June 30, 2022

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


 

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?  The latest fund news

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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
    22    
VictoryShares USAA MSCI International Value
Momentum ETF
    35    
VictoryShares USAA MSCI Emerging Markets
Value Momentum ETF
    47    

Financial Statements

 

Statements of Assets and Liabilities

    59    

Statements of Operations

    61    

Statements of Changes in Net Assets

    63    

Financial Highlights

    66    

Notes to Financial Statements

   

70

   
Report of Independent Registered Public
Accounting Firm
   

84

   

Supplemental Information (Unaudited)

   

85

   

Trustee and Officer Information

    85    

Proxy Voting and Portfolio Holdings Information

    89    

Expense Examples

    89    

Additional Federal Income Tax Information

    90    

Liquidity Risk Management Program

    91    

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,

Looking back over our most recent annual reporting period offers us a stark reminder that markets go up and down, and that investor sentiment can shift quickly.

Although most of 2021 was constructive for financial markets, the script flipped as we entered the new calendar year. More recently, investors have been focused on a host of worries. Inflation data has been running hotter than expected. The U.S. Federal Reserve (the "Fed") has embarked on a new rate-hike cycle and a terrible war is raging in Eastern Europe. All these issues, among other factors, have ratcheted up market volatility in both stock and bond markets. Many broad-market stock indices have pulled back substantially during the first half of 2022 and even entered "bear market" territory, which is typically considered a 20% pullback from the most recent highs. Meanwhile, fixed income investors are also dealing with elevated volatility, and wide swaths of the bond market have struggled in the face of rising interest rates.

Throughout the ups and downs of the past annual reporting period, there have been interesting differences playing out within the broader market. In general, large-cap stocks outperformed smaller-capitalization companies for the full annual reporting period. Meanwhile, growth-oriented styles led value-oriented investments during the earlier part of our annual reporting period, while the reverse was true during the latter segment of the reporting period (as measured by the Russell family of indices). Perhaps this reflects investors' realization and expectations for future higher interest rates and corresponding higher borrowing costs.

There were other notable subplots, too. During much of 2021 we watched crypto assets captivate investors, only to see them fall out of favor as sentiment soured. This year we've seen oil prices surge, which helped fuel gains across the energy landscape while many other sectors lagged. The Energy and Utilities sectors (and yes, Cash) have been the lone bright spots for many investor portfolios. If anything, this underscores the importance of diversification.

Looking at the numbers, we see that the S&P 500? Index, the bell-weather proxy for our domestic stock market, declined by 10.62% for the 12-month period ended June 30, 2022. Over this same annual period, the yield on the 10-Year U.S. Treasury jumped 1.53%, thanks largely to the Fed's shift toward a less accommodative monetary policy and the first rate hike in three years. At the end of our reporting period, the yield on the 10-Year U.S. Treasury finished at 2.98%.

Given the market environment of the past few months, it's no surprise that investors have become more focused on risk management and downside protection. Remember, our experience managing portfolios through various economic cycles has taught us to remain calm in the face of market turmoil. It is our view that a long-term perspective, a well-diversified portfolio across asset classes and investment types, and a clear understanding of individual risk tolerances are some of the key ingredients for staying the course and progressing on investment goals.

 


3


 

As ever, there will be challenges ahead. The Fed has declared its intent to continue raising rates until the recent elevated inflation readings decline. Labor shortages, ongoing supply chain issues, high energy prices, and the Russia-Ukraine war are among the performance detractors investors continue to navigate. There's even some chatter about a possible recession.

Although we cannot tell you with any certainty what markets will do in the future, we can assure you that the investment professionals at all our independent franchises continually monitor the environment and work hard to position portfolios opportunistically no matter what the markets bring.

On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, 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.

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

Christopher K. Dyer, CFA

President,

Victory Funds

 


4


 

VictoryShares USAA MSCI USA Value Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy ? a development investors took as an indication that the first interest rate increases may be on the way in 2022.

Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500? Index. The markets faced a shift in Fed policy, as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.

The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500? Index also posted a negative return during the quarter.

The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.

How did VictoryShares USAA MSCI USA Value Momentum ETF (the "Fund") perform during the reporting period?

The Fund returned -6.94%, underperforming its benchmark, the MSCI USA Select Value Momentum Blend Index (the "Index"), which returned -6.75% 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, had a negative return over the evaluation period. The Energy, Materials, Utilities, Consumer Staples, and Health Care sectors contributed, while the Real Estate, Industrials, Financials, Information Technology, consumer discretionary, and Communication Services sectors detracted.

 


5


 

VictoryShares USAA MSCI USA Value Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

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

   

?6.94

%

   

?7.08

%

   

?6.75

%

   

?12.80

%

 

Since Inception

   

5.63

%

   

5.59

%

   

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.

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 of 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 USAA MSCI USA Small Cap Value
Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy ? a development investors took as an indication that the first interest rate increases may be on the way in 2022.

Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500? Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.

The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500? Index also posted a negative return during the quarter.

The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.

How did VictoryShares USAA MSCI USA Small Cap Value Momentum ETF (the "Fund") perform during the reporting period?

The Fund returned -15.24%, narrowly underperforming its benchmark, the MSCI USA Small Cap Select Value Momentum Blend Index (the "Index"), which returned -15.00% 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, had a negative return over the evaluation period. The Energy, Consumer Staples, Utilities, and Materials sectors contributed while the Financials, Industrials, Real Estate, Information Technology, Health Care, Consumer Discretionary, and Communication Services sectors detracted.

 


7


 

VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

10/24/17

 

10/24/17

         
   

Net Asset Value

 

MSCI USA
Market Price Value

 

Small Cap
Select Value
Momentum
Blend Index1

 

MSCI USA
Small Cap
Index2

 

One Year

   

?15.24

%

   

?15.24

%

   

?15.00

%

   

?20.93

%

 

Since Inception

   

5.51

%

 

 

5.52

%

 

 

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.

