance LLC, 3.15%, 4/5/22, Callable 3/5/22 @ 100 (a)		700,000		710,339
				30,224,205
Health Care (2.0%):
Astrazeneca Finance LLC, 0.70%, 5/28/24, Callable 5/28/22 @ 100		1,000,000		998,860
Centene Corp., 5.38%, 6/1/26, Callable 7/23/21 @ 104.03 (a)		758,000		792,095
Fresenius Medical Care US Finance III, Inc., 1.88%, 12/1/26, Callable 11/1/26 @ 100 (a)		1,000,000		1,001,210
Hikma Finance USA LLC, 3.25%, 7/9/25		1,000,000		1,041,830
Laboratory Corp. of America Holdings, 1.55%, 6/1/26, Callable 5/1/26 @ 100		1,000,000		1,000,080
SSM Health Care Corp., 3.69%, 6/1/23, Callable 3/1/23 @ 100		500,000		525,510
				5,359,585

See notes to financial statements.

17

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VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
Industrials (5.2%):
Air Lease Corp., 2.25%, 1/15/23	$	250,000	$	256,522
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100		500,000		542,715
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 4/20/26 (a)		1,000,000		1,061,640
Ashtead Capital, Inc., 4.38%, 8/15/27, Callable 8/15/22 @ 102.19 (a)		1,000,000		1,048,330
Aviation Capital Group LLC 2.88%, 1/20/22, Callable 12/20/21 @ 100 (a)		500,000		505,125
5.50%, 12/15/24, Callable 11/15/24 @ 100 (a)		1,000,000		1,131,340
Continental Airlines Pass Through Trust 5.98%, 10/19/23		204,564		208,846
4.15%, 10/11/25		606,250		643,838
Delta Air Lines Pass Through Trust, 2.00%, 12/10/29		940,206		948,621
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, 10/20/25 (a)		1,370,000		1,474,915
Hillenbrand, Inc., 5.75%, 6/15/25, Callable 6/15/22 @ 102.88		1,000,000		1,072,800
Howmet Aerospace, Inc., 6.88%, 5/1/25, Callable 4/1/25 @ 100		1,000,000		1,164,140
Penske Truck Leasing Co. LP/PTL Finance Corp., 1.70%, 6/15/26, Callable 5/15/26 @ 100 (a)		1,000,000		1,006,930
Southwest Airlines Co., 5.25%, 5/4/25, Callable 4/4/25 @ 100		750,000		856,725
The ADT Security Corp., 3.50%, 7/15/22		1,000,000		1,020,060
The Nature Conservancy, 0.63%, 7/1/24		650,000		648,414
United Airlines Pass Through Trust, 4.88%, 7/15/27		332,882		353,031
US Airways Pass Through Trust, 3.95%, 5/15/27		352,284		353,249
				14,297,241
Information Technology (0.4%):
Skyworks Solutions, Inc., 0.90%, 6/1/23, Callable 6/1/22 @ 100		1,000,000		1,002,590
Materials (1.6%):
Ball Corp., 5.00%, 3/15/22		1,126,000		1,157,551
Commercial Metals Co., 4.88%, 5/15/23, Callable 2/15/23 @ 100		1,625,000		1,717,576
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		400,000		423,712
Sealed Air Corp., 5.25%, 4/1/23, Callable 1/1/23 @ 100 (a)		1,000,000		1,057,970
				4,356,809
Real Estate (2.8%):
Host Hotels & Resorts LP, 4.50%, 2/1/26, Callable 11/1/25 @ 100		1,044,000		1,146,458
Lexington Realty Trust, 4.25%, 6/15/23, Callable 3/15/23 @ 100		1,000,000		1,057,440
MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27, Callable 10/15/22 @ 102.5		1,500,000		1,590,585
Office Properties Income Trust, 4.00%, 7/15/22, Callable 6/15/22 @ 100		1,000,000		1,032,500
Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100		206,000		219,695
SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100 (a)		750,000		782,002
VICI Properties LP/VICI Note Co., Inc., 3.50%, 2/15/25, Callable 2/15/22 @ 101.75 (a)		364,000		372,969
Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100		1,500,000		1,521,585
				7,723,234
Utilities (2.7%):
Calpine Corp., 5.25%, 6/1/26, Callable 8/9/21 @ 102.63 (a)		1,624,000		1,670,381
CenterPoint Energy Resources Corp., 0.70%, 3/2/23, Callable 9/2/21 @ 100		1,000,000		1,000,060
Dominion Energy, Inc., 2.72%, 8/15/21 (e)		500,000		501,425
NextEra Energy Capital Holdings, Inc., 0.65%, 3/1/23		1,000,000		1,003,460

See notes to financial statements.

18

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VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
NRG Energy, Inc., 7.25%, 5/15/26, Callable 7/23/21 @ 103.63	$	955,000	$	992,035
Oklahoma Gas & Electric Co., 0.55%, 5/26/23, Callable 11/26/21 @ 100		1,000,000		1,000,170
Public Service Electric & Gas Co., 3.25%, 9/1/23, MTN, Callable 8/1/23 @ 100		500,000		529,015
Sierra Pacific Power Co., 3.38%, 8/15/23, Callable 5/15/23 @ 100		500,000		526,710
				7,223,256
Total Corporate Bonds (Cost $125,155,223)				127,002,235
Yankee Dollars (11.3%)
Communication Services (1.5%):
Bharti Airtel International Netherlands BV, 5.35%, 5/20/24 (a)		1,000,000		1,100,710
Pearson Funding Four PLC, 3.75%, 5/8/22 (a)		750,000		761,715
Videotron Ltd., 5.00%, 7/15/22		2,041,000		2,122,905
				3,985,330
Consumer Discretionary (1.3%):
BC ULC/New Red Finance, Inc., 4.25%, 5/15/24, Callable 7/15/21 @ 101.06 (a)		1,320,000		1,334,929
Nissan Motor Co. Ltd., 3.04%, 9/15/23 (a)		1,000,000		1,043,010
Stellantis NV, 5.25%, 4/15/23		1,000,000		1,078,250
				3,456,189
Consumer Staples (0.4%):
Imperial Brands Finance PLC, 3.13%, 7/26/24, Callable 6/26/24 @ 100 (a)		948,000		997,761
Energy (1.8%):
BG Energy Capital PLC, 4.00%, 10/15/21 (a)		650,000		656,773
Cenovus Energy, Inc., 3.00%, 8/15/22, Callable 5/15/22 @ 100		1,000,000		1,020,610
Galaxy Pipeline Assets Bidco Ltd., 1.75%, 9/30/27 (a)		500,000		504,990
Harvest Operations Corp., 1.00%, 4/26/24, Callable 4/26/22 @ 100 (a)		714,000		714,386
Petroleos Mexicanos, 3.77% (LIBOR03M+365bps), 3/11/22 (b)		500,000		505,685
Suncor Energy Ventures Corp., 4.50%, 4/1/22 (a)		1,597,000		1,630,521
				5,032,965
Financials (1.9%):
BAT International Finance PLC, 1.67%, 3/25/26, Callable 2/25/26 @ 100		1,000,000		1,001,240
BBVA Bancomer SA, 6.75%, 9/30/22 (a)		1,000,000		1,061,500
Element Fleet Management Corp., 1.60%, 4/6/24, Callable 3/6/24 @ 100 (a)		400,000		406,532
Ontario Teachers' Finance Trust, 0.38%, 9/29/23 (a)		1,000,000		998,200
SA Global Sukuk Ltd., 0.95%, 6/17/24, Callable 5/17/24 @ 100 (a) (d)		416,000		415,809
Santander UK Group Holdings PLC, 3.37%, 1/5/24, Callable 1/5/23 @ 100		250,000		260,207
VEON Holdings BV, 5.95%, 2/13/23		1,000,000		1,062,500
				5,205,988
Industrials (2.0%):
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.15%, 2/15/24, Callable 1/15/24 @ 100		1,000,000		1,048,400
Air Canada Pass Through Trust 5.00%, 6/15/25 (a)		266,666		269,946
4.13%, 11/15/26 (a)		964,723		990,964
Avolon Holdings Funding Ltd., 2.13%, 2/21/26, Callable 1/21/26 @ 100 (a)		750,000		743,453

See notes to financial statements.

19

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VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
CK Hutchison International Ltd., 2.75%, 3/29/23 (a)	$	750,000	$	777,757
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		725,000		726,080
The Weir Group PLC, 2.20%, 5/13/26, Callable 4/13/26 @ 100 (a)		1,000,000		1,002,840
				5,559,440
Information Technology (1.5%):
Open Text Corp., 5.88%, 6/1/26, Callable 8/9/21 @ 102.94 (a)		1,000,000		1,034,840
Telefonaktiebolaget LM Ericsson, 4.13%, 5/15/22		2,000,000		2,057,560
TSMC Global Ltd., 0.75%, 9/28/25, Callable 8/28/25 @ 100 (a)		1,000,000		979,560
				4,071,960
Sovereign Bond (0.4%):
Province of Alberta Canada, 3.35%, 11/1/23		1,000,000		1,066,890
Utilities (0.5%):
TransAlta Corp., 4.50%, 11/15/22, Callable 8/15/22 @ 100		1,300,000		1,347,151
Total Yankee Dollars (Cost $30,492,344)				30,723,674
Municipal Bonds (20.2%)
Alabama (0.4%):
City of Birmingham, GO, 0.86%, 3/1/24		1,015,000		1,020,846
California (1.9%):
California Statewide Communities Development Authority Revenue, 2.15%, 11/15/30, Continuously Callable @100		1,240,000		1,237,123
California Statewide Communities Development Authority Revenue (NBGA — California Health Insurance Construction Loan Insurance Program), 2.05%, 8/1/30		1,660,000		1,658,440
Chino Public Financing Authority Special Tax, Series A, 0.55%, 9/1/21		400,000		400,104
City of El Cajon Revenue, Series A, 0.65%, 4/1/23		650,000		651,852
City of Gardena Revenue, 1.30%, 4/1/23		565,000		565,848
Placentia Public Financing Authority Revenue Series A, 1.72%, 6/1/22		200,000		199,524
Series A, 1.93%, 6/1/23		300,000		298,953
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 2.63%, 8/1/22		250,000		256,082
				5,267,926
Colorado (2.4%):
City & County of Denver Co. Airport System Revenue Series C, 0.88%, 11/15/23		500,000		503,395
Series C, 1.12%, 11/15/24		500,000		504,950
City of Loveland Electric & Communications Enterprise Revenue, 2.85%, 12/1/23		600,000		628,284
Colorado Health Facilities Authority Revenue 2.80%, 12/1/26		500,000		508,160
Series B, 2.24%, 11/1/22		750,000		766,613
County of El Paso Co. Revenue, Series B, 1.05%, 6/1/24		1,230,000		1,237,847
Denver City & County Housing Authorit Revenue, 1.33%, 6/1/24, Continuously Callable @100		750,000		751,590

See notes to financial statements.

20

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June 30, 2021

Security Description	Principal Amount		Value
Denver City & County Housing Authority Revenue, 2.15%, 12/1/24	$	750,000	$	778,875
Park Creek Metropolitan District Revenue, Series B, 2.43%, 12/1/23		700,000		724,451
				6,404,165
Florida (0.4%):
Hillsborough County IDA Revenue, 2.16%, 8/1/25		1,250,000		1,219,400
Guam (0.4%):
Territory of Guam Revenue, Series E, 3.25%, 11/15/26		1,000,000		1,019,540
Hawaii (0.7%):
State of Hawaii Airports System Revenue Series B, 0.90%, 7/1/23		300,000		299,985
Series E, 1.39%, 7/1/25		1,500,000		1,514,565
				1,814,550
Illinois (0.1%):
Chicago O'Hare International Airport Revenue, Series D, 0.96%, 1/1/23		165,000		166,228
Indiana (0.4%):
Indiana Finance Authority Revenue, 2.48%, 3/1/24		1,000,000		1,033,160
Kentucky (0.4%):
County of Warren Revenue, Series B, 0.92%, 4/1/25		1,200,000		1,197,960
Maine (0.2%):
Maine State Housing Authority Revenue, Series H, 1.70%, 11/15/26		600,000		601,548
Maryland (0.2%):
County of Howard, GO, Series C, 1.34%, 8/15/23		500,000		510,390
Michigan (1.1%):
Ecorse Public School District, GO, 2.00%, 5/1/24		750,000		778,042
Michigan Finance Authority Revenue 2.21%, 12/1/23		185,000		191,747
2.31%, 12/1/24		105,000		109,846
2.37%, 9/1/49, (Put Date 9/1/23) (f)		446,000		460,143
Series A-1, 2.33%, 6/1/30		764,072		766,579
Ypsilanti School District, GO, 1.89%, 5/1/24		510,000		514,259
				2,820,616
Mississippi (0.1%):
Medical Center Educational Building Corp. Revenue, 0.67%, 6/1/23		280,000		280,904
Missouri (0.5%):
Missouri State Environmental Improvement & Energy Resources Authority Revenue, Series B, 0.70%, 1/1/24		1,495,000		1,498,214
Nebraska (0.3%):
Papio-Missouri River Natural Resource District Special Tax, 2.09%, 12/15/24, Continuously Callable @100		670,000		687,353
Nevada (0.7%):
State of Nevada Department of Business & Industry Revenue, Series A, 0.50%, 1/1/50, (Put Date 7/1/21) (a) (f)		2,000,000		2,000,000
New Jersey (1.5%):
Essex County Improvement Authority Revenue, Series B, 1.96%, 8/1/22 (a)		350,000		346,626
New Jersey Educational Facilities Authority Revenue, 2.47%, 9/1/21		300,000		300,897

See notes to financial statements.

21

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VictoryShares USAA Core Short-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
South Jersey Transportation Authority Revenue Series B, 2.10%, 11/1/24	$	750,000	$	745,718
Series B, 2.20%, 11/1/25		750,000		742,283
South Jersey Transportation Authority System Revenue, Series B, 3.02%, 11/1/25		425,000		434,949
Township of Weehawken, GO, 1.10%, 12/30/21		1,501,000		1,506,223
				4,076,696
New York (0.6%):
County of Suffolk, GO, Series C, 1.05%, 6/15/23		1,250,000		1,253,538
Madison County Capital Resource Corp. Revenue, 2.18%, 7/1/23		500,000		518,190
				1,771,728
Ohio (0.1%):
Hamilton County Health Care Facilities Revenue, 2.37%, 6/1/22		325,000		328,549
Oklahoma (0.6%):
Oklahoma Turnpike Authority Revenue Series B, 0.49%, 1/1/22		750,000		750,743
Series B, 0.63%, 1/1/23		560,000		561,882
The University of Oklahoma Revenue, Series B, 0.93%, 7/1/24		350,000		350,591
				1,663,216
Pennsylvania (0.4%):
School District of Scranton, GO (INS — Build America Mutual Assurance Co.), 2.46%, 4/1/22		500,000		506,350
State Public School Building Authority Revenue, 2.75%, 4/1/25		500,000		526,680
				1,033,030
Rhode Island (0.6%):
Providence Redevelopment Agency Revenue, Series A, 2.50%, 3/15/26		1,000,000		998,000
Rhode Island Commerce Corp. Revenue, 2.86%, 5/1/24		500,000		530,215
				1,528,215
South Carolina (0.2%):
Charleston Educational Excellence Finance Corp. Revenue, 0.65%, 12/1/23		600,000		602,094
Tennessee (0.2%):
Metropolitan Government Nashville & Davidson County Sports Authority Revenue, 1.03%, 8/1/24		600,000		602,784
Texas (3.8%):
Aledo Independent School District, GO (NBGA — Texas Permanent School Fund), 0.63%, 2/15/24		250,000		245,883
Boerne School District, GO 0.64%, 2/1/24		400,000		400,960
0.79%, 2/1/25		250,000		250,267
Central Texas Turnpike System Revenue, Series B, 1.98%, 8/15/42, (Put Date 8/15/22) (f)		1,000,000		1,017,010
City of Houston, GO, 2.77%, 3/1/22		150,000		152,490
Clear Creek Independent School District, GO, Series B, 5.00%, 2/15/24		1,000,000		1,106,410
Denton Independent School District, GO, Series A, 0.64%, 8/15/24		500,000		490,060
Harris County Cultural Education Facilities Finance Corp. Revenue 1.59%, 11/15/23		675,000		684,349

See notes to financial statements.

22

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June 30, 2021

Security Description	Shares or Principal Amount		Value
1.84%, 11/15/24	$	500,000	$	509,225
Series B, 2.30%, 5/15/24		600,000		623,754
Lubbock Texas Water & Wastewater System Revenue, Series B, 1.93%, 2/15/24		750,000		776,010
Marshall Independent School District, GO (NBGA — Texas Permanent School Fund), 0.64%, 2/15/24		1,000,000		983,420
State of Texas, GO, 3.11%, 10/1/23		500,000		529,545
Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.07%, 9/1/23		525,000		526,491
1.36%, 9/1/24		700,000		703,878
Texas A&M University Revenue, Series A, 2.95%, 5/15/23		500,000		523,800
White Settlement Independent School District, GO (NBGA — Texas Permanent School Fund), Series A, 0.98%, 8/15/25		920,000		883,632
				10,407,184
Virginia (1.2%):
County of Arlington, GO, Series B, 0.64%, 8/1/24		2,000,000		2,005,780	��
Virginia Small Business Financing Authority Revenue, 2.25%, 7/1/50, (Put Date 12/29/22) (a) (f)		1,250,000		1,250,538
				3,256,318
Washington (0.2%):
Washington State University Revenue, Series A, 0.86%, 10/1/23		480,000		482,174
West Virginia (0.6%):
Tobacco Settlement Finance Authority Revenue, Series A, 1.19%, 6/1/23		1,500,000		1,512,225
Total Municipal Bonds (Cost $54,270,438)				54,807,013
Commercial Papers (6.6%)
Alliant Energy Corp., 0.12%, 7/1/21 (a) (g)		2,700,000		2,699,991
Cabot Corp., 0.14%, 7/19/21 (a) (g)		2,700,000		2,699,799
Canadian Natural Resources Ltd., 0.14%, 7/12/21 (a) (g)		2,700,000		2,699,877
Jabil, Inc., 0.51%, 7/16/21 (a) (g)		2,700,000		2,699,387
Nissan Motor Acceptance Corp., 0.44%, 7/13/21 (a) (g)		1,700,000		1,699,731
Southern Co. Gas Capital Corp., 0.13%, 7/2/21 (a) (g)		2,700,000		2,699,981
Walgreens Boots Alliance, Inc., 0.16%, 7/1/21 (a) (g)		2,700,000		2,699,988
Total Commercial Papers (Cost $17,898,828)				17,898,754
Collateral for Securities Loaned^ (0.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (h)		14,744		14,744
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (h)		399,355		399,355
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (h)		7,358		7,358
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (h)		58,668		58,668
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (h)		263,785		263,785
Total Collateral for Securities Loaned (Cost $743,910)				743,910
Total Investments (Cost $267,997,849) — 99.5%				270,811,169
Other assets in excess of liabilities — 0.5%				1,484,736
NET ASSETS — 100.00%			$	272,295,905

See notes to financial statements.

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June 30, 2021

^  Purchased with cash collateral from securities on loan.

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $88,770,388 and amounted to 32.6% of net assets.

(b)  Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2021.

(c)  The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2021.

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

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

(f)  Put Bond.

(g)  Rate represents the effective yield at June 30, 2021.

(h)  Rate disclosed is the daily yield on June 30, 2021.

bps — Basis points

GO — General Obligation

H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2021.

IDA — Industrial Development Authority

LIBOR — London InterBank Offered Rate

LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2021, based on the last reset date of the security

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2021, 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

ULC — Unlimited Liability Co.

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

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

  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.

24

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June 30, 2021

Security Description	Principal Amount		Value
Asset-Backed Securities (8.2%)
American Express Credit Account Master Trust, Series 2019-2, Class B, 2.86%, 11/15/24	$	2,076,000	$	2,117,254
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class D, 3.42%, 4/18/23, Callable 12/18/21 @ 100		1,000,000		1,013,176
ARI Fleet Lease Trust, Series 2020-A, Class A3, 1.80%, 8/15/28, Callable 3/15/23 @ 100 (a)		900,000		918,127
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		532,260
Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class B, 3.36%, 11/20/22, Callable 12/20/21 @ 100 (a)		1,041,667		1,047,597
Bank of The West Auto Trust, Series 2019-1, Class C, 2.90%, 4/15/25, Callable 3/15/23 @ 100 (a)		1,062,000		1,101,149
Bank of The West Auto Trust, Series 2017-1, Class C, 2.96%, 2/15/24, Callable 2/15/22 @ 100 (a)		500,000		507,746
BCC Funding Corp. XVI LLC, Series 2019-1A, Class A2, 2.46%, 8/20/24, Callable 6/20/23 @ 100 (a)		496,598		501,562
BCC Funding XVII LLC, Series 2020-1, Class A2, 0.91%, 8/20/25, Callable 7/20/24 @ 100 (a)		1,250,000		1,252,747
California Republic Auto Receivables Trust, Series 2017-1, Class B, 2.91%, 12/15/22, Callable 7/15/21 @ 100		677,307		677,864
Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class A4, 1.89%, 3/19/25, Callable 5/19/23 @ 100 (a)		433,000		443,190
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class B, 3.63%, 1/19/24, Callable 3/19/22 @ 100 (a)		500,000		510,970
CARDS II Trust, Series 2021-1A, Class A, 0.60%, 4/15/27 (a)		2,300,000		2,293,242
CarMax Auto Owner Trust, Series 2021-2, Class B, 1.03%, 12/15/26, Callable 4/15/24 @ 100		2,000,000		1,998,266
CarMax Auto Owner Trust, Series 2020-1, Class B, 2.21%, 9/15/25, Callable 10/15/23 @ 100		1,275,000		1,316,775
CarNow Auto Receivables Trust, Series 2021-1A, Class A, 0.97%, 10/15/24, Callable 4/15/24 @ 100 (a)		899,146		900,889
Carvana Auto Receivables Trust, Series 2021-P2, Class B, 1.27%, 3/10/27, Callable 10/10/26 @ 100		1,500,000		1,494,344
CF Hippolyta LLC, Series 2021-1A, Class A1, 1.53%, 3/15/61, Callable 3/15/24 @ 100 (a)		1,500,000		1,510,019
Chesapeake Funding II LLC, Series 2019-1A, Class A1, 2.94%, 4/15/31, Callable 6/15/22 @ 100 (a)		1,702,424		1,717,294
Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.39%, 4/16/29, Callable 1/15/24 @ 100 (a)		823,000		846,343
Credit Acceptance Auto Loan Trust, Series 2021-2A, Class B, 1.26%, 4/15/30, Callable 12/15/24 @ 100 (a)		1,038,000		1,030,838
Crossroads Asset Trust, Series 2021-A, Class A2, 0.82%, 3/20/24 (a)		723,000		725,260
Dell Equipment Finance Trust, Series 2020-1, Class A3, 2.24%, 2/22/23, Callable 9/22/22 @ 100 (a)		687,500		699,408
Diamond Infrastructure Funding LLC, Series 2021-1A, Class A, 1.76%, 4/15/49 (a)		1,000,000		995,051
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class B, 0.98%, 12/11/34 (a)		1,327,000		1,328,702

See notes to financial statements.

25

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June 30, 2021

Security Description	Principal Amount		Value
Drive Auto Receivables Trust, Series 2021-1, Class B, 0.65%, 7/15/25, Callable 12/15/24 @ 100	$	1,500,000	$	1,502,615
DT Auto Owner Trust, Series 2018-2A, Class D, 4.15%, 3/15/24, Callable 7/15/22 @ 100 (a)		1,668,018		1,697,199
Encina Equipment Finance LLC, Series 2021-1A, Class B, 1.21%, 2/15/27, Callable 4/15/24 @ 100 (a)		1,187,000		1,188,623
Encina Equipment Finance LLC, Series 2021-1A, Class A2, 0.74%, 12/15/26, Callable 4/15/24 @ 100 (a)		877,000		876,276
Enterprise Fleet Financing LLC, Series 2020-1, Class A3, 1.86%, 12/22/25 (a)		820,000		844,684
Exeter Automobile Receivables Trust, Series 2019-1A, Class C, 3.82%, 12/16/24, Callable 1/15/23 @ 100 (a)		492,192		495,447
Exeter Automobile Receivables Trust, Series 2017-3A, Class D, 5.28%, 10/15/24, Callable 5/15/22 @ 100 (a)		500,000		514,148
Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.26%, 4/15/24, Callable 7/15/23 @ 100 (a)		500,491		502,973
ExteNet LLC, Series 2019-1A, Class A2, 3.20%, 7/26/49, Callable 1/25/23 @ 100 (a)		500,000		516,124
First Investors Auto Owner Trust, Series 2019-2A, Class C, 2.71%, 12/15/25, Callable 3/15/23 @ 100 (a)		1,500,000		1,534,283
First Investors Auto Owner Trust, Series 2018-2A, Class F, 7.31%, 9/15/25, Callable 8/15/22 @ 100 (a)		750,000		785,333
Flagship Credit Auto Trust, Series 2020-2, Class D, 5.75%, 4/15/26, Callable 8/15/23 @ 100 (a)		1,000,000		1,102,043
Ford Credit Auto Owner Trust, Series 2020-1, Class B, 2.29%, 8/15/31, Callable 2/15/25 @ 100 (a)		1,500,000		1,562,144
Foursight Capital Automobile Receivables Trust, Series 2021-1, Class B, 0.87%, 1/15/26, Callable 11/15/24 @ 100 (a)		1,406,000		1,409,394
GLS Auto Receivables Issuer Trust, Series 2020-1A, Class B, 2.43%, 11/15/24, Callable 11/15/23 @ 100 (a)		1,000,000		1,018,134
GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A4, 1.74%, 8/18/25, Callable 7/16/23 @ 100		750,000		771,024
GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A4, 1.90%, 3/17/25, Callable 4/16/23 @ 100		1,000,000		1,027,252
Hertz Vehicle Financing III LP, Series 2021-2A, Class A, 1.68%, 12/27/27 (a)		1,000,000		1,002,358
Hertz Vehicle Financing LLC, Series 2021-1A, Class C, 2.05%, 12/26/25 (a)		1,333,000		1,332,114
HPEFS Equipment Trust, Series 2019-1A, Class C, 2.49%, 9/20/29, Callable 7/20/22 @ 100 (a)		500,000		507,771
HPEFS Equipment Trust, Series 2020-1A, Class B, 1.89%, 2/20/30, Callable 1/20/23 @ 100 (a)		385,000		390,776
Hyundai Auto Receivables Trust, Series 2020-C, Class B, 0.81%, 11/16/26, Callable 11/15/24 @ 100		1,271,000		1,265,272
John Deere Owner Trust, Series 2020-A, Class A4, 1.21%, 11/16/26, Callable 7/15/23 @ 100		2,000,000		2,030,493
Kubota Credit Owner Trust, Series 2020-1A, Class A4, 2.26%, 7/15/26, Callable 9/15/23 @ 100 (a)		433,000		448,689
Master Credit Card Trust, Series 2021-1A, Class B, 0.79%, 11/21/25 (a)		539,000		536,688
MMAF Equipment Finance LLC, Series 2017-B, Class A4, 2.41%, 11/15/24 (a)		975,458		986,789

See notes to financial statements.

26

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June 30, 2021

Security Description	Principal Amount		Value
MVW LLC, Series 2021-1WA, Class A, 1.14%, 1/22/41, Callable 3/20/29 @ 100 (a)	$	1,008,338	$	1,005,545
Navient Student Loan Trust, Series 2018-2A, Class B, 1.24% (LIBOR01M+115bps), 3/25/67, Callable 8/25/33 @ 100 (a) (b)		1,000,000		966,571
Nelnet Student Loan Trust, Series 2019-5, Class A, 2.53%, 10/25/67, Callable 12/25/35 @ 100 (a)		1,313,263		1,369,768
NP SPE LLC, Series 2019-1A, Class A2, 3.24%, 9/20/49 (a)		500,000		510,749
Pawnee Equipment Receivables LLC, Series 2020-1, Class B, 1.84%, 1/15/26, Callable 2/15/24 @ 100 (a)		1,000,000		1,014,785
Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.31%, 11/16/26, Callable 9/15/23 @ 100 (a)		929,000		936,280
Progress Residential Trust, Series 2021-SFR6, Class A, 1.52%, 7/17/38 (a) (c)		1,100,000		1,100,361
PSNH Funding LLC, Series 2018-1, Class A3, 3.81%, 2/1/35		1,000,000		1,157,692
Santander Consumer Auto Receivables Trust, Series 2020-AA, Class D, 5.49%, 4/15/26, Callable 11/15/23 @ 100 (a)		1,000,000		1,088,280
SCF Equipment Leasing LLC, Series 2020-1A, Class A3, 1.19%, 10/20/27, Callable 7/20/25 @ 100 (a)		1,000,000		1,005,361
SCF Equipment Leasing LLC, Series 2019-1A, Class A2, 3.23%, 10/20/24, Callable 7/20/21 @ 100 (a)		169,541		169,789
SCF Equipment Leasing LLC, Series 2019-1A, Class B, 3.49%, 1/20/26, Callable 7/20/21 @ 100 (a)		500,000		500,812
SLM Student Loan Trust, Series 2006-10, Class B, 0.40% (LIBOR03M+22bps), 3/25/44, Callable 7/25/32 @ 100 (b)		216,156		200,908
SLM Student Loan Trust, Series 2007-1, Class B, 0.40% (LIBOR03M+22bps), 1/27/42, Callable 4/25/29 @ 100 (b)		342,255		322,575
Synchrony Credit Card Master Note Trust, Series 2018-2, Class A, 3.47%, 5/15/26		2,000,000		2,114,829
Toyota Auto Loan Extended Note Trust, Series 2021-1A, Class A, 1.07%, 2/27/34, Callable 2/25/26 @ 100 (a) (d)		2,000,000		2,002,205
Transportation Finance Equipment Trust, Series 2019-1, Class A4, 1.88%, 3/25/24, Callable 6/23/23 @ 100 (a)		1,280,000		1,309,183
VB-S1 Issuer LLC, Series 2018-1A, Class C, 3.41%, 2/15/48, Callable 2/15/22 @ 100 (a)		500,000		513,111
WEPCO ENVIRONMENTAL TRUST FINANCE I LLC, Series 2021-1, Class A, 1.58%, 12/15/35		1,500,000		1,512,913
Westlake Automobile Receivables Trust, Series 2018-2A, Class D, 4.00%, 1/16/24, Callable 2/15/22 @ 100 (a)		326,649		329,487
Westlake Automobile Receivables Trust, Series 2018-3A, Class D, 4.00%, 10/16/23, Callable 6/15/22 @ 100 (a)		860,000		877,396
Total Asset-Backed Securities (Cost $72,695,308)				73,337,319
Collateralized Mortgage Obligations (2.5%)
Aventura Mall Trust, Series 2018-AVM, Class D, 4.25%, 7/5/40 (a) (d)		1,000,000		994,638
Benchmark Mortgage Trust, Series 2020-B17, Class ASB, 2.18%, 3/15/53, Callable 11/15/29 @ 100		1,000,000		1,027,863
BX Commercial Mortgage Trust, Series 2019-XL, Class B, 1.15% (LIBOR01M+108bps), 10/15/36 (a) (b)		232,653		232,920
BX Trust, Series 2019-OC11, Class A, 3.20%, 12/9/41 (a)		923,077		995,323
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class C, 4.68%, 1/10/36 (a)		500,000		537,872

See notes to financial statements.

