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
vcm.com
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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
|
Small Cap
|
MSCI USA
|
||||||||||||||||
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
|
ex USA |
MSCI World |
||||||||||||||||
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 |
Markets |
MSCI Emerging
|
||||||||||||||||
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 |
170,338 |
|||||||||
Collegium Pharmaceutical, Inc. (a) |
27,182 |
481,665 |
|||||||||
Computer Programs and Systems, Inc. (a) |
26,564 |
849,251 |
|||||||||
CONMED Corp. |
5,342 |
511,550 |
|||||||||
Corcept Therapeutics, Inc. (a) |
27,417 |
651,976 |
|||||||||
CorVel Corp. (a) |
5,670 |
835,021 |
See notes to financial statements.
26
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Covetrus, Inc. (a) |
26,898 |
$ |
558,134 |
||||||||
Cross Country Healthcare, Inc. (a) |
32,972 |
686,807 |
|||||||||
Cutera, Inc. (a) |
3,789 |
142,088 |
|||||||||
Cytokinetics, Inc. (a) |
11,830 |
464,801 |
|||||||||
Dynavax Technologies Corp. (a) (b) |
33,450 |
421,136 |
|||||||||
Eagle Pharmaceuticals, Inc. (a) |
18,614 |
827,020 |
|||||||||
Emergent BioSolutions, Inc. (a) |
14,429 |
447,876 |
|||||||||
Enanta Pharmaceuticals, Inc. (a) |
14,695 |
694,633 |
|||||||||
Encompass Health Corp. |
6,547 |
366,959 |
|||||||||
Endo International PLC (a) (b) |
66,806 |
31,112 |
|||||||||
Enovis Corp. (a) |
4,480 |
246,400 |
|||||||||
Envista Holdings Corp. (a) |
11,378 |
438,508 |
|||||||||
Evolent Health, Inc., Class A (a) |
17,712 |
543,936 |
|||||||||
Evolus, Inc. (a) |
15,635 |
181,366 |
|||||||||
Exelixis, Inc. (a) |
38,394 |
799,363 |
|||||||||
Fulcrum Therapeutics, Inc. (a) (c) |
26,280 |
128,772 |
|||||||||
Fulgent Genetics, Inc. (a) |
6,558 |
357,608 |
|||||||||
Globus Medical, Inc. (a) |
6,689 |
375,520 |
|||||||||
Hanger, Inc. (a) |
19,244 |
275,574 |
|||||||||
Harmony Biosciences Holdings, Inc. (a) |
13,178 |
642,691 |
|||||||||
HealthStream, Inc. (a) |
25,220 |
547,526 |
|||||||||
ICU Medical, Inc. (a) |
4,244 |
697,671 |
|||||||||
Ideaya Biosciences, Inc. (a) |
19,119 |
263,842 |
|||||||||
Innoviva, Inc. (a) |
44,574 |
657,912 |
|||||||||
Inspire Medical Systems, Inc. (a) |
1,178 |
215,185 |
|||||||||
Integer Holdings Corp. (a) |
8,717 |
615,943 |
|||||||||
Integra LifeSciences Holdings Corp. (a) |
14,247 |
769,765 |
|||||||||
Intellia Therapeutics, Inc. (a) |
2,258 |
116,874 |
|||||||||
Intra-Cellular Therapies, Inc. (a) |
7,142 |
407,665 |
|||||||||
iRhythm Technologies, Inc. (a) |
3,146 |
339,862 |
|||||||||
Ironwood Pharmaceuticals, Inc. (a) |
77,127 |
889,274 |
|||||||||
iTeos Therapeutics, Inc. (a) |
22,321 |
459,813 |
|||||||||
IVERIC bio, Inc. (a) |
31,542 |
303,434 |
|||||||||
Kezar Life Sciences, Inc. (a) |
34,316 |
283,793 |
|||||||||
Krystal Biotech, Inc. (a) |
3,474 |
228,103 |
|||||||||
Lantheus Holdings, Inc. (a) |
14,953 |
987,347 |
|||||||||
LeMaitre Vascular, Inc. |
9,832 |
447,848 |
|||||||||
LHC Group, Inc. (a) |
2,437 |
379,538 |
|||||||||
Ligand Pharmaceuticals, Inc. (a) |
2,612 |
233,043 |
|||||||||
LivaNova PLC (a) |
9,262 |
578,597 |
|||||||||
MEDNAX, Inc. (a) |
23,230 |
488,062 |
|||||||||
Medpace Holdings, Inc. (a) |
2,683 |
401,565 |
|||||||||
Meridian Bioscience, Inc. (a) (b) |
19,420 |
590,756 |
|||||||||
Merit Medical Systems, Inc. (a) |
13,177 |
715,116 |
|||||||||
Mesa Laboratories, Inc. |
1,948 |
397,275 |
|||||||||
ModivCare, Inc. (a) |
3,633 |
306,988 |
|||||||||
Multiplan Corp. (a) (b) |
51,525 |
282,872 |
|||||||||
Myriad Genetics, Inc. (a) |
18,228 |
331,203 |
|||||||||
National HealthCare Corp. (c) |
15,375 |
1,074,713 |
|||||||||
Natus Medical, Inc. (a) |
26,899 |
881,480 |
See notes to financial statements.
27
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
NextGen Healthcare, Inc. (a) |
33,868 |
$ |
590,658 |
||||||||
NuVasive, Inc. (a) |
7,039 |
346,037 |
|||||||||
Ocugen, Inc. (a) (b) |
56,660 |
128,618 |
|||||||||
Omnicell, Inc. (a) |
3,273 |
372,304 |
|||||||||
OPKO Health, Inc. (a) |
130,099 |
329,150 |
|||||||||
OptimizeRx Corp. (a) (c) |
5,413 |
148,262 |
|||||||||
Option Care Health, Inc. (a) |
20,327 |
564,887 |
|||||||||
OraSure Technologies, Inc. (a) |
75,655 |
205,025 |
|||||||||
Orthofix Medical, Inc. (a) |
27,142 |
638,923 |
|||||||||
Owens & Minor, Inc. |
10,411 |
327,426 |
|||||||||
Pacira BioSciences, Inc. (a) |
11,449 |
667,477 |
|||||||||
Patterson Cos., Inc. (c) |
12,652 |
383,356 |
|||||||||
Perrigo Co. PLC |
24,155 |
979,968 |
|||||||||
Phibro Animal Health Corp., Class A |
18,131 |
346,846 |
|||||||||
Premier, Inc., Class A |
26,417 |
942,559 |
|||||||||
Prestige Consumer Healthcare, Inc. (a) |
18,338 |
1,078,274 |
|||||||||
Prothena Corp. PLC (a) |
13,714 |
372,335 |
|||||||||
QuidelOrtho Corp. (a) |
2,376 |
230,900 |
|||||||||
R1 RCM, Inc. (a) |
15,152 |
317,586 |
|||||||||
RadNet, Inc. (a) |
11,481 |
198,392 |
|||||||||
REGENXBIO, Inc. (a) |
12,054 |
297,734 |
|||||||||
Repligen Corp. (a) |
2,025 |
328,860 |
|||||||||
Select Medical Holdings Corp. |
23,500 |
555,070 |
|||||||||
Shockwave Medical, Inc. (a) |
1,846 |
352,900 |
|||||||||
SIGA Technologies, Inc. (b) |
40,831 |
472,823 |
|||||||||
Sorrento Therapeutics, Inc. (a) (b) |
119,234 |
239,660 |
|||||||||
Supernus Pharmaceuticals, Inc. (a) |
23,896 |
691,072 |
|||||||||
Surgery Partners, Inc. (a) (b) |
9,061 |
262,044 |
|||||||||
Syneos Health, Inc. (a) |
8,632 |
618,742 |
|||||||||
Tandem Diabetes Care, Inc. (a) |
2,505 |
148,271 |
|||||||||
Tenet Healthcare Corp. (a) |
5,476 |
287,819 |
|||||||||
The Ensign Group, Inc. |
9,758 |
716,920 |
|||||||||
The Joint Corp. (a) |
5,105 |
78,158 |
|||||||||
Tilray, Inc., Class 2 (a) (b) |
68,825 |
214,734 |
|||||||||
Travere Therapeutics, Inc. (a) |
10,786 |
261,345 |
|||||||||
Tricida, Inc. (a) (b) |
20,939 |
202,690 |
|||||||||
United Therapeutics Corp. (a) |
5,072 |
1,195,166 |
|||||||||
Vanda Pharmaceuticals, Inc. (a) |
59,477 |
648,299 |
|||||||||
Varex Imaging Corp. (a) |
30,570 |
653,892 |
|||||||||
Xenon Pharmaceuticals, Inc. (a) |
13,138 |
399,658 |
|||||||||
58,015,542 |
|||||||||||
Industrials (14.0%): |
|||||||||||
AAR Corp. (a) |
5,006 |
209,451 |
|||||||||
ACCO Brands Corp. |
74,498 |
486,472 |
|||||||||
Acuity Brands, Inc. |
2,153 |
331,648 |
|||||||||
Air Lease Corp. |
13,550 |
452,977 |
|||||||||
Air Transport Services Group, Inc. (a) |
30,611 |
879,454 |
|||||||||
ArcBest Corp. |
8,244 |
580,130 |
|||||||||
Argan, Inc. |
26,533 |
990,212 |
|||||||||
Atkore, Inc. (a) |
5,064 |
420,363 |
See notes to financial statements.
28
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Atlas Air Worldwide Holdings, Inc. (a) |
7,717 |
$ |
476,216 |
||||||||
Avis Budget Group, Inc. (a) (c) |
2,287 |
336,372 |
|||||||||
Beacon Roofing Supply, Inc. (a) |
4,651 |
238,875 |
|||||||||
BlueLinx Holdings, Inc. (a) |
2,268 |
151,525 |
|||||||||
Boise Cascade Co. |
8,182 |
486,747 |
|||||||||
Builders FirstSource, Inc. (a) |
8,585 |
461,015 |
|||||||||
Carlisle Cos., Inc. |
4,106 |
979,733 |
|||||||||
CBIZ, Inc. (a) |
26,538 |
1,060,458 |
|||||||||
Comfort Systems USA, Inc. |
4,585 |
381,243 |
|||||||||
Ducommun, Inc. (a) |
6,087 |
261,984 |
|||||||||
DXP Enterprises, Inc. (a) |
18,021 |
551,983 |
|||||||||
Eagle Bulk Shipping, Inc. |
3,207 |
166,379 |
|||||||||
EMCOR Group, Inc. |
4,240 |
436,550 |
|||||||||
Encore Wire Corp. |
7,685 |
798,625 |
|||||||||
EnPro Industries, Inc. |
7,034 |
576,296 |
|||||||||
FTI Consulting, Inc. (a) |
3,770 |
681,804 |
|||||||||
GATX Corp. |
4,328 |
407,524 |
|||||||||
Genco Shipping & Trading Ltd. |
25,024 |
483,464 |
|||||||||
GMS, Inc. (a) |
10,634 |
473,213 |
|||||||||
Granite Construction, Inc. |
8,680 |
252,935 |
|||||||||
Heidrick & Struggles International, Inc. |
22,620 |
731,983 |
|||||||||
Herc Holdings, Inc. |
1,677 |
151,182 |
|||||||||
Hub Group, Inc., Class A (a) |
12,698 |
900,796 |
|||||||||
Insteel Industries, Inc. |
8,034 |
270,505 |
|||||||||
Interface, Inc. |
18,082 |
226,748 |
|||||||||
JetBlue Airways Corp. (a) |
23,740 |
198,704 |
|||||||||
KAR Auction Services, Inc. (a) |
17,025 |
251,459 |
|||||||||
Kelly Services, Inc., Class A |
33,149 |
657,345 |
|||||||||
Kforce, Inc. |
6,596 |
404,599 |
|||||||||
Kirby Corp. (a) |
11,111 |
675,993 |
|||||||||
Korn Ferry |
5,916 |
343,246 |
|||||||||
ManpowerGroup, Inc. |
3,964 |
302,889 |
|||||||||
Marten Transport Ltd. |
27,400 |
460,868 |
|||||||||
Matson, Inc. |
8,493 |
618,970 |
|||||||||
Matthews International Corp., Class A |
11,469 |
328,816 |
|||||||||
McGrath RentCorp |
5,806 |
441,256 |
|||||||||
Meritor, Inc. (a) |
7,022 |
255,109 |
|||||||||
MRC Global, Inc. (a) |
21,287 |
212,019 |
|||||||||
Mueller Industries, Inc. |
14,264 |
760,129 |
|||||||||
MYR Group, Inc. (a) |
3,713 |
327,227 |
|||||||||
Nielsen Holdings PLC |
13,687 |
317,812 |
|||||||||
NOW, Inc. (a) |
55,612 |
543,885 |
|||||||||
NV5 Global, Inc. (a) |
2,446 |
285,546 |
|||||||||
nVent Electric PLC |
24,045 |
753,330 |
|||||||||
Primoris Services Corp. |
25,396 |
552,617 |
|||||||||
Quanex Building Products Corp. |
14,770 |
336,017 |
|||||||||
Regal Rexnord Corp. |
6,396 |
726,074 |
|||||||||
Resideo Technologies, Inc. (a) |
16,223 |
315,051 |
|||||||||
Resources Connection, Inc. |
54,650 |
1,113,220 |
|||||||||
REV Group, Inc. |
36,409 |
395,766 |
See notes to financial statements.