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 1,974 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 of 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 USAA MSCI International Value
Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy ? a development investors took as an indication that the first interest rate increases may be on the way in 2022.

Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500? Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.

The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500? Index also posted a negative return during the quarter.

The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.

How did VictoryShares USAA MSCI International Value Momentum ETF (the "Fund") perform during the reporting period?

The Fund returned -16.12%, underperforming its benchmark, the MSCI World ex USA Select Value Momentum Blend Index (the "Index"), which returned -15.86% 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, had a negative return over the evaluation period. The Fund's top-contributing countries were Japan, Spain, and New Zealand. The lowest-contributing countries were Belgium, Sweden, and Finland.

 


9


 

VictoryShares USAA MSCI International Value
Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

10/24/17

 

10/24/17

         
   

Net Asset Value

 

MSCI World
Market Price Value

 

ex USA
Select Value
Momentum
Blend Index1

 

MSCI World
ex USA
Index (Net)2

 

One Year

   

?16.12

%

   

?15.75

%

   

?15.86

%

   

?16.76

%

 

Since Inception

   

?1.85

%

   

?1.78

%

 

 

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.

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 890 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 of 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 USAA MSCI Emerging Markets Value
Momentum ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

The financial markets produced broadly flat returns in the third quarter of 2021. Conditions were initially supportive in July and August thanks to positive economic data and continued strength in corporate earnings. The picture changed in September, however, as investors began to focus on risk factors such as supply chain disruptions and rising inflation. In addition, the U.S. Federal Reserve (the "Fed") indicated it may begin tapering its stimulative quantitative easing policy ? a development investors took as an indication that the first interest rate increases may be on the way in 2022.

Despite impediments to sentiment, U.S. equities posted solid gains in the fourth quarter of 2021, as reflected in the 11.03% return for the bellwether S&P 500? Index. The markets faced a shift in Fed policy as persistent inflation driven by supply chain issues and rising commodity prices led the Fed to announce and subsequently accelerate the tapering of its bond purchases that have helped keep longer-term borrowing costs low. Nonetheless, most major U.S. equity indices closed 2021 at or near all-time highs, supported by robust corporate profits and investor inflows given fixed income yields that remained unattractive.

The Russian invasion of Ukraine in February of 2022 added significant volatility to both equity and bond markets that were already concerned with elevated levels of inflation, a hawkish Fed and rising interest rates. In the first quarter of 2022, the combination of widening credit spreads and rising interest rates led to the worst quarter for the Bloomberg US Aggregate Bond Index (a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market) in 40 years. Equity markets did not fare any better as the S&P 500? Index also posted a negative return during the quarter.

The second quarter of 2022 saw continued pressure on stocks and bonds. With inflation readings hitting four-decade highs, the Fed now faced an increasingly difficult task of implementing policy strong enough to tame inflation and provide a "soft landing" for the economy, while not being too aggressive and tilting the economy into recession. This risk contributed to the heightened stock market volatility, in addition to mounting COVID-19-related lockdowns in China, rising oil prices, and the ongoing conflict between Russia and Ukraine. The Fed raised the fed funds rate by 50 basis points (a basis point is 1/100th of a percentage point) in May, and 75 basis points in June.

How did VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Fund") perform during the reporting period?

The Fund returned -18.34%, underperforming its benchmark, the MSCI Emerging Markets Select Value Momentum Blend Index (the "Index"), which returned -17.61% 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, had a negative return over the evaluation period. The Fund's top-contributing countries were Czech Republic, Philippines, and India, which account for less than 10% of the Fund. The lowest-contributing countries were Russia, Korea, and Malaysia.

 


11


 

VictoryShares USAA MSCI Emerging Markets Value
Momentum ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

10/24/17

 

10/24/17

         
   

Net Asset Value

 

MSCI Emerging
Market Price Value

 

Markets
Select Value
Momentum
Blend Index1

 

MSCI Emerging
Markets
Index (Net)2

 

One Year

   

?18.34

%

   

?16.91

%

   

?17.61

%

   

?25.28

%

 

Since Inception

   

?1.56

%

   

?1.30

%

 

 

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.

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 24 Emerging Markets (EM) countries. With 1,380 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 of 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, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide 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, 2022

(% of Net Assets)

The J.M. Smucker Co.

   

1.2

%

 

Northrop Grumman Corp.

   

1.2

%

 

Republic Services, Inc.

   

1.2

%

 

Consolidated Edison, Inc.

   

1.2

%

 

Bristol-Myers Squibb Co.

   

1.1

%

 

AT&T, Inc.

   

1.0

%

 

AbbVie, Inc.

   

1.0

%

 

Pfizer, Inc.

   

1.0

%

 

International Business Machines Corp.

   

1.0

%

 

Huntington Ingalls Industries, Inc.

   

1.0

%

 

Sector Allocation*:

June 30, 2022

(% 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, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI USA Small Cap Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Weis Markets, Inc.

   

0.5

%

 

Hostess Brands, Inc.

   

0.5

%

 

National Fuel Gas Co.

   

0.5

%

 

Universal Corp.

   

0.5

%

 

United Therapeutics Corp.

   

0.5

%

 

CSG Systems International, Inc.

   

0.5

%

 

Sanderson Farms, Inc.

   

0.4

%

 

Amphastar Pharmaceuticals, Inc.

   

0.4

%

 

Resources Connection, Inc.

   

0.4

%

 

Seaboard Corp.

   

0.4

%

 

Sector Allocation*:

June 30, 2022

(% 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, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI World ex USA Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Metro, Inc.