27

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June 30, 2021

Security Description	Principal Amount		Value
Citigroup Commercial Mortgage Trust, Series 2020-555, Class A, 2.65%, 12/10/41 (a)	$	2,000,000	$	2,062,272
Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class AAB, 2.61%, 1/15/53, Callable 11/15/29 @ 100		732,000		772,655
Citigroup Commercial Mortgage Trust, Series 2017-P8, Class AS, 3.79%, 9/15/50, Callable 9/15/27 @ 100 (d)		500,000		553,528
COMM Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46, Callable 11/10/30 @ 100 (a)		1,500,000		1,514,666
COMM Mortgage Trust, Series 2015-PC1, Class B, 4.46%, 7/10/50, Callable 6/10/25 @ 100 (d)		865,000		944,192
COMM Mortgage Trust, Series 2015-LC23, Class AM, 4.16%, 10/10/48 (d)		250,000		275,000
COMM Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49, Callable 8/10/24 @ 100 (a) (d)		1,000,000		1,067,682
DBJPM Mortgage Trust, Series 2016-SFC, Class A, 2.83%, 8/10/36, Callable 8/10/26 @ 100 (a)		250,000		256,860
Extended Stay America Trust, Series 2021-ESH, Class B, 1.46% (LIBOR01M+138bps), 7/15/38 (a) (b) (c)		777,778		780,450
FREMF Mortgage Trust, Series 2019-K99, Class B, 3.77%, 9/25/29 (a) (d)		1,000,000		1,096,924
GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A, 2.86%, 5/10/34 (a)		1,000,000		998,130
GS Mortgage Securities Corp. Trust, Series 2012-ALOH, Class A, 3.55%, 4/10/34 (a)		1,000,000		1,011,541
GS Mortgage Securities Trust, Series 2020-GC45, Class AAB, 2.84%, 2/13/53, Callable 9/13/29 @ 100		357,000		381,522
Houston Galleria Mall Trust, Series 2015-HGLR, Class A1A2, 3.09%, 3/5/37 (a)		1,000,000		1,041,022
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-2NU, Class B, 2.08%, 1/5/40 (a)		1,000,000		1,004,317
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class B, 5.07%, 11/15/43, Callable 7/15/21 @ 100 (a) (d)		979,000		977,531
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class C, 5.87%, 11/15/43, Callable 7/15/21 @ 100 (a) (d)		813,000		809,631
Manhattan West, Series 2020-1MW, Class A, 2.13%, 9/10/40 (a)		750,000		766,282
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41 (a)		800,000		833,504
VLS Commercial Mortgage Trust, Series 2020-LAB, Class A, 2.13%, 10/10/42 (a)		1,000,000		1,002,817
Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A, 4.19%, 7/17/36 (a) (d)		250,000		282,875
Total Collateralized Mortgage Obligations (Cost $22,038,426)				22,222,017
Corporate Bonds (30.9%)
Communication Services (1.8%):
AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100		1,000,000		1,157,520
CenturyLink, Inc., 4.50%, 1/15/29, Callable 1/15/24 @ 102.25 (a)		1,000,000		973,870
Charter Communications Operating LLC/Charter Communications Operating Capital 3.75%, 2/15/28, Callable 11/15/27 @ 100		500,000		551,885
2.30%, 2/1/32, Callable 11/1/31 @ 100 (e)		2,500,000		2,407,825
Comcast Corp., 3.55%, 5/1/28, Callable 2/1/28 @ 100		750,000		839,228

See notes to financial statements.

28

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June 30, 2021

Security Description	Principal Amount		Value
Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100	$	1,000,000	$	1,174,920
The Walt Disney Co., 2.20%, 1/13/28		666,000		690,123
T-Mobile USA, Inc. 4.75%, 2/1/28, Callable 2/1/23 @ 102.38		643,000		688,569
3.88%, 4/15/30, Callable 1/15/30 @ 100		1,039,000		1,159,721
2.25%, 11/15/31, Callable 8/15/31 @ 100		1,000,000		984,840
Verizon Communications, Inc. 2.10%, 3/22/28, Callable 1/22/28 @ 100		1,500,000		1,531,770
1.75%, 1/20/31, Callable 10/20/30 @ 100		3,000,000		2,874,960
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,094,500
				16,129,731
Consumer Discretionary (2.1%):
AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100		600,000		710,328
AutoZone, Inc., 3.75%, 6/1/27, Callable 3/1/27 @ 100		500,000		559,065
D.R. Horton, Inc., 4.75%, 2/15/23, Callable 11/15/22 @ 100 (e)		500,000		528,540
Daimler Finance North America LLC 3.70%, 5/4/23 (a)		1,000,000		1,055,760
3.45%, 1/6/27 (a)		1,000,000		1,097,330
Genting New York LLC/GENNY Capital, Inc., 3.30%, 2/15/26, Callable 1/15/26 @ 100 (a)		750,000		757,402
Hasbro, Inc. 3.55%, 11/19/26, Callable 9/19/26 @ 100		600,000		657,582
3.90%, 11/19/29, Callable 8/19/29 @ 100 (e)		1,000,000		1,112,150
Marriott International, Inc., 2.85%, 4/15/31, Callable 1/15/31 @ 100 (e)		2,000,000		2,032,440
Murphy Oil USA, Inc. 4.75%, 9/15/29, Callable 9/15/24 @ 102.38		1,000,000		1,052,060
3.75%, 2/15/31, Callable 2/15/26 @ 101.88 (a)		235,000		232,377
Newell Brands, Inc., 4.70%, 4/1/26, Callable 1/1/26 @ 100		500,000		557,460
Nordstrom, Inc., 4.25%, 8/1/31, Callable 5/1/31 @ 100 (a) (f)		750,000		783,098
Novant Health, Inc., 2.64%, 11/1/36, Callable 8/1/36 @ 100		2,000,000		2,038,420
O'Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100		500,000		576,925
Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.63%, 4/6/31, Callable 1/6/31 @ 100 (a)		1,300,000		1,345,396
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a)		2,000,000		2,041,280
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100		500,000		529,160
Volkswagen Group of America Finance LLC, 3.20%, 9/26/26 (a)		1,000,000		1,081,870
				18,748,643
Consumer Staples (2.2%):
Altria Group, Inc., 2.45%, 2/4/32, Callable 11/4/31 @ 100 (e)		1,500,000		1,449,825
Anheuser-Busch InBev Worldwide, Inc. 3.65%, 2/1/26, Callable 11/1/25 @ 100		1,000,000		1,105,500
4.38%, 4/15/38, Callable 10/15/37 @ 100		500,000		595,870
5.45%, 1/23/39, Callable 7/23/38 @ 100		500,000		659,620
4.35%, 6/1/40, Callable 12/1/39 @ 100		1,000,000		1,190,010
BAT Capital Corp. 2.73%, 3/25/31, Callable 12/25/30 @ 100 (e)		1,000,000		984,970
4.39%, 8/15/37, Callable 2/15/37 @ 100		1,250,000		1,348,637
Bunge Ltd. Finance Corp., 2.75%, 5/14/31, Callable 2/14/31 @ 100		1,000,000		1,011,470
Constellation Brands, Inc., 3.50%, 5/9/27, Callable 2/9/27 @ 100		750,000		827,490

See notes to financial statements.

29

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June 30, 2021

Security Description	Principal Amount		Value
General Mills, Inc., 4.55%, 4/17/38, Callable 10/17/37 @ 100	$	1,000,000	$	1,218,840
Keurig Dr Pepper, Inc., 2.25%, 3/15/31, Callable 12/15/30 @ 100		1,000,000		1,008,320
Kraft Heinz Foods Co., 3.75%, 4/1/30, Callable 1/1/30 @ 100		1,000,000		1,097,130
Mars, Inc., 3.88%, 4/1/39, Callable 10/1/38 @ 100 (a)		1,000,000		1,175,600
McCormick & Co., Inc. 2.50%, 4/15/30, Callable 1/15/30 @ 100		375,000		385,219
1.85%, 2/15/31, Callable 11/15/30 @ 100		1,000,000		966,760
Mondelez International, Inc., 2.75%, 4/13/30, Callable 1/13/30 @ 100		375,000		394,729
PepsiCo, Inc., 2.75%, 3/19/30, Callable 12/19/29 @ 100		1,000,000		1,077,720
Smithfield Foods, Inc., 5.20%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		582,025
Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100		260,000		334,069
The Coca-Cola Co., 2.00%, 3/5/31		2,000,000		2,019,820
The Kroger Co., 3.50%, 2/1/26, Callable 11/1/25 @ 100		500,000		549,100
				19,982,724
Energy (3.4%):
Boardwalk Pipelines LP 4.45%, 7/15/27, Callable 4/15/27 @ 100		1,500,000		1,693,365
4.80%, 5/3/29, Callable 2/3/29 @ 100 (e)		500,000		579,865
Buckeye Partners LP, 4.13%, 12/1/27, Callable 9/1/27 @ 100		1,000,000		1,015,230
Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100 (a)		1,091,000		1,171,014
Continental Resources, Inc., 4.50%, 4/15/23, Callable 1/15/23 @ 100 (e)		109,000		113,680
Diamondback Energy, Inc., 3.25%, 12/1/26, Callable 10/1/26 @ 100		1,000,000		1,071,720
Enable Midstream Partners LP, 4.15%, 9/15/29, Callable 6/15/29 @ 100		1,000,000		1,094,840
Energy Transfer LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 (e)		1,000,000		1,087,180
Energy Transfer Operating LP, 3.19% (LIBOR03M+302bps), 11/1/66, Callable 8/9/21 @ 100 (b)		500,000		391,500
Enterprise Products Operating LLC, 2.80%, 1/31/30, Callable 10/31/29 @ 100		1,000,000		1,056,570
EQT Corp., 8.75%, 2/1/30, Callable 11/1/29 @ 100		514,000		668,791
Exxon Mobil Corp., 2.61%, 10/15/30, Callable 7/15/30 @ 100		1,500,000		1,582,155
Florida Gas Transmission Co. LLC, 2.55%, 7/1/30, Callable 4/1/30 @ 100 (a)		750,000		759,615
Gray Oak Pipeline LLC, 3.45%, 10/15/27, Callable 8/15/27 @ 100 (a)		1,334,000		1,402,848
HollyFrontier Corp., 4.50%, 10/1/30, Callable 7/1/30 @ 100		2,000,000		2,147,440
Marathon Petroleum Corp., 4.70%, 5/1/25, Callable 4/1/25 @ 100		469,000		528,934
Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a)		500,000		531,265
MPLX LP 4.25%, 12/1/27, Callable 9/1/27 @ 100		500,000		565,805
4.00%, 3/15/28, Callable 12/15/27 @ 100		750,000		838,672
4.80%, 2/15/29, Callable 11/15/28 @ 100 (e)		250,000		293,063
Murphy Oil Corp. 6.88%, 8/15/24, Callable 8/9/21 @ 103.44		1,000,000		1,022,880
5.75%, 8/15/25, Callable 8/9/21 @ 104.31		500,000		514,285
NuStar Logistics LP, 6.00%, 6/1/26, Callable 3/1/26 @ 100		500,000		543,990
Occidental Petroleum Corp. 3.40%, 4/15/26, Callable 1/15/26 @ 100		1,000,000		1,022,830
4.40%, 8/15/49, Callable 2/15/49 @ 100		500,000		480,560
ONEOK, Inc., 4.55%, 7/15/28, Callable 4/15/28 @ 100		500,000		570,120
Ovintiv Exploration, Inc., 5.38%, 1/1/26, Callable 10/1/25 @ 100 (e)		500,000		563,780
Pioneer Natural Resources Co., 1.90%, 8/15/30, Callable 5/15/30 @ 100		1,500,000		1,445,580

See notes to financial statements.

30

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June 30, 2021

Security Description	Principal Amount		Value
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29, Callable 9/15/29 @ 100	$	2,280,000	$	2,404,670
Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100 (a)		1,000,000		1,032,380
Sabal Trail Transmission LLC, 4.25%, 5/1/28, Callable 2/1/28 @ 100 (a)		1,000,000		1,135,480
Southwestern Energy Co., 7.75%, 10/1/27, Callable 10/1/22 @ 103.88 (f)		500,000		542,620
Western Midstream Operating LP, 4.35%, 2/1/25, Callable 1/1/25 @ 100		421,000		444,816
				30,317,543
Financials (7.0%):
Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100		1,250,000		1,371,625
American Equity Investment Life Holding Co., 5.00%, 6/15/27, Callable 3/15/27 @ 100		500,000		565,770
Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100		500,000		540,460
Athene Global Funding, 1.45%, 1/8/26 (a)		1,000,000		1,000,020
Athene Holding Ltd., 3.50%, 1/15/31, Callable 10/15/30 @ 100		1,000,000		1,067,210
AXA Equitable Holdings, Inc., 4.35%, 4/20/28, Callable 1/20/28 @ 100		1,000,000		1,146,470
Bank of America Corp. 1.66% (SOFR+91bps), 3/11/27, Callable 3/11/26 @ 100 (b)		1,500,000		1,512,660
3.71% (LIBOR03M+151bps), 4/24/28, Callable 4/24/27 @ 100 (b)		1,000,000		1,105,770
BB&T Corp., 4.25%, 9/30/24		750,000		817,950
Belrose Funding Trust, 2.33%, 8/15/30, Callable 5/15/30 @ 100 (a)		1,000,000		984,450
BMW US Capital LLC, 3.75%, 4/12/28, Callable 1/12/28 @ 100 (a)		1,000,000		1,128,630
Cadence Bancorp, 4.75% (LIBOR03M+303bps), 6/30/29, Callable 6/30/24 @ 100 (b)		500,000		522,995
Capital One Financial Corp., 3.75%, 7/28/26, Callable 6/28/26 @ 100		1,000,000		1,103,130
CIT Group, Inc., 5.25%, 3/7/25, Callable 12/7/24 @ 100		500,000		562,720
Citizens Financial Group, Inc., 2.50%, 2/6/30, Callable 11/6/29 @ 100		2,000,000		2,053,300
Compeer Financial FLCA/Compeer Financial PCA, 3.38% (SOFR+197bps), 6/1/36, Callable 6/1/31 @ 100 (a) (b)		978,000		966,479
Credit Acceptance Corp., 6.63%, 3/15/26, Callable 3/15/22 @ 103.31		500,000		528,265
F&G Global Funding, 1.75%, 6/30/26 (a)		1,500,000		1,505,835
Fifth Third Bancorp, 3.95%, 3/14/28, Callable 2/14/28 @ 100		500,000		575,925
First Citizens BancShares, Inc., 3.38% (SOFR+247bps), 3/15/30, Callable 3/15/25 @ 100 (b)		1,000,000		1,018,170
First Horizon Bank, 5.75%, 5/1/30, Callable 2/1/30 @ 100		500,000		618,055
Ford Motor Credit Co. LLC 4.54%, 8/1/26, Callable 6/1/26 @ 100		1,400,000		1,524,138
5.11%, 5/3/29, Callable 2/3/29 @ 100		500,000		560,015
FS KKR Capital Corp., 4.63%, 7/15/24, Callable 6/15/24 @ 100		1,000,000		1,078,420
GA Global Funding Trust, 1.63%, 1/15/26 (a)		250,000		253,020
Glencore Funding LLC 4.00%, 3/27/27, Callable 12/27/26 @ 100 (a)		500,000		553,950
2.50%, 9/1/30, Callable 6/1/30 @ 100 (a)		500,000		498,125
2.85%, 4/27/31, Callable 1/27/31 @ 100 (a) (f)		1,000,000		1,016,260
Global Atlantic Financial Co., 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a)		1,714,000		1,897,364
Guardian Life Global Funding, 1.25%, 5/13/26 (a)		2,000,000		1,996,000
Hyundai Capital America 3.40%, 6/20/24 (a)		500,000		533,775
3.50%, 11/2/26, Callable 9/2/26 @ 100 (a)		500,000		541,215
ILFC E-Capital Trust I, 3.66%, 12/21/65, Callable 8/9/21 @ 100 (a)		500,000		415,000

See notes to financial statements.

31

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June 30, 2021

Security Description	Principal Amount		Value
JPMorgan Chase & Co. 2.52% (SOFR+204bps), 4/22/31, Callable 4/22/30 @ 100 (b)	$	750,000	$	770,790
1.95% (SOFR+1bps), 2/4/32, Callable 2/4/31 @ 100 (b)		1,333,000		1,296,249
KeyBank NA 3.40%, 5/20/26, MTN		500,000		545,215
3.90%, 4/13/29		1,000,000		1,121,730
KeyCorp, 2.25%, 4/6/27, MTN		500,000		518,610
Level 3 Financing, Inc., 3.75%, 7/15/29, Callable 1/15/24 @ 101.88 (a)		1,500,000		1,458,675
Lincoln National Corp., 3.80%, 3/1/28, Callable 12/1/27 @ 100		500,000		559,960
Main Street Capital Corp. 4.50%, 12/1/22		500,000		521,745
3.00%, 7/14/26, Callable 6/14/26 @ 100		1,000,000		1,027,040
Mercury General Corp., 4.40%, 3/15/27, Callable 12/15/26 @ 100		1,000,000		1,129,060
New York Community Bancorp, Inc., 5.90% (LIBOR03M+278bps), 11/6/28, Callable 11/6/23 @ 100 (b)		500,000		541,045
Pacific Life Global Funding II, 1.38%, 4/14/26 (a)		2,000,000		2,005,860
Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100 (a)		500,000		573,875
Protective Life Global Funding, 1.90%, 7/6/28 (a) (c)		2,000,000		2,007,060
Prudential Financial, Inc., 3.94%, 12/7/49, Callable 6/7/49 @ 100		1,000,000		1,173,510
Regions Financial Corp., 2.25%, 5/18/25, Callable 4/18/25 @ 100		750,000		781,402
Santander Holdings USA, Inc. 4.45%, 12/3/21, Callable 11/3/21 @ 100		250,000		253,353
3.40%, 1/18/23, Callable 12/18/22 @ 100		250,000		260,175
4.40%, 7/13/27, Callable 4/14/27 @ 100		750,000		841,425
Synchrony Financial 4.50%, 7/23/25, Callable 4/23/25 @ 100		500,000		559,895
3.95%, 12/1/27, Callable 9/1/27 @ 100		500,000		556,385
5.15%, 3/19/29, Callable 12/19/28 @ 100		500,000		592,570
Synovus Bank/Columbus GA, 4.00% (H15T5Y+363bps), 10/29/30, Callable 10/29/25 @ 100 (b)		500,000		527,760
Synovus Financial Corp., 5.90% (USSW5+338bps), 2/7/29, Callable 2/7/24 @ 100 (b)		500,000		541,330
TCF National Bank, 4.13% (LIBOR03M+238bps), 7/2/29, Callable 7/2/24 @ 100 (b)		1,000,000		997,180
Texas Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (b)		1,000,000		1,039,670
Texas Capital Bank NA, 5.25%, 1/31/26		250,000		271,978
The PNC Financial Services Group, Inc., 2.55%, 1/22/30, Callable 10/24/29 @ 100		1,500,000		1,579,320
Torchmark Corp., 4.55%, 9/15/28, Callable 6/15/28 @ 100		500,000		584,925
Toyota Motor Credit Corp., 3.38%, 4/1/30, MTN		536,000		601,086
Truist Bank, 2.25%, 3/11/30, Callable 12/11/29 @ 100		1,050,000		1,064,942
UMB Financial Corp., 3.70% (H15T5Y+344bps), 9/17/30, Callable 9/17/25 @ 100 (b)		375,000		384,934
Wells Fargo & Co. 2.19% (SOFR+200bps), 4/30/26, Callable 4/30/25 @ 100 (b)		750,000		778,642
3.00%, 10/23/26		1,000,000		1,078,230
Zions Bancorp NA, 3.25%, 10/29/29, Callable 7/29/29 @ 100		1,000,000		1,048,080
				61,156,877

See notes to financial statements.

32

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June 30, 2021

Security Description	Principal Amount		Value
Health Care (2.6%):
AbbVie, Inc., 3.20%, 11/21/29, Callable 8/21/29 @ 100	$	1,000,000	$	1,085,350
Anthem, Inc. 2.88%, 9/15/29, Callable 6/15/29 @ 100		323,000		343,656
2.55%, 3/15/31, Callable 12/15/30 @ 100		2,000,000		2,062,940
Boston Medical Center Corp., 3.91%, 7/1/28		500,000		557,380
Bristol Myers Squibb Co., 3.90%, 2/20/28, Callable 11/20/27 @ 100		500,000		572,065
Cigna Corp., 2.38%, 3/15/31, Callable 12/15/30 @ 100		2,000,000		2,027,920
CVS Health Corp. 4.30%, 3/25/28, Callable 12/25/27 @ 100		282,000		323,962
3.25%, 8/15/29, Callable 5/15/29 @ 100 (e)		500,000		543,730
1.75%, 8/21/30, Callable 5/21/30 @ 100		1,000,000		962,390
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100		1,750,000		1,872,885
Duke University Health System, Inc., 2.60%, 6/1/30		500,000		521,655
Eastern Maine Healthcare Systems, 3.71%, 7/1/26		435,000		451,439
Fresenius Medical Care U.S. Finance III, Inc., 2.38%, 2/16/31, Callable 11/16/30 @ 100 (a)		1,000,000		976,930
Gilead Sciences, Inc., 1.20%, 10/1/27, Callable 8/1/27 @ 100		1,000,000		974,670
HCA, Inc., 4.50%, 2/15/27, Callable 8/15/26 @ 100		500,000		565,325
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100		2,000,000		2,029,300
Mercy Health, 4.30%, 7/1/28		250,000		293,830
Orlando Health Obligated Group 3.78%, 10/1/28, Callable 7/1/28 @ 100		500,000		558,545
2.89%, 10/1/35		1,000,000		1,027,100
PerkinElmer, Inc., 2.55%, 3/15/31, Callable 12/15/30 @ 100		1,500,000		1,539,435
Quest Diagnostics, Inc., 3.45%, 6/1/26, Callable 3/1/26 @ 100		1,250,000		1,372,312
Southern Illinois Healthcare Enterprises, Inc., 3.97%, 5/15/50, Callable 11/15/49 @ 100		1,000,000		1,132,108
Upjohn, Inc., 2.30%, 6/22/27, Callable 4/22/27 @ 100 (a)		1,250,000		1,275,187
				23,070,114
Industrials (4.2%):
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100		2,000,000		1,982,920
American Airlines Pass Through Trust 3.70%, 4/1/28 (f)		325,476		329,639
3.85%, 8/15/29		453,192		431,086
3.60%, 4/15/31		418,816		412,961
Arconic, Inc., 5.90%, 2/1/27		250,000		293,465
Ashtead Capital, Inc., 4.25%, 11/1/29, Callable 11/1/24 @ 102.13 (a)		1,448,000		1,565,780
British Airways Pass Through Trust 3.35%, 12/15/30 (a)		447,824		444,653
3.80%, 3/20/33 (a)		624,012		650,139
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100		1,000,000		1,043,270
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100		1,000,000		1,052,300
Caterpillar, Inc., 2.60%, 4/9/30, Callable 1/9/30 @ 100		500,000		533,665
CNH Industrial Capital LLC, 1.88%, 1/15/26, Callable 12/15/25 @ 100		1,000,000		1,018,480
CoStar Group, Inc., 2.80%, 7/15/30, Callable 4/15/30 @ 100 (a)		669,000		680,132
FedEx Corp., 3.90%, 2/1/35		1,250,000		1,430,750
Georgia-Pacific LLC, 2.10%, 4/30/27, Callable 2/28/27 @ 100 (a)		500,000		515,385
GXO Logistics, Inc., 2.65%, 7/15/31, Callable 4/15/31 @ 100 (a) (c)		2,000,000		1,989,940

See notes to financial statements.

33

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June 30, 2021

Security Description	Principal Amount		Value
Hawaiian Airlines Pass Through Certificates 4.95%, 7/15/23	$	511,514	$	508,583
3.90%, 7/15/27 (f)		104,461		101,875
Hillenbrand, Inc. 5.00%, 9/15/26, Callable 7/15/26 @ 100 (e)		1,000,000		1,112,960
3.75%, 3/1/31, Callable 3/1/26 @ 101.88		350,000		347,375
Howmet Aerospace, Inc., 5.13%, 10/1/24, Callable 7/1/24 @ 100		250,000		275,950
Hubbell, Inc. 3.50%, 2/15/28, Callable 11/15/27 @ 100		1,000,000		1,096,490
2.30%, 3/15/31, Callable 12/15/30 @ 100		1,500,000		1,505,910
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100		500,000		528,565
Ingersoll-Rand Global Holding Co. Ltd., 3.75%, 8/21/28, Callable 5/21/28 @ 100		500,000		561,785
JetBlue Pass Through Trust, 2.95%, 11/15/29		229,125		225,472
Kennametal, Inc., 4.63%, 6/15/28, Callable 3/15/28 @ 100		1,058,000		1,201,581
Northrop Grumman Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100		500,000		545,685
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100		1,000,000		1,033,930
Penske Truck Leasing Co. LP/PTL Finance Corp. 3.95%, 3/10/25, Callable 1/10/25 @ 100 (a)		500,000		547,015
4.45%, 1/29/26, Callable 11/29/25 @ 100 (a)		1,000,000		1,124,090
1.70%, 6/15/26, Callable 5/15/26 @ 100 (a)		1,000,000		1,006,930
Ryder System, Inc., 3.40%, 3/1/23, MTN, Callable 2/1/23 @ 100		1,000,000		1,045,410
Southwest Airlines Co., 5.13%, 6/15/27, Callable 4/15/27 @ 100		800,000		942,056
Teledyne Technologies, Inc., 2.75%, 4/1/31, Callable 1/1/31 @ 100		2,000,000		2,056,100
The Boeing Co. 2.20%, 2/4/26, Callable 2/4/23 @ 100 (e)		1,333,000		1,345,597
3.25%, 2/1/28, Callable 12/1/27 @ 100		1,500,000		1,590,720
3.63%, 2/1/31, Callable 11/1/30 @ 100		1,000,000		1,075,630
5.71%, 5/1/40, Callable 11/1/39 @ 100		1,000,000		1,290,260
Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100		1,000,000		1,053,400
United Airlines Pass Through Trust 4.88%, 7/15/27		332,882		353,031
3.70%, 9/1/31		441,731		453,764
				37,304,729
Information Technology (1.7%):
Amphenol Corp., 4.35%, 6/1/29, Callable 3/1/29 @ 100		500,000		586,495
Broadcom, Inc. 2.45%, 2/15/31, Callable 11/15/30 @ 100 (a)		1,500,000		1,476,165
3.42%, 4/15/33, Callable 1/15/33 @ 100 (a)		2,000,000		2,108,760
HP, Inc. 3.40%, 6/17/30, Callable 3/17/30 @ 100		743,000		796,087
2.65%, 6/17/31, Callable 3/17/31 @ 100 (a)		1,000,000		1,000,950
Jabil, Inc., 3.00%, 1/15/31, Callable 10/15/30 @ 100		974,000		1,001,964
Leidos, Inc., 2.30%, 2/15/31, Callable 11/15/30 @ 100 (a)		1,500,000		1,469,640
Marvell Technology, Inc., 2.45%, 4/15/28, Callable 2/15/28 @ 100 (a)		1,050,000		1,070,160
Motorola Solutions, Inc., 2.75%, 5/24/31, Callable 2/24/31 @ 100		1,000,000		1,020,600
Oracle Corp. 2.95%, 4/1/30, Callable 1/1/30 @ 100		1,000,000		1,053,970
2.88%, 3/25/31, Callable 12/25/30 @ 100		750,000		780,960
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a)		500,000		520,445

See notes to financial statements.

34

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June 30, 2021

Security Description	Principal Amount		Value
Salesforce.com, Inc., 3.70%, 4/11/28, Callable 1/11/28 @ 100	$	1,000,000	$	1,138,530
Skyworks Solutions, Inc., 3.00%, 6/1/31, Callable 3/1/31 @ 100		1,200,000		1,229,460
				15,254,186
Materials (1.8%):
Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100		1,500,000		1,529,235
Avery Dennison Corp., 2.65%, 4/30/30, Callable 2/1/30 @ 100		800,000		823,392
Colonial Enterprises, Inc., 3.25%, 5/15/30, Callable 2/15/30 @ 100 (a)		375,000		406,001
Commercial Metals Co., 3.88%, 2/15/31, Callable 2/15/26 @ 101.94		1,000,000		1,007,880
Crown Americas LLC/Crown Americas Capital Corp., 4.25%, 9/30/26, Callable 3/31/26 @ 100		500,000		536,800
DuPont de Nemours, Inc., 4.73%, 11/15/28, Callable 8/15/28 @ 100		500,000		595,900
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (c)		1,500,000		1,491,000
LafargeHolcim Finance US LLC, 3.50%, 9/22/26, Callable 6/22/26 @ 100 (a)		1,000,000		1,091,000
LYB International Finance III LLC 3.38%, 5/1/30, Callable 2/1/30 @ 100		750,000		814,838
2.25%, 10/1/30, Callable 7/1/30 @ 100		500,000		499,510
Martin Marietta Materials, Inc. 3.50%, 12/15/27, Callable 9/15/27 @ 100		625,000		688,394
2.40%, 7/15/31, Callable 4/15/31 @ 100 (c)		1,000,000		1,004,840
NewMarket Corp., 2.70%, 3/18/31, Callable 12/18/30 @ 100		1,250,000		1,252,087
Packaging Corp. of America, 3.40%, 12/15/27, Callable 9/15/27 @ 100		500,000		549,580
Reliance Steel & Aluminum Co., 4.50%, 4/15/23, Callable 1/15/23 @ 100		500,000		529,640
The Mosaic Co., 4.05%, 11/15/27, Callable 8/15/27 @ 100		1,000,000		1,120,740
Vulcan Materials Co. 3.90%, 4/1/27, Callable 1/1/27 @ 100		500,000		563,430
3.50%, 6/1/30, Callable 3/1/30 @ 100		1,000,000		1,102,200
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100 (e)		365,000		382,761
				15,989,228
Real Estate (1.3%):
AvalonBay Communities, Inc. 3.20%, 1/15/28, Callable 10/15/27 @ 100, MTN		750,000		813,758
2.45%, 1/15/31, Callable 10/15/30 @ 100, MTN		1,000,000		1,029,270
Boston Properties LP 3.25%, 1/30/31, Callable 10/30/30 @ 100		437,000		467,808
2.55%, 4/1/32, Callable 1/1/32 @ 100		1,000,000		1,005,620
Crown Castle International Corp., 1.05%, 7/15/26, Callable 6/15/26 @ 100		1,500,000		1,467,510
Essex Portfolio LP 1.70%, 3/1/28, Callable 1/1/28 @ 100		1,500,000		1,475,550
2.65%, 3/15/32, Callable 12/15/31 @ 100		1,500,000		1,522,365
GLP Capital LP/GLP Financing II, Inc., 4.00%, 1/15/31, Callable 10/15/30 @ 100		250,000		269,615
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100		811,000		851,145
Hudson Pacific Properties LP 3.95%, 11/1/27, Callable 8/1/27 @ 100		500,000		547,780
4.65%, 4/1/29, Callable 1/1/29 @ 100		500,000		576,040
Office Properties Income Trust, 4.50%, 2/1/25, Callable 11/1/24 @ 100		1,000,000		1,087,010
Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100		500,000		497,515
Vornado Realty LP, 3.50%, 1/15/25, Callable 11/15/24 @ 100		500,000		532,240
				12,143,226

See notes to financial statements.

35

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
Utilities (2.9%):
AEP Texas, Inc., 3.45%, 1/15/50, Callable 7/15/49 @ 100	$	1,500,000	$	1,555,635
Ameren Corp. 1.75%, 3/15/28, Callable 1/15/28 @ 100		1,400,000		1,388,212
3.50%, 1/15/31, Callable 10/15/30 @ 100		250,000		273,840
American Water Capital Corp., 2.95%, 9/1/27, Callable 6/1/27 @ 100		1,000,000		1,080,080
Appalachian Power Co., 2.70%, 4/1/31, Callable 1/1/31 @ 100		1,500,000		1,551,180
CenterPoint Energy, Inc., 2.65%, 6/1/31, Callable 3/1/31 @ 100		1,500,000		1,530,600
Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100		1,000,000		1,035,060
Dominion Energy, Inc., 3.07%, 8/15/24 (g)		1,000,000		1,060,850
DTE Electric Co., 2.25%, 3/1/30, Callable 12/1/29 @ 100		1,000,000		1,027,180
Duke Energy Corp., 2.55%, 6/15/31, Callable 3/15/31 @ 100		1,000,000		1,013,980
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) (c)		700,000		706,573
Entergy Corp., 1.90%, 6/15/28, Callable 4/15/28 @ 100		2,000,000		1,996,740
Entergy Louisiana LLC, 4.00%, 3/15/33, Callable 12/15/32 @ 100		1,000,000		1,171,670
Exelon Generation Co. LLC, 3.25%, 6/1/25, Callable 5/1/25 @ 100		750,000		808,583
IPALCO Enterprises, Inc., 4.25%, 5/1/30, Callable 2/1/30 @ 100		525,000		589,155
ITC Holdings Corp., 2.95%, 5/14/30, Callable 2/14/30 @ 100 (a)		750,000		790,597
National Fuel Gas Co., 4.75%, 9/1/28, Callable 6/1/28 @ 100		1,000,000		1,128,730
NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100 (a)		1,000,000		1,105,660
Public Service Co. of Colorado, 1.88%, 6/15/31, Callable 12/15/30 @ 100		2,000,000		1,989,060
South Jersey Industries, Inc., 5.02%, 4/15/31		1,000,000		1,055,260
Southern Co. Gas Capital Corp., 1.75%, 1/15/31, Callable 10/15/30 @ 100		1,000,000		950,530
The AES Corp., 2.45%, 1/15/31, Callable 10/15/30 @ 100 (a)		1,000,000		990,350
The Cleveland Electric Illuminating Co., 4.55%, 11/15/30, Callable 8/15/30 @ 100 (a)		500,000		577,705
Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100 (a)		500,000		543,695
				25,920,925
Total Corporate Bonds (Cost $261,950,023)				276,017,926
Yankee Dollars (8.8%)
Communication Services (0.2%):
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a)		1,000,000		1,063,400
Vodafone Group PLC, 5.00%, 5/30/38		500,000		629,805
				1,693,205
Consumer Discretionary (0.5%):
Ascot Group Ltd., 4.25%, 12/15/30, Callable 12/15/25 @ 100 (a)		1,000,000		1,052,660
Genm Capital Labuan Ltd., 3.88%, 4/19/31, Callable 1/19/31 @ 100 (a)		1,500,000		1,499,970
International Game Technology PLC, 5.25%, 1/15/29, Callable 1/15/24 @ 102.63 (a)		1,000,000		1,072,440
Nemak SAB de CV, 3.63%, 6/28/31, Callable 3/28/31 @ 100 (a)		1,269,000		1,275,091
				4,900,161
Consumer Staples (0.6%):
Alimentation Couche-Tard, Inc. 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a)		667,000		694,147
3.44%, 5/13/41, Callable 11/13/40 @ 100 (a)		750,000		775,710
Bacardi Ltd. 4.45%, 5/15/25, Callable 3/15/25 @ 100 (a)		1,500,000		1,665,165
2.75%, 7/15/26, Callable 4/15/26 @ 100 (a)		500,000		521,840

See notes to financial statements.