29
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Rush Enterprises, Inc., Class A |
17,333 |
$ |
835,451 |
||||||||
Ryder System, Inc. |
8,049 |
571,962 |
|||||||||
Saia, Inc. (a) |
1,480 |
278,240 |
|||||||||
Schneider National, Inc., Class B |
24,235 |
542,379 |
|||||||||
SkyWest, Inc. (a) |
16,587 |
352,474 |
|||||||||
Sterling Infrastructure, Inc. (a) |
21,999 |
482,218 |
|||||||||
The Greenbrier Cos., Inc. |
13,027 |
468,842 |
|||||||||
The Manitowoc Co., Inc. (a) |
38,203 |
402,278 |
|||||||||
Titan International, Inc. (a) |
11,055 |
166,930 |
|||||||||
Titan Machinery, Inc. (a) |
13,561 |
303,902 |
|||||||||
Triton International Ltd. |
13,363 |
703,562 |
|||||||||
TrueBlue, Inc. (a) |
32,317 |
578,474 |
|||||||||
Tutor Perini Corp. (a) |
43,691 |
383,607 |
|||||||||
UFP Industries, Inc. |
9,168 |
624,708 |
|||||||||
Univar Solutions, Inc. (a) |
10,446 |
259,792 |
|||||||||
Veritiv Corp. (a) |
3,440 |
373,412 |
|||||||||
Wabash National Corp. |
22,638 |
307,424 |
|||||||||
WESCO International, Inc. (a) |
4,408 |
472,097 |
|||||||||
35,980,561 |
|||||||||||
Information Technology (15.8%): |
|||||||||||
A10 Networks, Inc. |
42,890 |
616,758 |
|||||||||
Alpha & Omega Semiconductor Ltd. (a) |
10,601 |
353,437 |
|||||||||
Amkor Technology, Inc. |
27,322 |
463,108 |
|||||||||
Avnet, Inc. |
21,614 |
926,808 |
|||||||||
Axcelis Technologies, Inc. (a) |
8,801 |
482,647 |
|||||||||
Belden, Inc. |
12,076 |
643,288 |
|||||||||
Benchmark Electronics, Inc. |
34,416 |
776,425 |
|||||||||
Bread Financial Holdings, Inc. |
7,907 |
293,033 |
|||||||||
Calix, Inc. (a) |
4,463 |
152,367 |
|||||||||
CDK Global, Inc. |
8,649 |
473,706 |
|||||||||
Ciena Corp. (a) |
13,441 |
614,254 |
|||||||||
Clearfield, Inc. (a) |
9,277 |
574,710 |
|||||||||
CMC Materials, Inc. |
1,785 |
311,465 |
|||||||||
Cohu, Inc. (a) |
8,301 |
230,353 |
|||||||||
Comtech Telecommunications Corp. |
32,122 |
291,347 |
|||||||||
Concentrix Corp. |
3,674 |
498,341 |
|||||||||
Conduent, Inc. (a) |
84,604 |
365,489 |
|||||||||
Consensus Cloud Solutions, Inc. (a) |
5,755 |
251,378 |
|||||||||
CSG Systems International, Inc. |
19,951 |
1,190,676 |
|||||||||
CTS Corp. |
9,747 |
331,885 |
|||||||||
Digi International, Inc. (a) |
31,194 |
755,519 |
|||||||||
Diodes, Inc. (a) |
9,234 |
596,239 |
|||||||||
DXC Technology Co. (a) |
15,893 |
481,717 |
|||||||||
E2open Parent Holdings, Inc. (a) |
71,669 |
557,585 |
|||||||||
Eastman Kodak Co. (a) |
87,067 |
403,991 |
|||||||||
Ebix, Inc. (b) |
12,934 |
218,585 |
|||||||||
ePlus, Inc. (a) |
15,505 |
823,626 |
|||||||||
ExlService Holdings, Inc. (a) |
6,744 |
993,593 |
|||||||||
Fabrinet (a) |
8,536 |
692,270 |
|||||||||
First Solar, Inc. (a) |
4,910 |
334,518 |
See notes to financial statements.
30
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Flex Ltd. (a) |
19,796 |
$ |
286,448 |
||||||||
Grid Dynamics Holdings, Inc. (a) |
15,529 |
261,198 |
|||||||||
Harmonic, Inc. (a) |
37,794 |
327,674 |
|||||||||
Ichor Holdings Ltd. (a) |
7,796 |
202,540 |
|||||||||
II-VI, Inc. (a) |
5,356 |
272,888 |
|||||||||
Insight Enterprises, Inc. (a) |
8,100 |
698,868 |
|||||||||
International Money Express, Inc. (a) |
17,014 |
348,277 |
|||||||||
Jabil, Inc. |
12,125 |
620,921 |
|||||||||
Kimball Electronics, Inc. (a) |
42,455 |
853,345 |
|||||||||
Knowles Corp. (a) |
44,118 |
764,565 |
|||||||||
Kulicke & Soffa Industries, Inc. |
13,236 |
566,633 |
|||||||||
Lumentum Holdings, Inc. (a) |
7,429 |
590,011 |
|||||||||
Magnachip Semiconductor Corp. (a) |
15,015 |
218,168 |
|||||||||
Mandiant, Inc. (a) |
13,240 |
288,897 |
|||||||||
Marathon Digital Holdings, Inc. (a) (b) |
7,621 |
40,696 |
|||||||||
MaxLinear, Inc. (a) |
11,589 |
393,794 |
|||||||||
Methode Electronics, Inc. |
18,141 |
671,943 |
|||||||||
NCR Corp. (a) |
16,571 |
515,524 |
|||||||||
NeoPhotonics Corp. (a) |
28,660 |
450,822 |
|||||||||
NETGEAR, Inc. (a) |
32,869 |
608,734 |
|||||||||
NetScout Systems, Inc. (a) |
26,455 |
895,502 |
|||||||||
Onto Innovation, Inc. (a) |
7,633 |
532,325 |
|||||||||
PC Connection, Inc. |
9,327 |
410,854 |
|||||||||
PDF Solutions, Inc. (a) |
11,445 |
246,182 |
|||||||||
Perficient, Inc. (a) |
7,568 |
693,910 |
|||||||||
Photronics, Inc. (a) |
40,693 |
792,700 |
|||||||||
Rambus, Inc. (a) |
32,388 |
696,018 |
|||||||||
Ribbon Communications, Inc. (a) |
131,966 |
401,177 |
|||||||||
Riot Blockchain, Inc. (a) (b) |
26,422 |
110,708 |
|||||||||
Rogers Corp. (a) |
2,704 |
708,691 |
|||||||||
Sanmina Corp. (a) |
19,445 |
791,995 |
|||||||||
ScanSource, Inc. (a) |
18,949 |
590,072 |
|||||||||
SiTime Corp. (a) |
3,024 |
493,003 |
|||||||||
SMART Global Holdings, Inc. (a) |
21,334 |
349,238 |
|||||||||
SolarWinds Corp. |
30,106 |
308,586 |
|||||||||
Super Micro Computer, Inc. (a) |
14,173 |
571,881 |
|||||||||
Switch, Inc., Class A |
12,618 |
422,703 |
|||||||||
Synaptics, Inc. (a) |
3,163 |
373,392 |
|||||||||
TD SYNNEX Corp. |
7,250 |
660,475 |
|||||||||
The Hackett Group, Inc. |
19,887 |
377,256 |
|||||||||
TTM Technologies, Inc. (a) |
68,258 |
853,225 |
|||||||||
Ultra Clean Holdings, Inc. (a) |
12,069 |
359,294 |
|||||||||
Veeco Instruments, Inc. (a) |
9,781 |
189,751 |
|||||||||
Verint Systems, Inc. (a) |
20,017 |
847,720 |
|||||||||
Viasat, Inc. (a) |
13,030 |
399,109 |
|||||||||
Vishay Intertechnology, Inc. |
40,262 |
717,469 |
|||||||||
Vishay Precision Group, Inc. (a) |
13,075 |
380,875 |
|||||||||
Vonage Holdings Corp. (a) |
32,076 |
604,312 |
|||||||||
Xerox Holdings Corp. |
34,980 |
519,453 |
|||||||||
Xperi Holding Corp. |
37,519 |
541,399 |
|||||||||
40,520,339 |
See notes to financial statements.
31
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Materials (3.5%): |
|||||||||||
AdvanSix, Inc. |
12,670 |
$ |
423,685 |
||||||||
Alpha Metallurgical Resources, Inc. |
3,787 |
489,015 |
|||||||||
American Vanguard Corp. |
16,132 |
360,550 |
|||||||||
Clearwater Paper Corp. (a) |
18,007 |
605,575 |
|||||||||
Commercial Metals Co. |
20,718 |
685,766 |
|||||||||
FutureFuel Corp. |
49,583 |
360,964 |
|||||||||
Huntsman Corp. |
10,140 |
287,469 |
|||||||||
Intrepid Potash, Inc. (a) |
2,943 |
133,288 |
|||||||||
Louisiana-Pacific Corp. |
8,872 |
464,981 |
|||||||||
LSB Industries, Inc. (a) |
9,538 |
132,197 |
|||||||||
Mercer International, Inc. |
52,117 |
685,339 |
|||||||||
Olin Corp. |
9,901 |
458,218 |
|||||||||
Ramaco Resources, Inc. |
13,565 |
178,380 |
|||||||||
Reliance Steel & Aluminum Co. |
5,632 |
956,652 |
|||||||||
Ryerson Holding Corp. |
17,928 |
381,687 |
|||||||||
Schnitzer Steel Industries, Inc. |
15,781 |
518,248 |
|||||||||
SunCoke Energy, Inc. |
65,134 |
443,563 |
|||||||||
TimkenSteel Corp. (a) |
9,701 |
181,506 |
|||||||||
Tronox Holdings PLC, Class A |
23,749 |
398,983 |
|||||||||
United States Steel Corp. |
18,548 |
332,195 |
|||||||||
Warrior Met Coal, Inc. |
18,540 |
567,509 |
|||||||||
9,045,770 |
|||||||||||
Real Estate (6.7%): |
|||||||||||
American Campus Communities, Inc. |
5,086 |
327,894 |
|||||||||
Anywhere Real Estate, Inc. (a) |
28,241 |
277,609 |
|||||||||
Bluerock Residential Growth REIT, Inc. |
7,621 |
200,356 |
|||||||||
Brixmor Property Group, Inc. |
11,365 |
229,687 |
|||||||||
Centerspace |
4,663 |
380,268 |
|||||||||
City Office REIT, Inc. |
48,437 |
627,259 |
|||||||||
CoreCivic, Inc. (a) |
53,106 |
590,008 |
|||||||||
CubeSmart |
10,838 |
462,999 |
|||||||||
EastGroup Properties, Inc. |
5,672 |
875,360 |
|||||||||
Farmland Partners, Inc. |
28,244 |
389,767 |
|||||||||
First Industrial Realty Trust, Inc. |
10,362 |
491,988 |
|||||||||
Gladstone Land Corp. |
39,126 |
867,032 |
|||||||||
Independence Realty Trust, Inc. |
32,239 |
668,314 |
|||||||||
Jones Lang LaSalle, Inc. (a) |
3,246 |
567,596 |
|||||||||
Life Storage, Inc. |
7,991 |
892,275 |
|||||||||
LXP Industrial Trust |
40,220 |
431,963 |
|||||||||
Marcus & Millichap, Inc. |
9,605 |
355,289 |
|||||||||
National Storage Affiliates Trust |
17,714 |
886,940 |
|||||||||
NexPoint Residential Trust, Inc. |
9,387 |
586,781 |
|||||||||
One Liberty Properties, Inc. |
13,439 |
349,145 |
|||||||||
Plymouth Industrial REIT, Inc. |
33,727 |
591,572 |
|||||||||
PotlatchDeltic Corp. |
15,539 |
686,668 |
|||||||||
PS Business Parks, Inc. |
5,838 |
1,092,582 |
|||||||||
Rayonier, Inc. |
12,292 |
459,475 |
|||||||||
RE/MAX Holdings, Inc. |
10,371 |
254,297 |
|||||||||
Rexford Industrial Realty, Inc. |
14,834 |
854,290 |
See notes to financial statements.