   

1.4

%

 

Loblaw Cos. Ltd.

   

1.3

%

 

George Weston Ltd.

   

1.2

%

 

Elbit Systems Ltd.

   

1.1

%

 

GSK PLC

   

1.0

%

 

Novo Nordisk A/S, Class B

   

0.9

%

 

Koninklijke Ahold Delhaize NV

   

0.9

%

 

National Grid PLC

   

0.9

%

 

Sanofi

   

0.9

%

 

Tesco PLC

   

0.9

%

 

Sector Allocation*:

June 30, 2022

(% 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, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that closely correspond, before fees and expenses, to the performance of the MSCI Emerging Markets Select Value Momentum Blend Index.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Taiwan Cooperative Financial Holding Co. Ltd.

   

1.2

%

 

Bank of China Ltd., Class H

   

1.1

%

 

Arca Continental SAB de CV

   

1.1

%

 

SinoPac Financial Holdings Co. Ltd.

   

1.0

%

 

KT&G Corp.

   

1.0

%

 

WPG Holdings Ltd.

   

1.0

%

 

IHH Healthcare Bhd

   

0.9

%

 

Bank of Communications Co. Ltd., Class H

   

0.9

%

 

Yuexiu Property Co. Ltd.

   

0.9

%

 

Agricultural Bank of China Ltd., Class H

   

0.9

%

 

Sector Allocation*:

June 30, 2022

(% 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, 2022
 

Security Description

 

Shares

 

Value

 

Common Stocks (99.3%)

 

Communication Services (6.6%):

 

Alphabet, Inc., Class A (a)

   

503

   

$

1,096,168

   

AT&T, Inc.

   

130,061

     

2,726,079

   

DISH Network Corp., Class A (a)

   

60,797

     

1,090,090

   

Fox Corp., Class A

   

49,766

     

1,600,475

   

Liberty Global PLC, Class C (a)

   

79,749

     

1,761,655

   

Liberty Media Corp.-Liberty Formula One, Class C (a)

   

29,936

     

1,900,038

   

Lumen Technologies, Inc.

   

172,615

     

1,883,230

   

News Corp., Class A

   

94,854

     

1,477,825

   

Omnicom Group, Inc.

   

13,660

     

868,913

   

Paramount Global, Class B

   

36,755

     

907,113

   

The Interpublic Group of Cos., Inc.

   

51,262

     

1,411,243

   

Warner Bros. Discovery, Inc. (a) (b)

   

73,046

     

980,277

   
     

17,703,106

   

Consumer Discretionary (9.9%):

 

Advance Auto Parts, Inc.

   

3,975

     

688,033

   

AutoZone, Inc. (a)

   

1,096

     

2,355,435

   

Bath & Body Works, Inc.

   

21,527

     

579,507

   

BorgWarner, Inc.

   

38,386

     

1,280,941

   

D.R. Horton, Inc.

   

21,455

     

1,420,106

   

Dollar General Corp.

   

6,562

     

1,610,577

   

Dollar Tree, Inc. (a)

   

14,145

     

2,204,498

   

Expedia Group, Inc. (a)

   

4,848

     

459,736

   

Ford Motor Co.

   

91,732

     

1,020,977

   

General Motors Co. (a)

   

33,806

     

1,073,679

   

Genuine Parts Co.

   

8,016

     

1,066,128

   

Lear Corp.

   

9,997

     

1,258,522

   

Lennar Corp., Class A

   

17,480

     

1,233,564

   

LKQ Corp.

   

27,347

     

1,342,464

   

Mohawk Industries, Inc. (a)

   

8,100

     

1,005,129

   

Newell Brands, Inc.

   

75,240

     

1,432,570

   

PulteGroup, Inc.

   

28,960

     

1,147,685

   

Target Corp. (b)

   

6,605

     

932,824

   

Tractor Supply Co.

   

11,198

     

2,170,732

   

Ulta Beauty, Inc. (a)

   

1,945

     

749,759

   

Whirlpool Corp.

   

8,884

     

1,375,865

   
     

26,408,731

   

Consumer Staples (6.9%):

 

Archer-Daniels-Midland Co.

   

31,352

     

2,432,915

   

Bunge Ltd.

   

10,911

     

989,519

   

Costco Wholesale Corp.

   

3,486

     

1,670,770

   

Molson Coors Beverage Co., Class B

   

41,103

     

2,240,524

   

The J.M. Smucker Co.

   

25,166

     

3,221,500

   

The Kraft Heinz Co.

   

59,606

     

2,273,373

   

The Kroger Co.

   

52,220

     

2,471,573

   

Tyson Foods, Inc., Class A

   

25,254

     

2,173,359

   

Walgreens Boots Alliance, Inc.

   

21,735

     

823,756

   
     

18,297,289

   

See notes to financial statements.

 


17


 
Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Energy (3.3%):

 

APA Corp.

   

10,207

   

$

356,224

   

ConocoPhillips

   

15,671

     

1,407,412

   

Devon Energy Corp.

   

16,709

     

920,833

   

Diamondback Energy, Inc.

   

7,544

     

913,955

   

EOG Resources, Inc.

   

11,363

     

1,254,930

   

EQT Corp.

   

11,649

     

400,726

   

Exxon Mobil Corp.

   

22,857

     

1,957,473

   

Marathon Oil Corp.

   

20,395

     

458,480

   

Occidental Petroleum Corp.

   

6,686

     

393,672

   

Pioneer Natural Resources Co.

   

3,374

     

752,672

   
     

8,816,377

   

Financials (10.9%):

 

Alleghany Corp. (a)

   

1,062

     

884,752

   

Ally Financial, Inc.

   

27,874

     

934,058

   

American International Group, Inc.