36

Victory Portfolios II
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June 30, 2021

Security Description	Principal Amount		Value
Becle SAB de CV, 3.75%, 5/13/25 (a)	$	1,000,000	$	1,087,690
Imperial Brands Finance PLC, 3.88%, 7/26/29, Callable 4/26/29 @ 100 (a)		1,000,000		1,084,580
				5,829,132
Energy (0.4%):
Aker BP ASA, 4.00%, 1/15/31, Callable 10/15/30 @ 100 (a)		750,000		823,320
Petroleos Mexicanos, 6.50%, 3/13/27		2,000,000		2,109,060
Transocean Guardian Ltd., 5.88%, 1/15/24, Callable 8/9/21 @ 102.94 (a)		362,500		352,984
				3,285,364
Financials (4.9%):
ABN AMRO Bank NV, 4.80%, 4/18/26 (a)		500,000		567,450
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.38%, 4/17/25 (a)		357,000		405,149
Banco Santander SA, 4.38%, 4/12/28		600,000		685,422
Bank of Montreal, 3.80% (USSW5+143bps), 12/15/32, Callable 12/15/27 @ 100 (b)		500,000		551,215
Bank of New Zealand, 1.00%, 3/3/26 (a)		1,600,000		1,579,392
Barclays PLC 4.61% (LIBOR03M+140bps), 2/15/23, Callable 2/15/22 @ 100 (b)		1,000,000		1,025,350
3.93% (LIBOR03M+161bps), 5/7/25, Callable 5/7/24 @ 100 (b)		500,000		539,480
BNP Paribas SA, 4.71% (LIBOR03M+224bps), 1/10/25, Callable 1/10/24 @ 100 (a) (b)		1,000,000		1,091,140
BPCE SA 4.00%, 9/12/23 (a)		500,000		536,335
3.25%, 1/11/28 (a)		1,000,000		1,089,720
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100		1,000,000		1,031,270
Commonwealth Bank of Australia, 2.69%, 3/11/31 (a)		1,000,000		997,990
Cooperatieve Rabobank, 1.11% (H15T1Y+55bps), 2/24/27, Callable 2/24/26 @ 100 (a) (b)		2,000,000		1,971,820
Co-operatieve Rabobank UA, 4.00% (USSW5+189bps), 4/10/29, MTN, Callable 4/10/24 @ 100 (b)		600,000		641,058
Credit Agricole SA, 3.25%, 10/4/24 (a)		1,250,000		1,339,675
Credit Suisse Group AG, 1.30% (SOFR+98bps), 2/2/27, Callable 2/2/26 @ 100 (a) (b)		1,000,000		979,570
Credit Suisse Group Funding Guernsey Ltd., 3.75%, 3/26/25		500,000		542,305
Deutsche Bank AG, 1.69%, 3/19/26		1,500,000		1,513,260
Diageo Capital PLC, 2.13%, 4/29/32, Callable 1/29/32 @ 100		500,000		502,675
HSBC Holdings PLC 3.80% (LIBOR03M+121bps), 3/11/25, Callable 3/11/24 @ 100 (b)		500,000		537,635
4.29% (LIBOR03M+135bps), 9/12/26, Callable 9/12/25 @ 100 (b)		500,000		556,475
ING Groep NV, 2.73% (SOFRRATE+112bps), 4/1/32, Callable 4/1/31 @ 100 (b)		2,000,000		2,060,020
Lloyds Banking Group PLC 2.91% (LIBOR03M+81bps), 11/7/23, Callable 11/7/22 @ 100 (b)		250,000		257,803
1.63% (H15T1Y+85bps), 5/11/27, Callable 5/11/26 @ 100 (b)		1,000,000		1,001,410
3.57% (LIBOR03M+121bps), 11/7/28, Callable 11/7/27 @ 100 (b)		250,000		273,080
Macquarie Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (b)		1,250,000		1,244,525
Mizuho Financial Group, Inc., 2.17% (H15T1Y+87bps), 5/22/32, Callable 5/22/31 @ 100 (b)		1,500,000		1,490,610
National Australia Bank Ltd., 3.93% (H15T5Y+188bps), 8/2/34, Callable 8/2/29 @ 100 (a) (b)		1,500,000		1,622,760

See notes to financial statements.

37

Victory Portfolios II
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June 30, 2021

Security Description	Principal Amount		Value
Nationwide Building Society 3.62% (LIBOR03M+118bps), 4/26/23, Callable 4/26/22 @ 100 (a) (b)	$	1,000,000	$	1,025,370
4.34% (LIBOR03M+139bps), 8/1/24, Callable 8/1/23 @ 100 (a) (b)		750,000		804,270
4.30% (LIBOR03M+145bps), 3/8/29, Callable 3/8/28 @ 100 (a) (b)		250,000		282,772
3.96% (LIBOR03M+186bps), 7/18/30, Callable 7/18/29 @ 100 (a) (b)		500,000		560,820
Royal Bank of Canada, 1.60%, 4/17/23, MTN		1,500,000		1,532,790
Royal Bank of Scotland Group PLC 4.27% (LIBOR03M+176bps), 3/22/25, Callable 3/22/24 @ 100 (b)		1,000,000		1,085,100
5.08% (LIBOR03M+191bps), 1/27/30, Callable 1/27/29 @ 100 (b)		500,000		592,835
4.44% (LIBOR03M+187bps), 5/8/30, Callable 5/8/29 @ 100 (b)		1,000,000		1,146,080
Santander UK Group Holdings PLC, 2.90% (SOFR+148bps), 3/15/32, Callable 3/15/31 @ 100 (b)		2,000,000		2,062,800
Siemens Financieringsmaatschappij NV 1.70%, 3/11/28 (a)		1,000,000		1,005,230
2.15%, 3/11/31 (a)		1,000,000		1,010,660
Societe Generale SA 3.88%, 3/28/24 (a)		1,000,000		1,075,860
1.49% (H15T1Y+1bps), 12/14/26, Callable 12/14/25 @ 100 (a) (b)		500,000		495,735
Standard Chartered PLC, 4.87% (LIBOR03M+197bps), 3/15/33, Callable 3/15/28 @ 100 (a) (b)		500,000		555,140
Swedbank AB, 0.85%, 3/18/24 (a)		1,500,000		1,505,190
Westpac Banking Corp. 4.32% (USISDA05+224bps), 11/23/31, Callable 11/23/26 @ 100 (b)		1,000,000		1,111,840
2.67% (H15T5Y+2bps), 11/15/35, Callable 11/15/30 @ 100 (b)		1,000,000		984,580
				43,471,666
Health Care (0.8%):
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100		1,000,000		1,101,660
Royalty Pharma PLC, 2.20%, 9/2/30, Callable 6/2/30 @ 100 (a)		2,000,000		1,961,840
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100		1,500,000		1,469,745
STERIS Irish FinCo Unlimited Co., 2.70%, 3/15/31, Callable 12/15/30 @ 100		2,000,000		2,038,860
Teva Pharmaceutical Finance IV BV, 3.65%, 11/10/21		500,000		503,345
				7,075,450
Industrials (1.0%):
Air Canada Pass Through Trust, 4.13%, 11/15/26 (a)		1,928,804		1,981,268
Aircastle Ltd., 4.40%, 9/25/23, Callable 8/25/23 @ 100		500,000		535,435
Avolon Holdings Funding Ltd., 4.25%, 4/15/26, Callable 3/15/26 @ 100 (a)		1,000,000		1,084,310
BAE Systems PLC, 3.40%, 4/15/30, Callable 1/15/30 @ 100 (a)		750,000		814,972
CK Hutchison International 19 II Ltd., 2.75%, 9/6/29, Callable 6/6/29 @ 100 (a)		1,500,000		1,568,175
Ferguson Finance PLC, 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a)		1,450,000		1,565,739
Heathrow Funding Ltd., 4.88%, 7/15/21 (a)		568,000		568,846
Latam Airlines Pass Through Trust, 4.20%, 8/15/29		414,600		395,545
Rolls-Royce PLC, 3.63%, 10/14/25, Callable 7/14/25 @ 100 (a)		275,000		279,367
				8,793,657
Materials (0.4%):
Anglo American Capital PLC, 4.00%, 9/11/27 (a)		1,000,000		1,108,700
Braskem Netherlands Finance BV, 4.50%, 1/31/30 (a)		1,000,000		1,045,320
CCL Industries, Inc., 3.05%, 6/1/30, Callable 3/1/30 @ 100 (a)		750,000		787,103
Nutrien Ltd., 4.20%, 4/1/29, Callable 1/1/29 @ 100		1,000,000		1,149,690
				4,090,813
Total Yankee Dollars (Cost $75,755,812)				79,139,448

See notes to financial statements.

38

Victory Portfolios II
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June 30, 2021

Security Description	Principal Amount		Value
Municipal Bonds (4.2%)
Arizona (0.1%):
The University of Arizona Revenue, Build America Bond, Series A, 1.82%, 6/1/30	$	1,000,000	$	1,004,990
California (0.3%):
Chino Public Financing Authority Special Tax, Series A, 2.46%, 9/1/29		1,200,000		1,235,748
City of El Cajon Revenue Series A, 1.70%, 4/1/27		620,000		628,661
Series A, 1.90%, 4/1/28		500,000		507,025
San Jose Redevelopment Agency Successor Agency Tax Allocation, Series A-T, 3.13%, 8/1/28, Continuously Callable @100		500,000		545,970
				2,917,404
Colorado (0.3%):
City & County of Denver Co. Airport System Revenue, Series C, 2.14%, 11/15/29		1,500,000		1,534,140
Colorado Health Facilities Authority Revenue, 3.36%, 12/1/30		1,000,000		1,016,130
				2,550,270
Connecticut (0.1%):
State of Connecticut, GO, Series A, 3.43%, 4/15/28		500,000		562,965
Florida (0.2%):
Hillsborough County IDA Revenue, 3.58%, 8/1/35, Continuously Callable @100		1,500,000		1,478,295
Hillsborough County School Board Certificate of Participation, Series B, 1.92%, 7/1/25		750,000		771,090
				2,249,385
Georgia (0.2%):
City of Atlanta GA Water & Wastewater Revenue, 2.26%, 11/1/35, Continuously Callable @100		1,500,000		1,533,360
Hawaii (0.1%):
State of Hawaii Airports System Revenue, Series E, 1.81%, 7/1/27		915,000		925,660
Illinois (0.2%):
Illinois Finance Authority Revenue 3.55%, 8/15/29		500,000		550,510
3.51%, 5/15/41		750,000		784,080
Metropolitan Pier & Exposition Authority Revenue, 4.30%, 12/15/28		500,000		532,560
				1,867,150
Kentucky (0.1%):
Kentucky Economic Development Finance Authority Revenue, 3.82%, 12/1/27		500,000		553,535
Louisiana (0.1%):
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, 1.55%, 2/1/27		700,000		699,895
Louisiana Public Facilities Authority Revenue, 2.28%, 6/1/30		500,000		500,755
				1,200,650
Michigan (0.2%):
Michigan Finance Authority Revenue 2.47%, 12/1/25		1,000,000		1,054,690
3.08%, 12/1/34		1,000,000		1,085,970
				2,140,660

See notes to financial statements.

39

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
New Jersey (0.5%):
New Jersey Economic Development Authority Revenue, Series NNN, 3.47%, 6/15/27	$	1,000,000	$	1,066,620
New Jersey Health Care Facilities Financing Authority Revenue, Series A, 3.36%, 7/1/40		1,000,000		1,037,000
New Jersey Transportation Trust Fund Authority Revenue, 4.08%, 6/15/39		385,000		431,978
Rutgers The State University of New Jersey Revenue, Series S, 2.01%, 5/1/32		750,000		738,502
South Jersey Transportation Authority Revenue, Series B, 2.38%, 11/1/27		900,000		902,673
				4,176,773
New York (0.2%):
New York City Industrial Development Agency Revenue, 2.73%, 3/1/34		1,500,000		1,482,735
New York State Dormitory Authority Revenue, Series A, 2.46%, 7/1/32		750,000		769,778
				2,252,513
Oklahoma (0.2%):
Oklahoma Development Finance Authority Revenue, Series C, 5.45%, 8/15/28		500,000		559,020
The University of Oklahoma Revenue, Series C, 2.05%, 7/1/29		1,000,000		1,014,120
				1,573,140
Pennsylvania (0.3%):
Commonwealth Financing Authority Revenue, Series A, 3.63%, 6/1/29		500,000		559,180
Public Parking Authority Of Pittsburgh Revenue, 2.33%, 12/1/29		895,000		870,003
State Public School Building Authority Revenue, 3.15%, 4/1/30		1,290,000		1,385,602
				2,814,785
Texas (0.8%):
City of Houston Airport System Revenue, Series C, 2.09%, 7/1/28		750,000		767,212
City of San Antonio, GO, 1.76%, 2/1/31, Continuously Callable @100		630,000		631,581
Harris County Cultural Education Facilities Finance Corp. Revenue 3.34%, 11/15/37		2,000,000		2,111,180
Series D, 2.28%, 7/1/34		370,000		361,372
North Texas Tollway Authority Revenue, 1.02%, 1/1/25		1,000,000		1,006,460
Tarrant County Cultural Education Facilities Finance Corp. Revenue 1.63%, 9/1/26		525,000		523,173
1.82%, 9/1/27		700,000		695,912
Uptown Development Authority Tax Allocation Series B, 2.58%, 9/1/31		270,000		268,947
Series B, 2.78%, 9/1/33, Continuously Callable @100		500,000		502,090
				6,867,927
Virginia (0.2%):
Virginia Housing Development Authority Revenue Series J, 1.97%, 11/1/28		225,000		229,975
Series J, 2.27%, 11/1/31, Continuously Callable @100		225,000		228,724
Series J, 2.42%, 11/1/32, Continuously Callable @100		275,000		280,596
Series J, 2.47%, 11/1/33, Continuously Callable @100		270,000		274,676
Series J, 2.52%, 11/1/34, Continuously Callable @100		250,000		253,765
Series J, 2.57%, 11/1/35, Continuously Callable @100		300,000		304,035
				1,571,771

See notes to financial statements.

40

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
Washington (0.1%):
Washington State University Revenue, Series A, 2.24%, 10/1/28	$	1,000,000	$	1,033,690
Total Municipal Bonds (Cost $36,691,254)				37,796,628
U.S. Government Agency Mortgages (4.2%)
Federal Home Loan Mortgage Corp. Series K028, Class A2, 3.11%, 2/25/23		1,000,000		1,036,869
Series K059, Class A2, 3.12%, 9/25/26 (d)		1,000,000		1,096,124
Series KIR3, Class A2, 3.28%, 8/25/27		1,500,000		1,674,804
Series K069, Class A2, 3.19%, 9/25/27 (d)		86,000		95,555
Series K071, Class A2, 3.29%, 11/25/27		500,000		557,886
Series K075, Class A2, 3.65%, 2/25/28 (d)		500,000		571,441
Series K087, Class A2, 3.77%, 12/25/28 (e)		500,000		579,307
Series K091, Class A2, 3.51%, 3/25/29		1,250,000		1,430,470
Series K095, Class A2, 2.79%, 6/25/29		1,000,000		1,094,292
Series K097, Class A2, 2.51%, 7/25/29		2,000,000		2,153,706
Series K096, Class A2, 2.52%, 7/25/29		1,000,000		1,077,162
Series KG02, Class A2, 2.41%, 8/25/29		909,000		970,590
Series K100, Class A2, 2.67%, 9/25/29		545,000		593,649
Series K159, Class A2, 3.95%, 11/25/30 (d)		500,000		590,455
3.00%, 3/1/31 – 2/1/33		363,181		383,367
3.50%, 5/1/33 – 11/1/47		2,044,002		2,175,560
Series K-1510, Class A3, 3.79%, 1/25/34		1,000,000		1,206,376
Series K-1512, Class A3, 3.06%, 4/25/34		1,000,000		1,128,693
4.00%, 7/1/42 – 5/1/46		1,487,108		1,616,487
4.50%, 12/1/45		112,057		124,234
				20,157,027
Federal National Mortgage Association Series M4, Class A2, 3.15%, 3/25/28 (d)		500,000		555,173
Series 2019-M1, Class A2, 3.67%, 9/25/28 (d)		750,000		859,938
Series 2019-M12, Class A2, 2.89%, 5/25/29 (d)		1,000,000		1,103,722
2.50%, 11/1/34 (e)		450,965		472,562
4.00%, 12/1/41 – 2/1/50		6,466,291		6,888,463
3.50%, 9/1/45 – 2/1/50		5,721,166		6,056,543
4.50%, 8/1/47		20,989		22,774
3.50%, 9/1/49 (e)		627,136		659,968
3.00%, 2/1/50		849,098		885,029
				17,504,172
Total U.S. Government Agency Mortgages (Cost $35,753,453)				37,661,199
U.S. Treasury Obligations (37.5%)
U.S. Treasury Bonds 4.38%, 2/15/38		750,000		1,031,367
3.50%, 2/15/39 (e)		2,770,000		3,460,769
4.38%, 11/15/39		1,000,000		1,389,687
1.38%, 11/15/40		5,000,000		4,491,406
1.88%, 2/15/41 (e)		6,000,000		5,875,313
2.75%, 8/15/47		500,000		568,438

See notes to financial statements.

41

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Principal Amount		Value
2.75%, 11/15/47 (e)	$	500,000	$	568,906
3.00%, 2/15/48		3,500,000		4,169,922
3.38%, 11/15/48 (e)		2,012,000		2,567,815
1.38%, 8/15/50		7,000,000		5,899,688
1.63%, 11/15/50		2,000,000		1,795,625
1.88%, 2/15/51		4,000,000		3,816,875
U.S. Treasury Inflation Indexed Bonds, 0.88%, 1/15/29		528,670		611,930
U.S. Treasury Notes 1.75%, 7/31/21 (e)		10,000,000		10,013,672
2.75%, 8/15/21		1,700,000		1,705,578
2.88%, 11/15/21		3,630,000		3,667,860
2.50%, 1/15/22		712,000		721,317
1.88%, 1/31/22		1,000,000		1,010,508
1.50%, 1/31/22		7,000,000		7,058,242
2.50%, 2/15/22		2,000,000		2,030,234
1.88%, 2/28/22		1,700,000		1,720,320
2.25%, 4/15/22		2,000,000		2,034,219
0.13%, 5/31/22		5,000,000		5,001,367
0.13%, 6/30/22 (e)		10,000,000		10,002,734
0.13%, 7/31/22		12,500,000		12,502,441
1.50%, 8/15/22		1,000,000		1,015,547
0.13%, 9/30/22 (e)		6,000,000		5,999,297
0.13%, 10/31/22		10,000,000		9,996,875
2.00%, 10/31/22		400,000		409,844
0.13%, 6/30/23		10,000,000		9,976,172
0.13%, 9/15/23		6,000,000		5,978,438
0.13%, 10/15/23		2,500,000		2,489,258
0.25%, 11/15/23		5,000,000		4,992,187
2.00%, 4/30/24		24,550,000		25,643,242
0.25%, 6/15/24		20,000,000		19,878,125
1.50%, 10/31/24		3,000,000		3,095,859
2.75%, 2/28/25		850,000		915,941
3.00%, 9/30/25		300,000		328,406
0.25%, 9/30/25		3,500,000		3,426,172
0.38%, 11/30/25		13,000,000		12,766,406
0.38%, 1/31/26 (e)		4,000,000		3,920,313
1.50%, 8/15/26		2,000,000		2,059,531
1.63%, 10/31/26		5,000,000		5,178,516
2.00%, 11/15/26		2,700,000		2,849,133
0.50%, 6/30/27		2,500,000		2,418,555
2.25%, 8/15/27		1,000,000		1,069,453
2.25%, 11/15/27		1,700,000		1,818,469
0.63%, 11/30/27		13,000,000		12,584,609
0.75%, 1/31/28		10,000,000		9,735,938
2.75%, 2/15/28 (e)		2,000,000		2,203,750
1.25%, 3/31/28		8,000,000		8,032,500
1.25%, 4/30/28		10,000,000		10,034,375
2.88%, 5/15/28		4,000,000		4,443,750
1.25%, 6/30/28		15,000,000		15,025,781
2.88%, 8/15/28		630,000		700,580

See notes to financial statements.

42

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares or Principal Amount		Value
3.13%, 11/15/28 (e)	$	1,000,000	$	1,131,250
2.63%, 2/15/29		1,000,000		1,096,563
0.63%, 5/15/30 (e)		2,500,000		2,337,109
0.63%, 8/15/30		5,000,000		4,659,375
0.88%, 11/15/30		17,000,000		16,168,594
1.13%, 2/15/31		12,000,000		11,653,125
1.63%, 5/15/31		15,000,000		15,234,375
Total U.S. Treasury Obligations (Cost $332,974,899)				334,983,646
Commercial Papers (4.8%)
CenterPoint Energy, Inc., 0.13%, 7/1/21 (a) (h)		7,300,000		7,299,974
Eaton Corp. PLC, 0.13%, 7/6/21 (a) (h)		2,000,000		1,999,956
Enbridge Gas Distribution, 0.13%, 7/7/21 (a) (h)		1,779,000		1,778,954
Glencore Funding LLC, 0.16%, 7/13/21 (a) (h)		6,800,000		6,799,602
Hannover Funding Co. LLC, 0.16%, 7/6/21 (a) (h)		8,000,000		7,999,787
Hyundai Capital America, Inc., 0.10%, 7/6/21 (a) (h)		7,800,000		7,799,869
PacifiCorp, 0.13%, 7/2/21 (a) (h)		4,800,000		4,799,966
Sonoco Products Co., 0.13%, 7/1/21 (a) (h)		4,000,000		3,999,986
Total Commercial Papers (Cost $42,478,095)				42,478,094
Collateral for Securities Loaned^ (0.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (i)		41,450		41,450
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (i)		1,122,746		1,122,746
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (i)		20,686		20,686
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (i)		164,940		164,940
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (i)		741,605		741,605
Total Collateral for Securities Loaned (Cost $2,091,427)				2,091,427
Total Investments (Cost $882,428,697) — 101.3%				905,727,704
Liabilities in excess of other assets — (1.3)%				(11,394,584	)
NET ASSETS — 100.00%			$	894,333,120

^  Purchased with cash collateral from securities on loan.

(a)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $222,248,839 and amounted to 24.9% of net assets.

(b)  Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2021.

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

(d)  The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2021.

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

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

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

See notes to financial statements.

43

Victory Portfolios II
VictoryShares USAA Core Intermediate-Term Bond ETF Schedule of Portfolio Investments — continued
June 30, 2021

(h)  Rate represents the effective yield at June 30, 2021.

(i)  Rate disclosed is the daily yield on June 30, 2021.

bps — Basis points

GO — General Obligation

H15T1Y — 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2021.

H15T5Y — 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2021.

IDA — Industrial Development Authority

LIBOR — London InterBank Offered Rate

LIBOR01M — 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2021, based on the last reset date of the security

LIBOR03M — 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2021, based on the last reset date of the security

LLC — Limited Liability Company

LP — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

SOFR — Secured Overnight Financing Rate

USISDA05 — 5 Year USD ICE Swap

USSW5 — USD 5 Year Swap Rate, rate disclosed as of June 30, 2021.

See notes to financial statements.

44

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares USAA Core Short-Term Bond ETF			VictoryShares USAA Core Intermediate-Term Bond ETF
ASSETS:
Investments, at value (Cost $267,997,849 and $882,428,697)	$	270,811,169	(a)	$	905,727,704	(b)
Cash		3,914,904			11,960,325
Deposit with brokers for futures contracts		—			40,048
Receivables:
Interest and dividends		1,820,149			4,311,168
Investments sold		1,000,000			5,579,118
Prepaid expenses		1,114			3,663
Total Assets		277,547,336			927,622,026
LIABILITIES:
Payables:
Collateral received on loaned securities		743,910			2,091,427
Investments purchased		4,399,521			30,869,952
Accrued expenses and other payables:
Investment advisory fees		55,287			206,281
Administration fees		4,852			14,542
Custodian fees		3,262			6,950
Compliance fees		150			479
Trustees' fees		53			150
Other accrued expenses		44,396			99,125
Total Liabilities		5,251,431			33,288,906
NET ASSETS:
Capital		268,243,527			867,906,822
Total accumulated earnings/(loss)		4,052,378			26,426,298
Net Assets	$	272,295,905		$	894,333,120
Shares Outstanding (unlimited shares authorized, no par value):		5,250,000			16,650,000
Net asset value:	$	51.87		$	53.71

(a)  Includes $729,196 of securities on loan.

(b)  Includes $2,143,893 of securities on loan.

See notes to financial statements.

45

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares USAA Core Short-Term Bond ETF			VictoryShares USAA Core Intermediate-Term Bond ETF
Investment Income:
Interest	$	4,333,730		$	15,111,510
Securities lending (net of fees)		7,311			2,477
Total Income		4,341,041			15,113,987
Expenses:
Investment advisory fees		552,324			1,898,886
Administration fees		127,501			365,650
Sub-Administration fees		20,057			22,252
Custodian fees		14,462			34,148
Servicing fees		17,031			18,736
Trustees' fees		14,695			41,601
Compliance fees		1,682			4,946
Legal and audit fees		26,193			80,507
Other expenses		55,981			106,709
Total Expenses		829,926			2,573,435
Expenses waived/reimbursed by Adviser		(76,367	)		(219,145	)
Net Expenses		753,559			2,354,290
Net Investment Income (Loss)		3,587,482			12,759,697
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		1,090,676			3,145,663
Net change in unrealized appreciation/depreciation on investment securities		1,492,704			(2,477,903	)
Net realized/unrealized gains (losses) on investments		2,583,380			667,760
Change in net assets resulting from operations	$	6,170,862		$	13,427,457

See notes to financial statements.

46

Victory Portfolios II Statements of Changes in Net Asstes

	VictoryShares USAA Core Short-Term Bond ETF									VictoryShares USAA Core Intermediate-Term Bond ETF
	Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019			Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	3,587,482		$	2,048,244		$	1,951,595		$	12,759,697		$	9,078,403		$	6,981,287
Net realized gains (losses) from investments		1,090,676			931,853			10,689			3,145,663			1,312,722			(87,470	)
Net change in unrealized appreciation/ depreciation on investments		1,492,704			143,422			1,644,842			(2,477,903	)		8,268,340			19,861,921
Change in net assets resulting from operations		6,170,862			3,123,519			3,607,126			13,427,457			18,659,465			26,755,738
Change in net assets resulting from distributions to shareholders		(4,553,556	)		(1,884,117	)		(1,927,032	)		(14,839,541	)		(8,484,958	)		(6,792,738	)
Change in net assets resulting from capital transactions		165,678,281			20,187,621			20,020,825			444,955,757			125,758,776			144,189,678
Change in net assets		167,295,587			21,427,023			21,700,919			443,543,673			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	$	272,295,905		$	105,000,318		$	83,573,295		$	894,333,120		$	450,789,447		$	314,856,164
Capital Transactions:
Proceeds from shares issued	$	181,229,714		$	20,187,621		$	20,020,825		$	458,507,492		$	133,241,270		$	144,189,678
Cost of shares redeemed		(15,551,433	)		—			—			(13,551,735	)		(7,482,494	)		—
Change in net assets resulting from capital transactions	$	165,678,281		$	20,187,621		$	20,020,825		$	444,955,757		$	125,758,776		$	144,189,678
Share Transactions:
Issued		3,500,000			400,000			400,000			8,500,000			2,550,000			2,900,000
Redeemed		(300,000	)		—			—			(250,000	)		(150,000	)		—
Change in Shares		3,200,000			400,000			400,000			8,250,000			2,400,000			2,900,000

See notes to financial statements.

47

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
Year Ended June 30, 2021	$	51.22		0.84		0.93			1.77			(0.90	)		(0.22	)
Ten Months Ended June 30, 2020(f)	$	50.65		1.10		0.48			1.58			(1.01	)		—
Year Ended August 31, 2019	$	49.50		1.37		1.13			2.50			(1.35	)		—
October 24, 2017(h) through August 31, 2018	$	50.00		0.93		(0.59	)		0.34			(0.84	)		—
VictoryShares USAA Core Intermediate-Term Bond ETF
Year Ended June 30, 2021	$	53.67		1.08		0.27			1.35			(1.11	)		(0.20	)
Ten Months Ended June 30, 2020(f)	$	52.48		1.21		1.12			2.33			(1.14	)		—
Year Ended August 31, 2019	$	48.61		1.62		3.81			5.43			(1.56	)		—
October 24, 2017(h) through August 31, 2018	$	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)  Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See note 4 in the Notes to Financial Statements)

(f)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.

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

(h)  Commencement of operations.

(i)  Includes impact of voluntary waiver. Without this voluntary waiver, the net expense ratio would have been 0.02% higher.

(j)  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.

48

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
Year Ended June 30, 2021		(1.12	)	$	51.87		3.48	%		0.34	%(e)		1.62	%		0.37	%	$	272,296		80	%
Ten Months Ended June 30, 2020(f)		(1.01	)	$	51.22		3.17	%		0.35	%		2.62	%		0.44	%	$	105,000		72	%(g)
Year Ended August 31, 2019		(1.35	)	$	50.65		5.11	%		0.35	%		2.75	%		0.40	%	$	83,573		30	%
October 24, 2017(h) through August 31, 2018		(0.84	)	$	49.50		0.70	%		0.35	%		2.21	%		0.40	%	$	61,872		22	%
VictoryShares USAA Core Intermediate-Term Bond ETF
Year Ended June 30, 2021		(1.31	)	$	53.71		2.55	%		0.37	%(e)		2.01	%		0.41	%	$	894,333		16	%
Ten Months Ended June 30, 2020(f)		(1.14	)	$	53.67		4.52	%		0.38	%(i)		2.80	%		0.42	%	$	450,789		13	%
Year Ended August 31, 2019		(1.56	)	$	52.48		11.37	%		0.39	%		3.27	%		0.44	%	$	314,856		3	%(j)
October 24, 2017(h) through August 31, 2018		(1.15	)	$	48.61		(0.33	)%		0.40	%		3.10	%		0.45	%	$	150,703		10	%

See notes to financial statements.

49

Victory Portfolios II Notes to Financial Statements
June 30, 2021

1. Organization:

Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 24 funds, 22 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. The accompanying financial statements are those of the following two Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.

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

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. A Fund's 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 under Accounting Standards Codification Topic 946.

Shares of the Funds are listed and traded on the 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"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance 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.

50

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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.

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.

Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.

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

Debt securities are valued each business day by a pricing service approved by the Board. The approved pricing service uses the evaluated bid or the last sale price to value securities. Debt obligations maturing within 60 days may be valued at amortized cost, provided that the amortized cost represents the fair value of such securities. These valuations are typically categorized as Level 2 in the fair value hierarchy.