32
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
RPT Realty |
19,267 |
$ |
189,395 |
||||||||
SITE Centers Corp. |
16,050 |
216,193 |
|||||||||
STAG Industrial, Inc. |
14,852 |
458,630 |
|||||||||
Tanger Factory Outlet Centers, Inc. |
26,754 |
380,442 |
|||||||||
The GEO Group, Inc. (a) (b) |
89,333 |
589,598 |
|||||||||
UMH Properties, Inc. |
20,432 |
360,829 |
|||||||||
Urstadt Biddle Properties, Inc., Class A |
15,557 |
252,023 |
|||||||||
Whitestone REIT |
24,448 |
262,816 |
|||||||||
17,107,340 |
|||||||||||
Utilities (2.3%): |
|||||||||||
Hawaiian Electric Industries, Inc. |
17,628 |
720,985 |
|||||||||
MDU Resources Group, Inc. |
18,072 |
487,763 |
|||||||||
National Fuel Gas Co. |
19,547 |
1,291,079 |
|||||||||
Otter Tail Corp. (c) |
9,312 |
625,115 |
|||||||||
Pinnacle West Capital Corp. |
5,946 |
434,772 |
|||||||||
South Jersey Industries, Inc. |
10,652 |
363,659 |
|||||||||
Southwest Gas Holdings, Inc. |
12,213 |
1,063,508 |
|||||||||
Spire, Inc. |
6,827 |
507,724 |
|||||||||
Unitil Corp. (c) |
7,919 |
465,004 |
|||||||||
5,959,609 |
|||||||||||
Total Common Stocks (Cost $262,175,815) |
255,298,014 |
||||||||||
Rights (0.0%) (d) |
|||||||||||
Health Care (0.0%): |
|||||||||||
Achillion Pharmaceuticals, CVR (a) (e) (f) |
17,954 |
4,129 |
|||||||||
Zogenix, Inc., CVR (a) (e) (f) |
9,491 |
6,454 |
|||||||||
10,583 |
|||||||||||
Total Rights (Cost $?) |
10,583 |
||||||||||
Collateral for Securities Loaned (1.6%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (g) |
126,242 |
126,242 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (g) |
63,001 |
63,001 |
|||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (g) |
785,747 |
785,747 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (g) |
502,349 |
502,349 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (g) |
335,010 |
335,010 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (g) |
2,258,659 |
2,258,659 |
|||||||||
Total Collateral for Securities Loaned (Cost $4,071,008) |
4,071,008 |
||||||||||
Total Investments (Cost $266,246,823) ? 100.8% |
259,379,605 |
||||||||||
Liabilities in excess of other assets ? (0.8)% |
(2,023,155 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
257,356,450 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
See notes to financial statements.
33
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Amount represents less than 0.05% of net assets.
(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.5% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) Rate disclosed is the daily yield on June 30, 2022.
CVR ? Contingent Value Right
PLC ? Public Limited Company
REIT ? Real Estate Investment Trust
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini Russell 2000 Index Futures |
22 |
9/16/22 |
$ |
1,946,580 |
$ |
1,878,800 |
$ |
(67,780 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(67,780 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(67,780 |
) |
See notes to financial statements.
34
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.2%) |
|||||||||||
Australia (4.0%): |
|||||||||||
Information Technology (0.8%): |
|||||||||||
Computershare Ltd. |
126,111 |
$ |
2,136,784 |
||||||||
Materials (1.0%): |
|||||||||||
BlueScope Steel Ltd. |
136,932 |
1,497,163 |
|||||||||
South32 Ltd. |
542,501 |
1,469,818 |
|||||||||
2,966,981 |
|||||||||||
Real Estate (1.7%): |
|||||||||||
Dexus |
345,734 |
2,111,164 |
|||||||||
Goodman Group |
67,160 |
823,896 |
|||||||||
Stockland |
480,804 |
1,193,554 |
|||||||||
Vicinity Centres |
492,216 |
621,096 |
|||||||||
4,749,710 |
|||||||||||
Utilities (0.5%): |
|||||||||||
Origin Energy Ltd. |
373,637 |
1,472,216 |
|||||||||
11,325,691 |
|||||||||||
Austria (0.6%): |
|||||||||||
Energy (0.4%): |
|||||||||||
OMV AG |
25,099 |
1,174,486 |
|||||||||
Materials (0.2%): |
|||||||||||
voestalpine AG |
25,288 |
536,147 |
|||||||||
1,710,633 |
|||||||||||
Belgium (1.4%): |
|||||||||||
Consumer Discretionary (0.3%): |
|||||||||||
D'ieteren Group |
4,435 |
647,263 |
|||||||||
Financials (0.5%): |
|||||||||||
Sofina SA |
7,027 |
1,432,537 |
|||||||||
Health Care (0.3%): |
|||||||||||
UCB SA |
10,533 |
887,982 |
|||||||||
Utilities (0.3%): |
|||||||||||
Elia Group SA |
6,173 |
872,518 |
|||||||||
3,840,300 |
|||||||||||
Canada (11.7%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
Shaw Communications, Inc., Class B (a) |
35,732 |
1,050,672 |
|||||||||
Consumer Discretionary (0.7%): |
|||||||||||
Dollarama, Inc. |
24,514 |
1,408,565 |
|||||||||
Magna International, Inc. |
10,048 |
550,558 |
|||||||||
1,959,123 |
See notes to financial statements.
35
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Consumer Staples (4.6%): |
|||||||||||
Alimentation Couche-Tard, Inc. |
24,939 |
$ |
970,725 |
||||||||
Empire Co. Ltd., Class A |
40,191 |
1,235,376 |
|||||||||
George Weston Ltd. |
29,460 |
3,434,164 |
|||||||||
Loblaw Cos. Ltd. |
40,318 |
3,628,448 |
|||||||||
Metro, Inc. |
71,045 |
3,805,186 |
|||||||||
13,073,899 |
|||||||||||
Energy (1.5%): |
|||||||||||
ARC Resources Ltd. |
38,012 |
478,263 |
|||||||||
Cenovus Energy, Inc. |
51,960 |
986,473 |
|||||||||
Imperial Oil Ltd. |
28,235 |
1,328,191 |
|||||||||
Tourmaline Oil Corp. |
29,261 |
1,518,228 |
|||||||||
4,311,155 |
|||||||||||
Financials (1.5%): |
|||||||||||
Bank of Montreal |
22,263 |
2,136,295 |
|||||||||
Canadian Imperial Bank of Commerce |
22,331 |
1,082,143 |
|||||||||
Fairfax Financial Holdings Ltd. |
1,803 |
953,391 |
|||||||||
4,171,829 |
|||||||||||
Industrials (0.4%): |
|||||||||||
WSP Global, Inc. |
9,447 |
1,065,868 |
|||||||||
Materials (1.4%): |
|||||||||||
First Quantum Minerals Ltd. |
17,597 |
333,128 |
|||||||||
Nutrien Ltd. |
23,141 |
1,838,974 |
|||||||||
Teck Resources Ltd., Class B |
32,152 |
981,048 |
|||||||||
West Fraser Timber Co. Ltd. |
11,849 |
907,264 |
|||||||||
4,060,414 |
|||||||||||
Real Estate (0.6%): |
|||||||||||
RioCan Real Estate Investment Trust |
105,604 |
1,638,972 |
|||||||||
Utilities (0.6%): |
|||||||||||
AltaGas Ltd. |
78,872 |
1,660,656 |
|||||||||
32,992,588 |
|||||||||||
Denmark (1.6%): |
|||||||||||
Financials (0.3%): |
|||||||||||
Danske Bank A/S |
54,887 |
773,920 |
|||||||||
Health Care (0.9%): |
|||||||||||
Novo Nordisk A/S, Class B |
23,396 |
2,589,122 |
|||||||||
Industrials (0.4%): |
|||||||||||
AP Moller - Maersk A/S, Class B |
557 |
1,296,314 |
|||||||||
4,659,356 |
|||||||||||
Finland (0.7%): |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Nokia Oyj |
279,115 |
1,295,444 |
|||||||||
Utilities (0.2%): |
|||||||||||
Fortum Oyj |
39,717 |
594,387 |
|||||||||
1,889,831 |
See notes to financial statements.
36
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
France (11.1%): |
|||||||||||
Communication Services (2.6%): |
|||||||||||
Bollore SE |
384,222 |
$ |
1,775,440 |
||||||||
Orange SA |
196,922 |
2,309,875 |
|||||||||
Publicis Groupe SA |
24,230 |
1,181,951 |
|||||||||
Vivendi SE |
197,128 |
1,998,216 |
|||||||||
7,265,482 |
|||||||||||
Consumer Discretionary (1.9%): |
|||||||||||
Cie Generale des Etablissements Michelin SCA |
60,627 |
1,646,353 |
|||||||||
EssilorLuxottica SA |
6,449 |
963,443 |
|||||||||
Hermes International |
907 |
1,011,750 |
|||||||||
LVMH Moet Hennessy Louis Vuitton SE |
1,523 |
926,190 |
|||||||||
Renault SA (b) |
35,524 |
883,523 |
|||||||||
5,431,259 |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
Carrefour SA (c) |
112,414 |
1,984,371 |
|||||||||
Financials (1.0%): |
|||||||||||
BNP Paribas SA |
22,562 |
1,070,040 |
|||||||||
Credit Agricole SA |
112,125 |
1,023,453 |
|||||||||
Societe Generale SA |
39,085 |
853,591 |
|||||||||
2,947,084 |
|||||||||||
Health Care (1.4%): |
|||||||||||
Euroapi SA (b) |
? |
? |
|||||||||
Ipsen SA |
14,434 |
1,358,851 |
|||||||||
Sanofi |
25,123 |
2,530,344 |
|||||||||
3,889,195 |
|||||||||||
Industrials (1.8%): |
|||||||||||
Bouygues SA |
51,101 |
1,568,508 |
|||||||||
Cie de Saint-Gobain |
24,882 |
1,065,093 |
|||||||||
Dassault Aviation SA |
4,915 |
765,103 |
|||||||||
Eiffage SA |
8,450 |
758,665 |
|||||||||
Thales SA |
6,979 |
854,016 |
|||||||||
5,011,385 |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Capgemini SE |
8,750 |
1,495,183 |
|||||||||
Materials (0.2%): |
|||||||||||
Arkema SA |
7,443 |
660,784 |
|||||||||
Utilities (1.0%): |
|||||||||||
Electricite de France SA |
156,297 |
1,275,500 |
|||||||||
Engie SA |
64,238 |
736,447 |
|||||||||
Veolia Environnement SA (b) (c) |
28,240 |
687,600 |
|||||||||
2,699,547 |
|||||||||||
31,384,290 |
See notes to financial statements.
37
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Germany (5.9%): |
|||||||||||
Consumer Discretionary (1.7%): |
|||||||||||
Bayerische Motoren Werke AG |
19,065 |
$ |
1,464,162 |
||||||||
Mercedes-Benz Group AG |
18,230 |
1,052,409 |
|||||||||
Porsche Automobil Holding SE, Preference Shares |
16,428 |
1,084,059 |
|||||||||
Volkswagen AG, Preference Shares |
8,158 |
1,086,733 |
|||||||||
4,687,363 |
|||||||||||
Financials (0.6%): |
|||||||||||
Commerzbank AG (b) |
132,666 |
927,315 |
|||||||||
Deutsche Bank AG, Registered Shares |
104,042 |
904,751 |
|||||||||
1,832,066 |
|||||||||||
Health Care (1.5%): |
|||||||||||
Bayer AG, Registered Shares |
28,880 |
1,712,517 |
|||||||||
Fresenius SE & Co. KGaA |
48,058 |
1,451,995 |
|||||||||
Merck KGaA |
6,041 |
1,016,801 |
|||||||||
4,181,313 |
|||||||||||
Industrials (1.0%): |
|||||||||||
Daimler Truck Holding AG (b) |
51,981 |
1,353,692 |
|||||||||
Deutsche Post AG, Registered Shares |
20,669 |
772,281 |
|||||||||
Rheinmetall AG |
3,359 |
773,617 |
|||||||||
2,899,590 |
|||||||||||
Materials (0.6%): |
|||||||||||
Covestro AG (d) |
15,214 |
524,560 |
|||||||||
HeidelbergCement AG |
24,407 |
1,169,662 |
|||||||||
1,694,222 |
|||||||||||
Utilities (0.5%): |
|||||||||||
E.ON SE |
99,799 |
835,510 |
|||||||||
Uniper SE |
31,562 |
467,558 |
|||||||||
1,303,068 |
|||||||||||
16,597,622 |
|||||||||||
Hong Kong (4.0%): |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
WH Group Ltd. (d) |
2,461,764 |
1,901,158 |
|||||||||
Industrials (1.7%): |
|||||||||||
CK Hutchison Holdings Ltd. |
326,344 |
2,206,277 |
|||||||||
Jardine Matheson Holdings Ltd. |
39,100 |
2,055,096 |
|||||||||
SITC International Holdings Co. Ltd. |
182,199 |
515,464 |
|||||||||
4,776,837 |
|||||||||||
Real Estate (1.2%): |
|||||||||||
CK Asset Holdings Ltd. |
347,623 |
2,458,672 |
|||||||||
Hongkong Land Holdings Ltd. |
209,900 |
1,053,698 |
|||||||||
3,512,370 |
See notes to financial statements.