   

23,571

     

1,205,185

   

Arch Capital Group Ltd. (a)

   

17,667

     

803,672

   

Berkshire Hathaway, Inc., Class B (a)

   

4,913

     

1,341,347

   

Blackstone, Inc.

   

7,425

     

677,383

   

Capital One Financial Corp.

   

9,874

     

1,028,772

   

Citigroup, Inc.

   

27,956

     

1,285,696

   

Citizens Financial Group, Inc.

   

32,793

     

1,170,382

   

Equitable Holdings, Inc.

   

45,946

     

1,197,812

   

Everest Re Group Ltd.

   

6,965

     

1,952,150

   

Fifth Third Bancorp

   

14,515

     

487,704

   

Franklin Resources, Inc.

   

34,778

     

810,675

   

Invesco Ltd.

   

70,681

     

1,140,085

   

KKR & Co., Inc.

   

14,496

     

671,020

   

Lincoln National Corp.

   

16,029

     

749,676

   

Loews Corp.

   

33,643

     

1,993,684

   

MetLife, Inc.

   

25,433

     

1,596,938

   

Morgan Stanley

   

9,776

     

743,563

   

Prudential Financial, Inc.

   

14,857

     

1,421,518

   

Raymond James Financial, Inc.

   

10,224

     

914,128

   

Regions Financial Corp.

   

63,878

     

1,197,713

   

The Bank of New York Mellon Corp.

   

17,463

     

728,382

   

The Goldman Sachs Group, Inc.

   

5,849

     

1,737,270

   

W.R. Berkley Corp.

   

15,705

     

1,072,023

   

Wells Fargo & Co.

   

32,275

     

1,264,212

   
     

29,009,800

   

Health Care (14.2%):

 

AbbVie, Inc.

   

17,707

     

2,712,004

   

AmerisourceBergen Corp.

   

17,545

     

2,482,266

   

Bristol-Myers Squibb Co.

   

39,655

     

3,053,435

   

Cardinal Health, Inc.

   

18,386

     

961,036

   

Centene Corp. (a)

   

19,825

     

1,677,393

   

Cigna Corp.

   

7,873

     

2,074,693

   

CVS Health Corp.

   

22,956

     

2,127,103

   

Elevance Health, Inc.

   

3,781

     

1,824,635

   

See notes to financial statements.

 


18


 
Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Eli Lilly & Co.

   

3,665

   

$

1,188,303

   

HCA Healthcare, Inc.

   

3,365

     

565,522

   

Horizon Therapeutics PLC (a)

   

8,289

     

661,131

   

Jazz Pharmaceuticals PLC (a)

   

14,262

     

2,225,015

   

Laboratory Corp. of America Holdings

   

7,153

     

1,676,377

   

McKesson Corp.

   

7,198

     

2,348,059

   

Merck & Co., Inc.

   

15,375

     

1,401,739

   

Moderna, Inc. (a)

   

5,861

     

837,244

   

Molina Healthcare, Inc. (a)

   

5,041

     

1,409,514

   

Pfizer, Inc.

   

51,179

     

2,683,315

   

Quest Diagnostics, Inc.

   

8,618

     

1,146,022

   

Regeneron Pharmaceuticals, Inc. (a)

   

1,614

     

954,084

   

Universal Health Services, Inc., Class B

   

13,575

     

1,367,138

   

Vertex Pharmaceuticals, Inc. (a)

   

4,524

     

1,274,818

   

Viatris, Inc.

   

125,844

     

1,317,587

   
     

37,968,433

   

Industrials (15.6%):

 

AMERCO, Inc.

   

3,727

     

1,782,363

   

C.H. Robinson Worldwide, Inc.

   

15,008

     

1,521,361

   

Deere & Co.

   

2,571

     

769,937

   

Eaton Corp. PLC

   

7,245

     

912,798

   

FedEx Corp.

   

8,693

     

1,970,790

   

General Dynamics Corp.

   

10,966

     

2,426,227

   

Huntington Ingalls Industries, Inc.

   

11,916

     

2,595,543

   

Ingersoll Rand, Inc. (b)

   

17,037

     

716,917

   

J.B. Hunt Transport Services, Inc.

   

6,288

     

990,171

   

Jacobs Engineering Group, Inc.

   

16,921

     

2,151,167

   

Johnson Controls International PLC

   

17,146

     

820,950

   

Knight-Swift Transportation Holdings, Inc.

   

44,621

     

2,065,506

   

L3Harris Technologies, Inc.

   

10,332

     

2,497,244

   

Leidos Holdings, Inc.

   

9,466

     

953,321

   

Lockheed Martin Corp.

   

2,800

     

1,203,888

   

Northrop Grumman Corp.

   

6,651

     

3,182,969

   

Owens Corning

   

16,094

     

1,195,945

   

PACCAR, Inc.

   

13,458

     

1,108,132

   

Raytheon Technologies Corp.

   

19,096

     

1,835,317

   

Republic Services, Inc. (b)

   

24,279

     

3,177,393

   

Robert Half International, Inc.

   

18,512

     

1,386,364

   

Sensata Technologies Holding PLC

   

15,478

     

639,396

   

Snap-on, Inc.

   

9,164

     

1,805,583

   

Textron, Inc.

   

23,750

     

1,450,413

   

United Rentals, Inc. (a)

   

4,832

     

1,173,741

   

Westinghouse Air Brake Technologies Corp.

   

18,028

     

1,479,738

   
     

41,813,174

   

Information Technology (16.6%):

 

Accenture PLC, Class A

   

4,179

     

1,160,299

   

Akamai Technologies, Inc. (a)

   

13,005

     

1,187,747

   

Apple, Inc.

   

8,132

     

1,111,807

   

Applied Materials, Inc.

   

5,615

     

510,853

   

See notes to financial statements.