In the event that price quotations or valuations are not readily available, investments 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. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

A summary of the valuations as of June 30, 2021, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedule of Portfolio Investments:

	Level 1		Level 2		Level 3		Total
USAA Core Short-Term Bond ETF
Asset-Backed Securities	$	—	$	34,013,108	$	—	$	34,013,108
Collateralized Mortgage Obligations		—		3,837,313		—		3,837,313
Senior Secured Loans		—		1,785,162		—		1,785,162
Corporate Bonds		—		127,002,235		—		127,002,235
Yankee Dollars		—		30,723,674		—		30,723,674
Municipal Bonds		—		54,807,013		—		54,807,013
Commercial Papers		—		17,898,754		—		17,898,754
Collateral for Securities Loaned		743,910		—		—		743,910
Total	$	743,910	$	270,067,259	$	—	$	270,811,169
USAA Core Intermediate-Term Bond ETF
Asset-Backed Securities	$	—	$	73,337,319	$	—	$	73,337,319
Collateralized Mortgage Obligations		—		22,222,017		—		22,222,017
Corporate Bonds		—		276,017,926		—		276,017,926
Yankee Dollars		—		79,139,448		—		79,139,448
Municipal Bonds		—		37,796,628		—		37,796,628
U.S. Government Agency Mortgages		—		37,661,199		—		37,661,199
U.S. Treasury Obligations		—		334,983,646		—		334,983,646
Commercial Papers		—		42,478,094		—		42,478,094
Collateral for Securities Loaned		2,091,427		—		—		2,091,427
Total	$	2,091,427	$	903,636,277	$	—	$	905,727,704

For the year ended June 30, 2021, there were no transfers in or out of Level 3 in the fair value hierarchy.

As of June 30, 2021, there were no significant Level 3 holdings in the fair value hierarchy.

Securities Purchased on a Delayed-Delivery or When-Issued Basis:

The Funds may purchase securities on a delayed-delivery or when-issued basis. Delivery and payment for securities that have been purchased by the Fund on a delayed-delivery or when-issued basis, or for delayed draws on loans can take place a month or more after the trade date. 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 Payables 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.

Mortgage- 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

52

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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.

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.

Bank 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.

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.

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

53

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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 a component of Interest income on the Statements of Operations.

The 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. These amounts, if received, are included in Interest income on the Statements of Operations.

Securities Lending:

The Trust has entered into a Master Securities Lending Agreement ("MSLA") with Citibank, N.A. ("Citibank"). 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 Citibank 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 Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them.

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

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2021. 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		Value of Cash		Value of Non-cash Collateral Received by Maturity
	of Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
USAA Core Short-Term Bond ETF	$	729,196	$	729,196	$	—	$	—	$	—	$	—
USAA Core Intermediate-Term Bond ETF		2,143,893		2,091,427		—		—		—		—

*  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.

54

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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

Cross-Trade Transactions:

Pursuant to Rule 17a-7 under the 1940 Act, the Funds may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Adviser and any applicable sub-adviser. Any such purchase or sale transaction must be effected without brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security's last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. For the year ended June 30, 2021, the Fund engaged in the following securities transactions with affiliated funds, which resulted in the following net realized gains (losses):

	Purchases		Sales		Net Realized Gains (Losses)
USAA Core Short-Term Bond ETF	$	525,625	$	500,000	$	—

3. Purchases and Sales:

Cost of purchases and proceeds from sales/maturities of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2021, were as follows:

	Excluding U.S. Government Securities				U.S. Government Securities
	Purchases		Sales		Purchases		Sales
USAA Core Short-Term Bond ETF	$	284,694,573	$	137,696,759	$	—	$	471,395
USAA Core Intermediate-Term Bond ETF		267,226,418		59,937,280		262,587,543		37,989,256

4. Fees and Transactions with Affiliates and Related Parties:

Investment Advisory Fees:

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

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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	%

Amounts incurred and paid to VCM for the year ended June 30, 2021, are reflected on the Statements of Operations as Investment advisory fees.

Administration and Servicing Fees:

VCM serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"). Tiered rates at which VCM is paid by the Funds are shown in the table below:

Net Assets up to $15 billion			Net Assets $15 billion - $30 billion			Net Assets over $30 billion
	0.08	%, plus		0.05	%, plus		0.04	%

Amounts incurred for the year ended June 30, 2021, 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 Fund 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 Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Fund. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Sub-Administration 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 year ended June 30, 2021, are reflected on the Statements of Operations as Compliance fees.

Transfer Agency Fees:

Citibank serves as the Funds' Transfer Agent. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Transfer agent fees.

Distributor/Underwriting Services:

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

Other Fees:

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Custodian 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

56

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

such Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2021, the expense limits (excluding voluntary waivers) are as follows:

	In Effect Until October 31, 2021
USAA Core Short-Term Bond ETF		0.35	%
USAA Core Intermediate-Term Bond ETF		0.40	%

Under the terms of the expense limitation agreement, amended May 1, 2021, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount. Prior to May 1, 2021, the Funds were permitted to recoup fees waived and expenses reimbursed for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the limitations above. This change did not have any effect on the amounts previously reported for recoupment.

As of June 30, 2021, 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 June 30, 2021.

	Expires 2023		Total
USAA Core Short-Term Bond ETF	$	39,059	$	39,059

The Adviser may voluntarily waive or reimburse additional fees to assist the Fund in maintaining competitive expense ratios. These waivers are not available for recoupment and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. The Adviser voluntarily waived the following administration fees during the year ended June 30, 2021.

USAA Core Short-Term Bond ETF	$	76,367
USAA Core Intermediate-Term Bond ETF		219,145

Certain officers and/or interested trustees of the Fund are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.

5. Risks:

The Funds may be subject to other risks in addition to these identified risks.

Debt Securities or Bond Risk — The Funds are subject to the risk that the market value of the bonds in the Funds' portfolios will fluctuate because of changes in interest rates, changes in the supply of and demand for debt securities, and other market factors. Bond prices generally are linked to the prevailing market interest rates. In general, when interest rates rise, bond prices typically fall; conversely, when interest rates fall, bond prices typically rise. The price volatility of a bond also depends on its duration, which is a measure of a bond's sensitivity to a change in interest rates. Generally, the longer the duration of a bond, the greater is its sensitivity to interest rates. To compensate investors for this higher interest rate risk, bonds with longer durations generally offer higher yields than bonds with shorter durations. Should the U.S. Federal Reserve raise interest rates, the Funds may be subject to risks associated with rising interest rates. The fixed-income securities in the Funds' portfolios also are subject to credit risk, which is the possibility that an issuer of a fixedincome security cannot make timely interest and principal payments on its securities or that negative market perceptions of the issuer's ability to make such payments will cause the price of that security to decline. The Funds accept some credit risk as a recognized means to enhance an investor's return.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

High-Yield Bond Risk — Fixed-income securities rated below investment grade, also known as "junk" or high-yield bonds, generally entail greater credit and liquidity risk than investment-grade securities. Their prices also may be more volatile, especially during economic downturns and financial setbacks or liquidity events. The Funds' values could be hurt by price declines due to actual or perceived changes in an issuer's ability to make such payments. These securities are considered by the major rating agencies to be predominantly speculative with respect to the issuer's continuing ability to pay principal and interest, and they carry a greater risk that the issuer of such securities will default on the timely payment of principal and interest. Issuers of securities that are in default or have defaulted may fail to resume principal or interest payments, in which case the Funds may lose their entire investment. The creditworthiness of issuers of these securities may be more complex to analyze than that of issuers of investment-grade debt securities, and the overreliance on credit ratings may present additional risks.

Asset-Backed and Mortgage-Backed Securities Risk — Mortgage- and asset-backed securities ("MBS" or "ABS," respectively) differ from conventional debt securities because principal is paid back over the life of the security rather than at maturity. MBS and ABS are subject to prepayment or call risk, which is the risk that a borrower's payments may be received earlier than expected due to changes in prepayment rates on underlying loans. As a result, the Funds may reinvest these early payments at lower interest rates, thereby reducing the Fund's income. These securities also are subject to extension risk, which is the risk that the life of the ABS or MBS may be extended due to higher interest rates and lower prepayments. As a result, the value of the securities will decrease. The value of MBS can be impacted by factors affecting the housing market, and MBS also are subject to the risk of high default rates on the mortgages within the mortgage pool. The liquidity of non-agency or privately issued ABS or MBS securities, in particular those that are rated as non-investment grade, may change dramatically over time.

6. Borrowing and Interfund Lending:

Line of Credit:

The Victory Funds Complex participate in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2021, with a termination date of June 27, 2022. Under the agreement with Citibank, the Victory Funds Complex 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, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2021, 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. For the period June 29, 2020, through April 30, 2021, under an amended Line of Credit agreement, Citibank received an annual upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the upfront fee. Effective with the renewal, the annual commitment fee of 0.15% remains unchanged and the upfront fee of 0.10% was discontinued. Interest charged to each fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The Funds had no borrowings under the Line of Credit during the year ended June 30, 2021.

7. Federal Income Tax Information:

Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

	Declared	Paid
USAA Core Short-Term Bond ETF	Monthly	Monthly
USAA Core Intermediate-Term Bond ETF	Monthly	Monthly

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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 the Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

As of June 30, 2021, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:

	Total Accumulated Earnings/(Loss)		Capital
USAA Core Short-Term Bond ETF	$	1	$	(1	)

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

	Year Ended June 30, 2021
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	4,110,866	$	442,690	$	4,553,556	$	4,553,556
USAA Core Intermediate-Term Bond ETF		13,763,785		1,075,756		14,839,541		14,839,541
	Period Ended June 30, 2020
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	1,884,117	$	—	$	1,884,117	$	1,884,117
USAA Core Intermediate-Term Bond ETF		8,484,958		—		8,484,958		8,484,958
	Year Ended August 31, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
USAA Core Short-Term Bond ETF	$	1,927,032	$	—	$	1,927,032	$	1,927,032
USAA Core Intermediate-Term Bond ETF		6,792,738		—		6,792,738		6,792,738

As of June 30, 2021, the components of accumulated earnings (loss) on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Earnings		Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Loss)
USAA Core Short-Term Bond ETF	$	800,761	$	438,298	$	1,239,059	$	2,813,319	$	4,052,378
USAA Core Intermediate-Term Bond ETF		1,699,804		1,450,903		3,150,707		23,275,591		26,426,298

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

As of the tax year ended June 30, 2021, the fund had no capital loss carryforwards, for the federal income tax purposes.

59

Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

As of June 30, 2021, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Net Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
USAA Core Short-Term Bond ETF	$	267,997,850	$	3,025,229	$	(211,910	)	$	2,813,319
USAA Core Intermediate-Term Bond ETF		882,452,488		28,393,229		(5,117,638	)		23,275,591

60

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of
Victory Portfolios ll

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA Core Short-Term Bond ETF and VictoryShares USAA Core Intermediate-Term Bond ETF (the "Funds"), each a series of Victory Portfolios ll, as of June 30, 2021, and the related statements of operations for the year ended, and the statements of changes in net assets, the related notes, and financial highlights for the year ended June 30, 2021, for the ten months ended June 30, 2020 and for the year ended August 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of their operations for the year then ended, and the statements of changes in net assets and financial highlights for the year ended June 30, 2021, for the ten months ended June 30, 2020 and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights for the period ended August 31,2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 27, 2021

61

Victory Portfolios II Supplemental Information
June 30, 2021

  (Unaudited)

Trustee and Officer Information

Board of Trustees:

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

The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 24 portfolios in the Trust, eight portfolios in Victory Variable Insurance Funds, and 41 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds and oversees 46 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
Independent Trustees.
David Brooks Adcock, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015)	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

62

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	Vice Chair and Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016- September 2017).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer,* Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

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

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

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

63

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Officers:

The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.

Name and Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser.
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, Born March 1984	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	Anti-Money Laundering Compliance Officer and Identity Theft Officer	May 2015	Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc.
Jay G. Baris, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

64

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

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

Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 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 is available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021, through June 30, 2021.

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 the 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 below are meant to highlight your ongoing costs only and do not reflect any transactional costs. If these transactional costs were included, your costs would have been higher.

	Beginning Account Value 1/1/21		Actual Ending Account Value 6/30/21		Hypothetical Ending Account Value 6/30/21		Actual Expenses Paid During Period 1/1/21- 6/30/21*		Hypothetical Expenses Paid During Period 1/1/21- 6/30/21*		Annualized Expense Ratio During Period 1/1/21- 6/30/21
USAA Core Short-Term Bond ETF	$	1,000.00	$	1,008.60	$	1,023.11	$	1.69	$	1.71		0.34	%
USAA Core Intermediate- Term Bond ETF		1,000.00		992.50		1,022.91		1.88		1.91		0.38	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).

65

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2021, the following Funds designated short-term capital gain distributions:

	Amount
USAA Core Short-Term Bond ETF	$	635,054
USAA Core Intermediate-Term Bond ETF		929,701

For the year ended June 30, 2021, the following Funds designated long-term capital gain distributions:

	Amount
USAA Core Short-Term Bond ETF	$	442,690
USAA Core Intermediate-Term Bond ETF		1,075,756

66

Victory Portfolios II Supplemental Information — continued
June 30, 2021

  (Unaudited)

Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration the Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.

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

At a meeting held on February 18, 2021, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure the Funds are able to meet redemption requests without significant dilution to the remaining investors' interest in the Funds. During the review period, the Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that the Funds reasonably expect to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

67

Privacy Policy

Protecting the Privacy of Information

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

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

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

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

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

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

VS-BOND-ETF-AR (6/21)

June 30, 2021

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

vcm.com

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

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

•  Detailed performance records

•  Daily share prices

•  The latest fund news

•  Investment resources to help you become a better investor

•  A section dedicated to investment professionals

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

Victory Portfolios II

TABLE OF CONTENTS

Shareholder Letter (Unaudited)	3
Managers' Commentary / Investment Overview (Unaudited)	5
Investment Objective and Portfolio Holdings (Unaudited)	13
Schedules of Portfolio Investments
VictoryShares USAA MSCI USA Value Momentum ETF	17
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF	23
VictoryShares USAA MSCI International Value Momentum ETF	36
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF	49
Financial Statements
Statements of Assets and Liabilities	60
Statements of Operations	62
Statements of Changes in Net Assets	64
Financial Highlights	68
Notes to Financial Statements	72
Report of Independent Registered Public Accounting Firm	86
Supplemental Information (Unaudited)	87
Trustee and Officer Information	87
Proxy Voting and Portfolio Holdings Information	90
Expense Examples	90
Additional Federal Income Tax Information	91
Liquidity Risk Management Program	92
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 800-539-3863 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.

The Funds 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 Victory Funds.

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

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

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

Call Victory at:

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

Visit our website at:

www.vcm.com

2

Victory Funds Letter to Shareholders
(Unaudited)

Dear Shareholder,

Never a dull moment. A year ago, we were still coming to grips with a global pandemic, hoping for an effective vaccine, and wondering whether the U.S. Federal Reserve's (the "Fed") aggressive actions would continue to mollify financial markets. As it turns out, a vaccine was rolled out (domestically) faster than expectations, and a recovery that began during the second quarter of 2020 continued unabated.

Fast forward to today and investors are suddenly more concerned about labor shortages, rising commodity prices, and whether inflation will prove to be transitory or more lasting. If anything, this merely exemplifies that markets are unpredictable and the environment can and will change rapidly.

Reflecting on the past year, we must consider ourselves fortunate despite the myriad challenges. For starters, it was impressive how quickly the various forms of monetary and fiscal stimulus contributed to a rebound in GDP. Of course, it wasn't a straight line upward and there were bouts of elevated volatility in both bond and stock markets. Late in 2020, for example, financial markets were alternately fueled and roiled by a contentious election season, growing optimism for an effective vaccine, and a fluid debate regarding the need for even more stimulus. Ultimately, stocks were propelled higher in the fourth quarter of 2020 as it became clear Congress would provide another dose of stimulus in the form of direct payments, more unemployment insurance, and additional aid to businesses.

As we moved into 2021, stocks continued their upward trajectory. Meanwhile, the yield on the 10-Year U.S. Treasury continued rallying sharply as many investors began to shift their focus. Deflation was out; inflation was in. Indeed, the potential for a new era of inflation and higher interest rates seems to be the new worry du jour.

Through all the volatility and surprises, the S&P 500^® Index registered an impressive annual return of 40.79% for the 12-month period ended June 30, 2021. In fact, this broad market index ended the reporting period at an all-time high. Over this same period, the yield on the 10-Year U.S. Treasury jumped 79 basis points (a basis point is 1/100th of a percentage point), reflecting a very low starting rate, substantial fiscal stimulus, and the Fed's ongoing accommodative monetary policy. At the end of the reporting period, the yield on the 10-Year U.S. Treasury was 1.45%.

No doubt, the past year is not one we will forget any time soon. There were many hardships, but we should not overlook the positives and remember our collective spirit and perseverance. Markets endured and even surprised to the upside, but perhaps the key takeaway is that investors need to remain calm in the face of adversity and focused on longer-term investment goals. That's usually the best approach no matter what the markets throw at us.

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

3

From all of us here at Victory Capital, thank you for placing your confidence in us and for letting us help you work toward your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

4

VictoryShares

VictoryShares USAA MSCI USA Value Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

The global financial markets produced healthy returns during the second half of 2020, wrapping up a positive year for the major asset classes. Investors' appetite for risk improved considerably in early November, when the approval of vaccines for COVID-19 raised expectations that the world economy could gradually return to normal in 2021. The conclusion of the U.S. elections, which removed a source of uncertainty that had depressed performance in September and October, was an additional tailwind. The markets were also aided by continued indications that the U.S. Federal Reserve (the "Fed") and other central banks would maintain their highly accommodative policies indefinitely. Not least, an agreement on a new round of U.S. fiscal stimulus further cheered investors in late December. Together, these developments outweighed negative headlines surrounding renewed lockdowns and the persistence of the novel coronavirus.

The first quarter of 2021 proved to be a continuation of the strong equity markets investors experienced over the second half of 2020. Gains from global equity markets were fueled by optimism surrounding the successful rollout of the COVID-19 vaccines coupled with further monetary and fiscal stimulus proposals. Faster-than-expected economic growth produced a meaningful increase in real interest rates, which led to negative returns across most major fixed-income asset classes. The 10-year U.S. Treasury bond yield finished at its highest level of the reporting period climbing from under 1% to 1.74%.

In the second quarter of 2021, equity markets have been consolidating and interest rates have been leveling off after large upswings. With strong first quarter of 2021 Gross Domestic Product and corporate earnings growth in the rearview mirror, investors seem to be contemplating their next move. Equity markets rotated from value to growth leadership as U.S. Treasury bond yields retreated from the highs of March. Inflation data has been increasing as the economy reopens more quickly than expected. The Fed maintains that inflationary pressure is transitory but could become more persistent. The inflationary environment will be a key metric moving into the second half of the year.

How did VictoryShares USAA MSCI USA Value Momentum ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 47.02%, narrowly underperforming its benchmark, MSCI USA Select Value Momentum Blend Index (the "Index"), which returned 47.46% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.

In tracking the Index and its rules-based methodology, the Fund, which provides exposure to U.S. large- and mid-cap stocks with value and momentum characteristics, was positively impacted by double-digit returns across all sectors. The top contributing sectors were Information Technology, Financials, and Industrials, which collectively made up over a third of the portfolio. The lowest contributing sector was Energy due to its low representation in the Fund and the Index. None of the sectors had negative contributions over the evaluation period.

5

VictoryShares

VictoryShares USAA MSCI USA Value Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			MSCI USA Select Value Momentum Blend Index1			MSCI USA Index2
One Year		47.02	%		46.80	%		47.46	%		42.51	%
Since Inception		9.33	%		9.21	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA MSCI USA Value Momentum ETF — Growth of $10,000

¹The MSCI USA Select Value Momentum Blend Index is based on MSCI USA Index, its parent index, which includes large- and mid-cap stocks in the U.S. equity market. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI USA Index is designed to measure the performance of the large- and mid-cap segments of the U.S. market. With 627 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in the United States. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

6

VictoryShares

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

The global financial markets produced healthy returns during the second half of 2020, wrapping up a positive year for the major asset classes. Investors' appetite for risk improved considerably in early November, when the approval of vaccines for COVID-19 raised expectations that the world economy could gradually return to normal in 2021. The conclusion of the U.S. elections, which removed a source of uncertainty that had depressed performance in September and October, was an additional tailwind. The markets were also aided by continued indications that the U.S. Federal Reserve (the "Fed") and other central banks would maintain their highly accommodative policies indefinitely. Not least, an agreement on a new round of U.S. fiscal stimulus further cheered investors in late December. Together, these developments outweighed negative headlines surrounding renewed lockdowns and the persistence of the novel coronavirus.

The first quarter of 2021 proved to be a continuation of the strong equity markets investors experienced over the second half of 2020. Gains from global equity markets were fueled by optimism surrounding the successful rollout of the COVID-19 vaccines coupled with further monetary and fiscal stimulus proposals. Faster-than-expected economic growth produced a meaningful increase in real interest rates, which led to negative returns across most major fixed-income asset classes. The 10-year U.S. Treasury bond yield finished at its highest level of the reporting period climbing from under 1% to 1.74%.

In the second quarter of 2021, equity markets have been consolidating and interest rates have been leveling off after large upswings. With strong first quarter of 2021 Gross Domestic Product and corporate earnings growth in the rearview mirror, investors seem to be contemplating their next move. Equity markets rotated from value to growth leadership as U.S. Treasury bond yields retreated from the highs of March. Inflation data has been increasing as the economy reopens more quickly than expected. The Fed maintains that inflationary pressure is transitory but could become more persistent. The inflationary environment will be a key metric moving into the second half of the year.

How did VictoryShares USAA MSCI USA Small Cap Value Momentum ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 60.47%, narrowly underperforming its benchmark, MSCI USA Select Value Momentum Blend Index (the "Index"), which returned 60.87% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.

In tracking the Index and its rules-based methodology, the Fund, which provides exposure to U.S. small-cap stocks with value and momentum characteristics, was positively impacted by double-digit returns across all sectors. The top contributing sectors were Health Care, Industrials, and Information Technology, which collectively made up approximately half of the portfolio. The lowest contributing sector was Utilities due to its low representation in the Fund and the Index. None of the sectors had negative contributions over the evaluation period.

7

VictoryShares

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			MSCI USA Small Cap Select Value Momentum Blend Index1			MSCI USA Small Cap Index2
One Year		60.47	%		59.90	%		60.87	%		61.58	%
Since Inception		11.97	%		11.84	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA MSCI USA Small Cap Value Momentum ETF — Growth of $10,000

¹The MSCI USA Small Cap Select Value Momentum Blend Index is based on a traditional market cap-weighted parent index, the MSCI USA Small Cap Index, which includes U.S. small-cap stocks. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap-weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI USA Small Cap Index is designed to measure the performance of the small-cap segment of the U.S. equity market. With 1,872 constituents, the index represents approximately 14% of the free float-adjusted market capitalization in the United States. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

8

VictoryShares

VictoryShares USAA MSCI International Value Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

The global financial markets produced healthy returns during the second half of 2020, wrapping up a positive year for the major asset classes. Investors' appetite for risk improved considerably in early November, when the approval of vaccines for COVID-19 raised expectations that the world economy could gradually return to normal in 2021. The conclusion of the U.S. elections, which removed a source of uncertainty that had depressed performance in September and October, was an additional tailwind. The markets were also aided by continued indications that the U.S. Federal Reserve (the "Fed") and other central banks would maintain their highly accommodative policies indefinitely. Not least, an agreement on a new round of U.S. fiscal stimulus further cheered investors in late December. Together, these developments outweighed negative headlines surrounding renewed lockdowns and the persistence of the novel coronavirus.

The first quarter of 2021 proved to be a continuation of the strong equity markets investors experienced over the second half of 2020. Gains from global equity markets were fueled by optimism surrounding the successful rollout of the COVID-19 vaccines coupled with further monetary and fiscal stimulus proposals. Faster-than-expected economic growth produced a meaningful increase in real interest rates, which led to negative returns across most major fixed-income asset classes. The 10-year U.S. Treasury bond yield finished at its highest level of the reporting period climbing from under 1% to 1.74%.

In the second quarter of 2021, equity markets have been consolidating and interest rates have been leveling off after large upswings. With strong first quarter of 2021 Gross Domestic Product and corporate earnings growth in the rearview mirror, investors seem to be contemplating their next move. Equity markets rotated from value to growth leadership as U.S. Treasury bond yields retreated from the highs of March. Inflation data has been increasing as the economy reopens more quickly than expected. The Fed maintains that inflationary pressure is transitory but could become more persistent. The inflationary environment will be a key metric moving into the second half of the year.

How did VictoryShares USAA MSCI International Value Momentum ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 32.66%, underperforming its benchmark, MSCI World ex USA Select Value Momentum Blend Index (the "Index"), which returned 33.28% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.

In tracking the Index and its rules-based methodology, the Fund, which provides exposure to equities in non-U.S. markets with value and momentum characteristics, was positively impacted by double-digit returns across most countries. The Fund's top contributing countries were Japan, the United Kingdom, and France, which collectively made up over a third of the portfolio. The lowest contributing country was New Zealand, which experienced a small negative return over the evaluation period.

9

VictoryShares

VictoryShares USAA MSCI International Value Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			MSCI World ex USA Select Value Momentum Blend Index1			MSCI World ex USA Index (Net)2
One Year		32.66	%		32.55	%		33.28	%		33.60	%
Since Inception		2.43	%		2.37	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA MSCI International Value Momentum ETF — Growth of $10,000

¹The MSCI World ex USA Select Value Momentum Blend Index is based on the MSCI World ex USA (Net) Index, its parent index, which includes large? and mid-cap stocks across 22 of 23 Developed Markets (DM) countries, excluding the United States. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap?weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI World ex USA Index (Net) captures large? and mid?cap representation across 22 of 23 Developed Markets (DM) countries, excluding the United States. With 936 constituents, the index covers approximately 85% of the free float?adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

10

VictoryShares

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the year ended June 30, 2021?

The global financial markets produced healthy returns during the second half of 2020, wrapping up a positive year for the major asset classes. Investors' appetite for risk improved considerably in early November, when the approval of vaccines for COVID-19 raised expectations that the world economy could gradually return to normal in 2021. The conclusion of the U.S. elections, which removed a source of uncertainty that had depressed performance in September and October, was an additional tailwind. The markets were also aided by continued indications that the U.S. Federal Reserve (the "Fed") and other central banks would maintain their highly accommodative policies indefinitely. Not least, an agreement on a new round of U.S. fiscal stimulus further cheered investors in late December. Together, these developments outweighed negative headlines surrounding renewed lockdowns and the persistence of the novel coronavirus.

The first quarter of 2021 proved to be a continuation of the strong equity markets investors experienced over the second half of 2020. Gains from global equity markets were fueled by optimism surrounding the successful rollout of the COVID-19 vaccines coupled with further monetary and fiscal stimulus proposals. Faster-than-expected economic growth produced a meaningful increase in real interest rates, which led to negative returns across most major fixed income asset classes. The 10-year U.S. Treasury bond yield finished at its highest level of the reporting period climbing from under 1% to 1.74%.

In the second quarter of 2021, equity markets have been consolidating and interest rates leveling off after large upswings. With strong first quarter of 2021 Gross Domestic Product and corporate earnings growth in the rearview mirror, investors seem to be contemplating their next move. Equity markets rotated from value to growth leadership as U.S. Treasury bond yields retreated from the highs of March. Inflation data has been increasing as the economy reopens more quickly than expected. The Fed maintains that inflationary pressure is transitory but could become more persistent. The inflationary environment will be a key metric moving into the second half of the year.

How did VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Fund") perform during the year ended June 30, 2021?

The Fund returned 41.48%, underperforming its benchmark, MSCI Emerging Markets Select Value Momentum Blend Index (the "Index"), which returned 41.98% for the period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. The Index is not an investable product; therefore, fees and expenses do not apply.

In tracking the Index and its rules-based methodology, the Fund, which provides exposure to equities in emerging markets with value and momentum characteristics, was positively impacted by strong returns in several Asian countries. The Fund's top contributing countries were South Korea, China, and Taiwan, which collectively made up over half of the portfolio. The lowest contributing country was Malaysia, which has a small representation in both the Fund and the Index.

11

VictoryShares

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2021

INCEPTION DATE	10/24/17			10/24/17
	Net Asset Value			Market Price Value			MSCI Emerging Markets Select Value Momentum Blend Index1			MSCI Emerging Markets Index (Net)2
One Year		41.48	%		40.02	%		41.98	%		40.90	%
Since Inception		3.56	%		3.29	%		NA			NA

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principa value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares USAA MSCI Emerging Markets Value Momentum ETF — Growth of $10,000

¹The MSCI Emerging Markets Select Value Momentum Blend Index is based on the MSCI Emerging Markets Index (Net), its parent index, which includes large? and mid?cap stocks across 24 Emerging Markets (EM) countries. The index is designed to represent the performance of a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index turnover and lower realized volatility than traditional cap?weighted indexes. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

²The MSCI Emerging Markets Index (Net) captures large? and mid?cap representation across 27 Emerging Markets (EM) countries. With 1,412 constituents, the index covers approximately 85% of the free float?adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment in the Fund.

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

Past performance is not indicative of future results.

12

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Public Storage	1.1	%
The J.M. Smucker Co.	1.1	%
Bristol-Myers Squibb Co.	1.0	%
Nucor Corp.	0.9	%
Moderna, Inc.	0.9	%
Target Corp.	0.9	%
The Kroger Co.	0.9	%
Cloudflare, Inc. Class A	0.9	%
Kansas City Southern	0.8	%
Johnson Controls International PLC	0.8	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

13

Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Small Cap Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

National Fuel Gas Co.	0.5	%
J2 Global, Inc.	0.5	%
American National Group, Inc.	0.4	%
Weis Markets, Inc.	0.4	%
Sunnova Energy International, Inc.	0.4	%
Sykes Enterprises, Inc.	0.4	%
Reliance Steel & Aluminum Co.	0.4	%
Equity Commonwealth	0.4	%
Prestige Consumer Healthcare, Inc.	0.4	%
Kulicke & Soffa Industries, Inc.	0.4	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

14

Victory Portfolios II
VictoryShares USAA MSCI International Value Momentum ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI World ex USA Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Wm Morrison Supermarkets PLC	1.3	%
Sofina SA	0.9	%
CK Asset Holdings Ltd.	0.9	%
Koninklijke Ahold Delhaize NV	0.9	%
Deutsche Post AG, Registered Shares	0.8	%
Kesko Oyj, Class B	0.8	%
Jardine Matheson Holdings Ltd.	0.8	%
Sun Hung Kai Properties Ltd.	0.8	%
EQT AB	0.8	%
CK Hutchison Holdings Ltd.	0.8	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

15

Victory Portfolios II
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF June 30, 2021

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund's investment objective seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI Emerging Markets Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2021

(% of Net Assets)

Evergreen Marine Corp. Taiwan Ltd.	2.0	%
Compal Electronics, Inc.	1.0	%
TCS Group Holding PLC	1.0	%
Yuanta Financial Holding Co. Ltd.	1.0	%
Bank of Communications Co. Ltd., Class H	0.9	%
KT&G Corp.	0.9	%
Wan Hai Lines Ltd.	0.9	%
Bank of China Ltd., Class H	0.9	%
Asustek Computer, Inc.	0.9	%
SK Telecom Co. Ltd.	0.8	%

Sector Allocation*:

June 30, 2021

(% of Net Assets)

* Does not include futures contracts, 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.

