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)

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

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.

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 1/100^th 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.

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

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

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.

What were the market conditions during the reporting period?

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.

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.

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

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

?15.00

?20.93

Since Inception

5.51

5.52

N/A

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.

What were the market conditions during the reporting period?

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.

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.

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

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

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.

What were the market conditions during the reporting period?

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.

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.

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

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

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.

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.

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.

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.

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.

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

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

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

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

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	)

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

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

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

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

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