 


19


 
Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Arista Networks, Inc. (a)

   

14,077

   

$

1,319,578

   

Arrow Electronics, Inc. (a)

   

16,832

     

1,886,699

   

Broadcom, Inc.

   

3,748

     

1,820,816

   

Cisco Systems, Inc.

   

30,320

     

1,292,845

   

Cognizant Technology Solutions Corp., Class A

   

27,442

     

1,852,061

   

Corning, Inc.

   

26,759

     

843,176

   

Dell Technologies, Inc., Class C

   

37,198

     

1,718,920

   

F5, Inc. (a)

   

5,599

     

856,871

   

Fortinet, Inc. (a)

   

28,165

     

1,593,576

   

Gartner, Inc. (a)

   

6,080

     

1,470,326

   

Hewlett Packard Enterprise Co.

   

115,648

     

1,533,492

   

HP, Inc.

   

47,380

     

1,553,116

   

Intel Corp.

   

45,824

     

1,714,276

   

International Business Machines Corp.

   

18,985

     

2,680,492

   

Intuit, Inc.

   

2,093

     

806,726

   

Jack Henry & Associates, Inc.

   

6,764

     

1,217,655

   

Juniper Networks, Inc.

   

76,950

     

2,193,075

   

Micron Technology, Inc.

   

19,662

     

1,086,915

   

NetApp, Inc.

   

23,653

     

1,543,122

   

NortonLifeLock, Inc.

   

38,096

     

836,588

   

NVIDIA Corp.

   

3,195

     

484,330

   

NXP Semiconductors NV

   

4,669

     

691,152

   

ON Semiconductor Corp. (a)

   

22,231

     

1,118,442

   

Oracle Corp.

   

17,999

     

1,257,590

   

Palo Alto Networks, Inc. (a) (b)

   

1,937

     

956,762

   

Paychex, Inc.

   

9,570

     

1,089,736

   

QUALCOMM, Inc.

   

6,546

     

836,186

   

Seagate Technology Holdings PLC

   

20,026

     

1,430,657

   

TE Connectivity Ltd.

   

7,849

     

888,114

   

VMware, Inc., Class A

   

8,035

     

915,829

   

Western Digital Corp. (a)

   

22,432

     

1,005,627

   
     

44,465,456

   

Materials (4.0%):

 

Alcoa Corp.

   

7,555

     

344,357

   

CF Industries Holdings, Inc.

   

17,660

     

1,513,992

   

Cleveland-Cliffs, Inc. (a)

   

21,461

     

329,855

   

Corteva, Inc.

   

33,097

     

1,791,872

   

LyondellBasell Industries NV, Class A

   

13,984

     

1,223,041

   

Nucor Corp.

   

14,023

     

1,464,141

   

Steel Dynamics, Inc.

   

23,407

     

1,548,373

   

The Mosaic Co.

   

24,412

     

1,152,979

   

Westlake Corp.

   

5,461

     

535,287

   

Westrock Co.

   

17,788

     

708,674

   
     

10,612,571

   

Real Estate (5.4%):

 

Camden Property Trust

   

13,647

     

1,835,249

   

CBRE Group, Inc., Class A (a)

   

8,612

     

633,929

   

Extra Space Storage, Inc.

   

12,536

     

2,132,624

   

Iron Mountain, Inc.

   

42,764

     

2,082,179

   

See notes to financial statements.

 


20


 
Victory Portfolios II
VictoryShares USAA MSCI USA Value Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Mid-America Apartment Communities, Inc.

   

10,270

   

$

1,793,861

   

Prologis, Inc.

   

16,057

     

1,889,106

   

Public Storage

   

8,088

     

2,528,875

   

Simon Property Group, Inc.

   

3,757

     

356,615

   

Weyerhaeuser Co.

   

38,177

     

1,264,422

   
     

14,516,860

   

Utilities (5.9%):

 

CenterPoint Energy, Inc.

   

31,264

     

924,789

   

Consolidated Edison, Inc. (b)

   

33,030

     

3,141,153

   

Constellation Energy Corp.

   

18,004

     

1,030,909

   

Edison International

   

18,443

     

1,166,335

   

Evergy, Inc. (b)

   

18,841

     

1,229,375

   

Exelon Corp.

   

51,262

     

2,323,194

   

FirstEnergy Corp.

   

26,659

     

1,023,439

   

NiSource, Inc.

   

44,993

     

1,326,844

   

PG&E Corp. (a)

   

75,500

     

753,490

   

UGI Corp.

   

30,005

     

1,158,493

   

Vistra Corp.

   

77,783

     

1,777,342

   
     

15,855,363

   

Total Common Stocks (Cost $267,371,038)

   

265,467,160

   

Total Investments (Cost $267,371,038) ? 99.3%

   

265,467,160

   

Other assets in excess of liabilities ? 0.7%

   

1,993,988

   

NET ASSETS ? 100.00%

 

$

267,461,148

   

(a)  Non-income producing security.

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

PLC ? Public Limited Company

Futures Contracts Purchased

    Number of
Contracts
  Expiration
Date
  Notional
Amount
 

Value

  Unrealized
Appreciation
(Depreciation)
 

E-Mini S&P 500 Futures

   

9

   

9/16/22

 

$

1,762,408

   

$

1,705,275

   

$

(57,133

)

 

Total unrealized appreciation

 

$

?

   

Total unrealized depreciation

   

(57,133

)

 

Total net unrealized appreciation (depreciation)

 

$

(57,133

)

 

See notes to financial statements.