16

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments
June 30, 2021

Security Description	Shares		Value
Common Stocks (99.3%)
Communication Services (5.2%):
AT&T, Inc.		67,066	$	1,930,159
Discovery, Inc., Class A (a) (b)		57,857		1,775,053
DISH Network Corp., Class A (a)		25,411		1,062,180
IAC/InterActiveCorp. (a)		9,305		1,434,552
Liberty Global PLC, Class C (a)		110,895		2,998,601
Lumen Technologies, Inc.		203,029		2,759,164
News Corp., Class A		115,235		2,969,606
Omnicom Group, Inc.		20,553		1,644,034
Pinterest, Inc., Class A (a)		14,074		1,111,142
The Interpublic Group of Cos., Inc.		41,743		1,356,230
T-Mobile U.S., Inc. (a)		14,634		2,119,442
ViacomCBS, Inc., Class B		42,978		1,942,606
				23,102,769
Consumer Discretionary (8.3%):
Best Buy Co., Inc.		10,325		1,187,169
BorgWarner, Inc.		52,454		2,546,117
Caesars Entertainment, Inc. (a)		6,900		715,875
Chewy, Inc., Class A (a) (b)		9,786		780,042
D.R. Horton, Inc.		29,472		2,663,385
eBay, Inc.		23,718		1,665,241
Ford Motor Co. (a)		196,040		2,913,154
General Motors Co. (a)		40,987		2,425,201
L Brands, Inc.		11,195		806,712
Lear Corp.		13,580		2,380,302
Lennar Corp., Class A		24,047		2,389,070
LKQ Corp. (a)		26,901		1,324,067
Mohawk Industries, Inc. (a)		9,011		1,731,824
Newell Brands, Inc.		85,396		2,345,828
Peloton Interactive, Inc., Class A (a)		7,696		954,458
PulteGroup, Inc.		38,960		2,126,047
Target Corp. (c)		15,910		3,846,083
Tesla, Inc. (a)		2,226		1,513,012
Whirlpool Corp.		11,041		2,407,159
				36,720,746
Consumer Staples (6.9%):
Archer-Daniels-Midland Co.		31,101		1,884,721
Bunge Ltd.		40,981		3,202,665
Conagra Brands, Inc.		41,796		1,520,539
Keurig Dr Pepper, Inc.		64,042		2,256,840
Molson Coors Beverage Co., Class B (a) (b)		58,035		3,115,899
The J.M. Smucker Co. (b)		36,430		4,720,235
The Kraft Heinz Co.		78,377		3,196,214
The Kroger Co.		100,082		3,834,141
Tyson Foods, Inc., Class A		47,688		3,517,467
Walgreens Boots Alliance, Inc.		57,590		3,029,810
				30,278,531

See notes to financial statements.

17

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Energy (2.2%):
Baker Hughes Co.		44,557	$	1,019,018
Devon Energy Corp.		67,789		1,978,761
EOG Resources, Inc.		12,852		1,072,371
Exxon Mobil Corp.		25,910		1,634,403
Pioneer Natural Resources Co.		15,260		2,480,055
The Williams Cos., Inc.		58,731		1,559,308
				9,743,916
Financials (12.9%):
AGNC Investment Corp.		151,348		2,556,268
Ally Financial, Inc.		39,598		1,973,564
American Financial Group, Inc.		9,861		1,229,864
American International Group, Inc.		45,505		2,166,038
Ameriprise Financial, Inc.		5,186		1,290,692
Annaly Capital Management, Inc.		131,287		1,165,829
Athene Holding Ltd., Class A (a)		31,803		2,146,703
Bank of America Corp.		34,450		1,420,373
Capital One Financial Corp.		14,760		2,283,224
Citigroup, Inc.		34,461		2,438,116
Citizens Financial Group, Inc.		49,708		2,280,106
Equitable Holdings, Inc.		89,674		2,730,573
Fifth Third Bancorp		30,138		1,152,176
Franklin Resources, Inc. (b)		94,878		3,035,147
Huntington Bancshares, Inc.		73,982		1,055,723
Invesco Ltd.		88,344		2,361,435
KKR & Co., Inc.		26,261		1,555,702
Lincoln National Corp.		24,637		1,548,189
Loews Corp.		28,960		1,582,664
MetLife, Inc.		41,524		2,485,211
Morgan Stanley		34,358		3,150,285
Prudential Financial, Inc.		25,719		2,635,426
Raymond James Financial, Inc.		11,666		1,515,413
Regions Financial Corp.		101,945		2,057,250
SVB Financial Group (a)		3,944		2,194,560
Synchrony Financial		24,228		1,175,543
The Charles Schwab Corp.		21,265		1,548,305
The Goldman Sachs Group, Inc.		8,408		3,191,088
Wells Fargo & Co.		28,263		1,280,031
				57,205,498
Health Care (16.3%):
10X Genomics, Inc., Class A (a)		17,734		3,472,672
AbbVie, Inc.		31,123		3,505,695
Alexion Pharmaceuticals, Inc. (a)		15,513		2,849,893
AmerisourceBergen Corp.		15,884		1,818,559
Biogen, Inc. (a)		3,586		1,241,724
Bio-Rad Laboratories, Inc., Class A (a)		2,488		1,602,994
Bio-Techne Corp.		4,254		1,915,406
Bristol-Myers Squibb Co.		64,007		4,276,948
Cardinal Health, Inc.		26,838		1,532,181

See notes to financial statements.

18

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Centene Corp. (a)		39,370	$	2,871,254
Charles River Laboratories International, Inc. (a)		4,598		1,700,892
Cigna Corp.		12,127		2,874,948
CVS Health Corp.		40,434		3,373,813
Danaher Corp.		8,191		2,198,137
DaVita, Inc. (a)		24,498		2,950,294
Gilead Sciences, Inc. (c)		27,475		1,891,929
HCA Healthcare, Inc.		6,140		1,269,384
Horizon Therapeutics PLC (a)		25,383		2,376,864
Jazz Pharmaceuticals PLC (a)		18,092		3,213,863
Laboratory Corp. of America Holdings (a)		10,927		3,014,213
McKesson Corp.		15,916		3,043,776
Moderna, Inc. (a)		17,186		4,038,366
Molina Healthcare, Inc. (a)		9,170		2,320,560
Novavax, Inc. (a) (b)		4,939		1,048,599
Novocure Ltd. (a)		4,670		1,035,899
PerkinElmer, Inc.		11,471		1,771,237
Quest Diagnostics, Inc.		13,161		1,736,857
Thermo Fisher Scientific, Inc.		3,742		1,887,727
Universal Health Services, Inc., Class B		8,636		1,264,570
Viatris, Inc.		152,053		2,172,837
West Pharmaceutical Services, Inc.		5,602		2,011,678
				72,283,769
Industrials (15.1%):
AMERCO, Inc.		5,905		3,480,407
Carrier Global Corp.		71,469		3,473,393
Cummins, Inc.		6,653		1,622,068
Deere & Co.		8,300		2,927,493
Eaton Corp. PLC		23,952		3,549,207
Enphase Energy, Inc. (a)		3,222		591,656
FedEx Corp.		9,497		2,833,240
Fortune Brands Home & Security, Inc.		11,072		1,102,882
Generac Holdings, Inc. (a)		8,430		3,499,715
General Dynamics Corp.		9,233		1,738,205
General Electric Co.		86,318		1,161,840
Ingersoll Rand, Inc. (a) (c)		27,973		1,365,362
Jacobs Engineering Group, Inc.		11,994		1,600,240
Johnson Controls International PLC		54,164		3,717,275
Kansas City Southern		13,210		3,743,318
Knight-Swift Transportation Holdings, Inc.		64,505		2,932,397
Owens Corning, Inc.		24,515		2,400,019
PACCAR, Inc.		17,268		1,541,169
Parker-Hannifin Corp.		4,381		1,345,449
Plug Power, Inc. (a)		27,765		949,285
Raytheon Technologies Corp.		16,319		1,392,174
Robert Half International, Inc.		16,914		1,504,839
Sensata Technologies Holding PLC (a)		21,446		1,243,225
Snap-on, Inc.		13,715		3,064,342
Stanley Black & Decker, Inc.		6,236		1,278,318
Textron, Inc.		40,311		2,772,187

See notes to financial statements.

19

Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Trane Technologies PLC		9,798	$	1,804,204
United Parcel Service, Inc., Class B		17,800		3,701,866
United Rentals, Inc. (a)		6,632		2,115,674
Westinghouse Air Brake Technologies Corp.		29,068		2,392,296
				66,843,745
Information Technology (16.5%):
Apple, Inc.		11,768		1,611,745
Applied Materials, Inc.		19,537		2,782,069
Arrow Electronics, Inc. (a)		26,846		3,055,880
Broadcom, Inc.		2,886		1,376,160
Cisco Systems, Inc.		39,727		2,105,531
Cloudflare, Inc., Class A (a)		35,957		3,805,689
Corning, Inc.		34,751		1,421,316
Crowdstrike Holdings, Inc., Class A (a)		12,935		3,250,695
Dell Technologies, Inc., Class C (a)		31,506		3,140,203
F5 Networks, Inc. (a)		17,331		3,235,004
Hewlett Packard Enterprise Co.		185,001		2,697,315
HP, Inc.		89,904		2,714,202
Intel Corp.		52,713		2,959,308
Juniper Networks, Inc.		73,591		2,012,714
Lam Research Corp.		1,946		1,266,262
Micron Technology, Inc. (a)		27,180		2,309,756
NetApp, Inc.		37,721		3,086,332
NXP Semiconductors NV		14,115		2,903,738
ON Semiconductor Corp. (a)		29,274		1,120,609
Oracle Corp.		31,380		2,442,619
Palantir Technologies, Inc., Class A (a)		69,899		1,842,538
PayPal Holdings, Inc. (a)		4,803		1,399,978
Qorvo, Inc. (a)		15,807		3,092,640
Seagate Technology Holdings PLC		34,509		3,034,376
Skyworks Solutions, Inc.		9,018		1,729,202
Synopsys, Inc. (a)		5,628		1,552,146
TE Connectivity Ltd.		12,240		1,654,970
Teradyne, Inc.		17,573		2,354,079
Trimble, Inc. (a)		18,253		1,493,643
Western Digital Corp. (a)		26,650		1,896,681
Zebra Technologies Corp. (a)		2,878		1,523,872
Zoom Video Communications, Inc., Class A (a)		2,916		1,128,579
Zscaler, Inc. (a)		5,798		1,252,716
				73,252,567
Materials (5.8%):
Albemarle Corp.		13,822		2,328,454
Corteva, Inc.		62,685		2,780,080
DuPont de Nemours, Inc.		18,387		1,423,338
Eastman Chemical Co.		21,733		2,537,328
Freeport-McMoRan, Inc.		52,518		1,948,943
International Paper Co.		29,558		1,812,201
LyondellBasell Industries NV, Class A		10,438		1,073,757
Nucor Corp.		42,116		4,040,188

See notes to financial statements.

20

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June 30, 2021

Security Description	Shares		Value
Steel Dynamics, Inc.		53,132	$	3,166,667
The Mosaic Co.		59,281		1,891,657
Westrock Co.		47,080		2,505,597
				25,508,210
Real Estate (6.2%):
Camden Property Trust		13,973		1,853,798
CBRE Group, Inc., Class A (a)		32,467		2,783,396
Extra Space Storage, Inc.		12,890		2,111,640
Host Hotels & Resorts, Inc. (a)		77,196		1,319,280
Iron Mountain, Inc. (b)		80,420		3,403,374
Mid-America Apartment Communities, Inc.		20,136		3,391,305
Public Storage		16,490		4,958,378
Regency Centers Corp.		17,872		1,145,059
Simon Property Group, Inc.		13,924		1,816,804
VEREIT, Inc.		25,986		1,193,537
VICI Properties, Inc. (b)		82,267		2,551,922
Weyerhaeuser Co.		31,669		1,090,047
				27,618,540
Utilities (3.9%):
Exelon Corp.		81,580		3,614,810
NRG Energy, Inc.		79,762		3,214,408
PG&E Corp. (a)		116,648		1,186,310
The AES Corp.		107,498		2,802,473
UGI Corp.		79,970		3,703,411
Vistra Corp.		156,393		2,901,090
				17,422,502
Total Common Stocks (Cost $357,469,582)				439,980,793
Collateral for Securities Loaned^ (1.6%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (d)		140,633		140,633
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (d)		3,809,294		3,809,294
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (d)		70,183		70,183
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (d)		559,616		559,616
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (d)		2,516,143		2,516,143
Total Collateral for Securities Loaned (Cost $7,095,869)				7,095,869
Total Investments (Cost $364,565,451) — 100.9%				447,076,662
Liabilities in excess of other assets — (0.9)%				(3,863,298	)
NET ASSETS — 100.00%			$	443,213,364

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

(d)  Rate disclosed is the daily yield on June 30, 2021.

See notes to financial statements.

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June 30, 2021

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		13	9/17/21	$	2,741,402	$	2,787,590	$	46,188
Total unrealized appreciation								$	46,188
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	46,188

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Biotechnology (7.1%):
Allakos, Inc. (a) (b)		2,267	$	193,534
Arcturus Therapeutics Holdings, Inc. (a)		4,448		150,520
Arcus Biosciences, Inc. (a)		9,044		248,348
Arena Pharmaceuticals, Inc. (a)		4,442		302,944
Arrowhead Pharmaceuticals, Inc. (a)		2,823		233,801
Avid Bioservices, Inc. (a)		11,283		289,409
Beam Therapeutics, Inc. (a)		7,100		913,841
CareDx, Inc. (a)		6,690		612,269
Castle Biosciences, Inc. (a)		8,474		621,398
Catalyst Pharmaceuticals, Inc. (a)		110,483		635,277
Celldex Therapeutics, Inc. (a)		17,515		585,702
CRISPR Therapeutics AG (a)		1,694		274,242
Curis, Inc. (a) (b)		14,917		120,380
Denali Therapeutics, Inc. (a)		9,308		730,120
DermTech, Inc. (a) (b)		8,225		341,913
Emergent BioSolutions, Inc. (a)		8,250		519,668
Exelixis, Inc. (a)		30,969		564,255
Fate Therapeutics, Inc. (a)		2,318		201,179
Frequency Therapeutics, Inc. (a)		5,758		57,350
Halozyme Therapeutics, Inc. (a)		19,122		868,330
Humanigen, Inc. (a) (b)		15,391		267,496
IGM Biosciences, Inc. (a)		3,117		259,334
ImmunityBio, Inc. (a)		13,536		193,294
Intellia Therapeutics, Inc. (a)		6,885		1,114,750
Kodiak Sciences, Inc. (a)		2,106		195,858
Ligand Pharmaceuticals, Inc. (a)		4,971		652,146
Morphic Holding, Inc. (a)		6,219		356,908
Myriad Genetics, Inc. (a)		17,107		523,132
Natera, Inc. (a)		6,144		697,528
Ocugen, Inc. (a) (b)		26,105		209,623
OPKO Health, Inc. (a)		103,754		420,204
Organogenesis Holdings, Inc. (a)		17,001		282,557
Repligen Corp. (a)		4,483		894,897
Rubius Therapeutics, Inc. (a)		11,131		271,708
Scholar Rock Holding Corp. (a)		5,833		168,574
Seres Therapeutics, Inc. (a) (b)		9,441		225,168
Sorrento Therapeutics, Inc. (a) (b)		50,470		489,054
SpringWorks Therapeutics, Inc. (a)		3,452		284,479
Stoke Therapeutics, Inc. (a)		5,124		172,474
TG Therapeutics, Inc. (a)		11,657		452,175
Translate Bio, Inc. (a)		17,030		469,006
Turning Point Therapeutics, Inc. (a)		2,352		183,503
Twist Bioscience Corp. (a)		5,052		673,179
United Therapeutics Corp. (a)		6,490		1,164,371
Vanda Pharmaceuticals, Inc. (a)		41,042		882,813
Vaxart, Inc. (a) (b)		34,924		261,581

See notes to financial statements.

23

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June 30, 2021

Security Description	Shares		Value
Veracyte, Inc. (a)		11,436	$	457,211
Vericel Corp. (a)		10,604		556,710
				21,244,213
Communication Services (3.6%):
AMC Networks, Inc., Class A (a)		15,710		1,049,428
Bandwidth, Inc., Class A (a)		2,128		293,494
Cardlytics, Inc. (a)		2,299		291,812
Cars.com, Inc. (a)		18,214		261,007
Consolidated Communications Holdings, Inc. (a)		51,215		450,180
Entercom Communications Corp. (a)		53,966		232,594
Gannett Co., Inc. (a)		43,256		237,475
Globalstar, Inc. (a) (b)		266,010		473,498
Gogo, Inc. (a)		15,114		171,997
Gray Television, Inc.		32,744		766,210
iHeartMedia, Inc., Class A (a)		14,115		380,117
Iridium Communications, Inc. (a)		8,074		322,879
Lions Gate Entertainment Corp., Class A (a)		39,939		826,737
Meredith Corp. (a)		7,026		305,209
MSG Networks, Inc., Class A (a)		26,638		388,382
ORBCOMM, Inc. (a) (b)		20,045		225,306
QuinStreet, Inc. (a)		13,342		247,894
TechTarget, Inc. (a)		9,508		736,775
TEGNA, Inc.		20,744		389,157
Telephone & Data Systems, Inc.		41,509		940,594
The EW Scripps Co., Class A		12,945		263,949
United States Cellular Corp. (a)		25,194		914,794
Zynga, Inc., Class A (a)		50,106		532,627
				10,702,115
Consumer Discretionary (12.0%):
Abercrombie & Fitch Co. (a)		16,565		769,113
American Eagle Outfitters, Inc.		21,175		794,698
American Public Education, Inc. (a)		29,067		823,759
Asbury Automotive Group, Inc. (a)		1,656		283,789
At Home Group, Inc. (a)		15,254		561,957
AutoNation, Inc. (a)		8,887		842,576
Bed Bath & Beyond, Inc. (a)		17,376		578,447
Big Lots, Inc.		8,583		566,564
Blink Charging Co. (a) (b)		9,705		399,555
Camping World Holdings, Inc., Class A (b)		4,957		203,187
Capri Holdings Ltd. (a)		9,876		564,808
CarParts.com, Inc. (a)		10,989		223,736
Century Communities, Inc.		7,514		499,982
Citi Trends, Inc. (a)		2,785		242,295
Dana, Inc.		22,436		533,079
Dick's Sporting Goods, Inc.		7,918		793,304
Dillard's, Inc., Class A (b)		5,404		977,476
Ethan Allen Interiors, Inc.		35,373		976,295
Foot Locker, Inc.		11,944		736,109
Funko, Inc., Class A (a) (b)		9,267		197,202

See notes to financial statements.

24

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June 30, 2021

Security Description	Shares		Value
GameStop Corp., Class A (a)		1,243	$	266,176
Genesco, Inc. (a)		9,086		578,596
G-III Apparel Group Ltd. (a)		14,627		480,643
Graham Holdings Co., Class B		1,820		1,153,698
Green Brick Partners, Inc. (a)		31,779		722,654
Group 1 Automotive, Inc.		3,532		545,447
GrowGeneration Corp. (a)		12,847		617,941
Haverty Furniture Cos., Inc. (b)		20,602		880,942
Hibbett, Inc. (a)		7,769		696,335
Hovnanian Enterprises, Inc., Class A (a)		1,834		194,936
Johnson Outdoors, Inc., Class A		3,244		392,524
KB Home		13,319		542,350
Kohl's Corp. (c)		8,452		465,790
Lithia Motors, Inc., Class A		1,749		601,026
M/I Homes, Inc. (a)		9,221		540,996
Macy's, Inc. (a)		14,001		265,459
Magnite, Inc. (a)		12,942		437,957
MarineMax, Inc. (a) (b)		11,251		548,374
MDC Holdings, Inc.		12,918		653,651
Meritage Homes Corp. (a)		6,495		611,050
Modine Manufacturing Co. (a)		13,631		226,138
Movado Group, Inc.		8,944		281,468
Nautilus, Inc. (a) (b)		7,753		130,638
Penske Automotive Group, Inc.		5,404		407,948	��
Perdoceo Education Corp. (a) (b)		33,939		416,432
PVH Corp. (a)		2,833		304,802
Qurate Retail, Inc., Class A		46,717		611,526
Rent-A-Center, Inc.		12,624		669,956
Shoe Carnival, Inc.		5,275		377,637
Signet Jewelers Ltd. (a) (b)		8,624		696,733
Smith & Wesson Brands, Inc.		33,169		1,150,964
Sonos, Inc. (a)		8,811		310,412
Sportsman's Warehouse Holdings, Inc. (a)		17,101		303,885
Stitch Fix, Inc., Class A (a)		2,787		168,056
Taylor Morrison Home Corp. (a)		18,305		483,618
Tenneco, Inc., Class A (a)		38,789		749,403
The Buckle, Inc. (b)		9,999		497,450
The Container Store Group, Inc. (a)		16,931		220,780
The Goodyear Tire & Rubber Co. (a)		52,421		899,020
The Lovesac Co. (a)		3,890		310,383
The ODP Corp. (a)		12,604		605,118
Toll Brothers, Inc.		11,535		666,838
Tri Pointe Homes, Inc. (a)		28,971		620,849
Tupperware Brands Corp. (a)		15,053		357,509
Vista Outdoor, Inc. (a)		13,768		637,183
Vuzix Corp. (a) (b)		14,401		264,258
Winnebago Industries, Inc.		4,405		299,364
Zumiez, Inc. (a)		13,496		661,169
				36,094,013

See notes to financial statements.

25

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June 30, 2021

Security Description	Shares		Value
Consumer Staples (2.9%):
B&G Foods, Inc. (b)		13,629	$	447,031
Celsius Holdings, Inc. (a)		8,340		634,591
Central Garden & Pet Co., Class A (a)		9,048		437,018
Coty, Inc., Class A (a) (c)		25,197		235,340
Darling Ingredients, Inc. (a)		12,202		823,635
Edgewell Personal Care Co.		13,019		571,534
Fresh Del Monte Produce, Inc.		25,685		844,523
Ingles Markets, Inc., Class A (b)		18,760		1,093,145
National Beverage Corp. (b)		6,682		315,591
SpartanNash Co.		31,010		598,803
The Andersons, Inc.		26,223		800,588
United Natural Foods, Inc. (a)		14,924		551,890
Weis Markets, Inc. (b) (c)		25,165		1,300,024
				8,653,713
Energy (3.0%):
Alto Ingredients, Inc. (a) (b)		74,110		452,812
Antero Resources Corp. (a)		42,505		638,850
Bonanza Creek Energy, Inc.		17,433		820,571
Callon Petroleum Co. (a)		5,858		337,948
Centennial Resource Development, Inc., Class A (a)		47,970		325,237
Clean Energy Fuels Corp. (a) (b)		42,857		434,999
CNX Resources Corp. (a)		21,087		288,048
Dorian LPG Ltd. (a)		54,914		775,386
EQT Corp. (a)		15,373		342,203
Gevo, Inc. (a) (b)		33,039		240,194
Green Plains, Inc. (a)		9,260		311,321
Helix Energy Solutions Group, Inc. (a)		90,151		514,762
International Seaways, Inc.		32,857		630,197
Northern Oil and Gas, Inc.		14,115		293,169
PDC Energy, Inc.		14,573		667,298
Range Resources Corp. (a)		22,362		374,787
Renewable Energy Group, Inc. (a)		2,570		160,214
SM Energy Co.		12,261		301,988
Southwestern Energy Co. (a)		57,933		328,480
Transocean Ltd. (a)		117,499		531,095
U.S. Silica Holdings, Inc. (a)		18,993		219,559
				8,989,118
Financials (14.2%):
Affiliated Managers Group, Inc.		5,879		906,601
American Equity Investment Life Holding Co.		16,222		524,295
American National Group, Inc.		9,016		1,339,327
Ameris Bancorp		8,711		441,038
Assured Guaranty Ltd.		15,880		753,982
B Riley Financial, Inc.		12,414		937,257
Bank OZK		9,755		411,271
BankUnited, Inc.		10,058		429,376
Boston Private Financial Holdings, Inc.		50,078		738,651
Brighthouse Financial, Inc. (a)		12,155		553,539

See notes to financial statements.

26

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June 30, 2021

Security Description	Shares		Value
Brightsphere Investment Group, Inc.		16,870	$	395,264
BrightSpire Capital, Inc.		23,838		224,077
Cadence Bancorp		26,872		561,087
Chimera Investment Corp.		27,786		418,457
CIT Group, Inc.		10,558		544,687
CNO Financial Group, Inc.		17,663		417,200
Cowen, Inc., Class A (b)		18,016		739,557
Customers Bancorp, Inc.		23,705		924,258
Donnelley Financial Solutions, Inc. (a)		11,106		366,498
Encore Capital Group, Inc. (a)		13,276		629,150
Enova International, Inc. (a)		7,191		246,004
Enstar Group Ltd. (a)		2,840		678,533
Evercore, Inc.		3,402		478,900
First BanCorp/Puerto Rico		32,823		391,250
First Citizens BancShares, Inc., Class A (b)		1,154		960,982
Flagstar Bancorp, Inc.		18,495		781,784
Flushing Financial Corp.		17,420		373,311
FNB Corp.		71,017		875,640
Freedom Holding Corp. (a) (b)		15,919		1,037,123
Genworth Financial, Inc. (a)		155,819		607,694
Goosehead Insurance, Inc., Class A		2,672		340,146
Granite Point Mortgage Trust, Inc.		38,246		564,128
Great Western Bancorp, Inc.		10,644		349,017
Hancock Whitney Corp.		8,783		390,317
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		6,207		348,523
HarborOne Bancorp, Inc.		41,533		595,583
Heritage Insurance Holdings, Inc.		101,976		874,954
Hilltop Holdings, Inc.		26,050		948,220
Hope Bancorp, Inc.		27,627		391,751
Independent Bank Group, Inc.		5,141		380,331
Janus Henderson Group PLC		25,977		1,008,167
Jefferies Financial Group, Inc.		28,678		980,788
Live Oak Bancshares, Inc.		11,285		665,815
Meta Financial Group, Inc.		16,311		825,826
MFA Financial, Inc.		51,505		236,408
MGIC Investment Corp.		48,683		662,089
Midland States Bancorp, Inc.		16,542		434,558
Mr. Cooper Group, Inc. (a)		16,607		549,027
National Western Life Group, Inc., Class A		3,562		799,277
Navient Corp.		44,576		861,654
New Residential Investment Corp.		25,609		271,199
OFG Bancorp		14,211		314,347
OneMain Holdings, Inc.		5,342		320,039
PacWest Bancorp		7,188		295,858
Pennymac Financial Services		10,227		631,210
Pinnacle Financial Partners, Inc.		10,026		885,196
Popular, Inc.		12,037		903,377
Radian Group, Inc.		16,884		375,669
Ready Capital Corp.		21,097		334,809
Renasant Corp. (b)		13,058		522,320

See notes to financial statements.

27

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June 30, 2021

Security Description	Shares		Value
Signature Bank		1,646	$	404,340
Silvergate Capital Corp., Class A (a)		4,414		500,194
SiriusPoint Ltd. (a)		90,449		910,821
SLM Corp.		50,091		1,048,906
Sterling Bancorp		28,583		708,573
Triumph Bancorp, Inc. (a)		5,638		418,621
Trupanion, Inc. (a)		2,845		327,459
Unum Group		23,100		656,040
Virtus Investment Partners, Inc.		2,782		772,756
Watford Holdings Ltd. (a)		23,842		834,232
Western Alliance Bancorp		3,624		336,488
				42,665,826
Health Care Equipment & Supplies (5.7%):
AngioDynamics, Inc. (a)		39,183		1,063,035
Anika Therapeutics, Inc. (a) (b)		9,193		397,965
AtriCure, Inc. (a)		12,501		991,704
Avanos Medical, Inc. (a)		7,654		278,376
BioLife Solutions, Inc. (a)		16,407		730,276
CONMED Corp.		2,690		369,687
CryoPort, Inc. (a) (b)		9,033		569,982
Envista Holdings Corp. (a)		14,310		618,335
Establishment Labs Holdings, Inc. (a)		4,195		366,391
Globus Medical, Inc. (a)		7,356		570,311
Heska Corp. (a)		4,257		977,961
Hill-Rom Holdings, Inc.		5,726		650,416
Integer Holdings Corp. (a)		8,662		815,960
Integra LifeSciences Holdings Corp. (a)		14,242		971,874
Lantheus Holdings, Inc. (a)		16,286		450,145
LeMaitre Vascular, Inc. (b)		17,168		1,047,591
Meridian Bioscience, Inc. (a)		26,494		587,637
Merit Medical Systems, Inc. (a)		14,858		960,718
Natus Medical, Inc. (a)		15,418		400,560
OraSure Technologies, Inc. (a) (b)		53,666		544,173
Orthofix Medical, Inc. (a)		10,696		429,017
Penumbra, Inc. (a) (b)		1,419		388,891
Quidel Corp. (a)		4,089		523,883
Shockwave Medical, Inc. (a)		4,173		791,743
STAAR Surgical Co. (a)		5,221		796,203
Varex Imaging Corp. (a)		15,465		414,771
Zynex, Inc. (a) (b)		16,360		254,071
				16,961,676
Health Care Providers & Services (5.9%):
Acadia Healthcare Co., Inc. (a)		10,129		635,595
Addus HomeCare Corp. (a)		8,713		760,122
Amedisys, Inc. (a)		1,823		446,507
AMN Healthcare Services, Inc. (a)		9,975		967,375
Chemed Corp.		1,379		654,335
CorVel Corp. (a)		4,548		610,796
Covetrus, Inc. (a)		19,207		518,589

See notes to financial statements.

28

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June 30, 2021

Security Description	Shares		Value
Encompass Health Corp.		12,372	$	965,387
Fulgent Genetics, Inc. (a)		4,726		435,879
LHC Group, Inc. (a)		5,625		1,126,462
Magellan Health, Inc. (a)		8,453		796,273
MEDNAX, Inc. (a)		20,423		615,753
ModivCare, Inc. (a)		5,951		1,012,087
National HealthCare Corp. (c)		8,064		563,674
Ontrak, Inc. (a)		2,910		94,517
Owens & Minor, Inc.		15,936		674,571
Patterson Cos., Inc. (c)		12,143		369,026
Premier, Inc., Class A		29,896		1,040,082
Progyny, Inc. (a)		5,514		325,326
R1 RCM, Inc. (a)		30,555		679,543
Select Medical Holdings Corp.		20,414		862,696
Surgery Partners, Inc. (a)		10,506		699,910
Tenet Healthcare Corp. (a)		8,094		542,217
The Ensign Group, Inc.		9,867		855,173
The Joint Corp. (a)		6,563		550,767
The Pennant Group, Inc. (a)		5,488		224,459
Tivity Health, Inc. (a) (b)		9,192		241,842
Triple-S Management Corp., Class B (a)		24,753		551,249
				17,820,212
Health Care Technology (2.4%):
Allscripts Healthcare Solutions, Inc. (a)		41,882		775,236
Change Healthcare, Inc. (a)		25,616		590,193
Computer Programs and Systems, Inc. (b)		28,289		940,043
Evolent Health, Inc., Class A (a)		12,991		274,370
Inovalon Holdings, Inc., Class A (a)		26,414		900,189
Inspire Medical Systems, Inc. (a)		1,326		256,263
NextGen Healthcare, Inc. (a)		35,774		593,491
Omnicell, Inc. (a)		6,771		1,025,468
Optimizerx Corp. (a)		6,624		410,025
Phreesia, Inc. (a)		3,978		243,851
Simulations Plus, Inc. (b)		4,785		262,744
Vocera Communications, Inc. (a)		20,721		825,732
				7,097,605
Industrials (13.6%):
ACCO Brands Corp.		72,286		623,828
Acuity Brands, Inc.		2,249		420,630
ADT, Inc. (b)		35,139		379,150
Advanced Drainage Systems, Inc.		7,505		874,858
AGCO Corp.		6,982		910,313
Air Lease Corp.		14,431		602,350
Air Transport Services Group, Inc. (a)		18,303		425,179
Altra Industrial Motion Corp.		6,092		396,102
ArcBest Corp.		11,248		654,521
Arcosa, Inc.		6,129		360,017
Argan, Inc.		11,153		533,002
Astec Industries, Inc.		6,010		378,269

See notes to financial statements.