38
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (0.4%): |
|||||||||||
CK Infrastructure Holdings Ltd. |
165,982 |
$ |
1,017,431 |
||||||||
11,207,796 |
|||||||||||
Israel (6.0%): |
|||||||||||
Financials (3.0%): |
|||||||||||
Bank Hapoalim BM |
257,857 |
2,146,998 |
|||||||||
Bank Leumi Le-Israel BM |
254,065 |
2,252,536 |
|||||||||
Israel Discount Bank Ltd., Class A |
346,221 |
1,795,290 |
|||||||||
Mizrahi Tefahot Bank Ltd. |
68,197 |
2,249,119 |
|||||||||
8,443,943 |
|||||||||||
Health Care (0.4%): |
|||||||||||
Teva Pharmaceutical Industries Ltd., ADR (b) |
142,455 |
1,071,262 |
|||||||||
Industrials (1.2%): |
|||||||||||
Elbit Systems Ltd. |
13,371 |
3,043,662 |
|||||||||
Zim Integrated Shipping Services Ltd. |
10,348 |
488,736 |
|||||||||
3,532,398 |
|||||||||||
Information Technology (0.3%): |
|||||||||||
Tower Semiconductor Ltd. (b) |
16,342 |
759,203 |
|||||||||
Materials (0.5%): |
|||||||||||
ICL Group Ltd. |
155,352 |
1,405,738 |
|||||||||
Real Estate (0.6%): |
|||||||||||
Azrieli Group Ltd. |
25,669 |
1,791,329 |
|||||||||
17,003,873 |
|||||||||||
Italy (0.9%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Telecom Italia SpA (b) |
3,568,496 |
931,548 |
|||||||||
Energy (0.2%): |
|||||||||||
Eni SpA |
53,986 |
639,346 |
|||||||||
Financials (0.4%): |
|||||||||||
UniCredit SpA |
98,333 |
931,898 |
|||||||||
2,502,792 |
|||||||||||
Japan (25.1%): |
|||||||||||
Communication Services (1.0%): |
|||||||||||
Dentsu Group, Inc. |
9,200 |
275,956 |
|||||||||
KDDI Corp. |
34,800 |
1,098,651 |
|||||||||
Nippon Telegraph & Telephone Corp. |
46,600 |
1,336,378 |
|||||||||
SoftBank Group Corp. |
6,200 |
238,909 |
|||||||||
2,949,894 |
|||||||||||
Consumer Discretionary (3.9%): |
|||||||||||
Aisin Corp. |
19,000 |
587,391 |
|||||||||
Bridgestone Corp. (c) |
25,700 |
936,403 |
|||||||||
Denso Corp. |
11,500 |
610,150 |
|||||||||
Honda Motor Co. Ltd. |
30,400 |
736,868 |
|||||||||
Iida Group Holdings Co. Ltd. |
46,600 |
716,554 |
See notes to financial statements.
39
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Isuzu Motors Ltd. |
48,900 |
$ |
540,274 |
||||||||
Mazda Motor Corp. |
74,000 |
604,615 |
|||||||||
Nissan Motor Co. Ltd. (c) |
151,400 |
588,638 |
|||||||||
Open House Group Co. Ltd. |
7,100 |
282,213 |
|||||||||
Panasonic Corp. |
38,100 |
307,509 |
|||||||||
Sekisui House Ltd. |
56,700 |
991,848 |
|||||||||
Subaru Corp. |
44,200 |
784,574 |
|||||||||
Sumitomo Electric Industries Ltd. |
67,400 |
743,680 |
|||||||||
Toyota Industries Corp. |
12,000 |
741,968 |
|||||||||
Toyota Motor Corp. |
60,300 |
932,097 |
|||||||||
USS Co. Ltd. |
27,200 |
470,301 |
|||||||||
Yamaha Motor Co. Ltd. |
29,600 |
541,648 |
|||||||||
11,116,731 |
|||||||||||
Consumer Staples (1.8%): |
|||||||||||
Ajinomoto Co., Inc. |
41,500 |
1,008,060 |
|||||||||
Asahi Group Holdings Ltd. |
24,400 |
798,336 |
|||||||||
Japan Tobacco, Inc. |
76,200 |
1,315,853 |
|||||||||
Seven & i Holdings Co. Ltd. |
24,700 |
957,601 |
|||||||||
Suntory Beverage & Food Ltd. |
28,300 |
1,068,632 |
|||||||||
5,148,482 |
|||||||||||
Energy (0.9%): |
|||||||||||
ENEOS Holdings, Inc. |
237,000 |
896,153 |
|||||||||
Idemitsu Kosan Co. Ltd. |
38,244 |
920,525 |
|||||||||
Inpex Corp. |
61,700 |
667,616 |
|||||||||
2,484,294 |
|||||||||||
Financials (3.8%): |
|||||||||||
Concordia Financial Group Ltd. |
208,800 |
722,358 |
|||||||||
Daiwa Securities Group, Inc. |
85,700 |
382,277 |
|||||||||
Japan Post Bank Co. Ltd. |
123,500 |
959,056 |
|||||||||
Japan Post Holdings Co. Ltd. |
128,800 |
918,774 |
|||||||||
Japan Post Insurance Co. Ltd. |
48,500 |
775,043 |
|||||||||
Mitsubishi HC Capital, Inc. |
89,400 |
411,942 |
|||||||||
Mitsubishi UFJ Financial Group, Inc. |
157,600 |
846,148 |
|||||||||
Mizuho Financial Group, Inc. |
81,800 |
929,060 |
|||||||||
ORIX Corp. |
39,400 |
660,074 |
|||||||||
Resona Holdings, Inc. |
212,500 |
794,754 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
29,700 |
881,458 |
|||||||||
Sumitomo Mitsui Trust Holdings, Inc. |
28,200 |
867,660 |
|||||||||
The Chiba Bank Ltd. |
137,600 |
750,518 |
|||||||||
The Shizuoka Bank Ltd. |
144,100 |
864,462 |
|||||||||
10,763,584 |
|||||||||||
Health Care (0.6%): |
|||||||||||
Ono Pharmaceutical Co. Ltd. |
16,900 |
433,152 |
|||||||||
Shionogi & Co. Ltd. |
15,100 |
761,919 |
|||||||||
Takeda Pharmaceutical Co. Ltd. |
15,600 |
438,414 |
|||||||||
1,633,485 |
See notes to financial statements.
40
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (5.2%): |
|||||||||||
AGC, Inc. |
18,800 |
$ |
660,086 |
||||||||
Dai Nippon Printing Co. Ltd. |
35,300 |
760,280 |
|||||||||
Fuji Electric Co. Ltd. |
14,700 |
608,104 |
|||||||||
Hitachi Ltd. |
15,100 |
715,570 |
|||||||||
ITOCHU Corp. |
37,800 |
1,020,298 |
|||||||||
Kajima Corp. |
75,900 |
869,871 |
|||||||||
Marubeni Corp. |
78,600 |
708,155 |
|||||||||
Mitsubishi Corp. |
33,100 |
983,583 |
|||||||||
Mitsubishi Heavy Industries Ltd. |
10,200 |
356,255 |
|||||||||
Mitsui & Co. Ltd. |
39,800 |
877,267 |
|||||||||
Mitsui Osk Lines Ltd. |
20,900 |
477,675 |
|||||||||
NGK Insulators Ltd. |
50,100 |
674,122 |
|||||||||
Nippon Express Holdings, Inc. |
6,700 |
363,468 |
|||||||||
Nippon Yusen KK |
7,100 |
484,465 |
|||||||||
Obayashi Corp. |
116,900 |
847,569 |
|||||||||
Shimizu Corp. |
152,600 |
842,442 |
|||||||||
Sumitomo Corp. |
67,500 |
922,656 |
|||||||||
Taisei Corp. |
30,400 |
945,420 |
|||||||||
TOPPAN, Inc. |
42,100 |
702,519 |
|||||||||
Toshiba Corp. |
7,800 |
316,639 |
|||||||||
Toyota Tsusho Corp. |
17,200 |
560,863 |
|||||||||
14,697,307 |
|||||||||||
Information Technology (3.5%): |
|||||||||||
Brother Industries Ltd. |
45,100 |
791,752 |
|||||||||
Canon, Inc. (c) |
38,500 |
874,259 |
|||||||||
FUJIFILM Holdings Corp. |
17,000 |
910,721 |
|||||||||
Fujitsu Ltd. |
5,700 |
711,792 |
|||||||||
Hirose Electric Co. Ltd. |
3,600 |
477,244 |
|||||||||
Ibiden Co. Ltd. |
15,200 |
427,956 |
|||||||||
Kyocera Corp. |
18,900 |
1,009,447 |
|||||||||
NEC Corp. |
19,300 |
748,673 |
|||||||||
NTT Data Corp. |
47,900 |
661,444 |
|||||||||
Renesas Electronics Corp. (b) |
45,200 |
410,229 |
|||||||||
Ricoh Co. Ltd. |
78,700 |
614,631 |
|||||||||
Rohm Co. Ltd. |
9,200 |
640,624 |
|||||||||
Seiko Epson Corp. |
44,500 |
628,906 |
|||||||||
SUMCO Corp. (a) |
18,500 |
239,531 |
|||||||||
TDK Corp. |
9,800 |
302,249 |
|||||||||
Tokyo Electron Ltd. |
1,400 |
456,516 |
|||||||||
9,905,974 |
|||||||||||
Materials (1.7%): |
|||||||||||
JFE Holdings, Inc. |
45,200 |
475,772 |
|||||||||
Mitsubishi Chemical Holdings Corp. |
72,700 |
394,390 |
|||||||||
Mitsui Chemicals, Inc. |
32,100 |
682,853 |
|||||||||
Nippon Steel Corp. |
38,300 |
535,363 |
|||||||||
Oji Holdings Corp. |
167,300 |
724,099 |
|||||||||
Sumitomo Chemical Co. Ltd. |
181,300 |
708,625 |
See notes to financial statements.
41
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Sumitomo Metal Mining Co. Ltd. |
15,700 |
$ |
491,149 |
||||||||
Tosoh Corp. |
56,000 |
694,564 |
|||||||||
4,706,815 |
|||||||||||
Real Estate (1.0%): |
|||||||||||
Daito Trust Construction Co. Ltd. |
8,900 |
767,134 |
|||||||||
Daiwa House Industry Co. Ltd. |
30,200 |
702,900 |
|||||||||
Hulic Co. Ltd. |
110,700 |
855,581 |
|||||||||
Nippon Building Fund, Inc. |
75 |
373,192 |
|||||||||
2,698,807 |
|||||||||||
Utilities (1.7%): |
|||||||||||
Chubu Electric Power Co., Inc. |
117,200 |
1,178,427 |
|||||||||
Osaka Gas Co. Ltd. |
64,100 |
1,224,862 |
|||||||||
The Kansai Electric Power Co., Inc. |
103,900 |
1,027,872 |
|||||||||
Tokyo Electric Power Co. Holdings, Inc. (b) |
208,900 |
871,858 |
|||||||||
Tokyo Gas Co. Ltd. |
26,500 |
547,536 |
|||||||||
4,850,555 |
|||||||||||
70,955,928 |
|||||||||||
Luxembourg (0.3%): |
|||||||||||
Materials (0.3%): |
|||||||||||
ArcelorMittal SA |
37,565 |
844,744 |
|||||||||
Netherlands (2.7%): |
|||||||||||
Consumer Staples (0.9%): |
|||||||||||
Koninklijke Ahold Delhaize NV |
99,319 |
2,581,279 |
|||||||||
Financials (1.3%): |
|||||||||||
ABN AMRO Bank NV (d) |
46,846 |
524,767 |
|||||||||
Aegon NV |
239,530 |
1,033,715 |
|||||||||
ING Groep NV |
48,187 |
475,104 |
|||||||||
NN Group NV |
34,521 |
1,564,133 |
|||||||||
3,597,719 |
|||||||||||
Industrials (0.1%): |
|||||||||||
AerCap Holdings NV (b) |
7,539 |
308,647 |
|||||||||
Information Technology (0.2%): |
|||||||||||
ASM International NV |
2,222 |
554,263 |
|||||||||
Materials (0.2%): |
|||||||||||
OCI NV |
14,823 |
487,834 |
|||||||||
7,529,742 |
|||||||||||
Norway (1.4%): |
|||||||||||
Energy (0.7%): |
|||||||||||
Equinor ASA |
59,113 |
2,049,562 |
|||||||||
Industrials (0.3%): |
|||||||||||
Kongsberg Gruppen ASA |
26,428 |
944,263 |
See notes to financial statements.