 


21


 
Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
  Schedule of Portfolio Investments
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Common Stocks (99.2%)

 

Communication Services (3.0%):

 

AMC Networks, Inc., Class A (a) (b)

   

14,172

   

$

412,689

   

Cars.com, Inc. (a)

   

33,470

     

315,622

   

Consolidated Communications Holdings, Inc. (a)

   

36,321

     

254,247

   

EchoStar Corp., Class A (a)

   

33,521

     

646,955

   

Entercom Communications Corp. (a)

   

207,767

     

195,758

   

Gannett Co., Inc. (a)

   

48,306

     

140,087

   

Gray Television, Inc.

   

28,465

     

480,774

   

IDT Corp., Class B (a)

   

5,876

     

147,782

   

Liberty Latin America Ltd., Class C (a)

   

29,615

     

230,701

   

Lions Gate Entertainment Corp., Class A (a)

   

39,033

     

363,397

   

Nexstar Media Group, Inc., Class A

   

3,562

     

580,179

   

Scholastic Corp.

   

19,320

     

694,941

   

TEGNA, Inc.

   

35,966

     

754,207

   

Telephone & Data Systems, Inc.

   

42,532

     

671,580

   

The EW Scripps Co., Class A (a)

   

25,013

     

311,912

   

Thryv Holdings, Inc. (a)

   

10,287

     

230,326

   

United States Cellular Corp. (a)

   

27,692

     

801,960

   

WideOpenWest, Inc. (a)

   

25,463

     

463,681

   
     

7,696,798

   

Consumer Discretionary (11.7%):

 

Abercrombie & Fitch Co. (a)

   

14,282

     

241,651

   

Academy Sports & Outdoors, Inc.

   

16,027

     

569,600

   

Adtalem Global Education, Inc. (a)

   

11,056

     

397,684

   

American Axle & Manufacturing Holdings, Inc. (a)

   

26,837

     

202,083

   

Asbury Automotive Group, Inc. (a)

   

1,503

     

254,518

   

AutoNation, Inc. (a)

   

6,039

     

674,919

   

Big Lots, Inc.

   

7,375

     

154,654

   

Boot Barn Holdings, Inc. (a)

   

6,000

     

413,460

   

Caleres, Inc.

   

17,353

     

455,343

   

Capri Holdings Ltd. (a)

   

8,049

     

330,089

   

Carriage Services, Inc.

   

8,089

     

320,729

   

Century Communities, Inc.

   

7,351

     

330,574

   

Chico's FAS, Inc. (a)

   

42,336

     

210,410

   

Clarus Corp.

   

18,296

     

347,441

   

Dana, Inc.

   

26,013

     

366,003

   

Dick's Sporting Goods, Inc. (b)

   

5,756

     

433,830

   

Dillard's, Inc., Class A

   

1,691

     

372,984

   

Ethan Allen Interiors, Inc.

   

32,344

     

653,672

   

Foot Locker, Inc.

   

7,697

     

194,349

   

Franchise Group, Inc.

   

12,869

     

451,316

   

Funko, Inc., Class A (a)

   

25,039

     

558,870

   

Genesco, Inc. (a)

   

6,547

     

326,761

   

G-III Apparel Group Ltd. (a)

   

15,459

     

312,736

   

Golden Entertainment, Inc. (a)

   

8,132

     

321,621

   

Graham Holdings Co., Class B

   

1,615

     

915,447

   

Grand Canyon Education, Inc. (a)

   

4,491

     

423,007

   

Green Brick Partners, Inc. (a)

   

26,366

     

515,983

   

See notes to financial statements.

 


22


 
Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Group 1 Automotive, Inc.

   

2,795

   

$

474,591

   

H&R Block, Inc.

   

28,085

     

991,962

   

Haverty Furniture Cos., Inc. (b)

   

12,472

     

289,101

   

Hibbett, Inc.

   

4,662

     

203,776

   

Hilton Grand Vacations, Inc. (a)

   

5,807

     

207,484

   

Hovnanian Enterprises, Inc., Class A (a)

   

6,600

     

282,414

   

Hyatt Hotels Corp., Class A (a)

   

3,955

     

292,314

   

KB Home

   

13,797

     

392,663

   

Kohl's Corp. (c)

   

7,839

     

279,774

   

Laureate Education, Inc., Class A

   

56,202

     

650,257

   

M/I Homes, Inc. (a)

   

9,777

     

387,756

   

Macy's, Inc.

   

20,683

     

378,913

   

MarineMax, Inc. (a)

   

11,522

     

416,175

   

Mattel, Inc. (a)

   

13,808

     

308,333

   

MDC Holdings, Inc.

   

15,255

     

492,889

   

Meritage Homes Corp. (a)

   

6,152

     

446,020

   

Modine Manufacturing Co. (a)

   

44,350

     

467,005

   

Movado Group, Inc.

   

14,369

     

444,433

   

Murphy USA, Inc.

   

4,656

     

1,084,243

   

Penske Automotive Group, Inc.

   

5,569

     

583,019

   

Perdoceo Education Corp. (a)

   

72,215

     

850,693

   

Playa Hotels & Resorts NV (a)

   

28,947

     

198,866

   

PVH Corp.

   

2,470

     

140,543

   

Qurate Retail, Inc., Class A

   

110,111

     

316,019

   

Service Corp. International

   

6,976

     

482,181

   

Shoe Carnival, Inc.

   

15,903

     

343,664

   

Signet Jewelers Ltd.

   

6,078

     

324,930

   

Skyline Champion Corp. (a)

   

8,696

     

412,364

   

Smith & Wesson Brands, Inc.

   

38,312

     

503,036

   

Sonic Automotive, Inc., Class A

   

10,074

     

369,011

   

Standard Motor Products, Inc.

   

10,682

     

480,583

   

Strategic Education, Inc.

   

5,511

     

388,966

   

Stride, Inc. (a)

   

15,964

     

651,171

   

Tapestry, Inc.