29

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June 30, 2021

Security Description	Shares		Value
Atkore, Inc. (a)		3,627	$	257,517
Atlas Air Worldwide Holdings, Inc. (a) (b)		9,779		666,048
Beacon Roofing Supply, Inc. (a)		5,407		287,923
Bloom Energy Corp., Class A (a) (b)		30,583		821,765
Builders FirstSource, Inc. (a)		14,556		620,959
CAI International, Inc.		17,249		965,944
Chart Industries, Inc. (a)		1,572		230,015
Comfort Systems USA, Inc.		5,150		405,769
CSW Industrials, Inc.		8,886		1,052,636
DXP Enterprises, Inc. (a)		9,099		302,997
Echo Global Logistics, Inc. (a)		16,384		503,644
EMCOR Group, Inc.		4,112		506,557
FuelCell Energy, Inc. (a)		28,239		251,327
Genco Shipping & Trading Ltd.		47,820		902,842
Gibraltar Industries, Inc. (a)		4,438		338,664
GMS, Inc. (a)		15,801		760,660
GrafTech International Ltd.		31,469		365,670
Granite Construction, Inc.		7,995		332,032
Great Lakes Dredge & Dock Corp. (a)		28,456		415,742
Heidrick & Struggles International, Inc.		22,056		982,595
Herc Holdings, Inc. (a)		6,356		712,317
Hillenbrand, Inc.		9,576		422,110
Hyster-Yale Materials Handling, Inc.		9,651		704,330
IES Holdings, Inc. (a)		8,344		428,548
Kelly Services, Inc., Class A (a)		35,451		849,760
Korn Ferry		5,905		428,408
ManpowerGroup, Inc.		3,854		458,279
MasTec, Inc. (a)		2,944		312,358
Matson, Inc.		12,847		822,208
Matthews International Corp., Class A		10,030		360,679
Maxar Technologies, Inc.		20,660		824,747
MYR Group, Inc. (a)		11,500		1,045,580
NOW, Inc. (a)		29,406		279,063
Pitney Bowes, Inc.		26,483		232,256
Primoris Services Corp.		23,405		688,809
Quanex Building Products Corp.		14,614		363,012
Quanta Services, Inc.		11,600		1,050,612
Regal Beloit Corp.		7,742		1,033,634
Resideo Technologies, Inc. (a)		28,480		854,400
REV Group, Inc.		13,498		211,784
Rush Enterprises, Inc., Class A		21,006		908,299
Ryder System, Inc.		10,095		750,361
Saia, Inc. (a)		2,129		446,004
Schneider National, Inc., Class B		28,436		619,052
SkyWest, Inc. (a)		11,678		502,971
Sterling Construction Co., Inc. (a)		31,133		751,239
Terex Corp.		6,485		308,816
The Greenbrier Cos., Inc.		13,796		601,230
The Manitowoc Co., Inc. (a)		12,233		299,709
The Shyft Group, Inc.		11,299		422,696

See notes to financial statements.

30

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June 30, 2021

Security Description	Shares		Value
The Timken Co.		10,802	$	870,533
TPI Composites, Inc. (a)		3,887		188,209
Triton International Ltd.		17,094		894,700
TrueBlue, Inc. (a)		16,945		476,324
Tutor Perini Corp. (a)		32,457		449,529
UFP Industries, Inc.		4,861		361,367
Upwork, Inc. (a)		16,417		956,947
Veritiv Corp. (a)		4,563		280,259
Welbilt, Inc. (a)		12,452		288,264
WESCO International, Inc. (a)		6,925		712,028
				40,700,956
Information Technology (12.4%):
3D Systems Corp. (a)		4,915		196,453
Alliance Data Systems Corp.		5,386		561,167
Alpha & Omega Semiconductor Ltd. (a)		10,139		308,124
Amkor Technology, Inc.		32,612		771,926
Appian Corp. (a) (b)		1,068		147,117
Avaya Holdings Corp. (a)		22,576		607,294
Avnet, Inc.		24,700		989,976
Benchmark Electronics, Inc.		32,550		926,373
BM Technologies, Inc. (a)		7,122		88,598
Calix, Inc. (a)		14,961		710,648
Cambium Networks Corp. (a)		7,229		349,522
Cerence, Inc. (a) (b)		7,178		765,964
ChannelAdvisor Corp. (a)		12,801		313,753
Concentrix Corp. (a)		5,682		913,666
Conduent, Inc. (a)		72,843		546,323
Digi International, Inc. (a)		19,153		385,167
Digital Turbine, Inc. (a)		6,680		507,880
Diodes, Inc. (a)		5,607		447,270
DXC Technology Co. (a)		20,230		787,756
Ebix, Inc.		13,591		460,735
EchoStar Corp., Class A (a)		17,997		437,147
Entegris, Inc.		4,335		533,075
Fabrinet (a)		5,516		528,819
Fastly, Inc., Class A (a) (b)		3,828		228,149
First Solar, Inc. (a)		4,194		379,599
Ichor Holdings Ltd. (a)		5,311		285,732
II-VI, Inc. (a)		3,868		280,778
Insight Enterprises, Inc. (a)		4,313		431,343
J2 Global, Inc. (a)		9,854		1,355,418
Jabil, Inc.		16,667		968,686
Kimball Electronics, Inc. (a)		19,535		424,691
Kulicke & Soffa Industries, Inc.		19,097		1,168,736
Marathon Digital Holdings, Inc. (a) (b)		10,040		314,955
Methode Electronics, Inc.		21,430		1,054,570
MicroStrategy, Inc. (a) (b)		1,036		688,422
MicroVision, Inc. (a) (b)		14,779		247,548
NCR Corp. (a)		7,128		325,108
NETGEAR, Inc. (a)		10,664		408,644

See notes to financial statements.

31

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Security Description	Shares		Value
NetScout Systems, Inc. (a)		33,858	$	966,307
Nuance Communications, Inc. (a)		20,566		1,119,613
Onto Innovation, Inc. (a)		11,676		852,815
Photronics, Inc. (a)		59,353		784,053
Rambus, Inc. (a)		48,598		1,152,259
Riot Blockchain, Inc. (a) (b)		9,235		347,882
Sanmina Corp. (a)		22,963		894,638
ScanSource, Inc. (a)		26,267		738,891
SiTime Corp. (a)		2,513		318,121
SMART Global Holdings, Inc. (a)		13,098		624,513
Sprout Social, Inc., Class A (a)		4,575		409,097
SunPower Corp. (a) (b)		5,053		147,649
Sykes Enterprises, Inc. (a)		23,505		1,262,219
Synaptics, Inc. (a)		5,321		827,841
SYNNEX Corp.		7,482		911,008
Teradata Corp. (a)		8,612		430,342
TTEC Holdings, Inc.		8,998		927,604
TTM Technologies, Inc. (a)		62,897		899,427
Ultra Clean Holdings, Inc. (a)		11,096		596,077
VirnetX Holding Corp. (a) (b)		86,452		369,150
Vishay Intertechnology, Inc.		17,439		393,249
Xerox Holdings Corp.		31,992		751,492
Xperi Holding Corp.		31,271		695,467
				37,266,846
Life Sciences Tools & Services (1.5%):
BioNano Genomics, Inc. (a) (b)		51,699		378,954
Bruker Corp.		7,549		573,573
Luminex Corp.		15,205		559,544
Medpace Holdings, Inc. (a)		4,725		834,577
NeoGenomics, Inc. (a)		17,037		769,561
Pacific Biosciences of California, Inc. (a)		14,672		513,080
Personalis, Inc. (a)		7,614		192,634
Syneos Health, Inc. (a)		8,397		751,447
				4,573,370
Materials (4.8%):
AdvanSix, Inc. (a)		21,012		627,418
Alcoa Corp. (a)		20,226		745,126
Boise Cascade Co.		13,214		771,037
Clearwater Paper Corp. (a)		16,062		465,316
Cleveland-Cliffs, Inc. (a)		30,280		652,837
Commercial Metals Co.		31,874		979,169
Domtar Corp. (a)		18,867		1,036,930
Element Solutions, Inc.		21,062		492,430
FutureFuel Corp.		29,726		285,370
Huntsman Corp.		15,647		414,958
Kraton Corp. (a)		6,449		208,238
Livent Corp. (a) (b)		17,068		330,437
Louisiana-Pacific Corp.		5,431		327,435
Mercer International, Inc.		23,806		303,527

See notes to financial statements.

32

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June 30, 2021

Security Description	Shares		Value
Olin Corp.		18,640	$	862,286
Reliance Steel & Aluminum Co.		8,014		1,209,313
Schnitzer Steel Industries, Inc.		18,033		884,519
SunCoke Energy, Inc.		88,379		631,026
Trinseo SA		9,905		592,715
Tronox Holdings PLC, Class A		25,403		569,027
United States Steel Corp. (b)		25,673		616,152
Warrior Met Coal, Inc.		35,684		613,765
Worthington Industries, Inc.		13,769		842,387
				14,461,418
Pharmaceuticals (3.0%):
Aclaris Therapeutics, Inc. (a)		10,370		182,097
Amneal Pharmaceuticals, Inc. (a)		92,218		472,156
ANI Pharmaceuticals, Inc. (a) (b)		21,992		770,820
Arvinas, Inc. (a)		4,306		331,562
Cassava Sciences, Inc. (a)		5,117		437,196
Collegium Pharmaceutical, Inc. (a) (b)		23,648		559,039
Corcept Therapeutics, Inc. (a)		23,743		522,346
Endo International PLC (a)		64,491		301,818
Innoviva, Inc. (a)		72,943		978,166
Pacira BioSciences, Inc. (a)		11,843		718,633
Perrigo Co. PLC		20,620		945,427
Prestige Consumer Healthcare, Inc. (a)		22,707		1,183,035
SIGA Technologies, Inc. (a)		55,044		345,676
Supernus Pharmaceuticals, Inc. (a) (b)		23,807		733,018
Tilray, Inc., Class 2 (a) (b)		19,097		345,274
Zomedica Corp. (a) (b)		287,822		239,669
				9,065,932
Real Estate (5.1%):
Brixmor Property Group, Inc.		13,662		312,723
CoreCivic, Inc. (a)		94,189		986,159
Cousins Properties, Inc.		13,378		492,043
CubeSmart		13,068		605,310
Empire State Realty Trust, Inc.		34,589		415,068
Equity Commonwealth		45,266		1,185,969
eXp World Holdings, Inc. (a) (b)		18,924		733,684
Innovative Industrial Properties, Inc.		3,253		621,388
Jones Lang LaSalle, Inc. (a)		1,965		384,079
Kimco Realty Corp.		14,752		307,579
Kite Realty Group Trust		14,114		310,649
Life Storage, Inc.		5,612		602,448
National Storage Affiliates Trust		11,840		598,630
Newmark Group, Inc., Class A		29,810		358,018
PotlatchDeltic Corp.		7,916		420,735
RE/MAX Holdings, Inc.		17,962		598,674
Realogy Holdings Corp. (a)		24,915		453,951
Redfin Corp. (a)		4,703		298,217
Retail Properties of America, Inc.		25,183		288,345
RPT Realty		21,711		281,809

See notes to financial statements.

33

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June 30, 2021

Security Description	Shares		Value
Safehold, Inc. (b)		4,712	$	369,892
SITE Centers Corp.		18,215		274,318
Sunstone Hotel Investors, Inc. (a)		39,869		495,173
Tanger Factory Outlet Centers, Inc. (b)		35,166		662,879
The RMR Group, Inc., Class A		18,715		723,148
The St. Joe Co.		20,890		931,903
UMH Properties, Inc.		23,229		506,857
Uniti Group, Inc.		22,712		240,520
Urban Edge Properties		17,697		338,013
Weingarten Realty Investors		10,732		344,175
				15,142,356
Utilities (2.2%):
ALLETE, Inc.		8,310		581,534
Avista Corp.		13,537		577,624
Clearway Energy, Inc., Class C		20,250		536,220
MDU Resources Group, Inc.		34,946		1,095,208
National Fuel Gas Co.		30,385		1,587,616
Ormat Technologies, Inc. (b)		4,648		323,175
Sunnova Energy International, Inc. (a)		34,000		1,280,440
Unitil Corp. (c)		9,699		513,756
				6,495,573
Total Common Stocks (Cost $235,518,607)				297,934,942
Rights (0.0%) (d)
Health Care (0.0%): (d)
Achillion Pharmaceuticals (a) (e) (f)		17,954		4,130
Total Rights (Cost $—)				4,130
Collateral for Securities Loaned^ (5.0%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (g)		295,879		295,879
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (g)		8,014,408		8,014,408
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (g)		147,658		147,658
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (g)		1,177,381		1,177,381
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (g)		5,293,734		5,293,734
Total Collateral for Securities Loaned (Cost $14,929,060)				14,929,060
Total Investments (Cost $250,447,667) — 104.4%				312,868,132
Liabilities in excess of other assets — (4.4)%				(13,236,851	)
NET ASSETS — 100.00%			$	299,631,281

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

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

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

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

See notes to financial statements.

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June 30, 2021

(e)  Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2021. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)

(f)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees and has classified it as a Level 3 security. As of June 30, 2021, illiquid securities were 0.0% of the Fund's net assets.

(g)  Rate disclosed is the daily yield on June 30, 2021.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini Russell 2000 Index Futures		14	9/17/21	$	1,622,511	$	1,615,460	$	(7,051	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(7,051	)
Total net unrealized appreciation (depreciation)								$	(7,051	)

See notes to financial statements.

35

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June 30, 2021

Security Description	Shares		Value
Common Stocks (99.0%)
Australia (3.0%):
Energy (0.3%):
Washington H Soul Pattinson & Co. Ltd. (a)		50,286	$	1,273,384
Health Care (0.4%):
Sonic Healthcare Ltd.		48,338		1,393,528
Industrials (0.4%):
Reece Ltd.		76,335		1,353,055
Materials (1.1%):
BlueScope Steel Ltd.		130,849		2,157,240
Fortescue Metals Group Ltd.		100,103		1,754,057
				3,911,297
Real Estate (0.8%):
Goodman Group		91,238		1,450,081
Stockland		427,212		1,494,601
				2,944,682
				10,875,946
Austria (1.6%):
Energy (0.5%):
OMV AG		33,039		1,879,513
Financials (0.5%):
Raiffeisen Bank International AG		79,694		1,805,127
Materials (0.3%):
voestalpine AG		24,397		993,541
Utilities (0.3%):
Verbund AG (a)		11,537		1,062,388
				5,740,569
Belgium (0.9%):
Financials (0.9%):
Sofina SA		7,437		3,208,553
Bermuda (0.4%):
Real Estate (0.4%):
Hongkong Land Holdings Ltd.		290,300		1,381,828
Canada (7.7%):
Communication Services (0.3%):
Shaw Communications, Inc., Class B (b)		36,383		1,055,086
Consumer Discretionary (0.8%):
Canadian Tire Corp. Ltd., Class A (a)		6,126		970,424
Magna International, Inc.		19,793		1,834,485
				2,804,909

See notes to financial statements.

36

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Security Description	Shares		Value
Consumer Staples (1.8%):
Empire Co. Ltd., Class A		78,890	$	2,490,995
George Weston Ltd.		19,862		1,895,094
Loblaw Cos. Ltd.		30,907		1,904,139
				6,290,228
Energy (0.6%):
Cameco Corp.		52,236		1,002,283
Cenovus Energy, Inc.		61,464		588,681
Imperial Oil Ltd.		22,733		693,574
				2,284,538
Financials (0.7%):
Bank of Montreal		13,331		1,367,873
Fairfax Financial Holdings Ltd.		2,546		1,117,666
				2,485,539
Industrials (0.5%):
Ballard Power Systems, Inc. (c)		15,307		277,882
WSP Global, Inc.		13,832		1,616,321
				1,894,203
Information Technology (0.5%):
BlackBerry Ltd. (a) (c)		47,366		579,500
Lightspeed Pos, Inc. (c)		15,363		1,287,177
				1,866,677
Materials (1.3%):
First Quantum Minerals Ltd.		24,992		576,614
Kinross Gold Corp.		105,398		669,005
Lundin Mining Corp.		137,290		1,239,524
Teck Resources Ltd., Class B		63,343		1,460,424
West Fraser Timber Co. Ltd.		7,910		568,449
				4,514,016
Real Estate (0.6%):
FirstService Corp.		6,790		1,165,810
RioCan Real Estate Investment Trust (a)		61,978		1,105,123
				2,270,933
Utilities (0.6%):
AltaGas Ltd.		43,598		916,111
Northland Power, Inc.		34,448		1,176,456
				2,092,567
				27,558,696
China (0.5%):
Financials (0.5%):
Futu Holdings Ltd., ADR (c)		10,316		1,847,492
Denmark (3.2%):
Consumer Discretionary (0.4%):
Pandora A/S		11,514		1,547,919

See notes to financial statements.

37

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Security Description	Shares		Value
Consumer Staples (0.4%):
Carlsberg A/S, Class B		8,156	$	1,520,499
Financials (0.2%):
Danske Bank A/S		49,945		878,939
Health Care (0.6%):
Demant A/S (c)		19,984		1,124,997
GN Store Nord A/S		11,783		1,029,372
				2,154,369
Industrials (1.3%):
AP Moller - Maersk A/S, Class B		821		2,360,004
DSV PANALPINA A/S		5,389		1,256,894
Vestas Wind Systems A/S		22,840		891,665
				4,508,563
Utilities (0.3%):
Orsted A/S (d)		7,180		1,007,631
				11,617,920
Finland (1.3%):
Consumer Staples (0.8%):
Kesko Oyj, Class B		79,554		2,938,792
Energy (0.2%):
Neste Oyj		12,468		763,540
Utilities (0.3%):
Fortum Oyj		39,409		1,087,061
				4,789,393
France (8.0%):
Communication Services (0.5%):
Publicis Groupe SA		27,626		1,767,168
Consumer Discretionary (0.7%):
Faurecia SE		884		43,370
LVMH Moet Hennessy Louis Vuitton SE		1,658		1,300,265
Renault SA (c)		30,589		1,236,452
				2,580,087
Consumer Staples (0.7%):
Carrefour SA		124,826		2,455,101
Financials (2.4%):
AXA SA		35,021		888,151
BNP Paribas SA		25,713		1,612,170
CNP Assurances		78,022		1,327,755
Credit Agricole SA		112,069		1,570,114
Eurazeo SE		11,478		1,000,466
Natixis SA		106,812		506,674
Societe Generale SA		54,750		1,614,113
				8,519,443

See notes to financial statements.

38

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Health Care (0.3%):
Sartorius Stedim Biotech		2,119	$	1,002,406
Industrials (1.7%):
Bollore SA		224,869		1,205,360
Bouygues SA		47,336		1,750,877
Cie de Saint-Gobain		30,537		2,011,319
Schneider Electric SE		7,446		1,171,595
				6,139,151
Information Technology (0.7%):
Atos SE		24,189		1,471,581
Capgemini SE		5,109		981,521
				2,453,102
Utilities (1.0%):
Electricite de France SA		126,689		1,730,773
Suez SA (a) (c)		42,595		1,012,796
Veolia Environnement SA		35,141		1,061,431
				3,805,000
				28,721,458
Germany (8.0%):
Consumer Discretionary (2.6%):
Bayerische Motoren Werke AG		22,236		2,355,080
Daimler AG		19,006		1,697,206
HelloFresh SE (c)		6,272		609,765
Porsche Automobil Holding SE, Preference Shares		19,328		2,071,152
Volkswagen AG, Preference Shares		7,539		1,888,237
Zalando SE (c) (d)		6,633		801,889
				9,423,329
Financials (0.8%):
Commerzbank AG (c)		186,228		1,321,114
Deutsche Bank AG, Registered Shares (c)		117,005		1,524,378
				2,845,492
Health Care (1.7%):
Bayer AG, Registered Shares		28,109		1,707,061
Fresenius SE & Co. KGaA		16,872		880,276
Merck KGaA		8,329		1,597,172
Sartorius AG, Preference Shares		3,595		1,871,596
				6,056,105
Industrials (1.9%):
Brenntag SE		27,044		2,515,050
Deutsche Post AG, Registered Shares		44,101		2,999,897
Siemens AG, Registered Shares		6,775		1,073,568
				6,588,515

See notes to financial statements.

39

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Materials (0.7%):
Covestro AG (d)		12,759	$	824,030
HeidelbergCement AG		21,089		1,809,186
				2,633,216
Utilities (0.3%):
Siemens Energy AG (c)		31,353		945,156
				28,491,813
Hong Kong (8.0%):
Consumer Discretionary (1.3%):
Techtronic Industries Co. Ltd.		106,748		1,863,934
Xinyi Glass Holdings Ltd.		654,593		2,667,817
				4,531,751
Consumer Staples (0.5%):
WH Group Ltd. (d)		2,227,615		2,002,196
Financials (0.3%):
Hong Kong Exchanges and Clearing Ltd.		18,364		1,094,388
Industrials (1.6%):
CK Hutchison Holdings Ltd.		348,805		2,717,372
Jardine Matheson Holdings Ltd.		45,800		2,927,536
				5,644,908
Real Estate (3.9%):
CK Asset Holdings Ltd.		455,756		3,145,634
ESR Cayman Ltd. (c) (d)		341,074		1,150,697
Hang Lung Properties Ltd.		459,947		1,117,019
Sino Land Co. Ltd.		1,691,629		2,666,230
Sun Hung Kai Properties Ltd.		193,060		2,876,316
Swire Pacific Ltd., Class A		141,500		959,325
Wharf Real Estate Investment Co. Ltd.		327,872		1,906,220
				13,821,441
Utilities (0.4%):
CK Infrastructure Holdings Ltd.		226,000		1,347,412
				28,442,096
Isle of Man (0.2%):
Consumer Discretionary (0.2%):
Entain PLC (c)		32,121		774,537
Israel (0.6%):
Health Care (0.3%):
Teva Pharmaceutical Industries Ltd., ADR (c)		118,531		1,173,457
Materials (0.3%):
ICL Group Ltd.		161,399		1,095,146
				2,268,603

See notes to financial statements.

40

Victory Portfolios II
VictoryShares USAA MSCI International Value
Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Italy (2.0%):
Communication Services (0.5%):
Telecom Italia SpA		3,430,004	$	1,703,938
Energy (0.3%):
Eni SpA		73,945		900,592
Financials (0.7%):
Intesa Sanpaolo SpA		317,321		876,618
UniCredit SpA		136,786		1,614,037
				2,490,655
Health Care (0.2%):
DiaSorin SpA		4,462		843,994
Utilities (0.3%):
Enel SpA		114,104		1,059,796
				6,998,975
Japan (25.4%):
Communication Services (1.4%):
Capcom Co. Ltd.		11,500		336,742
KDDI Corp.		19,100		596,283
Koei Tecmo Holdings Co. Ltd.		21,610		1,055,286
Konami Holdings Corp.		12,100		727,156
Nexon Co. Ltd.		10,300		229,776
Nintendo Co. Ltd. (b)		600		349,329
Nippon Telegraph & Telephone Corp.		52,800		1,376,967
SoftBank Group Corp.		6,900		483,354
				5,154,893
Consumer Discretionary (3.2%):
Aisin Corp.		9,300		398,009
Bandai Namco Holdings, Inc.		6,000		416,686
Denso Corp.		13,900		949,167
Honda Motor Co. Ltd.		31,800		1,017,119
Iida Group Holdings Co. Ltd.		39,100		1,007,532
Koito Manufacturing Co. Ltd.		5,100		317,515
Mazda Motor Corp. (c)		45,100		424,222
Mercari, Inc. (c)		8,100		430,579
Nissan Motor Co. Ltd. (c)		83,800		416,244
Panasonic Corp.		30,000		347,464
Rinnai Corp.		5,600		533,309
Ryohin Keikaku Co. Ltd.		14,200		298,099
Sekisui House Ltd.		28,900		593,285
Sharp Corp.		13,200		217,998
Sony Group Corp.		4,300		418,997
Sumitomo Electric Industries Ltd.		31,500		465,164
Toyota Industries Corp.		11,000		952,428
Toyota Motor Corp.		15,400		1,347,275
Yamaha Motor Co. Ltd.		29,400		799,964
				11,351,056

See notes to financial statements.

41

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Consumer Staples (1.6%):
Aeon Co. Ltd.		15,200	$	408,794
Ajinomoto Co., Inc.		29,300		761,341
Asahi Group Holdings Ltd.		23,200		1,085,064
Japan Tobacco, Inc. (a)		40,700		769,519
Kikkoman Corp.		6,200		409,460
NH Foods Ltd.		20,800		809,586
Seven & i Holdings Co. Ltd.		29,200		1,393,571
				5,637,335
Energy (0.7%):
ENEOS Holdings, Inc.		213,100		892,605
Idemitsu Kosan Co. Ltd.		34,644		837,461
Inpex Corp.		101,700		759,612
				2,489,678
Financials (3.5%):
Concordia Financial Group Ltd.		207,700		761,635
Japan Post Bank Co. Ltd.		66,000		554,807
Japan Post Holdings Co. Ltd.		140,700		1,153,971
Japan Post Insurance Co. Ltd.		45,200		836,479
Mitsubishi HC Capital, Inc.		159,600		855,591
Mitsubishi UFJ Financial Group, Inc.		193,600		1,046,755
Mizuho Financial Group, Inc.		39,100		559,251
Nomura Holdings, Inc.		162,200		829,779
ORIX Corp.		48,700		822,490
Resona Holdings, Inc.		221,700		853,322
Sumitomo Mitsui Financial Group, Inc.		30,400		1,049,031
Sumitomo Mitsui Trust Holdings, Inc.		29,400		934,527
T&D Holdings, Inc.		27,500		355,798
The Chiba Bank Ltd.		131,500		792,626
The Shizuoka Bank Ltd.		123,300		954,272
Tokyo Century Corp.		4,800		258,185
				12,618,519
Health Care (1.0%):
Chugai Pharmaceutical Co. Ltd.		10,400		412,477
Kyowa Kirin Co. Ltd.		13,900		493,432
M3, Inc.		4,600		336,245
Medipal Holdings Corp.		56,100		1,072,567
Ono Pharmaceutical Co. Ltd.		16,300		364,066
Sumitomo Dainippon Pharma Co. Ltd.		16,700		350,280
Sysmex Corp.		3,900		463,825
				3,492,892
Industrials (5.9%):
AGC, Inc.		23,300		978,268
Dai Nippon Printing Co. Ltd.		22,000		465,609
Daifuku Co. Ltd.		3,500		318,182
Daikin Industries Ltd.		2,400		447,392
Fuji Electric Co. Ltd.		17,600		822,993
ITOCHU Corp.		40,200		1,159,023

See notes to financial statements.

42

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Kajima Corp.		70,600	$	894,983
Kubota Corp.		41,200		834,097
Kurita Water Industries Ltd.		20,400		979,656
Lixil Corp.		26,000		673,016
Marubeni Corp.		119,400		1,039,304
Mitsubishi Corp.		45,700		1,246,775
Mitsubishi Heavy Industries Ltd.		16,700		491,867
Mitsui & Co. Ltd.		54,000		1,216,569
NGK Insulators Ltd.		23,200		389,628
Nidec Corp.		3,200		371,205
Nippon Express Co. Ltd.		12,700		968,033
Nippon Yusen KK		26,900		1,364,510
Obayashi Corp.		107,700		856,826
SG Holdings Co. Ltd.		17,900		469,796
Shimizu Corp.		126,200		968,758
Sumitomo Corp.		78,300		1,049,738
Taisei Corp.		27,200		892,044
TOPPAN INC		55,500		892,580
Toshiba Corp.		9,100		393,959
Toyota Tsusho Corp.		16,400		775,746
				20,960,557
Information Technology (4.0%):
Azbil Corp.		11,800		489,585
Brother Industries Ltd.		42,100		840,938
Canon, Inc.		47,700		1,080,008
FUJIFILM Holdings Corp.		18,500		1,373,290
Fujitsu Ltd.		7,000		1,311,830
Hirose Electric Co. Ltd.		3,500		512,434
Hitachi Ltd.		17,500		1,002,951
Ibiden Co. Ltd.		16,500		890,486
Kyocera Corp.		8,900		550,727
Lasertec Corp.		2,100		408,496
Murata Manufacturing Co. Ltd.		4,700		359,180
NEC Corp.		20,000		1,030,723
NTT Data Corp.		29,300		457,491
Renesas Electronics Corp. (c)		22,500		243,468
Ricoh Co. Ltd.		84,200		946,008
Rohm Co. Ltd.		6,900		638,463
Seiko Epson Corp.		45,700		804,557
SUMCO Corp. (b)		12,700		311,807
TDK Corp.		5,400		656,329
Tokyo Electron Ltd.		800		346,554
				14,255,325
Materials (2.0%):
JFE Holdings, Inc.		63,800		747,849
Mitsubishi Chemical Holdings Corp.		65,800		553,422
Mitsubishi Gas Chemical Co., Inc.		35,500		753,564
Mitsui Chemicals, Inc.		28,600		988,206
Nippon Steel Corp.		50,100		845,683

See notes to financial statements.

43

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Nitto Denko Corp.		5,100	$	380,926
Oji Holdings Corp.		129,800		746,125
Sumitomo Chemical Co. Ltd.		167,100		886,764
Sumitomo Metal Mining Co. Ltd.		15,700		611,789
Tosoh Corp.		48,500		837,247
				7,351,575
Real Estate (0.9%):
Daito Trust Construction Co. Ltd.		9,000		985,224
Hulic Co. Ltd. (a)		95,200		1,072,169
Japan Metropolitan Fund Invest		691		749,584
Nomura Real Estate Holdings, Inc.		15,400		391,001
				3,197,978
Utilities (1.2%):
Chubu Electric Power Co., Inc.		98,700		1,207,628
Osaka Gas Co. Ltd.		35,800		667,359
The Kansai Electric Power Co., Inc.		104,700		999,456
Tohoku Electric Power Co., Inc.		72,600		569,078
Tokyo Electric Power Co. Holdings, Inc. (c)		244,900		728,147
				4,171,668
				90,681,476
Luxembourg (0.9%):
Energy (0.2%):
Tenaris SA		62,969		686,413
Health Care (0.3%):
Eurofins Scientific SE (c)		9,919		1,133,949
Materials (0.4%):
ArcelorMittal SA		47,755		1,463,957
				3,284,319
Netherlands (2.8%):
Consumer Staples (0.9%):
Koninklijke Ahold Delhaize NV		105,107		3,124,890
Financials (1.1%):
Aegon NV		301,772		1,252,194
ING Groep NV		55,343		731,134
NN Group NV		43,491		2,051,696
				4,035,024
Information Technology (0.8%):
ASM International NV		5,426		1,782,413
ASML Holding NV		1,722		1,183,206
				2,965,619
				10,125,533
New Zealand (0.4%):
Utilities (0.4%):
Mercury NZ Ltd.		269,324		1,255,226

See notes to financial statements.

44

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Norway (0.6%):
Materials (0.6%):
Norsk Hydro ASA		337,260	$	2,153,240
Portugal (0.3%):
Utilities (0.3%):
EDP - Energias de Portugal SA		223,638		1,185,501
Singapore (1.5%):
Consumer Staples (0.7%):
Wilmar International Ltd.		693,900		2,322,980
Financials (0.4%):
Oversea-Chinese Banking Corp. Ltd.		177,600		1,578,872
Real Estate (0.4%):
CapitaLand Ltd.		473,600		1,307,139
				5,208,991
Spain (2.8%):
Communication Services (0.3%):
Telefonica SA		199,281		931,368
Energy (0.5%):
Repsol SA (a)		139,566		1,746,809
Financials (1.1%):
Banco Bilbao Vizcaya Argentaria SA		273,285		1,694,338
Banco Santander SA		404,411		1,544,046
CaixaBank SA		244,723		752,824
				3,991,208
Industrials (0.2%):
Siemens Gamesa Renewable Energy SA		20,931		698,991
Utilities (0.7%):
Iberdrola SA		107,353		1,308,748
Naturgy Energy Group SA		46,096		1,185,145
				2,493,893
				9,862,269
Sweden (3.3%):
Consumer Discretionary (0.7%):
Evolution AB (a) (d)		9,253		1,463,230
Husqvarna AB, B Shares		67,732		900,490
				2,363,720
Financials (1.4%):
EQT AB		76,022		2,760,994
Industrivarden AB, Class A		39,121		1,522,362
Kinnevik AB, Class B		19,814		793,751
				5,077,107

See notes to financial statements.

45

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Industrials (1.2%):
Nibe Industrier AB, Class B		124,728	$	1,312,888
SKF AB, B Shares		38,256		974,723
Volvo AB, Class B (a)		79,795		1,921,130
				4,208,741
				11,649,568
Switzerland (2.5%):
Consumer Discretionary (0.7%):
Cie Financiere Richemont SA, Registered Shares		10,165		1,231,105
The Swatch Group AG		16,748		1,106,145
				2,337,250
Health Care (0.3%):
Alcon, Inc.		17,979		1,259,998
Industrials (0.4%):
Kuehne + Nagel International AG, Registered Shares		4,676		1,601,581
Information Technology (0.6%):
Logitech International SA, Class R		18,024		2,185,850
Materials (0.5%):
Glencore PLC		390,780		1,670,538
				9,055,217
United Kingdom (12.7%):
Communication Services (2.3%):
BT Group PLC (c)		916,679		2,456,702
Pearson PLC		180,720		2,072,133
Vodafone Group PLC		1,122,626		1,881,796
WPP PLC		138,638		1,865,795
				8,276,426
Consumer Discretionary (1.4%):
Barratt Developments PLC		68,522		658,072
Kingfisher PLC		431,706		2,173,797
Stellantis NV		97,597		1,915,968
				4,747,837
Consumer Staples (4.1%):
Associated British Foods PLC		34,093		1,043,682
British American Tobacco PLC		55,507		2,147,035
Coca-Cola Europacific Partners PLC		15,556		922,782
Imperial Brands PLC		95,136		2,046,289
J Sainsbury PLC		712,465		2,675,139
Tesco PLC		444,009		1,367,517
Wm Morrison Supermarkets PLC		1,330,496		4,534,362
				14,736,806

See notes to financial statements.