42
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Materials (0.4%): |
|||||||||||
Norsk Hydro ASA |
202,177 |
$ |
1,128,782 |
||||||||
4,122,607 |
|||||||||||
Portugal (0.4%): |
|||||||||||
Consumer Staples (0.4%): |
|||||||||||
Jeronimo Martins SGPS SA |
56,309 |
1,220,922 |
|||||||||
Singapore (2.2%): |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
Wilmar International Ltd. |
723,700 |
2,100,847 |
|||||||||
Industrials (0.4%): |
|||||||||||
Keppel Corp. Ltd. |
233,300 |
1,087,962 |
|||||||||
Real Estate (1.1%): |
|||||||||||
CapitaLand Investment Ltd. |
801,200 |
2,199,169 |
|||||||||
City Developments Ltd. |
161,700 |
946,939 |
|||||||||
3,146,108 |
|||||||||||
6,334,917 |
|||||||||||
Spain (2.6%): |
|||||||||||
Communication Services (0.7%): |
|||||||||||
Telefonica SA |
373,053 |
1,896,212 |
|||||||||
Energy (0.5%): |
|||||||||||
Repsol SA |
102,440 |
1,504,691 |
|||||||||
Financials (1.0%): |
|||||||||||
Banco Bilbao Vizcaya Argentaria SA |
234,423 |
1,061,304 |
|||||||||
Banco Santander SA |
398,335 |
1,119,384 |
|||||||||
CaixaBank SA (c) |
209,271 |
725,698 |
|||||||||
2,906,386 |
|||||||||||
Utilities (0.4%): |
|||||||||||
Naturgy Energy Group SA (c) |
34,001 |
976,454 |
|||||||||
7,283,743 |
|||||||||||
Sweden (2.1%): |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Volvo Car AB, Class B (b) (c) |
82,537 |
547,379 |
|||||||||
Financials (0.8%): |
|||||||||||
Investor AB, Class A (c) |
126,563 |
2,268,214 |
|||||||||
Health Care (0.2%): |
|||||||||||
Getinge AB, B Shares |
23,579 |
543,950 |
|||||||||
Information Technology (0.3%): |
|||||||||||
Telefonaktiebolaget LM Ericsson, Class B |
99,461 |
740,275 |
|||||||||
Materials (0.5%): |
|||||||||||
Boliden AB |
20,272 |
643,626 |
|||||||||
Holmen AB, B Shares |
21,720 |
879,407 |
|||||||||
1,523,033 |
See notes to financial statements.
43
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.1%): |
|||||||||||
Fastighets AB Balder, B Shares (b) |
75,228 |
$ |
359,791 |
||||||||
5,982,642 |
|||||||||||
Switzerland (2.3%): |
|||||||||||
Consumer Discretionary (0.5%): |
|||||||||||
Cie Financiere Richemont SA, Registered Shares |
14,135 |
1,500,833 |
|||||||||
Health Care (1.3%): |
|||||||||||
Novartis AG, Registered Shares |
15,986 |
1,350,048 |
|||||||||
Sonova Holding AG |
2,756 |
875,149 |
|||||||||
Vifor Pharma AG |
9,075 |
1,568,823 |
|||||||||
3,794,020 |
|||||||||||
Materials (0.5%): |
|||||||||||
Glencore PLC |
248,571 |
1,343,651 |
|||||||||
6,638,504 |
|||||||||||
United Kingdom (12.0%): |
|||||||||||
Communication Services (1.4%): |
|||||||||||
BT Group PLC |
635,971 |
1,438,894 |
|||||||||
Vodafone Group PLC |
1,191,941 |
1,833,466 |
|||||||||
WPP PLC |
53,943 |
540,203 |
|||||||||
3,812,563 |
|||||||||||
Consumer Discretionary (0.8%): |
|||||||||||
Barratt Developments PLC |
105,068 |
583,640 |
|||||||||
Kingfisher PLC |
214,163 |
635,399 |
|||||||||
Stellantis NV |
88,928 |
1,096,295 |
|||||||||
2,315,334 |
|||||||||||
Consumer Staples (2.9%): |
|||||||||||
British American Tobacco PLC |
50,286 |
2,149,347 |
|||||||||
Imperial Brands PLC |
80,484 |
1,794,572 |
|||||||||
J Sainsbury PLC |
672,998 |
1,667,334 |
|||||||||
Tesco PLC |
812,738 |
2,521,855 |
|||||||||
8,133,108 |
|||||||||||
Energy (0.2%): |
|||||||||||
Shell PLC |
24,923 |
645,912 |
|||||||||
Financials (2.4%): |
|||||||||||
3i Group PLC |
55,902 |
752,561 |
|||||||||
Aviva PLC |
114,763 |
559,306 |
|||||||||
Barclays PLC |
613,902 |
1,141,588 |
|||||||||
HSBC Holdings PLC |
153,013 |
995,285 |
|||||||||
Lloyds Banking Group PLC |
1,098,622 |
564,508 |
|||||||||
NatWest Group PLC |
486,656 |
1,290,192 |
|||||||||
Standard Chartered PLC |
215,078 |
1,615,789 |
|||||||||
6,919,229 |
See notes to financial statements.
44
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Health Care (1.4%): |
|||||||||||
AstraZeneca PLC |
8,245 |
$ |
1,081,416 |
||||||||
GSK PLC (a) |
135,847 |
2,912,869 |
|||||||||
3,994,285 |
|||||||||||
Industrials (0.8%): |
|||||||||||
BAE Systems PLC |
114,904 |
1,158,501 |
|||||||||
CNH Industrial NV |
96,284 |
1,109,270 |
|||||||||
2,267,771 |
|||||||||||
Materials (0.4%): |
|||||||||||
Anglo American PLC |
29,476 |
1,051,359 |
|||||||||
Real Estate (0.8%): |
|||||||||||
Segro PLC |
189,615 |
2,249,349 |
|||||||||
Utilities (0.9%): |
|||||||||||
National Grid PLC |
198,422 |
2,535,036 |
|||||||||
33,923,946 |
|||||||||||
United States (0.2%): |
|||||||||||
Health Care (0.2%): |
|||||||||||
Bausch Health Cos., Inc. (b) |
86,381 |
720,539 |
|||||||||
Total Common Stocks (Cost $299,869,900) |
280,673,006 |
||||||||||
Collateral for Securities Loaned (3.3%)^ |
|||||||||||
United States (3.3%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) |
293,077 |
293,077 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (e) |
146,260 |
146,260 |
|||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (e) |
1,824,154 |
1,824,154 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) |
1,166,230 |
1,166,230 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (e) |
777,744 |
777,744 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (e) |
5,243,597 |
5,243,597 |
|||||||||
Total Collateral for Securities Loaned (Cost $9,451,062) |
9,451,062 |
||||||||||
Total Investments (Cost $309,320,962) ? 102.5% |
290,124,068 |
||||||||||
Liabilities in excess of other assets ? (2.5)% |
(7,166,906 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
282,957,162 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) Non-income producing security.
(c) All or a portion of this security is on loan.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $2,950,485 and amounted to 1.0% of net assets.
See notes to financial statements.
45
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(e) Rate disclosed is the daily yield on June 30, 2022.
ADR ? American Depositary Receipt
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini MSCI EAFE Index Futures |
13 |
9/16/22 |
$ |
1,218,983 |
$ |
1,206,790 |
$ |
(12,193 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(12,193 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(12,193 |
) |
See notes to financial statements.
46
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (98.3%) |
|||||||||||
Brazil (2.7%): |
|||||||||||
Communication Services (1.1%): |
|||||||||||
Telefonica Brasil SA |
198,900 |
$ |
1,789,908 |
||||||||
TIM SA |
255,400 |
623,183 |
|||||||||
2,413,091 |
|||||||||||
Consumer Staples (0.4%): |
|||||||||||
JBS SA |
152,100 |
918,804 |
|||||||||
Energy (0.2%): |
|||||||||||
Petroleo Brasileiro SA, Preference Shares |
67,100 |
358,375 |
|||||||||
Health Care (0.3%): |
|||||||||||
Hypera SA |
85,400 |
621,216 |
|||||||||
Materials (0.5%): |
|||||||||||
Braskem SA, Preference Shares |
34,300 |
244,257 |
|||||||||
Cia Siderurgica Nacional SA |
97,400 |
287,574 |
|||||||||
Vale SA |
34,900 |
510,942 |
|||||||||
1,042,773 |
|||||||||||
Utilities (0.2%): |
|||||||||||
Centrais Eletricas Brasileiras SA |
46,600 |
411,691 |
|||||||||
5,765,950 |
|||||||||||
Chile (0.5%): |
|||||||||||
Consumer Staples (0.4%): |
|||||||||||
Cencosud SA |
602,418 |
751,041 |
|||||||||
Industrials (0.1%): |
|||||||||||
Cia Sud Americana de Vapores SA |
3,681,842 |
322,218 |
|||||||||
1,073,259 |
|||||||||||
China (20.7%): |
|||||||||||
Communication Services (0.5%): |
|||||||||||
China Tower Corp. Ltd., Class H (a) |
5,738,000 |
738,552 |
|||||||||
JOYY, Inc., ADR (b) |
7,520 |
224,547 |
|||||||||
963,099 |
|||||||||||
Consumer Discretionary (1.6%): |
|||||||||||
Brilliance China Automotive Holdings Ltd. (c) (d) (g) |
937,510 |
610,515 |
|||||||||
Dongfeng Motor Group Co. Ltd., Class H |
1,182,000 |
897,765 |
|||||||||
Guangzhou Automobile Group Co. Ltd., Class H |
1,002,000 |
969,189 |
|||||||||
TAL Education Group, ADR (c) |
93,405 |
454,882 |
|||||||||
Xtep International Holdings Ltd. |
248,500 |
449,691 |
|||||||||
3,382,042 |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
Want Want China Holdings Ltd. |
1,666,000 |
1,447,966 |
See notes to financial statements.
47
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Energy (2.7%): |
|||||||||||
China Coal Energy Co. Ltd., Class H |
1,438,000 |
$ |
1,218,652 |
||||||||
China Shenhua Energy Co. Ltd., Class H |
469,500 |
1,346,224 |
|||||||||
China Suntien Green Energy Corp. Ltd., Class H |
741,000 |
377,726 |
|||||||||
Inner Mongolia Yitai Coal Co. Ltd., Class B (c) |
392,300 |
642,980 |
|||||||||
PetroChina Co. Ltd., Class H |
2,472,000 |
1,178,200 |
|||||||||
Yankuang Energy Group Co. Ltd., Class H |
302,000 |
946,763 |
|||||||||
5,710,545 |
|||||||||||
Financials (8.5%): |
|||||||||||
360 DigiTech, Inc., ADR |
18,250 |
315,725 |
|||||||||
Agricultural Bank of China Ltd., Class H (c) (e) |
4,957,000 |
1,869,863 |
|||||||||
Bank of China Ltd., Class H (b) (c) (e) |
5,786,000 |
2,307,926 |
|||||||||
Bank of Communications Co. Ltd., Class H |
2,795,000 |
1,930,546 |
|||||||||
China Cinda Asset Management Co. Ltd., Class H |
7,807,000 |
1,223,738 |
|||||||||
China CITIC Bank Corp. Ltd., Class H |
3,897,000 |
1,743,158 |
|||||||||
China Construction Bank Corp., Class H (e) |
2,587,000 |
1,737,425 |
|||||||||
China Everbright Bank Co. Ltd., Class H |
4,069,000 |
1,317,105 |
|||||||||
China Galaxy Securities Co. Ltd., Class H |
2,088,000 |
1,205,391 |
|||||||||
China Minsheng Banking Corp. Ltd., Class H (b) |
4,396,000 |
1,568,609 |
|||||||||
Industrial & Commercial Bank of China Ltd., Class H (b) |
3,010,000 |
1,787,523 |
|||||||||
The People's Insurance Co. Group of China Ltd., Class H |
2,441,000 |
746,583 |
|||||||||
17,753,592 |
|||||||||||
Health Care (2.4%): |
|||||||||||
3SBio, Inc. (a) |
1,121,500 |
891,832 |
|||||||||
Cansino Biologics, Inc., Class H (a) (c) |
29,400 |
301,046 |
|||||||||
China Medical System Holdings Ltd. |
530,000 |
826,716 |
|||||||||
Genscript Biotech Corp. (c) |
96,000 |
348,059 |
|||||||||
Shanghai Pharmaceuticals Holding Co. Ltd. |
837,000 |
1,386,653 |
|||||||||
Sinopharm Group Co. Ltd., Class H |
510,800 |
1,238,114 |
|||||||||
4,992,420 |
|||||||||||
Industrials (1.6%): |
|||||||||||
China Railway Group Ltd., Class H |
2,124,000 |
1,312,790 |
|||||||||
China State Construction International Holdings Ltd. |
792,000 |
876,081 |
|||||||||
COSCO SHIPPING Holdings Co. Ltd., Class H |
409,000 |
571,259 |
|||||||||
Fosun International Ltd. |
643,500 |
594,546 |
|||||||||
3,354,676 |
|||||||||||
Information Technology (0.4%): |
|||||||||||
Daqo New Energy Corp., ADR (c) |
12,288 |
877,117 |
|||||||||
Materials (1.1%): |
|||||||||||
Aluminum Corp. of China Ltd., Class H |
596,000 |
225,581 |
|||||||||
China Hongqiao Group Ltd. (b) |
680,000 |
768,655 |
|||||||||
China National Building Material Co. Ltd., Class H |
664,000 |
709,106 |
|||||||||
Dongyue Group Ltd. |
229,000 |
286,580 |
|||||||||
Jiangxi Copper Co. Ltd., Class H |
268,000 |
366,808 |
|||||||||
2,356,730 |
See notes to financial statements.