   

7,070

     

215,776

   

Taylor Morrison Home Corp. (a)

   

15,840

     

370,022

   

Tenneco, Inc., Class A (a)

   

31,464

     

539,922

   

The Aaron's Co., Inc.

   

26,466

     

385,080

   

The Buckle, Inc.

   

9,193

     

254,554

   

The Container Store Group, Inc. (a)

   

23,973

     

149,352

   

The Goodyear Tire & Rubber Co. (a)

   

36,323

     

389,019

   

The ODP Corp. (a)

   

12,799

     

387,042

   

Toll Brothers, Inc.

   

11,109

     

495,461

   

TravelCenters of America, Inc. (a)

   

10,920

     

376,412

   

Tri Pointe Homes, Inc. (a)

   

25,457

     

429,460

   

Vista Outdoor, Inc. (a)

   

12,131

     

338,455

   

Zumiez, Inc. (a)

   

14,283

     

371,358

   
     

29,986,796

   

Consumer Staples (5.7%):

 

Cal-Maine Foods, Inc.

   

10,586

     

523,054

   

Coca-Cola Consolidated, Inc.

   

1,393

     

785,513

   

See notes to financial statements.

 


23


 
Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Edgewell Personal Care Co.

   

19,635

   

$

677,800

   

Flowers Foods, Inc.

   

33,193

     

873,640

   

Fresh Del Monte Produce, Inc.

   

25,639

     

757,120

   

Hostess Brands, Inc. (a)

   

63,520

     

1,347,259

   

Ingles Markets, Inc., Class A

   

11,604

     

1,006,647

   

Ingredion, Inc.

   

7,195

     

634,311

   

MGP Ingredients, Inc.

   

3,413

     

341,607

   

Pilgrim's Pride Corp. (a)

   

32,397

     

1,011,759

   

Sanderson Farms, Inc.

   

5,221

     

1,125,282

   

Seaboard Corp.

   

283

     

1,098,770

   

SpartanNash Co.

   

20,064

     

605,331

   

Sprouts Farmers Market, Inc. (a)

   

17,112

     

433,276

   

The Andersons, Inc.

   

16,319

     

538,364

   

United Natural Foods, Inc. (a)

   

10,048

     

395,891

   

Universal Corp.

   

20,328

     

1,229,844

   

Weis Markets, Inc. (c)

   

18,178

     

1,354,988

   
     

14,740,456

   

Energy (3.6%):

 

Antero Resources Corp. (a)

   

16,061

     

492,270

   

Arch Resources, Inc.

   

3,924

     

561,485

   

Berry Corp.

   

45,286

     

345,079

   

Callon Petroleum Co. (a)

   

4,127

     

161,778

   

Centennial Resource Development, Inc., Class A (a)

   

54,445

     

325,581

   

Civitas Resources, Inc.

   

8,781

     

459,159

   

CNX Resources Corp. (a)

   

12,016

     

197,783

   

Comstock Resources, Inc. (a)

   

12,950

     

156,436

   

CONSOL Energy, Inc. (a)

   

3,635

     

179,496

   

Dorian LPG Ltd.

   

50,102

     

761,550

   

Gran Tierra Energy, Inc. (a)

   

124,763

     

143,477

   

Helix Energy Solutions Group, Inc. (a)

   

96,513

     

299,190

   

International Seaways, Inc.

   

32,060

     

679,672

   

Kosmos Energy Ltd. (a)

   

27,827

     

172,249

   

Laredo Petroleum, Inc. (a)

   

6,011

     

414,398

   

Matador Resources Co.

   

4,939

     

230,108

   

Murphy Oil Corp.

   

13,179

     

397,874

   

Oasis Petroleum, Inc.

   

1,892

     

230,162

   

Ovintiv, Inc.

   

10,466

     

462,493

   

Patterson-UTI Energy, Inc.

   

11,931

     

188,033

   

PBF Energy, Inc., Class A (a)

   

6,174

     

179,170

   

PDC Energy, Inc.

   

6,967

     

429,237

   

Peabody Energy Corp. (a) (c)

   

21,805

     

465,101

   

SandRidge Energy, Inc. (a)

   

9,505

     

148,943

   

SilverBow Resources, Inc. (a)

   

5,810

     

164,772

   

SM Energy Co.

   

11,260

     

384,979

   

Transocean Ltd. (a)

   

105,714

     

352,028

   

Whiting Petroleum Corp.

   

5,738

     

390,356

   
     

9,372,859

   

See notes to financial statements.

 


24


 
Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Financials (10.4%):

 

A-Mark Precious Metals, Inc.

   

7,844

   

$

252,969

   

Amerant Bancorp, Inc.

   

12,171

     

342,249

   

American Equity Investment Life Holding Co.

   

11,154

     

407,902

   

Associated Banc-Corp.

   

16,640

     

303,846

   

Assured Guaranty Ltd.

   

10,036

     

559,908

   

Axis Capital Holdings Ltd.

   

7,658

     

437,195

   

BancFirst Corp.

   

4,701

     

449,933

   

Berkshire Hills Bancorp, Inc.

   

10,661

     

264,073

   

Blucora, Inc. (a)

   

16,867

     

311,365

   

Brighthouse Financial, Inc. (a)

   

9,495

     

389,485

   

BrightSpire Capital, Inc.

   

23,520

     

177,576

   

Chimera Investment Corp.

   

60,284

     

531,705

   

Cowen, Inc., Class A

   

21,523

     

509,880

   

Customers Bancorp, Inc. (a)

   

12,079

     

409,478

   

CVB Financial Corp.

   

21,350

     

529,694

   

Dime Community Bancshares, Inc.