46

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Momentum ETF Schedule of Portfolio Investments — continued
June 30, 2021

Security Description	Shares		Value
Financials (2.0%):
3i Group PLC		66,072	$	1,070,653
Aviva PLC		355,737		1,994,718
Barclays PLC		684,465		1,618,026
Natwest Group PLC		600,784		1,686,458
Standard Chartered PLC		129,960		827,645
				7,197,500
Industrials (0.7%):
Ashtead Group PLC		11,944		885,059
CNH Industrial NV		104,004		1,717,489
				2,602,548
Materials (2.2%):
Anglo American PLC		38,440		1,525,376
Antofagasta PLC		82,941		1,644,773
BHP Group PLC		33,419		983,346
Evraz PLC (b)		186,012		1,521,234
Rio Tinto PLC		26,383		2,168,211
				7,842,940
				45,404,057
United States (0.4%):
Health Care (0.4%):
Bausch Health Cos., Inc. (c)		43,377		1,274,372
Total Common Stocks (Cost $308,391,028)				353,857,648
Collateral for Securities Loaned^ (2.7%)
United States (2.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (e)		191,510		191,510
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (e)		5,187,394		5,187,394
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (e)		95,573		95,573
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (e)		762,070		762,070
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (e)		3,426,415		3,426,415
Total Collateral for Securities Loaned (Cost $9,662,962)				9,662,962
Total Investments (Cost $318,053,990) — 101.7%				363,520,610
Liabilities in excess of other assets — (1.7)%				(6,140,162	)
NET ASSETS — 100.00%			$	357,380,448

^  Purchased with cash collateral from securities on loan.

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

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

(c)  Non-income producing security.

See notes to financial statements.

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(d)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $7,249,673 and amounted to 2.0% of net assets.

(e)  Rate disclosed is the daily yield on June 30, 2021.

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		20	9/17/21	$	2,340,741	$	2,304,100	$	(36,641	)
Total unrealized appreciation								$	—
Total unrealized depreciation									(36,641	)
Total net unrealized appreciation (depreciation)								$	(36,641	)

See notes to financial statements.

48

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June 30, 2021

Security Description	Shares		Value
Common Stocks (98.6%)
Brazil (2.8%):
Consumer Staples (0.5%):
JBS SA		218,352	$	1,266,288
Financials (0.7%):
Banco Inter SA		119,300		1,849,467
Materials (1.2%):
Bradespar SA, Preference Shares		43,000		636,964
Cia Siderurgica Nacional SA		122,100		1,070,414
Vale SA		71,185		1,606,605
				3,313,983
Utilities (0.4%):
Centrais Eletricas Brasileiras SA		127,148		1,093,891
				7,523,629
Chile (0.5%):
Consumer Staples (0.5%):
Cencosud SA		629,074		1,262,364
China (24.8%):
Communication Services (1.2%):
Baidu, Inc., ADR (a)		1,858		378,846
Bilibili, Inc., ADR (a) (b)		7,371		898,083
China Communications Services Corp. Ltd., Class H (a)		1,562,000		780,412
JOYY, Inc., ADR		7,781		513,312
Momo, Inc., ADR (b)		50,284		769,848
				3,340,501
Consumer Discretionary (3.0%):
Brilliance China Automotive Holdings Ltd. (c) (d)		937,510		705,017
BYD Co. Ltd., Class H		13,385		400,213
Dongfeng Motor Group Co. Ltd., Class H		1,064,557		956,831
Fuyao Glass Industry Group Co. Ltd., Class H (e)		75,871		534,410
Great Wall Motor Co. Ltd., Class H		287,111		927,971
Guangzhou Automobile Group Co. Ltd.		1,045,143		938,036
HengTen Networks Group Ltd. (a)		272,000		217,506
Jiumaojiu International Holdings Ltd. (e)		110,215		450,605
Meituan, Class B (a) (e)		9,197		379,446
NIO, Inc., ADR (a)		22,559		1,200,139
Pinduoduo, Inc., ADR (a)		6,512		827,154
Yadea Group Holdings Ltd. (e)		160,781		345,750
				7,883,078
Consumer Staples (0.5%):
China Feihe Ltd. (e)		228,519		493,182
Uni-President China Holdings Ltd.		640,000		706,272
Yihai International Holding Ltd.		23,080		154,989
				1,354,443

See notes to financial statements.

49

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Security Description	Shares		Value
Energy (0.9%):
China Shenhua Energy Co. Ltd., Class H		449,281	$	880,529
Yanzhou Coal Mining Co. Ltd., Class H		1,090,863		1,466,499
				2,347,028
Financials (9.0%):
360 DigiTech, Inc., ADR (a)		28,179		1,179,009
Agricultural Bank of China Ltd., Class H (f)		5,240,804		1,822,102
Bank of China Ltd., Class H (f)		6,368,869		2,288,113
Bank of Communications Co. Ltd., Class H		3,628,542		2,439,011
China Cinda Asset Management Co. Ltd., Class H		7,238,915		1,379,578
China CITIC Bank Corp. Ltd., Class H		3,913,962		1,854,708
China Construction Bank Corp., Class H (f)		2,513,789		1,977,794
China Everbright Bank Co. Ltd., Class H (a)		3,751,279		1,531,262
China Galaxy Securities Co. Ltd., Class H		1,886,806		1,124,914
China Huarong Asset Management Co. Ltd., Class H (c) (d)		9,215,577		973,077
China Merchants Bank Co. Ltd., Class H		86,982		742,038
China Minsheng Banking Corp. Ltd., Class H (b)		3,684,388		1,764,897
Chongqing Rural Commercial Bank Co. Ltd., Class H		3,641,342		1,439,497
GF Securities Co. Ltd., Class H		446,328		578,180
Industrial & Commercial Bank of China Ltd., Class H		1,523,043		894,310
Postal Savings Bank of China Co. Ltd., Class H (a) (e)		1,062,261		715,392
Up Fintech Holding Ltd., ADR (a) (b)		40,438		1,171,893
				23,875,775
Health Care (3.1%):
Cansino Biologics, Inc., Class H (a) (e)		11,000		584,431
China Medical System Holdings Ltd.		487,290		1,283,192
China Resources Pharmaceutical Group Ltd. (e)		2,073,194		1,292,101
Jinxin Fertility Group Ltd. (e)		190,000		479,535
Pharmaron Beijing Co. Ltd., Class H (e)		25,092		668,831
Shanghai Pharmaceuticals Holding Co. Ltd.		851,413		1,859,418
Sinopharm Group Co. Ltd., Class H		499,265		1,485,095
Wuxi Biologics Cayman, Inc. (a) (e)		31,576		578,593
				8,231,196
Industrials (3.2%):
China Railway Group Ltd., Class H		3,058,947		1,595,284
China State Construction International Holdings Ltd.		1,638,000		1,117,894
COSCO SHIPPING Holdings Co. Ltd., Class H (a) (b)		659,436		1,660,935
Country Garden Services Holdings Co. Ltd.		69,763		753,699
Ever Sunshine Lifestyle Services Group Ltd.		208,530		517,710
Fosun International Ltd.		969,724		1,396,050
Weichai Power Co. Ltd.		173,811		386,304
Xinjiang Goldwind Science & Technology Co. Ltd., Class H		203,885		318,724
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		773,387		809,652
				8,556,252

See notes to financial statements.

50

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Security Description	Shares		Value
Information Technology (0.3%):
Daqo New Energy Corp., ADR (a)		6,655	$	432,708
Xinyi Solar Holdings Ltd.		182,461		393,781
				826,489
Materials (1.1%):
China Hongqiao Group Ltd.		768,966		1,041,679
China National Building Material Co. Ltd., Class H		702,304		824,766
Jiangxi Copper Co. Ltd., Class H		541,979		1,109,662
				2,976,107
Real Estate (1.2%):
China Vanke Co. Ltd., Class H		378,132		1,183,207
Longfor Group Holdings Ltd. (e)		228,404		1,279,393
Seazen Group Ltd.		833,672		790,104
				3,252,704
Utilities (1.3%):
China Longyuan Power Group Corp. Ltd., Class H		566,944		976,804
China Power International Development Ltd.		7,390,969		1,617,936
Huaneng Power International, Inc., Class H		1,965,359		769,354
				3,364,094
				66,007,667
Cyprus (1.0%):
Financials (1.0%):
TCS Group Holding PLC, GDR		30,675		2,683,893
Greece (0.4%):
Consumer Discretionary (0.2%):
FF Group (a) (c) (d)		14,913		4,244
OPAP SA		42,763		644,559
				648,803
Financials (0.2%):
Eurobank Ergasias Services and Holdings SA (a)		380,344		383,393
				1,032,196
Hong Kong (8.6%):
Consumer Staples (0.2%):
Vinda International Holdings Ltd. (b)		207,423		638,360
Financials (0.9%):
China Everbright Ltd.		555,496		653,790
Far East Horizon Ltd.		1,554,573		1,625,467
				2,279,257
Health Care (0.5%):
China Traditional Chinese Medicine Holdings Co. Ltd. (a)		2,007,952		1,375,549
Industrials (1.7%):
China Everbright Environment Group Ltd.		1,026,000		581,315
China Merchants Port Holdings Co. Ltd.		1,043,366		1,523,564

See notes to financial statements.

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Security Description	Shares		Value
CITIC Ltd.		2,010,151	$	2,166,532
Sinotruk Hong Kong Ltd.		170,318		364,943
				4,636,354
Information Technology (1.3%):
Kingboard Holdings Ltd.		231,154		1,282,891
Kingboard Laminates Holdings Ltd.		462,248		1,036,893
Lenovo Group Ltd.		957,872		1,101,463
				3,421,247
Materials (0.3%):
Nine Dragons Paper Holdings Ltd.		659,458		845,780
Real Estate (2.2%):
China Resources Land Ltd.		154,652		626,307
Hopson Development Holdings Ltd.		324,233		1,486,340
Shimao Group Holdings Ltd.		184,645		452,705
The Wharf Holdings Ltd.		441,854		1,684,153
Yuexiu Property Co. Ltd.		1,496,416		1,576,219
				5,825,724
Utilities (1.5%):
Beijing Enterprises Holdings Ltd.		554,766		1,968,079
China Resources Power Holdings Co. Ltd.		1,383,111		1,887,878
				3,855,957
				22,878,228
Hungary (1.0%):
Energy (0.4%):
MOL Hungarian Oil & Gas PLC (a)		115,666		921,411
Health Care (0.6%):
Richter Gedeon Nyrt		62,555		1,667,412
				2,588,823
India (4.3%):
Consumer Discretionary (0.2%):
Tata Motors Ltd. (a)		85,078		388,706
Consumer Staples (0.3%):
Tata Consumer Products Ltd.		70,979		720,390
Energy (0.2%):
Oil & Natural Gas Corp. Ltd.		375,261		594,218
Financials (0.6%):
REC Ltd.		584,797		1,168,728
Shriram Transport Finance Co. Ltd.		19,706		355,957
				1,524,685
Industrials (0.4%):
Adani Enterprises Ltd. (a)		23,181		470,154
Havells India Ltd.		45,592		601,228
				1,071,382

See notes to financial statements.

52

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June 30, 2021

Security Description	Shares		Value
Materials (1.6%):
Grasim Industries Ltd.		32,899	$	663,358
Hindalco Industries Ltd.		221,197		1,107,175
JSW Steel Ltd.		55,644		511,973
Tata Steel Ltd.		104,342		1,637,635
Vedanta Ltd.		119,973		424,255
				4,344,396
Real Estate (0.2%):
DLF Ltd.		124,022		469,024
Utilities (0.8%):
Adani Green Energy Ltd. (a)		94,387		1,428,440
Adani Total Gas Ltd.		34,846		478,107
Adani Transmission Ltd. (a)		23,762		338,687
				2,245,234
				11,358,035
Indonesia (1.2%):
Consumer Staples (0.9%):
PT Gudang Garam Tbk (a)		295,110		899,576
PT Indofood Sukses Makmur Tbk		3,329,195		1,417,778
				2,317,354
Materials (0.3%):
Aneka Tambang Tbk		1,929,219		306,014
PT Indah Kiat Pulp & Paper Corp. Tbk		858,125		440,899
				746,913
				3,064,267
Isle of Man (0.2%):
Real Estate (0.2%):
NEPI Rockcastle PLC		88,051		624,181
Korea, Republic Of (22.0%):
Communication Services (2.8%):
Kakao Corp.		13,437		1,944,884
LG Uplus Corp.		122,096		1,664,231
NAVER Corp.		2,409		893,094
Pearl Abyss Corp. (a)		9,216		619,501
SK Telecom Co. Ltd.		7,888		2,241,406
				7,363,116
Consumer Discretionary (3.0%):
Hankook Tire & Technology Co. Ltd.		27,475		1,261,339
Hyundai Mobis Co. Ltd.		3,947		1,023,420
Hyundai Motor Co.		5,033		1,070,375
Kia Corp.		15,167		1,206,734
LG Electronics, Inc.		7,948		1,153,930

See notes to financial statements.

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June 30, 2021

Security Description	Shares		Value
Lotte Shopping Co. Ltd.		11,251	$	1,153,923
Shinsegae, Inc.		4,716		1,195,594
				8,065,315
Consumer Staples (2.5%):
Amorepacific Corp.		2,006		448,885
AMOREPACIFIC Group		8,187		465,274
BGF Retail Co. Ltd.		3,923		625,297
CJ CheilJedang Corp.		3,522		1,441,764
E-MART, Inc.		8,682		1,233,512
KT&G Corp.		32,177		2,411,525
				6,626,257
Energy (0.6%):
GS Holdings Corp.		28,191		1,157,780
SK Innovation Co. Ltd. (a)		1,634		428,759
				1,586,539
Financials (6.1%):
DB Insurance Co. Ltd.		35,181		1,711,956
Hana Financial Group, Inc.		34,689		1,418,486
Industrial Bank of Korea		184,212		1,717,556
KB Financial Group, Inc.		33,117		1,640,926
Korea Investment Holdings Co. Ltd.		12,053		1,102,392
Meritz Securities Co. Ltd.		407,164		1,711,958
Mirae Asset Securities Co. Ltd.		134,832		1,129,038
NH Investment & Securities Co. Ltd.		66,579		762,660
Samsung Securities Co. Ltd.		38,111		1,521,191
Shinhan Financial Group Co. Ltd.		47,070		1,696,969
Woori Financial Group, Inc.		173,385		1,762,872
				16,176,004
Health Care (0.2%):
Seegene, Inc.		4,208		309,019
Shin Poong Pharmaceutical Co. Ltd.		4,355		332,575
				641,594
Industrials (2.4%):
GS Engineering & Construction Corp.		31,476		1,199,059
HMM Co. Ltd. (a)		9,929		387,056
Hyundai Engineering & Construction Co. Ltd.		11,507		595,710
Hyundai Glovis Co. Ltd.		2,998		556,393
Hyundai Heavy Industries Holdings Co. Ltd.		13,822		868,976
Korean Air Lines Co. Ltd. (a)		21,437		599,623
LG Corp.		16,341		1,487,326
Pan Ocean Co. Ltd.		100,342		760,930
				6,455,073
Information Technology (1.8%):
LG Display Co. Ltd. (a)		55,842		1,214,873
LG Innotek Co. Ltd.		3,206		634,852

See notes to financial statements.

54

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Security Description	Shares		Value
Samsung Electronics Co. Ltd.		22,819	$	1,635,211
SK Hynix, Inc.		11,392		1,289,775
				4,774,711
Materials (2.0%):
Hanwha Chemical Corp. (a)		9,455		374,036
Hyundai Steel Co.		23,444		1,117,917
Kumho Petrochemical Co. Ltd.		4,191		815,015
Lotte Chemical Corp.		4,688		1,092,750
POSCO		5,101		1,576,298
SK Chemicals Co. Ltd.		1,017		234,800
				5,210,816
Utilities (0.6%):
Korea Electric Power Corp.		69,865		1,541,664
				58,441,089
Malaysia (1.5%):
Communication Services (0.2%):
Telekom Malaysia Bhd		388,100		567,449
Consumer Discretionary (0.6%):
Genting Bhd		1,260,700		1,497,110
Health Care (0.7%):
Kossan Rubber Industries		922,300		715,358
Supermax Corp. Bhd		472,100		375,269
Top Glove Corp. Bhd		709,600		712,762
				1,803,389
				3,867,948
Mexico (1.0%):
Communication Services (0.2%):
Grupo Televisa SAB		187,700		537,538
Consumer Staples (0.8%):
Arca Continental SAB de CV		204,192		1,185,740
Fomento Economico Mexicano Sab de CV		115,648		976,565
				2,162,305
				2,699,843
Poland (3.1%):
Communication Services (1.1%):
Cyfrowy Polsat SA		210,989		1,659,315
Orange Polska SA (a)		683,933		1,206,359
				2,865,674
Consumer Staples (0.3%):
Dino Polska SA (a) (e)		9,057		665,893
Energy (0.5%):
Polskie Gornictwo Naftowe i Gazownictwo SA		745,073		1,305,786

See notes to financial statements.

55

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June 30, 2021

Security Description	Shares		Value
Financials (0.5%):
Bank Polska Kasa Opieki SA (a)		27,362	$	668,418
Powszechna Kasa Oszczednosci Bank Polski SA (a)		73,598		731,340
				1,399,758
Materials (0.4%):
KGHM Polska Miedz SA		20,862		1,028,304
Utilities (0.3%):
PGE Polska Grupa Energetyczna SA (a)		373,663		923,606
				8,189,021
Russian Federation (2.7%):
Energy (1.2%):
Gazprom PJSC		480,957		1,852,231
Surgutneftegas PJSC		2,667,940		1,338,649
				3,190,880
Financials (0.6%):
Moscow Exchange MICEX PJSC		447,905		1,046,529
Sberbank of Russia PJSC		139,947		585,602
				1,632,131
Materials (0.3%):
Severstal PAO		39,477		847,537
Utilities (0.6%):
Inter RAO UES PJSC		22,461,113		1,440,451
				7,110,999
South Africa (3.0%):
Communication Services (0.4%):
MTN Group (a)		162,457		1,174,503
Consumer Staples (0.3%):
Shoprite Holdings Ltd.		67,983		740,070
Energy (0.5%):
Exxaro Resources Ltd.		101,608		1,198,482
Health Care (0.4%):
Aspen Pharmacare Holdings Ltd. (a)		94,053		1,067,674
Materials (1.4%):
African Rainbow Minerals Ltd.		60,222		1,076,963
Harmony Gold Mining Co. Ltd.		94,623		349,632
Impala Platinum Holdings Ltd.		40,905		674,619
Northam Platinum Ltd. (a)		23,733		360,564
Sasol Ltd. (a)		38,847		593,122
Sibanye Stillwater Ltd.		151,530		633,128
				3,688,028
				7,868,757

See notes to financial statements.

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Security Description	Shares		Value
Taiwan (16.2%):
Consumer Discretionary (0.4%):
Pou Chen Corp.		725,000	$	1,022,611
Consumer Staples (0.5%):
Uni-President Enterprises Corp.		486,000		1,276,813
Financials (2.3%):
China Development Financial Holding Corp.		2,707,000		1,277,597
Fubon Financial Holding Co. Ltd.		485,000		1,286,371
Shin Kong Financial Holding Co. Ltd.		3,001,000		1,026,452
Yuanta Financial Holding Co. Ltd.		2,772,656		2,671,900
				6,262,320
Industrials (3.3%):
Evergreen Marine Corp. Taiwan Ltd. (a)		764,000		5,401,812
Wan Hai Lines Ltd.		202,000		2,327,214
Yang Ming Marine Transport Corp. (a)		158,000		1,034,904
				8,763,930
Information Technology (8.4%):
Acer, Inc.		773,000		812,881
ASE Technology Holding Co. Ltd.		180,000		723,553
Asustek Computer, Inc.		170,000		2,266,667
AU Optronics Corp.		1,867,000		1,517,723
Catcher Technology Co. Ltd.		107,000		698,932
Compal Electronics, Inc. (f)		3,366,000		2,700,048
Foxconn Technology Co. Ltd.		687,000		1,619,952
Hon Hai Precision Industry Co. Ltd.		446,000		1,792,804
Innolux Corp.		1,934,000		1,440,305
Lite-On Technology Corp.		491,000		1,015,042
MediaTek, Inc.		19,000		656,007
Nan Ya Printed Circuit Board Corp.		80,000		1,118,349
Novatek Microelectronics Corp.		33,000		591,009
Pegatron Corp.		277,000		683,987
Quanta Computer, Inc. (f)		325,000		1,020,637
Synnex Technology International Corp.		503,000		918,895
United Microelectronics Corp.		675,142		1,286,677
WPG Holdings Ltd. (f)		735,000		1,347,995
				22,211,463
Materials (0.5%):
China Steel Corp.		871,000		1,237,922
Real Estate (0.8%):
Ruentex Development Co. Ltd.		1,079,000		2,191,885
				42,966,944

See notes to financial statements.

57

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Security Description	Shares		Value
Thailand (2.0%):
Consumer Staples (1.3%):
Charoen Pokphand Foods PCL		1,847,300	$	1,527,409
Thai Union Group PCL		3,321,200		2,051,787
				3,579,196
Financials (0.4%):
Krungthai Card PCL		230,000		480,811
The Siam Commercial Bank PCL		219,100		669,947
				1,150,758
Information Technology (0.3%):
Delta Electronics Thailand PCL		38,700		697,928
				5,427,882
Turkey (1.8%):
Communication Services (0.5%):
Turkcell Iletisim Hizmetleri A/S		727,794		1,348,775
Financials (0.9%):
Akbank TAS (b)		849,192		516,113
Turkiye Garanti Bankasi A/S		942,206		900,180
Turkiye Is Bankasi A/S (b)		1,596,144		937,017
				2,353,310
Materials (0.4%):
Eregli Demir ve Celik Fabrikalari TAS		580,332		1,202,414
				4,904,499
United Arab Emirates (0.5%):
Real Estate (0.5%):
Aldar Properties PJSC		1,380,974		1,436,184
Total Common Stocks (Cost $217,550,531)				261,936,449
Collateral for Securities Loaned^ (1.9%)
United States (1.9%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 0.04% (g)		97,841		97,841
Fidelity Investments Money Market Government Portfolio I Shares, 0.01% (g)		2,650,184		2,650,184
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 0.02% (g)		48,827		48,827
JPMorgan Prime Money Market Fund, Capital Class, 0.07% (g)		389,333		389,333
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 0.06% (g)		1,750,519		1,750,519
Total Collateral for Securities Loaned (Cost $4,936,704)				4,936,704
Total Investments (Cost $222,487,235) — 100.5%				266,873,153
Liabilities in excess of other assets — (0.5)%				(1,282,333	)
NET ASSETS — 100.00%			$	265,590,820

^  Purchased with cash collateral from securities on loan.

(a)  Non-income producing security.

See notes to financial statements.

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(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 0.6% of the Fund's net assets as of June 30, 2021. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)

(d)  The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees and has classified it as a Level 3 security. As of June 30, 2021, the fair value of these securities was $1,682,339 and amounted to 0.6% of net assets.

(e)  Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2021, the fair value of these securities was $8,467,560 and amounted to 3.2% of net assets.

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

(g)  Rate disclosed is the daily yield on June 30, 2021.

ADR — American Depositary Receipt

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		31	9/17/21	$	2,110,790	$	2,115,440	$	4,650
Total unrealized appreciation								$	4,650
Total unrealized depreciation									—
Total net unrealized appreciation (depreciation)								$	4,650

See notes to financial statements.

59

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares USAA MSCI USA Value Momentum ETF			VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Assets:
Investments, at value (Cost $364,565,451 and $250,447,667)	$	447,076,662	(a)	$	312,868,132	(b)
Cash		2,473,979			982,732
Deposit with brokers for futures contracts		390,761			177,240
Receivables:
Interest and dividends		518,741			159,020
Capital shares issued		—			3,610,016
Investments sold		6,509,329			434,143
Variation margin on open futures contracts		4,290			1,984
From Adviser		3,180			—
Prepaid expenses		3,745			1,969
Total Assets		456,980,687			318,235,236
Liabilities:
Payables:
Collateral received on loaned securities		7,095,869			14,929,060
Investments purchased		—			3,594,452
Capital shares redeemed		6,559,632			—
Accrued expenses and other payables:
Investment advisory fees		55,380			36,349
Administration fees		7,349			5,067
Custodian fees		3,783			2,666
Compliance fees		282			184
Trustees' fees		103			69
Other accrued expenses		44,925			36,108
Total Liabilities		13,767,323			18,603,955
Net Assets:
Capital		433,567,629			274,739,258
Total accumulated earnings/(loss)		9,645,735			24,892,023
Net Assets	$	443,213,364		$	299,631,281
Shares Outstanding (unlimited shares authorized, no par value):		6,750,000			4,150,000
Net asset value:	$	65.66		$	72.20

(a)  Includes $6,935,982 of securities on loan.

(b)  Includes $14,393,174 of securities on loan.

See notes to financial statements.

60

Victory Portfolios II Statements of Assets and Liabilities
June 30, 2021

	VictoryShares USAA MSCI International Value Momentum ETF			VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Assets:
Investments, at value (Cost $318,053,990 and $222,487,235)	$	363,520,610	(a)	$	266,873,153	(b)
Foreign currency, at value (Cost $804,845 and $546,714)		802,606			546,924
Cash		1,218,311			1,273,704
Deposit with brokers for futures contracts		340,534			376,875
Receivables:
Interest and dividends		734,194			1,992,723
Reclaims		578,406			3,506
From Adviser		47,633			15,321
Prepaid expenses		2,703			1,508
Total Assets		367,244,997			271,083,714
Liabilities:
Payables:
To custodian		—			114
Collateral received on loaned securities		9,662,962			4,936,704
Investments purchased		—			45,042
Variation margin on open futures contracts		16,579			11,648
Accrued foreign capital gains taxes		—			330,370
Accrued expenses and other payables:
Investment advisory fees		74,881			65,177
Administration fees		6,141			4,617
Custodian fees		36,344			47,201
Compliance fees		223			161
Trustees' fees		79			63
Other accrued expenses		67,340			51,797
Total Liabilities		9,864,549			5,492,894
Net Assets:
Capital		371,548,061			242,920,064
Total accumulated earnings/(loss)		(14,167,613	)		22,670,756
Net Assets	$	357,380,448		$	265,590,820
Shares Outstanding (unlimited shares authorized, no par value):		7,200,000			5,100,000
Net asset value:	$	49.64		$	52.08

(a)  Includes $9,071,419 of securities on loan.

(b)  Includes $4,706,253 of securities on loan.

See notes to financial statements.

61

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares USAA MSCI USA Value Momentum ETF			VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Investment Income:
Dividends	$	8,275,687		$	2,933,861
Affiliated dividend income		—			4,258
Interest		54			339
Securities lending (net of fees)		18,729			218,837
Foreign tax withholding		(4,129	)		(3,464	)
Total Income		8,290,341			3,153,831
Expenses:
Investment advisory fees		743,167			422,811
Administration fees		288,677			163,754
Sub-Administration fees		18,049			18,046
Custodian fees		23,561			16,261
Servicing fees		4,684			4,684
Trustees' fees		38,186			21,567
Compliance fees		4,209			2,334
Legal and audit fees		54,347			35,180
Broker interest fees		—			377
Licensing fees		124,096			70,672
Other expenses		36,478			31,226
Total Expenses		1,335,454			786,912
Expenses waived/reimbursed by Adviser		(343,353	)		(98,379	)
Net Expenses		992,101			688,533
Net Investment Income (Loss)		7,298,240			2,465,298
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from unaffiliated investment securities		(14,022,678	)		(10,933,082	)
Net realized gains (losses) from affiliated investment securities		—			(1,187	)
Net realized gains (losses) from futures contracts		461,506			580,191
Net realized gains (losses) from in-kind redemptions		105,225,285			78,397,834
Net change in unrealized appreciation/depreciation on unaffiliated investment securities		93,151,482			59,578,823
Net change in unrealized appreciation/depreciation on affiliated investments securities		—			(9,989	)
Net change in unrealized appreciation/depreciation on futures contracts		72,638			(3,509	)
Net realized/unrealized gains (losses) on investments		184,888,233			127,609,081
Change in net assets resulting from operations	$	192,186,473		$	130,074,379

See notes to financial statements.

62

Victory Portfolios II Statements of Operations
For the Year Ended June 30, 2021

	VictoryShares USAA MSCI International Value Momentum ETF			VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Investment Income:
Dividends	$	11,847,929		$	9,568,134
Non-cash dividends		1,549,353			—
Interest		382			303
Securities lending (net of fees)		96,096			34,581
Foreign tax withholding		(1,191,266	)		(1,094,355	)
Total Income		12,302,494			8,508,663
Expenses:
Investment advisory fees		956,101			742,275
Administration fees		222,370			143,303
Sub-Administration fees		18,049			20,054
Custodian fees		139,749			281,185
Servicing fees		6,246			6,245
Trustees' fees		28,375			18,078
Compliance fees		3,168			1,980
Legal and audit fees		55,917			55,909
Line of credit fees		318			2,003
Broker Interest fees		633			484
Interest fees		11,515			271
Licensing fees		134,175			86,953
Other expenses		55,127			41,532
Total Expenses		1,631,743			1,400,272
Expenses waived/reimbursed by Adviser		(278,572	)		(281,557	)
Net Expenses		1,353,171			1,118,715
Net Investment Income (Loss)		10,949,323			7,389,948
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		10,210,238			12,355,110
Foreign taxes on realized gains		—			(92,287	)
Net realized gains (losses) from futures contracts		597,931			447,491
Net realized gains (losses) from in-kind redemptions		25,704,149			6,906,824
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		62,121,513			61,368,356
Net change in unrealized appreciation/depreciation on futures contracts		(42,859	)		(1,746	)
Net change in accrued foreign taxes on unrealized gains		—			(295,532	)
Net realized/unrealized gains (losses) on investments		98,590,972			80,688,216
Change in net assets resulting from operations	$	109,540,295		$	88,078,164

See notes to financial statements.

63

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI USA Value Momentum ETF
	Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	7,298,240		$	7,103,288		$	8,289,043
Net realized gains (losses) from investments		91,664,113			(20,581,789	)		(19,470,642	)
Net change in unrealized appreciation/ depreciation on investments		93,224,120			(20,402,540	)		(6,880,961	)
Change in net assets resulting from operations		192,186,473			(33,881,041	)		(18,062,560	)
Change in net assets resulting from distributions to shareholders		(7,140,505	)		(9,133,011	)		(7,198,442	)
Change in net assets resulting from capital transactions		(206,179,954	)		38,916,833			95,201,128
Change in net assets		(21,133,986	)		(4,097,219	)		69,940,126
Net Assets:
Beginning of period		464,347,350			468,444,569			398,504,443
End of period	$	443,213,364		$	464,347,350		$	468,444,569
Capital Transactions:
Proceeds from shares issued	$	189,957,267		$	71,638,748		$	156,763,683
Cost of shares redeemed		(396,137,221	)		(32,721,915	)		(61,562,555	)
Change in net assets resulting from capital transactions	$	(206,179,954	)	$	38,916,833		$	95,201,128
Share Transactions:
Issued		3,200,000			1,600,000			3,150,000
Redeemed		(6,700,000	)		(650,000	)		(1,250,000	)
Change in Shares		(3,500,000	)		950,000			1,900,000

See notes to financial statements.