48
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.2%): |
|||||||||||
Longfor Group Holdings Ltd. (a) |
107,000 |
$ |
505,209 |
||||||||
Utilities (1.0%): |
|||||||||||
China Power International Development Ltd. |
1,861,000 |
1,181,068 |
|||||||||
Huaneng Power International, Inc., Class H |
1,842,000 |
917,837 |
|||||||||
2,098,905 |
|||||||||||
43,442,301 |
|||||||||||
Cyprus (0.0%): (f) |
|||||||||||
Financials (0.0%): |
|||||||||||
TCS Group Holding PLC, GDR (c) (d) (g) |
15,868 |
9,854 |
|||||||||
Czech Republic (0.8%): |
|||||||||||
Utilities (0.8%): |
|||||||||||
CEZ A/S (e) |
38,445 |
1,727,252 |
|||||||||
Greece (1.1%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Hellenic Telecommunications Organization SA |
71,411 |
1,237,055 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
FF Group (c) (d) (g) |
14,913 |
3,742 |
|||||||||
OPAP SA |
33,578 |
479,169 |
|||||||||
482,911 |
|||||||||||
Financials (0.3%): |
|||||||||||
Alpha Services and Holdings SA (c) |
176,781 |
153,766 |
|||||||||
Eurobank Ergasias Services and Holdings SA (c) |
590,397 |
520,447 |
|||||||||
674,213 |
|||||||||||
2,394,179 |
|||||||||||
Hong Kong (7.2%): |
|||||||||||
Health Care (0.6%): |
|||||||||||
China Traditional Chinese Medicine Holdings Co. Ltd. |
1,862,000 |
1,150,855 |
|||||||||
Industrials (2.0%): |
|||||||||||
China Everbright Environment Group Ltd. |
849,000 |
500,942 |
|||||||||
China Merchants Port Holdings Co. Ltd. |
666,000 |
1,132,216 |
|||||||||
CITIC Ltd. |
1,330,000 |
1,347,466 |
|||||||||
Orient Overseas International Ltd. |
10,000 |
265,071 |
|||||||||
Sinotruk Hong Kong Ltd. |
695,500 |
974,965 |
|||||||||
4,220,660 |
|||||||||||
Information Technology (0.8%): |
|||||||||||
Kingboard Holdings Ltd. |
247,000 |
934,873 |
|||||||||
Kingboard Laminates Holdings Ltd. |
273,500 |
337,390 |
|||||||||
Lenovo Group Ltd. |
524,000 |
489,479 |
|||||||||
1,761,742 |
|||||||||||
Materials (0.2%): |
|||||||||||
Nine Dragons Paper Holdings Ltd. |
509,000 |
430,710 |
See notes to financial statements.
49
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (2.3%): |
|||||||||||
China Jinmao Holdings Group Ltd. |
1,480,000 |
$ |
397,964 |
||||||||
China Overseas Land & Investment Ltd., Class H |
204,000 |
644,735 |
|||||||||
China Overseas Property Holdings Ltd. |
780,000 |
839,944 |
|||||||||
China Resources Land Ltd. |
120,000 |
559,708 |
|||||||||
The Wharf Holdings Ltd. |
139,000 |
506,617 |
|||||||||
Yuexiu Property Co. Ltd. |
1,472,000 |
1,887,143 |
|||||||||
4,836,111 |
|||||||||||
Utilities (1.3%): |
|||||||||||
Beijing Enterprises Holdings Ltd. |
473,000 |
1,681,761 |
|||||||||
China Resources Power Holdings Co. Ltd. |
252,000 |
520,253 |
|||||||||
Kunlun Energy Co. Ltd. |
532,000 |
435,935 |
|||||||||
2,637,949 |
|||||||||||
15,038,027 |
|||||||||||
Hungary (0.8%): |
|||||||||||
Energy (0.6%): |
|||||||||||
MOL Hungarian Oil & Gas PLC |
162,165 |
1,246,766 |
|||||||||
Health Care (0.2%): |
|||||||||||
Richter Gedeon Nyrt |
30,507 |
548,988 |
|||||||||
1,795,754 |
|||||||||||
India (8.9%): |
|||||||||||
Consumer Discretionary (1.5%): |
|||||||||||
Page Industries Ltd. |
2,198 |
1,117,933 |
|||||||||
Tata Motors Ltd. (c) |
119,741 |
624,386 |
|||||||||
Titan Co. Ltd. |
40,815 |
1,003,288 |
|||||||||
Trent Ltd. |
36,734 |
499,640 |
|||||||||
3,245,247 |
|||||||||||
Consumer Staples (0.3%): |
|||||||||||
United Spirits Ltd. (c) |
61,270 |
589,444 |
|||||||||
Energy (1.1%): |
|||||||||||
Indian Oil Corp. Ltd. |
1,327,421 |
1,248,042 |
|||||||||
Oil & Natural Gas Corp. Ltd. |
505,813 |
970,666 |
|||||||||
2,218,708 |
|||||||||||
Financials (0.2%): |
|||||||||||
State Bank of India |
73,967 |
436,370 |
|||||||||
Health Care (1.1%): |
|||||||||||
Apollo Hospitals Enterprise Ltd. |
22,129 |
1,032,159 |
|||||||||
Sun Pharmaceutical Industries Ltd. |
121,516 |
1,278,055 |
|||||||||
2,310,214 |
|||||||||||
Industrials (0.8%): |
|||||||||||
Adani Enterprises Ltd. |
31,324 |
869,008 |
|||||||||
Bharat Electronics Ltd. |
168,130 |
498,392 |
|||||||||
Indian Railway Catering & Tourism Corp. Ltd. |
51,103 |
372,858 |
|||||||||
1,740,258 |
See notes to financial statements.
50
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.7%): |
|||||||||||
Mindtree Ltd. |
11,487 |
$ |
419,938 |
||||||||
Mphasis Ltd. |
20,027 |
581,759 |
|||||||||
Tata Elxsi Ltd. |
4,260 |
440,742 |
|||||||||
1,442,439 |
|||||||||||
Materials (1.7%): |
|||||||||||
Hindalco Industries Ltd. |
146,310 |
627,407 |
|||||||||
JSW Steel Ltd. |
62,395 |
446,003 |
|||||||||
SRF Ltd. |
40,078 |
1,142,976 |
|||||||||
Tata Steel Ltd. |
66,634 |
731,584 |
|||||||||
Vedanta Ltd. |
188,502 |
532,286 |
|||||||||
3,480,256 |
|||||||||||
Real Estate (0.2%): |
|||||||||||
DLF Ltd. |
95,255 |
377,172 |
|||||||||
Utilities (1.3%): |
|||||||||||
Adani Total Gas Ltd. |
14,922 |
452,143 |
|||||||||
Adani Transmission Ltd. (c) |
25,824 |
808,883 |
|||||||||
NTPC Ltd. |
396,197 |
716,915 |
|||||||||
The Tata Power Co. Ltd. |
309,435 |
792,273 |
|||||||||
2,770,214 |
|||||||||||
18,610,322 |
|||||||||||
Indonesia (2.9%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
PT Telkom Indonesia Persero Tbk |
4,896,900 |
1,314,825 |
|||||||||
Consumer Discretionary (0.3%): |
|||||||||||
PT Astra International Tbk |
1,217,000 |
541,206 |
|||||||||
Consumer Staples (1.3%): |
|||||||||||
PT Gudang Garam Tbk |
536,400 |
1,122,488 |
|||||||||
PT Indofood Sukses Makmur Tbk |
3,221,900 |
1,524,712 |
|||||||||
2,647,200 |
|||||||||||
Energy (0.4%): |
|||||||||||
PT Adaro Energy Indonesia Tbk |
4,538,600 |
871,314 |
|||||||||
Materials (0.3%): |
|||||||||||
PT Merdeka Copper Gold Tbk (c) |
1,364,100 |
365,347 |
|||||||||
PT Vale Indonesia Tbk (c) |
702,600 |
266,467 |
|||||||||
631,814 |
|||||||||||
6,006,359 |
|||||||||||
Korea, Republic Of (16.6%): |
|||||||||||
Communication Services (1.4%): |
|||||||||||
LG Uplus Corp. |
144,485 |
1,418,811 |
|||||||||
Pearl Abyss Corp. (c) |
5,150 |
202,684 |
|||||||||
SK Telecom Co. Ltd. |
35,441 |
1,419,387 |
|||||||||
3,040,882 |
See notes to financial statements.
51
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Consumer Discretionary (3.2%): |
|||||||||||
CJ ENM Co. Ltd. |
6,546 |
$ |
472,397 |
||||||||
F&F Co. Ltd. |
6,827 |
707,202 |
|||||||||
Hankook Tire & Technology Co. Ltd. |
36,521 |
926,808 |
|||||||||
Hyundai Mobis Co. Ltd. |
5,686 |
871,468 |
|||||||||
Hyundai Motor Co. |
6,701 |
931,555 |
|||||||||
Kia Corp. |
15,090 |
898,380 |
|||||||||
LG Electronics, Inc. |
11,234 |
763,988 |
|||||||||
Lotte Shopping Co. Ltd. |
14,981 |
1,199,957 |
|||||||||
6,771,755 |
|||||||||||
Consumer Staples (2.3%): |
|||||||||||
BGF Retail Co. Ltd. |
4,063 |
591,426 |
|||||||||
CJ CheilJedang Corp. |
3,886 |
1,134,315 |
|||||||||
E-MART, Inc. |
12,403 |
1,007,791 |
|||||||||
KT&G Corp. |
33,602 |
2,127,298 |
|||||||||
4,860,830 |
|||||||||||
Energy (0.8%): |
|||||||||||
GS Holdings Corp. |
49,502 |
1,595,547 |
|||||||||
Financials (4.2%): |
|||||||||||
DB Insurance Co. Ltd. |
23,001 |
1,085,922 |
|||||||||
Hana Financial Group, Inc. |
29,452 |
892,588 |
|||||||||
Industrial Bank of Korea |
156,259 |
1,157,742 |
|||||||||
KB Financial Group, Inc. |
25,897 |
960,367 |
|||||||||
Meritz Financial Group, Inc. |
14,284 |
284,382 |
|||||||||
Meritz Fire & Marine Insurance Co. Ltd. |
29,692 |
758,079 |
|||||||||
Meritz Securities Co. Ltd. |
242,873 |
849,232 |
|||||||||
NH Investment & Securities Co. Ltd. |
69,489 |
484,347 |
|||||||||
Shinhan Financial Group Co. Ltd. |
42,068 |
1,200,415 |
|||||||||
Woori Financial Group, Inc. |
119,108 |
1,109,987 |
|||||||||
8,783,061 |
|||||||||||
Health Care (0.2%): |
|||||||||||
Seegene, Inc. |
14,710 |
409,555 |
|||||||||
Industrials (1.4%): |
|||||||||||
Ecopro BM Co. Ltd. |
5,248 |
458,755 |
|||||||||
GS Engineering & Construction Corp. |
34,735 |
844,030 |
|||||||||
HMM Co. Ltd. |
30,771 |
583,000 |
|||||||||
Hyundai Engineering & Construction Co. Ltd. |
16,068 |
511,716 |
|||||||||
LG Corp. |
8,563 |
513,754 |
|||||||||
2,911,255 |
|||||||||||
Information Technology (1.6%): |
|||||||||||
L&F Co. Ltd. (c) |
1,526 |
246,811 |
|||||||||
LG Display Co. Ltd. |
69,627 |
780,247 |
|||||||||
LG Innotek Co. Ltd. |
3,809 |
1,004,761 |
|||||||||
SK Hynix, Inc. |
12,470 |
873,976 |
|||||||||
SK Square Co. Ltd. (c) |
12,384 |
372,455 |
|||||||||
3,278,250 |
See notes to financial statements.