   

13,248

     

392,803

   

Encore Capital Group, Inc. (a)

   

7,037

     

406,528

   

Enova International, Inc. (a)

   

12,798

     

368,838

   

Enstar Group Ltd. (a)

   

3,908

     

836,234

   

First BanCorp/Puerto Rico

   

20,920

     

270,077

   

First Horizon Corp.

   

13,702

     

299,526

   

Flagstar Bancorp, Inc.

   

17,714

     

627,961

   

Flushing Financial Corp.

   

16,090

     

342,073

   

FNB Corp.

   

60,515

     

657,193

   

Franklin BSP Realty Trust, Inc. (b)

   

18,679

     

251,793

   

Genworth Financial, Inc. (a)

   

127,866

     

451,367

   

Granite Point Mortgage Trust, Inc.

   

37,407

     

357,985

   

Hancock Whitney Corp.

   

5,489

     

243,327

   

Hanmi Financial Corp.

   

15,740

     

353,206

   

HarborOne Bancorp, Inc.

   

40,085

     

552,772

   

Hope Bancorp, Inc.

   

52,391

     

725,091

   

Jefferies Financial Group, Inc.

   

22,899

     

632,470

   

Metropolitan Bank Holding Corp. (a)

   

6,977

     

484,343

   

MFA Financial, Inc.

   

14,239

     

153,069

   

MGIC Investment Corp.

   

41,074

     

517,532

   

Midland States Bancorp, Inc.

   

32,089

     

771,420

   

Mr. Cooper Group, Inc. (a)

   

11,115

     

408,365

   

National Western Life Group, Inc., Class A

   

3,278

     

664,451

   

Navient Corp.

   

32,954

     

461,026

   

Nelnet, Inc., Class A

   

5,852

     

498,883

   

New Residential Investment Corp.

   

20,756

     

193,446

   

New York Community Bancorp, Inc.

   

43,830

     

400,168

   

Nicolet Bankshares, Inc. (a)

   

13,012

     

941,288

   

OceanFirst Financial Corp.

   

19,062

     

364,656

   

OFG Bancorp

   

11,359

     

288,519

   

Old Republic International Corp.

   

18,804

     

420,457

   

Pennymac Financial Services

   

10,653

     

465,643

   

Popular, Inc.

   

8,731

     

671,676

   

ProAssurance Corp.

   

16,968

     

400,954

   

See notes to financial statements.

 


25


 
Victory Portfolios II
VictoryShares USAA MSCI USA Small Cap Value
Momentum ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Radian Group, Inc.

   

14,342

   

$

281,820

   

Ready Capital Corp.

   

17,212

     

205,167

   

Safety Insurance Group, Inc. (c)

   

7,428

     

721,259

   

ServisFirst Bancshares, Inc.

   

5,916

     

466,891

   

SiriusPoint Ltd. (a)

   

114,543

     

620,823

   

The Hanover Insurance Group, Inc.

   

3,549

     

519,041

   

TPG RE Finance Trust, Inc.

   

18,839

     

169,739

   

United Fire Group, Inc.

   

11,472

     

392,687

   

Universal Insurance Holdings, Inc.

   

65,289

     

850,716

   

Unum Group

   

17,702

     

602,222

   

Wintrust Financial Corp.

   

3,608

     

289,181

   
     

26,871,944

   

Health Care (22.5%):

 

Acadia Healthcare Co., Inc. (a)

   

8,763

     

592,642

   

AdaptHealth Corp. (a)

   

29,495

     

532,090

   

Addus HomeCare Corp. (a)

   

9,785

     

814,895

   

Adicet Bio, Inc. (a)

   

18,046

     

263,472

   

Agiliti, Inc. (a)

   

13,542

     

277,746

   

Alkermes PLC (a)

   

27,295

     

813,118

   

Allscripts Healthcare Solutions, Inc. (a)

   

35,312

     

523,677

   

AMN Healthcare Services, Inc. (a)

   

7,989

     

876,473

   

Amneal Pharmaceuticals, Inc. (a)

   

113,519

     

360,990

   

Amphastar Pharmaceuticals, Inc. (a)

   

32,172

     

1,119,264

   

AnaptysBio, Inc. (a)

   

7,443

     

151,093

   

Anavex Life Sciences Corp. (a) (b)

   

17,097

     

171,141

   

AngioDynamics, Inc. (a)

   

34,432

     

666,259

   

ANI Pharmaceuticals, Inc. (a)

   

16,990

     

504,093

   

Anika Therapeutics, Inc. (a) (b)

   

10,890

     

243,065

   

Apollo Medical Holdings, Inc. (a) (b)

   

10,208

     

393,927

   

Arvinas, Inc. (a)

   

4,275

     

179,935

   

Atea Pharmaceuticals, Inc. (a)

   

33,545

     

238,169

   

AtriCure, Inc. (a)

   

5,818

     

237,723

   

Atrion Corp.

   

781

     

491,140

   

Avanos Medical, Inc. (a)

   

23,272

     

636,256

   

Avid Bioservices, Inc. (a)

   

10,673

     

162,870

   

BioCryst Pharmaceuticals, Inc. (a)

   

10,954

     

115,893

   

BioLife Solutions, Inc. (a)

   

10,884

     

150,308

   

Bioventus, Inc., Class A (a)

   

28,116

     

191,751

   

Bruker Corp.

   

7,625

     

478,545

   

Cassava Sciences, Inc. (a) (b)

   

4,439

     

124,825

   

Catalyst Pharmaceuticals, Inc. (a)

   

63,758

     

446,944

   

Celldex Therapeutics, Inc. (a)

   

13,300

     

358,568

   

Cerevel Therapeutics Holdings, Inc. (a)

   

19,478

     

514,998

   

Change Healthcare, Inc. (a)

   

24,530

     

565,662

   

ChemoCentryx, Inc. (a)

   

6,874