64

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
	Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	2,465,298		$	2,564,386		$	1,778,801
Net realized gains (losses) from investments		68,043,756			(13,107,994	)		(6,722,301	)
Net change in unrealized appreciation/ depreciation on investments		59,565,325			1,777,086			(4,539,409	)
Change in net assets resulting from operations		130,074,379			(8,766,522	)		(9,482,909	)
Change in net assets resulting from distributions to shareholders		(3,526,739	)		(2,906,435	)		(1,357,525	)
Change in net assets resulting from capital transactions		(66,163,688	)		149,356,462			40,887,570
Change in net assets		60,383,952			137,683,505			30,047,136
Net Assets:
Beginning of period		239,247,329			101,563,824			71,516,688
End of period	$	299,631,281		$	239,247,329		$	101,563,824
Capital Transactions:
Proceeds from shares issued	$	143,357,344		$	163,170,156		$	53,138,254
Cost of shares redeemed		(209,521,032	)		(13,813,694	)		(12,250,684	)
Change in net assets resulting from capital transactions	$	(66,163,688	)	$	149,356,462		$	40,887,570
Share Transactions:
Issued		2,200,000			3,500,000			1,050,000
Redeemed		(3,300,000	)		(300,000	)		(250,000	)
Change in Shares		(1,100,000	)		3,200,000			800,000

See notes to financial statements.

65

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI International Value Momentum ETF
	Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	10,949,323		$	6,509,609		$	8,861,028
Net realized gains (losses) from investments		36,512,318			(23,248,529	)		(34,740,090	)
Net change in unrealized appreciation/ depreciation on investments		62,078,654			(7,483,957	)		912,398
Change in net assets resulting from operations		109,540,295			(24,222,877	)		(24,966,664	)
Change in net assets resulting from distributions to shareholders		(10,100,636	)		(9,567,813	)		(8,527,397	)
Change in net assets resulting from capital transactions		(57,063,375	)		25,101,890			49,350,829
Change in net assets		42,376,284			(8,688,800	)		15,856,768
Net Assets:
Beginning of period		315,004,164			323,692,964			307,836,196
End of period	$	357,380,448		$	315,004,164		$	323,692,964
Capital Transactions:
Proceeds from shares issued	$	45,460,436		$	27,200,006		$	55,562,743
Cost of shares redeemed		(102,523,811	)		(2,098,116	)		(6,211,914	)
Change in net assets resulting from capital transactions	$	(57,063,375	)	$	25,101,890		$	49,350,829
Share Transactions:
Issued		1,100,000			750,000			1,250,000
Redeemed		(2,100,000	)		(50,000	)		(150,000	)
Change in Shares		(1,000,000	)		700,000			1,100,000

See notes to financial statements.

66

Victory Portfolios II Statements of Changes in Net Assets

	VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
	Year Ended June 30, 2021			Ten Months Ended June 30, 2020			Year Ended August 31, 2019
From Investment Activities:
Operations:
Net investment income (loss)	$	7,389,948		$	3,096,908		$	5,060,584
Net realized gains (losses) from investments		19,617,138			(12,738,828	)		(14,905,243	)
Net change in unrealized appreciation/ depreciation on investments		61,071,078			542,073			(3,473,863	)
Change in net assets resulting from operations		88,078,164			(9,099,847	)		(13,318,522	)
Change in net assets resulting from distributions to shareholders		(6,382,157	)		(5,048,334	)		(3,550,809	)
Change in net assets resulting from capital transactions		19,002,805			9,988,737			30,946,414
Change in net assets		100,698,812			(4,159,444	)		14,077,083
Net Assets:
Beginning of period		164,892,008			169,051,452			154,974,369
End of period	$	265,590,820		$	164,892,008		$	169,051,452
Capital Transactions:
Proceeds from shares issued	$	72,396,227		$	13,413,426		$	30,946,414
Cost of shares redeemed		(53,393,422	)		(3,424,689	)		—
Change in net assets resulting from capital transactions	$	19,002,805		$	9,988,737		$	30,946,414
Share Transactions:
Issued		1,800,000			350,000			700,000
Redeemed		(1,050,000	)		(100,000	)		—
Change in Shares		750,000			250,000			700,000

See notes to financial statements.

67

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
VictoryShares USAA MSCI USA Value Momentum ETF
Year Ended June 30, 2021	$	45.30		0.81		20.32			21.13			(0.77	)		(0.77	)
Ten Months Ended June 30, 2020(f)	$	50.37		0.72		(4.85	)(h)		(4.13	)		(0.94	)		(0.94	)
Year Ended August 31, 2019	$	53.85		1.00		(3.59	)		(2.59	)		(0.89	)		(0.89	)
October 24, 2017(g) through August 31, 2018	$	50.19		0.78		3.34			4.12			(0.46	)		(0.46	)
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Year Ended June 30, 2021	$	45.57		0.52		26.84			27.36			(0.73	)		(0.73	)
Ten Months Ended June 30, 2020(f)	$	49.54		0.60		(3.74	)		(3.14	)		(0.83	)		(0.83	)
Year Ended August 31, 2019	$	57.21		1.00		(7.86	)		(6.86	)		(0.81	)		(0.81	)
October 24, 2017(g) through August 31, 2018	$	50.13		0.57		6.81			7.38			(0.30	)		(0.30	)

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

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

(c)  Annualized for periods less than one year.

(d)  Excludes impact of in-kind transactions.

(e)  Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See note 4 in the Notes to Financial Statements)

(f)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.

(g)  Commencement of operations.

(h)  The amount shown reflects a net realized and unrealized gain per share, whereas the statement of operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.

See notes to financial statements.

68

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

						Ratios to Average Net Assets									Supplemental Data
	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 MSCI USA Value Momentum ETF
Year Ended June 30, 2021	$	65.66		47.02	%		0.20	%		1.47	%		0.27	%	$	443,213		76	%
Ten Months Ended June 30, 2020(f)	$	45.30		(8.31	)%		0.20	%		1.80	%		0.28	%	$	464,347		66	%
Year Ended August 31, 2019	$	50.37		(4.79	)%		0.20	%		2.00	%		0.25	%	$	468,445		87	%
October 24, 2017(g) through August 31, 2018	$	53.85		8.23	%		0.20	%		1.76	%		0.25	%	$	398,504		84	%
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Year Ended June 30, 2021	$	72.20		60.47	%		0.24	%(e)		0.87	%		0.28	%	$	299,631		78	%
Ten Months Ended June 30, 2020(f)	$	45.57		(6.44	)%		0.25	%		1.53	%		0.31	%	$	239,247		70	%
Year Ended August 31, 2019	$	49.54		(11.99	)%		0.25	%		1.98	%		0.30	%	$	101,564		88	%
October 24, 2017(g) through August 31, 2018	$	57.21		14.80	%		0.25	%		1.25	%		0.30	%	$	71,517		81	%

See notes to financial statements.

69

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
VictoryShares USAA MSCI International Value Momentum ETF
Year Ended June 30, 2021	$	38.42		1.28		11.17			12.45			(1.23	)		(1.23	)
Ten Months Ended June 30, 2020(e)	$	43.16		0.83		(4.35	)		(3.52	)		(1.22	)		(1.22	)
Year Ended August 31, 2019	$	48.10		1.30		(4.99	)		(3.69	)		(1.25	)		(1.25	)
October 24, 2017(f) through August 31, 2018	$	50.08		1.34		(2.64	)		(1.30	)		(0.68	)		(0.68	)
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Year Ended June 30, 2021	$	37.91		1.36		14.10			15.46			(1.29	)		(1.29	)
Ten Months Ended June 30, 2020(e)	$	41.23		0.73		(2.85	)		(2.12	)		(1.20	)		(1.20	)
Year Ended August 31, 2019	$	45.58		1.31		(4.73	)		(3.42	)		(0.93	)		(0.93	)
October 24, 2017(f) through August 31, 2018	$	49.95		1.17		(5.10	)		(3.93	)		(0.44	)		(0.44	)

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

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

(c)  Annualized for periods less than one year.

(d)  Excludes impact of in-kind transactions.

(e)  The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.

(f)  Commencement of operations.

See notes to financial statements.

70

Victory Portfolios II Financial Highlights — continued

For a Share Outstanding Throughout Each Period

						Ratios to Average Net Assets									Supplemental Data
	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 MSCI International Value Momentum ETF
Year Ended June 30, 2021	$	49.64		32.66	%		0.35	%		2.86	%		0.42	%	$	357,380		90	%
Ten Months Ended June 30, 2020(e)	$	38.42		(8.39	)%		0.35	%		2.41	%		0.41	%	$	315,004		62	%
Year Ended August 31, 2019	$	43.16		(7.70	)%		0.35	%		2.90	%		0.40	%	$	323,693		87	%
October 24, 2017(f) through August 31, 2018	$	48.10		(2.64	)%		0.35	%		3.12	%		0.40	%	$	307,836		65	%
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Year Ended June 30, 2021	$	52.08		41.48	%		0.45	%		2.98	%		0.56	%	$	265,591		95	%
Ten Months Ended June 30, 2020(e)	$	37.91		(5.47	)%		0.45	%		2.18	%		0.57	%	$	164,892		51	%
Year Ended August 31, 2019	$	41.23		(7.62	)%		0.45	%		3.00	%		0.50	%	$	169,051		67	%
October 24, 2017(f) through August 31, 2018	$	45.58		(7.95	)%		0.45	%		2.77	%		0.50	%	$	154,974		58	%

See notes to financial statements.

71

Victory Portfolios II Notes to Financial Statements
June 30, 2021

1. Organization:

Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 24 funds, 22 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. The accompanying financial statements are those of the following four Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.

Funds (Legal Name)	Funds (Short Name)
VictoryShares USAA MSCI USA Value Momentum ETF	USAA MSCI USA Value Momentum Index 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

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. A Fund's 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 under Accounting Standards Codification Topic 946.

Shares of the Funds are listed and traded on the 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"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance 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.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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

The Transaction Fees for each Fund are listed below:

	Fee for In-Kind and Cash Purchases and Redemptions		Maximum Additional Variable Charge for Cash Purchases and Redemptions*
USAA MSCI USA Value Momentum ETF	$	500		2.00	%
USAA MSCI USA Small Cap Value Momentum ETF		750		2.00	%
USAA MSCI International Value Momentum ETF		3,000		2.00	%
USAA MSCI Emerging Markets Value Momentum ETF		5,500		2.00	%

*  As a percentage of the amount invested.

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.

Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.

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 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.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

In the event that price quotations or valuations are not readily available, investments 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. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.

A summary of the valuations as of June 30, 2021, 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	$	439,980,793		$	—	$	—	$	439,980,793
Collateral for Securities Loaned		7,095,869			—		—		7,095,869
Total	$	447,076,662		$	—	$	—	$	447,076,662
Other Financial Investments^:
Assets:
Futures Contracts	$	46,188		$	—	$	—	$	46,188
Total	$	46,188		$	—	$	—	$	46,188
USAA MSCI USA Small Cap Value Momentum ETF
Common Stocks	$	297,934,942		$	—	$	—	$	297,934,942
Rights		—			—		4,130		4,130
Collateral for Securities Loaned		14,929,060			—		—		14,929,060
Total	$	312,864,002		$	—	$	4,130	$	312,868,132
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(7,051	)	$	—	$	—	$	(7,051	)
Total	$	(7,051	)	$	—	$	—	$	(7,051	)
USAA MSCI International Value Momentum ETF
Common Stocks	$	353,857,648		$	—	$	—	$	353,857,648
Collateral for Securities Loaned		9,662,962			—		—		9,662,962
Total	$	363,520,610		$	—	$	—	$	363,520,610
Other Financial Investments^:
Liabilities:
Futures Contracts	$	(36,641	)	$	—	$	—	$	(36,641	)
Total	$	(36,641	)	$	—	$	—	$	(36,641	)
USAA MSCI Emerging Markets Value Momentum ETF
Common Stocks	$	260,254,111		$	—	$	1,682,338	$	261,936,449
Collateral for Securities Loaned		4,936,704			—		—		4,936,704
Total	$	265,190,815		$	—	$	1,682,338	$	266,873,153

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Level 1		Level 2		Level 3		Total
Other Financial Investments^:
Assets:
Futures Contracts	$	4,650	$	—	$	—	$	4,650
Total	$	4,650	$	—	$	—	$	4,650

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

For the year ended June 30, 2021, there were no significant transfers in or out of Level 3 in the fair value hierarchy.

As of June 30, 2021, there were no significant Level 3 holdings in the 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:

Certain 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. The Funds 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 Funds record 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. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of June 30, 2021, the Funds had no open forward foreign exchange currency contracts.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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. The Funds 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 Funds 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 Funds 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 Funds 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. The Funds 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 Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' 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 June 30, 2021, 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.

The table below, as of June 30, 2021, discloses both gross information and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to collateral held at clearing brokers and counterparties.

	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received		Net Amount
USAA MSCI USA Value Momentum ETF
Futures Contracts-Goldman Sachs & Co.	$	4,290	$	—	$	4,290	$	—	$	4,290
USAA MSCI USA Small Cap Value Momentum ETF
Futures Contracts-Goldman Sachs & Co.		1,984		—		1,984		—		1,984

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Pledged*			Net Amount
USAA MSCI International Value Momentum ETF
Futures Contracts-Goldman Sachs & Co.	$	16,579	$	—	$	16,579	$	(16,579	)	$	—
USAA MSCI Emerging Markets Value Momentum ETF
Futures Contracts-Goldman Sachs & Co.		11,648		—		11,648		(11,648	)		—

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

Summary of Derivative Instruments:

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2021:

	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	$	46,188	$	—
USAA MSCI USA Small Cap Value Momentum ETF		—		7,051
USAA MSCI International Value Momentum ETF		—		36,641
USAA MSCI Emerging Markets Value Momentum ETF		4,650		—

*  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 table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2021:

	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	$	461,506	$	72,638
USAA MSCI USA Small Cap Value Momentum ETF		580,191		(3,509	)
USAA MSCI International Value Momentum ETF		597,931		(42,859	)
USAA MSCI Emerging Markets Value Momentum ETF		447,491		(1,746	)

The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

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"). 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 Citibank 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 Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them.

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

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2021. 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 Cash		Value of Non-cash Collateral Received by Maturity
	(Value of Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 days		>90 Days		Net Amount
USAA MSCI USA Value Momentum ETF	$	6,935,982	$	6,935,982	$	—	$	—	$	—	$	—
USAA MSCI USA Small Cap Value Momentum ETF		14,393,174		14,393,174		—		—		—		—
USAA MSCI International Value Momentum ETF		9,071,419		9,071,419		—		—		—		—
USAA MSCI Emerging Markets Value Momentum ETF		4,706,253		4,706,253		—		—		—		—

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

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

Foreign Currency Translations:

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

Foreign Taxes:

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

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 the Funds are charged to the Funds, while expenses that 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 year ended June 30, 2021, 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	$	372,035,795	$	371,406,041	$	188,876,231	$	395,391,487
USAA MSCI USA Small Cap Value Momentum ETF		219,000,604		218,893,765		142,592,740		208,330,101
USAA MSCI International Value Momentum ETF		329,376,019		330,283,080		43,717,346		101,569,233
USAA MSCI Emerging Markets Value Momentum ETF		255,867,751		223,208,947		13,591,679		28,194,126

For the year ended June 30, 2021, there were no purchases or sales of U.S. Government Securities.

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Victory Portfolios II Notes to Financial Statements — continued
June 30, 2021

4. Fees and Transactions with Affiliates and Related Parties:

Investment Advisory Fees:

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

Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.

	Flat Rate
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	%

Amounts incurred and paid to VCM for the year ended June 30, 2021, are reflected on the Statements of Operations as Investment advisory fees.

Administration and Servicing Fees:

VCM serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"). Tiered rates at which VCM is paid by the Funds are shown in the table below:

Assets up to $15 billion			Assets $15 billion — $30 billion			Assets over $30 billion
	0.08	%, plus		0.05	%, plus		0.04	%

Amounts incurred for the year ended June 30, 2021, 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 Fund 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 Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Fund. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Sub-Administration 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 year ended June 30, 2021, are reflected on the Statements of Operations as Compliance fees.

Transfer Agency Fees:

Citibank serves as the Funds' Transfer Agent. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Transfer agent fees.

Distributor/Underwriting Services:

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

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Victory Portfolios II Notes to Financial Statements — continued
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Other Fees:

Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2021, are reflected on the Statements of Operations as Custodian 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. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2021, the expense limits (excluding voluntary waivers) are as follows:

	In Effect Until October 31, 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	%

Under the terms of the expense limitation agreement, amended May 1, 2021, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount. Prior to May 1, 2021, the Funds were permitted to recoup fees waived and expenses reimbursed for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the limitations above. This change did not have any effect on the amounts previously reported for recoupment.

As of June 30, 2021, 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 June 30, 2021.

	Expires 2023		Expires 2024		Total
USAA MSCI USA Value Momentum ETF	$	188,636	$	169,706	$	358,342
USAA MSCI USA Small Cap Value Momentum ETF		37,764		—		37,764
USAA MSCI International Value Momentum ETF		71,346		144,936		216,282
USAA MSCI Emerging Markets Value Momentum ETF		114,256		195,585		309,841

The Adviser may voluntarily waive or reimburse additional fees to assist the Fund in maintaining competitive expense ratios. These waivers are not available for recoupment and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. The Adviser voluntarily waived the following administration fees during the year ended June 30, 2021.

USAA MSCI USA Value Momentum ETF	$	173,647
USAA MSCI USA Small Cap Value Momentum ETF		98,379
USAA MSCI International Value Momentum ETF		133,636
USAA MSCI Emerging Markets Value Momentum ETF		85,972

Certain officers and/or interested trustees of the Fund are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.

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Victory Portfolios II Notes to Financial Statements — continued
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5. Risks:

The Funds 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 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 Schedules of Portfolio Investments include 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.

6. Borrowing and Interfund Lending:

Line of Credit:

The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 29, 2021, with a termination date of June 27, 2022. Under the agreement with Citibank, the Victory Funds Complex 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, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2021, 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. For the period June 29, 2020, through April 30, 2021, under an amended Line of Credit agreement, Citibank received an annual

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Victory Portfolios II Notes to Financial Statements — continued
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upfront fee of 0.10% on the $300 million committed line of credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the upfront fee. Effective with the renewal, the annual commitment fee of 0.15% remains unchanged and the upfront fee of 0.10% was discontinued. Interest charged to each fund during the period, if applicable, is presented on the Statements of Operations under Line of credit fees.

The average borrowing for the days outstanding and average interest rate for each Fund that utilized the Line of Credit during the year ended June 30, 2021, were as follows:

	Amount Outstanding at June 30, 2021		Average Borrowings		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
USAA MSCI USA Value Momentum ETF	$	—	$	4,600,000		2		1.14	%	$	4,600,000
USAA MSCI International Value Momentum ETF		—		65,000,000		4		1.14	%		65,000,000
USAA MSCI Emerging Markets Value Momentum ETF		—		18,575,000		12		1.18	%		36,000,000

*  For the year ended June 30, 2021, 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 as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.

	Declared	Paid
USAA MSCI USA Value Momentum ETF	Monthly	Monthly
USAA MSCI USA Small Cap Value Momentum ETF	Monthly	Monthly
USAA MSCI International Value Momentum ETF	Monthly	Monthly
USAA MSCI Emerging Markets Value Momentum ETF	Monthly	Monthly

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 the Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

As of June 30, 2021, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions as applicable) were as follows:

	Total Accumulated Earnings/(Loss)			Capital
USAA MSCI USA Value Momentum ETF	$	(105,048,948	)	$	105,048,948
USAA MSCI USA Small Cap Value Momentum ETF		(78,023,892	)		78,023,892
USAA MSCI International Value Momentum ETF		(25,326,983	)		25,326,983
USAA MSCI Emerging Markets Value Momentum ETF		(6,799,900	)		6,799,900

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

	Year Ended June 30, 2021
	Distributions paid from		Total		Total
	Ordinary Income		Taxable Distributions		Distributions Paid
USAA MSCI USA Value Momentum ETF	$	7,140,505	$	7,140,505	$	7,140,505
USAA MSCI USA Small Cap Value Momentum ETF		3,526,739		3,526,739		3,526,739
USAA MSCI International Value Momentum ETF		10,100,636		10,100,636		10,100,636
USAA MSCI Emerging Markets Value Momentum ETF		6,382,157		6,382,157		6,382,157
	Period Ended June 30, 2020
	Distributions paid from		Total		Total
	Ordinary Income		Taxable Distributions		Distributions Paid
USAA MSCI USA Value Momentum ETF	$	9,133,011	$	9,133,011	$	9,133,011
USAA MSCI USA Small Cap Value Momentum ETF		2,906,435		2,906,435		2,906,435
USAA MSCI International Value Momentum ETF		9,567,813		9,567,813		9,567,813
USAA MSCI Emerging Markets Value Momentum ETF		5,048,334		5,048,334		5,048,334
	Year Ended August 31, 2019
	Distributions paid from		Total		Total
	Ordinary Income		Taxable Distributions		Distributions Paid
USAA MSCI USA Value Momentum ETF	$	7,198,442	$	7,198,442	$	7,198,442
USAA MSCI USA Small Cap Value Momentum ETF		1,357,525		1,357,525		1,357,525
USAA MSCI International Value Momentum ETF		8,527,397		8,527,397		8,527,397
USAA MSCI Emerging Markets Value Momentum ETF		3,550,809		3,550,809		3,550,809

As of June 30, 2021, the components of accumulated earnings (loss) on a tax basis were as follows:

	Undistributed Ordinary Income		Accumulated Earnings		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)*		Total Accumulated Earnings (Loss)
USAA MSCI USA Value Momentum ETF	$	774,543	$	774,543	$	(73,451,968	)	$	82,323,160	$	9,645,735
USAA MSCI USA Small Cap Value Momentum ETF		—		—		(37,284,975	)		62,176,998		24,892,023
USAA MSCI International Value Momentum ETF		2,946,486		2,946,486		(59,389,121	)		42,275,022		(14,167,613	)
USAA MSCI Emerging Markets Value Momentum ETF		3,346,604		3,346,604		(20,380,118	)		39,704,270		22,670,756

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

At June 30, 2021, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.

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Victory Portfolios II Notes to Financial Statements — continued
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	Short-Term		Long-Term		Total
USAA MSCI USA Value Momentum ETF	$	46,215,266	$	27,236,702	$	73,451,968
USAA MSCI USA Small Cap Value Momentum ETF		29,253,603		8,031,372		37,284,975
USAA MSCI International Value Momentum ETF		40,393,661		18,995,460		59,389,121
USAA MSCI Emerging Markets Value Momentum ETF		13,909,530		6,470,588		20,380,118

During the tax year ended June 30, 2021, the Funds utilized capital loss carryforwards as shown in the table below:

	Short-Term		Long-Term
USAA MSCI International Value Momentum ETF	$	7,329,713	$	3,072,669
USAA MSCI Emerging Markets Value Momentum ETF		9,792,701		3,750,485

As of June 30, 2021, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:

	Cost of Investments for Federal Tax Purposes		Net Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
USAA MSCI USA Value Momentum ETF	$	364,753,502	$	86,424,002	$	(4,100,842	)	$	82,323,160
USAA MSCI USA Small Cap Value Momentum ETF		250,691,134		66,993,941		(4,816,943	)		62,176,998
USAA MSCI International Value Momentum ETF		321,255,186		53,553,739		(11,288,315	)		42,265,424
USAA MSCI Emerging Markets Value Momentum ETF		226,839,684		55,405,509		(15,372,040	)		40,033,469

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 or 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.

Section 12(d)(3) of the 1940 Act, and Rule 12d3-1(c) under the 1940 Act, generally prohibit a fund from purchasing the securities issued by, among other entities, a fund's investment adviser. When a fund's investment objective is to track the performance of an unaffiliated index by investing in the stocks that comprise that index, the staff of the SEC has taken the position that, subject to certain conditions, the fund may establish and maintain a position in the common stock of an affiliate of the fund's investment adviser in an amount approximately in proportion to the percentage that the stock is represented in the index. In seeking to provide investment results that closely correspond to its respective unaffiliated index, one or more Funds may hold the securities of Victory Capital Holdings, Inc., the parent company of VCM and other Fund service providers.

Transactions in affiliated securities during the year ended June 30, 2021 were as follows:

USAA MSCI USA Small Cap Value Momentum ETF	Fair Value 6/30/2020		Purchases at Cost		Proceeds from Sales			Realized Gain (Loss)		Capital Gain Distribution		Net Change in Unrealized Appreciation/ Depreciation			Fair Value 6/30/2021		Dividend Income
Victory Capital Holdings, Inc.*	$	365,373	$	230,720	$	(834,301	)	$	248,197	$	—	$	(9,989	)	$	—	$	4,258

*  Victory Capital Holdings, Inc. was sold prior to June 30, 2021.

85

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios ll

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA MSCI USA Value Momentum ETF, VictoryShares USAA MSCI USA Small Cap Value Momentum ETF, VictoryShares USAA MSCI International Value Momentum ETF, and VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Funds"), each a series of Victory Portfolios ll, as of June 30, 2021, and the related statements of operations for the year the ended, and the statements of changes in net assets, the related notes, and financial highlights for the year ended June 30, 2021, for the ten months ended June 30, 2020 and for the year ended August 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of their operations for the year then ended, and the statements of changes in net assets and financial highlights for the year ended June 30, 2021, for the ten months ended June 30, 2020 and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those highlights.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

COHEN & COMPANY, LTD.
Cleveland, Ohio
August 27, 2021

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Trustee and Officer Information

Board of Trustees:

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

The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 24 portfolios in the Trust, eight portfolios in Victory Variable Insurance Funds, and 41 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds and oversees 46 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.

Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
Independent Trustees.
David Brooks Adcock, Born October 1951	Trustee	May 2015	Consultant (since 2006).	Chair and Trustee, Turner Funds (December 2016-December 2017).
Nigel D. T. Andrews, Born April 1947	Trustee	May 2015	Retired.	Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012).
E. Lee Beard,* Born August 1951	Trustee	May 2015	Retired (since 2015)	None.
Dennis M. Bushe, Born January 1944	Trustee	July 2016	Retired.	Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

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Name and Date of Birth	Position Held with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years	Other Directorships Held During Past 5 Years
John L. Kelly, Born April 1953	Vice Chair and Trustee	May 2015	Partner, McCarvill Capital Partners (September 2016- September 2017).	Director, Caledonia Mining Corporation (since May 2012).
David L. Meyer,* Born April 1957	Trustee	May 2015	Retired.	None.
Gloria S. Nelund, Born May 1961	Trustee	July 2016	Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.	TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).
Leigh A. Wilson, Born December 1944	Chair and Trustee	May 2015	Private Investor.	Chair (since 2013), Caledonia Mining Corporation.
Interested Trustee.
David C. Brown,** Born May 1972	Trustee	May 2015	Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc.	Trustee, USAA Mutual Funds Trust.

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

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

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

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Officers:

The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.

Name and Date of Birth	Position with the Trust	Date Commenced Service	Principal Occupation During Past 5 Years
Christopher K. Dyer, Born February 1962	President	May 2015	Director of Mutual Fund Administration, the Adviser.
Scott A. Stahorsky, Born July 1969	Vice President	May 2015	Manager, Fund Administration, the Adviser.
Erin G. Wagner, Born February 1974	Secretary	May 2015	Associate General Counsel, the Adviser (since 2013).
Allan Shaer, Born March 1965	Treasurer	December 2017	Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016).
Christopher A. Ponte, Born March 1984	Assistant Treasurer	May 2015	Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018).
Colin Kinney, Born October 1973	Chief Compliance Officer	July 2017	Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.
Chuck Booth, Born April 1960	Anti-Money Laundering Compliance Officer and Identity Theft Officer	May 2015	Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc.
Jay G. Baris, Born January 1954	Assistant Secretary	May 2015	Partner, Sidley Austin LLP (since April 2020); Partner, Shearman & Sterling LLP (January 2018-April 2020); Partner, Morrison & Foerster LLP (2011-January 2018).

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Proxy Voting and Portfolio Holdings Information

Proxy Voting:

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

Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 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 is available on the SEC's website at www.sec.gov.

Expense Examples

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

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021, through June 30, 2021.

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 the 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 below are meant to highlight your ongoing costs only and do not reflect any transactional costs. If these transactional costs were included, your costs would have been higher.

	Beginning Account Value 1/1/21		Actual Ending Account Value 6/30/21		Hypothetical Ending Account Value 6/30/21		Actual Expenses Paid During Period 1/1/21- 6/30/21*		Hypothetical Expenses Paid During Period 1/1/21- 6/30/21*		Annualized Expense Ratio During Period 1/1/21- 6/30/21
USAA MSCI USA Value Mom Index ETF	$	1,000.00	$	1,201.20	$	1,023.80	$	1.09	$	1.00		0.20	%
USAA MSCI USA Small Cap Value Momentum ETF		1,000.00		1,213.90		1,023.60		1.32		1.20		0.24	%
USAA MSCI International Value Momentum ETF		1,000.00		1,104.30		1,023.06		1.83		1.76		0.35	%
USAA MSCI Emerging Markets Value Momentum ETF		1,000.00		1,149.60		1,022.56		2.40		2.26		0.45	%

*  Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (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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Additional Federal Income Tax Information

For the year ended June 30, 2021, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Percent
USAA MSCI USA Value Momentum ETF		99	%
USAA MSCI USA Small Cap Value Momentum ETF		93	%
USAA MSCI International Value Momentum ETF		76	%
USAA MSCI Emerging Markets Value Momentum ETF		62	%

Dividends qualified for corporate dividends received deductions of:

	Percent
USAA MSCI USA Value Momentum ETF		92	%
USAA MSCI USA Small Cap Value Momentum ETF		89	%

The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2021, were as follows

	Foreign Source Income		Foreign Tax Expense
USAA MSCI International Value Momentum ETF		1.63		0.13
USAA MSCI Emerging Markets Value Momentum ETF		1.81		0.22

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Liquidity Risk Management Program:

The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration the Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.

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

At a meeting held on February 18, 2021, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure the Funds are able to meet redemption requests without significant dilution to the remaining investors' interest in the Funds. During the review period, the Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that the Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.

92

Privacy Policy

Protecting the Privacy of Information

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

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

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

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

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

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

VS-MSCI-ETF-AR (6/21)

Item 2. Code of Ethics.

(a) The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics in included as an Exhibit.

(b) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.

Item 3. Audit Committee Financial Expert.

(a)(1) The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.

(a)(2) The audit committee financial experts are David L. Meyer and E. Lee Beard, who are “independent” for purposes of this Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

	2021		2020
(a) Audit Fees (1)	$	249,000	$	242,000
(b) Audit-Related Fees (2)		0		0
(c) Tax Fees (3)		81,250		71,500
(d) All Other Fees (4)		0		0

(1) Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit fees billed were for professional services provided by Cohen Fund Audit Services, Ltd for audit compliance, audit advice and audit planning.

(2) Represents the fee for assurance and related services by Cohen Fund Audit Services, Ltd reasonably related to the performance of the audit of the Registrant’s financial statements that was not reported under (a) of this item.

(3) Represents the aggregate tax fee billed for professional services rendered by Cohen Fund Audit Services, Ltd for tax compliance, tax advice, international tax fee transactions and tax planning. Such tax services included the review of income and excise tax returns for the Registrant.

(4) For the fiscal years ended June 30, 2021 and June 30, 2020, there were no fees billed for professional services rendered by Cohen Fund Audit Services, Ltd to the Registrant, other than the services reported in (a) through (c) of this item.

Tax fees for 2021 and 2020 are for recurring tax fees for the preparation of the federal and state tax returns and procedures performed relating to the Registrant’s analysis of complex securities.

(e)(1) The Registrant’s Audit Committee must pre-approve non-audit services to be provided by the principal accountant and the fees charged with these services. The Committee may delegate authority to one or more Committee members to pre-approve these services, subject to subsequent review and approval by the Committee.

(e)(2) There were no services performed under Rule 2.01 (c)(7)(i)(C).

(f) Not applicable.

(g)

2021	$	0
2020	$	0

(h) The Registrant’s Audit Committee has evaluated the non-audit services that the principal accountant provided to the Registrant’s investment adviser (and the adviser’s relevant affiliated), which services the Committee did not pre-approve, and has concluded that the provision of those services was compatible with maintaining the accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a)  Not applicable.

(b)  Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

Item 11. Controls and Procedures.

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

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

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

(a)(1) Not applicable.

(a)(2) Not applicable.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b)     Not applicable.

Item 13. Exhibits.

(a)(1) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

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

(a)(3) Not applicable.

(a)(4) Not applicable.

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

SIGNATURES

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

(Registrant) Victory Portfolios II

By (Signature and Title)*	/s/ Allan Shaer
	Allan Shaer, Principal Financial Officer

Date September 1, 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 September 1, 2021

By (Signature and Title)*	/s/ Allan Shaer
	Allan Shaer, Principal Financial Officer

Date September 1, 2021