52
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Materials (1.5%): |
|||||||||||
Hyundai Steel Co. |
26,877 |
$ |
664,473 |
||||||||
Kumho Petrochemical Co. Ltd. |
6,726 |
720,051 |
|||||||||
Lotte Chemical Corp. |
6,510 |
902,495 |
|||||||||
POSCO Holdings, Inc. |
5,113 |
907,692 |
|||||||||
3,194,711 |
|||||||||||
34,845,846 |
|||||||||||
Luxembourg (0.3%): |
|||||||||||
Financials (0.3%): |
|||||||||||
Reinet Investments SCA |
31,218 |
544,612 |
|||||||||
Malaysia (2.1%): |
|||||||||||
Consumer Discretionary (0.6%): |
|||||||||||
Genting Bhd |
1,154,800 |
1,189,516 |
|||||||||
Consumer Staples (0.6%): |
|||||||||||
Kuala Lumpur Kepong Bhd |
138,000 |
686,947 |
|||||||||
Sime Darby Plantation Bhd |
513,500 |
504,471 |
|||||||||
1,191,418 |
|||||||||||
Health Care (0.9%): |
|||||||||||
IHH Healthcare Bhd |
1,356,600 |
1,985,268 |
|||||||||
4,366,202 |
|||||||||||
Mexico (3.1%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
America Movil SAB de CV, Class L |
803,613 |
818,520 |
|||||||||
Consumer Staples (2.7%): |
|||||||||||
Arca Continental SAB de CV |
335,400 |
2,202,669 |
|||||||||
Coca-Cola Femsa SAB de CV |
173,987 |
960,148 |
|||||||||
Gruma SAB de CV, Class B |
65,900 |
726,914 |
|||||||||
Grupo Bimbo SAB de CV, Class A |
543,801 |
1,761,931 |
|||||||||
5,651,662 |
|||||||||||
6,470,182 |
|||||||||||
Philippines (0.5%): |
|||||||||||
Communication Services (0.5%): |
|||||||||||
PLDT, Inc. |
33,710 |
1,029,968 |
|||||||||
Poland (1.3%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Cyfrowy Polsat SA |
84,724 |
399,889 |
|||||||||
Orange Polska SA |
574,480 |
801,181 |
|||||||||
1,201,070 |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
LPP SA |
102 |
204,075 |
|||||||||
Energy (0.2%): |
|||||||||||
Polski Koncern Naftowy ORLEN SA |
27,329 |
416,514 |
See notes to financial statements.
53
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (0.1%): |
|||||||||||
Bank Polska Kasa Opieki SA |
15,254 |
$ |
276,658 |
||||||||
Utilities (0.3%): |
|||||||||||
PGE Polska Grupa Energetyczna SA (c) |
282,387 |
669,247 |
|||||||||
2,767,564 |
|||||||||||
Russian Federation (0.0%): (f) |
|||||||||||
Consumer Staples (0.0%): |
|||||||||||
Magnit PJSC, GDR (d) (g) |
32,414 |
74 |
|||||||||
Energy (0.0%): |
|||||||||||
Gazprom PJSC (d) (g) (h) (i) |
324,752 |
14,117 |
|||||||||
Financials (0.0%): |
|||||||||||
Sberbank of Russia PJSC (c) (d) (g) (h) (i) |
177,888 |
691 |
|||||||||
Materials (0.0%): |
|||||||||||
PhosAgro PJSC, GDR (d) (e) (g) |
35,429 |
274 |
|||||||||
Severstal PAO (d) (g) (h) (i) |
37,552 |
9,671 |
|||||||||
United Co. RUSAL International PJSC (c) (d) (g) (h) (i) |
555,630 |
6,323 |
|||||||||
16,268 |
|||||||||||
Utilities (0.0%): (f) |
|||||||||||
Inter RAO UES PJSC (d) (g) |
23,475,472 |
12,220 |
|||||||||
43,370 |
|||||||||||
South Africa (2.8%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
MTN Group Ltd. |
64,663 |
521,172 |
|||||||||
Consumer Discretionary (0.7%): |
|||||||||||
Pepkor Holdings Ltd. (a) |
606,663 |
708,036 |
|||||||||
The Foschini Group Ltd. |
41,738 |
310,821 |
|||||||||
Woolworths Holdings Ltd. |
134,299 |
444,726 |
|||||||||
1,463,583 |
|||||||||||
Consumer Staples (0.4%): |
|||||||||||
Shoprite Holdings Ltd. |
71,729 |
866,396 |
|||||||||
Energy (0.2%): |
|||||||||||
Exxaro Resources Ltd. |
35,145 |
425,151 |
|||||||||
Health Care (0.3%): |
|||||||||||
Aspen Pharmacare Holdings Ltd. |
75,967 |
644,740 |
|||||||||
Materials (1.0%): |
|||||||||||
African Rainbow Minerals Ltd. |
53,872 |
702,893 |
|||||||||
Gold Fields Ltd. |
25,573 |
238,832 |
|||||||||
Impala Platinum Holdings Ltd. |
43,098 |
476,531 |
|||||||||
Sasol Ltd. (c) |
19,555 |
443,657 |
|||||||||
Sibanye Stillwater Ltd. |
76,508 |
189,933 |
|||||||||
2,051,846 |
|||||||||||
5,972,888 |
See notes to financial statements.
54
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Taiwan (16.8%): |
|||||||||||
Communication Services (1.5%): |
|||||||||||
Chunghwa Telecom Co. Ltd. |
407,000 |
$ |
1,669,968 |
||||||||
Far EasTone Telecommunications Co. Ltd. |
523,000 |
1,470,490 |
|||||||||
3,140,458 |
|||||||||||
Consumer Discretionary (0.7%): |
|||||||||||
Pou Chen Corp. |
1,365,000 |
1,354,280 |
|||||||||
Financials (4.7%): |
|||||||||||
Cathay Financial Holding Co. Ltd. |
438,000 |
749,801 |
|||||||||
China Development Financial Holding Corp. |
2,885,000 |
1,426,320 |
|||||||||
Fubon Financial Holding Co. Ltd. |
341,000 |
685,819 |
|||||||||
Shin Kong Financial Holding Co. Ltd. |
2,203,000 |
649,042 |
|||||||||
SinoPac Financial Holdings Co. Ltd. |
3,785,000 |
2,138,598 |
|||||||||
Taishin Financial Holding Co. Ltd. |
3,127,000 |
1,714,231 |
|||||||||
Taiwan Cooperative Financial Holding Co. Ltd. |
2,784,000 |
2,514,013 |
|||||||||
9,877,824 |
|||||||||||
Industrials (1.2%): |
|||||||||||
China Airlines Ltd. (c) |
490,000 |
387,274 |
|||||||||
Eva Airways Corp. (c) |
410,000 |
436,427 |
|||||||||
Evergreen Marine Corp. Ltd. |
156,000 |
443,863 |
|||||||||
Walsin Lihwa Corp. |
355,000 |
430,415 |
|||||||||
Wan Hai Lines Ltd. |
116,000 |
464,258 |
|||||||||
Yang Ming Marine Transport Corp. |
148,000 |
409,652 |
|||||||||
2,571,889 |
|||||||||||
Information Technology (7.8%): |
|||||||||||
Acer, Inc. |
1,549,000 |
1,130,486 |
|||||||||
ASE Technology Holding Co. Ltd. |
343,000 |
881,336 |
|||||||||
Asustek Computer, Inc. |
141,000 |
1,472,430 |
|||||||||
AU Optronics Corp. (c) |
1,383,000 |
758,165 |
|||||||||
Catcher Technology Co. Ltd. |
129,000 |
718,028 |
|||||||||
Compal Electronics, Inc. (e) |
1,241,000 |
949,527 |
|||||||||
E Ink Holdings, Inc. |
174,000 |
1,103,099 |
|||||||||
Hon Hai Precision Industry Co. Ltd. |
209,000 |
766,173 |
|||||||||
Innolux Corp. |
1,653,000 |
672,686 |
|||||||||
Lite-On Technology Corp. |
831,000 |
1,618,205 |
|||||||||
Nan Ya Printed Circuit Board Corp. |
20,000 |
175,223 |
|||||||||
Pegatron Corp. |
331,000 |
634,537 |
|||||||||
Quanta Computer, Inc. (e) |
283,000 |
759,527 |
|||||||||
Synnex Technology International Corp. |
836,000 |
1,495,794 |
|||||||||
Unimicron Technology Corp. |
95,000 |
506,415 |
|||||||||
United Microelectronics Corp. |
265,000 |
348,925 |
|||||||||
Winbond Electronics Corp. |
389,000 |
283,899 |
|||||||||
WPG Holdings Ltd. (e) |
1,121,000 |
2,077,357 |
|||||||||
16,351,812 |
|||||||||||
Materials (0.3%): |
|||||||||||
China Steel Corp. |
620,000 |
593,236 |
See notes to financial statements.
55
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.6%): |
|||||||||||
Ruentex Development Co. Ltd. |
528,000 |
$ |
1,303,419 |
||||||||
35,192,918 |
|||||||||||
Thailand (3.4%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
True Corp. PCL |
3,875,200 |
504,198 |
|||||||||
Consumer Staples (0.9%): |
|||||||||||
Charoen Pokphand Foods PCL |
967,900 |
711,792 |
|||||||||
Thai Union Group PCL |
2,430,400 |
1,175,501 |
|||||||||
1,887,293 |
|||||||||||
Financials (0.9%): |
|||||||||||
JMT Network Services PCL |
225,200 |
466,579 |
|||||||||
Krung Thai Bank PCL |
3,348,400 |
1,467,973 |
|||||||||
1,934,552 |
|||||||||||
Health Care (1.1%): |
|||||||||||
Bangkok Dusit Medical Services PCL |
1,059,800 |
749,399 |
|||||||||
Bumrungrad Hospital PCL |
301,700 |
1,527,487 |
|||||||||
2,276,886 |
|||||||||||
Real Estate (0.3%): |
|||||||||||
Land & Houses PCL |
2,692,400 |
635,880 |
|||||||||
7,238,809 |
|||||||||||
Turkey (3.8%): |
|||||||||||
Communication Services (0.5%): |
|||||||||||
Turkcell Iletisim Hizmetleri A/S |
982,938 |
953,709 |
|||||||||
Consumer Discretionary (0.3%): |
|||||||||||
Ford Otomotiv Sanayi A/S |
43,431 |
694,521 |
|||||||||
Consumer Staples (0.3%): |
|||||||||||
BIM Birlesik Magazalar A/S |
114,742 |
555,619 |
|||||||||
Energy (0.2%): |
|||||||||||
Turkiye Petrol Rafinerileri A/S (c) |
33,316 |
527,780 |
|||||||||
Financials (1.0%): |
|||||||||||
Akbank TAS |
1,645,522 |
790,410 |
|||||||||
Haci Omer Sabanci Holding A/S |
392,042 |
444,016 |
|||||||||
Turkiye Is Bankasi A/S |
3,421,992 |
897,693 |
|||||||||
2,132,119 |
|||||||||||
Industrials (1.2%): |
|||||||||||
KOC Holding AS |
392,727 |
860,888 |
|||||||||
Turk Hava Yollari AO (c) |
144,123 |
403,974 |
|||||||||
Turkiye Sise ve Cam Fabrikalari A/S |
902,458 |
1,162,091 |
|||||||||
2,426,953 |
|||||||||||
Materials (0.3%): |
|||||||||||
Eregli Demir ve Celik Fabrikalari TAS (b) |
453,200 |
736,672 |
|||||||||
8,027,373 |
See notes to financial statements.
56
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
United Arab Emirates (2.0%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Emirates Telecommunications Group Co. PJSC |
171,091 |
$ |
1,215,724 |
||||||||
Financials (0.7%): |
|||||||||||
Abu Dhabi Islamic Bank PJSC |
316,952 |
647,175 |
|||||||||
Dubai Islamic Bank PJSC |
492,858 |
772,879 |
|||||||||
1,420,054 |
|||||||||||
Real Estate (0.7%): |
|||||||||||
Aldar Properties PJSC |
839,778 |
1,017,400 |
|||||||||
Emaar Properties PJSC |
320,666 |
453,966 |
|||||||||
1,471,366 |
|||||||||||
4,107,144 |
|||||||||||
Total Common Stocks (Cost $221,419,851) |
206,470,133 |
||||||||||
Rights (0.0%) (f) |
|||||||||||
Taiwan (0.0%): (f) |
|||||||||||
Financials (0.0%): |
|||||||||||
Taishin Financial Holdings, Expires 7/14/22 (c) (d) |
61,601 |
? |
|||||||||
Industrials (0.0%): (f) |
|||||||||||
Walsin Lihwa Corp., Expires 8/4/22 (c) |
24,814 |
3,421 |
|||||||||
3,421 |
|||||||||||
Total Rights (Cost $?) |
3,421 |
||||||||||
Collateral for Securities Loaned (0.7%)^ |
|||||||||||
United States (0.7%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) |
41,993 |
41,993 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) |
20,957 |
20,957 |
|||||||||
HSBC U.S. Government Money Market Fund I Shares, 1.46% (j) |
261,371 |
261,371 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) |
167,101 |
167,101 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (j) |
111,438 |
111,438 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) |
751,321 |
751,321 |
|||||||||
Total Collateral for Securities Loaned (Cost $1,354,181) |
1,354,181 |
||||||||||
Total Investments (Cost $222,774,032) ? 99.0% |
207,827,735 |
||||||||||
Other assets in excess of liabilities ? 1.0% |
2,108,072 |
||||||||||
NET ASSETS ? 100.00% |
$ |
209,935,807 |
^ Purchased with cash collateral from securities on loan.
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $3,144,675 and amounted to 1.5% of net assets.
See notes to financial statements.
57
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(b) All or a portion of this security is on loan.
(c) Non-income producing security.
(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.3% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(e) All or a portion of this security has been segregated as collateral for derivative instruments.
(f) Amount represents less than 0.05% of net assets.
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.3% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Gazprom PJSC |
12/8/2017 |
$ |
722,938 |
||||||||
Sberbank of Russia PJSC |
10/24/2017 |
634,243 |
|||||||||
Severstal PAO |
5/27/2021 |
881,363 |
|||||||||
United Co. RUSAL International PJSC |
11/30/2021 |
516,962 |
(j) Rate disclosed is the daily yield on June 30, 2022.
ADR ? American Depositary Receipt
GDR ? Global Depositary Receipt
PCL ? Public Company Limited
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini
MSCI Emerging Markets Index Futures |
24 |
9/16/22 |
$ |
1,219,243 |
$ |
1,203,240 |
$ |
(16,003 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(16,003 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(16,003 |
) |
See notes to financial statements.
58
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
USAA MSCI USA Value Momentum ETF |
VictoryShares
USAA MSCI USA Small Cap Value Momentum ETF |
||||||||||
Assets: |
|||||||||||
Investments, at value (Cost $267,371,038 and $266,246,823) |
$ |
265,467,160 |
$ |
259,379,605 |
(a) |
||||||
Cash |
1,600,126 |
1,706,128 |
|||||||||
Deposit with broker for futures contracts |
183,316 |
166,461 |
|||||||||
Receivables: |
|||||||||||
Interest and dividends |
292,016 |
257,265 |
|||||||||
From Adviser |
6,735 |
? |
|||||||||
Prepaid expenses |
1,878 |
1,626 |
|||||||||
Total Assets |
267,551,231 |
261,511,085 |
|||||||||
Liabilities: |
|||||||||||
Payables: |
|||||||||||
Collateral received on loaned securities |
? |
4,071,008 |
|||||||||
Variation margin on open futures contracts |
14,288 |
6,825 |
|||||||||
Accrued expenses and other payables: |
|||||||||||
Investment advisory fees |
34,016 |
32,250 |
|||||||||
Administration fees |
1,158 |
2,467 |
|||||||||
Custodian fees |
2,673 |
2,538 |
|||||||||
Compliance fees |
172 |
162 |
|||||||||
Trustees' fees |
29,550 |
26,234 |
|||||||||
Other accrued expenses |
8,226 |
13,151 |
|||||||||
Total Liabilities |
90,083 |
4,154,635 |
|||||||||
Net Assets: |
|||||||||||
Capital |
344,422,766 |
313,777,472 |
|||||||||
Total accumulated earnings/(loss) |
(76,961,618 |
) |
(56,421,022 |
) |
|||||||
Net Assets |
$ |
267,461,148 |
$ |
257,356,450 |
|||||||
Shares (unlimited shares authorized, with no par value): |
4,450,000 |
4,250,000 |
|||||||||
Net asset value: |
$ |
60.10 |
$ |
60.55 |
(a) Includes $3,833,348 of securities on loan.
See notes to financial statements.
59
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
USAA MSCI International Value Momentum ETF |
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||
Assets: |
|||||||||||
Investments, at value (Cost $309,320,962 and $222,774,032) |
$ |
290,124,068 |
(a) |
$ |
207,827,735 |
(b) |
|||||
Foreign currency, at value (Cost $142,044 and $143,124) |
143,016 |
143,097 |
|||||||||
Cash |
1,457,014 |
873,546 |
|||||||||
Deposit with broker for futures contracts |
179,369 |
153,077 |
|||||||||
Receivables: |
|||||||||||
Interest and dividends |
679,430 |
2,482,874 |
|||||||||
Investments sold |
789 |
? |
|||||||||
Reclaims |
630,240 |
7,626 |
|||||||||
From Adviser |
6,608 |
15,671 |
|||||||||
Prepaid expenses |
2,050 |
1,401 |
|||||||||
Total Assets |
293,222,584 |
211,505,027 |
|||||||||
Liabilities: |
|||||||||||
Payables: |
|||||||||||
Collateral received on loaned securities |
9,451,062 |
1,354,181 |
|||||||||
Investments purchased |
665,522 |
? |
|||||||||
Variation margin on open futures contracts |
3,158 |
3,177 |
|||||||||
Accrued foreign capital gains taxes |
? |
61,778 |
|||||||||
Accrued expenses and other payables: |
|||||||||||
Investment advisory fees |
60,986 |
53,975 |
|||||||||
Administration fees |
2,407 |
2,282 |
|||||||||
Custodian fees |
17,921 |
38,025 |
|||||||||
Compliance fees |
187 |
135 |
|||||||||
Trustees' fees |
47,478 |
33,789 |
|||||||||
Other accrued expenses |
16,701 |
21,878 |
|||||||||
Total Liabilities |
10,265,422 |
1,569,220 |
|||||||||
Net Assets: |
|||||||||||
Capital |
365,634,117 |
245,475,741 |
|||||||||
Total accumulated earnings/(loss) |
(82,676,955 |
) |
(35,539,934 |
) |
|||||||
Net Assets |
$ |
282,957,162 |
$ |
209,935,807 |
|||||||
Shares (unlimited shares authorized, with no par value): |
7,050,000 |
5,150,000 |
|||||||||
Net asset value: |
$ |
40.14 |
$ |
40.76 |
(a) Includes $7,545,965 of securities on loan.
(b) Includes $1,278,323 of securities on loan.
See notes to financial statements.
60
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares
USAA MSCI USA Value Momentum ETF |
VictoryShares
USAA MSCI USA Small Cap Value Momentum ETF |
||||||||||
Investment Income: |
|||||||||||
Dividends |
$ |
6,271,457 |
$ |
3,871,937 |
|||||||
Interest |
? |
341 |
|||||||||
Securities lending (net of fees) |
10,633 |
155,351 |
|||||||||
Foreign tax withholding |
(2,676 |
) |
(4,221 |
) |
|||||||
Total Income |
6,279,414 |
4,023,408 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees |
525,522 |
429,272 |
|||||||||
Administration fees |
189,874 |
155,055 |
|||||||||
Sub-Administration fees |
17,949 |
19,616 |
|||||||||
Custodian fees |
18,854 |
15,952 |
|||||||||
Servicing fees |
3,756 |
3,756 |
|||||||||
Trustees' fees |
24,299 |
18,708 |
|||||||||
Compliance fees |
2,560 |
2,034 |
|||||||||
Legal and audit fees |
16,477 |
20,111 |
|||||||||
Line of credit fees |
143 |
? |
|||||||||
Licensing fees |
48,927 |
37,138 |
|||||||||
Other expenses |
93,162 |
83,052 |
|||||||||
Total Expenses |
941,523 |
784,694 |
|||||||||
Expenses waived/reimbursed by Adviser |
(241,640 |
) |
(90,764 |
) |
|||||||
Net Expenses |
699,883 |
693,930 |
|||||||||
Net Investment Income (Loss) |
5,579,531 |
3,329,478 |
|||||||||
Realized/Unrealized Gains (Losses) from Investments: |
|||||||||||
Net realized gains (losses) from investment securities |
(1,669,264 |
) |
(12,074,123 |
) |
|||||||
Net realized gains (losses) from futures contracts |
47,624 |
(198,572 |
) |
||||||||
Net realized gains (losses) from in-kind redemptions |
65,867,169 |
33,659,945 |
|||||||||
Net
change in unrealized appreciation/depreciation on investment securities |
(84,415,089 |
) |
(69,287,683 |
) |
|||||||
Net
change in unrealized appreciation/depreciation on futures contracts |
(103,321 |
) |
(60,729 |
) |
|||||||
Net realized/unrealized gains (losses) on investments |
(20,272,881 |
) |
(47,961,162 |
) |
|||||||
Change in net assets resulting from operations |
$ |
(14,693,350 |
) |
$ |
(44,631,684 |
) |
See notes to financial statements.
61
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares
USAA MSCI International Value Momentum ETF |
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||
Investment Income: |
|||||||||||
Dividends |
$ |
12,577,196 |
$ |
11,239,103 |
|||||||
Non-cash dividends |
? |
896,433 |
|||||||||
Interest |
617 |
11 |
|||||||||
Securities lending (net of fees) |
99,151 |
17,838 |
|||||||||
Foreign tax withholding |
(1,406,327 |
) |
(1,464,610 |
) |
|||||||
Total Income |
11,270,637 |
10,688,775 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees |
851,308 |
713,002 |
|||||||||
Administration fees |
184,501 |
128,768 |
|||||||||
Sub-Administration fees |
17,949 |
19,943 |
|||||||||
Custodian fees |
105,065 |
245,809 |
|||||||||
Servicing fees |
5,008 |
5,008 |
|||||||||
Trustees' fees |
22,354 |
15,890 |
|||||||||
Compliance fees |
2,443 |
1,703 |
|||||||||
Legal and audit fees |
56,456 |
42,873 |
|||||||||
Line of credit fees |
5,626 |
7,295 |
|||||||||
Interest fees |
? |
3,354 |
|||||||||
Licensing fees |
62,409 |
42,626 |
|||||||||
Other expenses |
95,826 |
76,551 |
|||||||||
Total Expenses |
1,408,945 |
1,302,822 |
|||||||||
Expenses waived/reimbursed by Adviser |
(212,159 |
) |
(223,331 |
) |
|||||||
Net Expenses |
1,196,786 |
1,079,491 |
|||||||||
Net Investment Income (Loss) |
10,073,851 |
9,609,284 |
|||||||||
Realized/Unrealized Gains (Losses) from Investments: |
|||||||||||
Net
realized gains (losses) from investment securities and foreign currency transactions |
(1,225,674 |
) |
2,039,721 |
||||||||
Foreign taxes on realized gains |
? |
(353,810 |
) |
||||||||
Net realized gains (losses) from futures contracts |
(493,864 |
) |
(239,366 |
) |
|||||||
Net realized gains (losses) from in-kind redemptions |
1,030,109 |
480,667 |
|||||||||
Net
change in unrealized appreciation/depreciation on investment securities and foreign currency translations |
(64,726,392 |
) |
(59,338,826 |
) |
|||||||
Net
change in unrealized appreciation/depreciation on futures contracts |
24,448 |
(20,653 |
) |
||||||||
Net change in accrued foreign taxes on unrealized gains |
? |
268,592 |
|||||||||
Net realized/unrealized gains (losses) on investments |
(65,391,373 |
) |
(57,163,675 |
) |
|||||||
Change in net assets resulting from operations |
$ |
(55,317,522 |
) |
$ |
(47,554,391 |
) |
See notes to financial statements.
62
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares
USAA MSCI USA Value Momentum ETF |
VictoryShares
USAA MSCI USA Small Cap Value Momentum ETF |
||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||
From Investment Activities: |
|||||||||||||||||||
Operations: |
|||||||||||||||||||
Net Investment Income (Loss) |
$ |
5,579,531 |
$ |
7,298,240 |
$ |
3,329,478 |
$ |
2,465,298 |
|||||||||||
Net realized gains (losses) |
64,245,529 |
91,664,113 |
21,387,250 |
68,043,756 |
|||||||||||||||
Net
change in unrealized appreciation/depreciation |
(84,518,410 |
) |
93,224,120 |
(69,348,412 |
) |
59,565,325 |
|||||||||||||
Change
in net assets resulting from operations |
(14,693,350 |
) |
192,186,473 |
(44,631,684 |
) |
130,074,379 |
|||||||||||||
Change
in net assets resulting from distributions to shareholders |
(5,861,933 |
) |
(7,140,505 |
) |
(3,010,992 |
) |
(3,526,739 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
(155,196,933 |
) |
(206,179,954 |
) |
5,367,845 |
(66,163,688 |
) |
||||||||||||
Change in net assets |
(175,752,216 |
) |
(21,133,986 |
) |
(42,274,831 |
) |
60,383,952 |
||||||||||||
Net Assets: |
|||||||||||||||||||
Beginning of period |
443,213,364 |
464,347,350 |
299,631,281 |
239,247,329 |
|||||||||||||||
End of period |
$ |
267,461,148 |
$ |
443,213,364 |
$ |
257,356,450 |
$ |
299,631,281 |
|||||||||||
Capital Transactions: |
|||||||||||||||||||
Proceeds from shares issued |
$ |
88,866,918 |
$ |
189,957,267 |
$ |
95,338,557 |
$ |
143,357,344 |
|||||||||||
Cost of shares redeemed |
(244,063,851 |
) |
(396,137,221 |
) |
(89,970,712 |
) |
(209,521,032 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
$ |
(155,196,933 |
) |
$ |
(206,179,954 |
) |
$ |
5,367,845 |
$ |
(66,163,688 |
) |
||||||||
Share Transactions: |
|||||||||||||||||||
Issued |
1,300,000 |
3,200,000 |
1,350,000 |
2,200,000 |
|||||||||||||||
Redeemed |
(3,600,000 |
) |
(6,700,000 |
) |
(1,250,000 |
) |
(3,300,000 |
) |
|||||||||||
Change in Shares |
(2,300,000 |
) |
(3,500,000 |
) |
100,000 |
(1,100,000 |
) |
See notes to financial statements.
63
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares
USAA MSCI International Value Momentum ETF |
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||
From Investment Activities: |
|||||||||||||||||||
Operations: |
|||||||||||||||||||
Net Investment Income (Loss) |
$ |
10,073,851 |
$ |
10,949,323 |
$ |
9,609,284 |
$ |
7,389,948 |
|||||||||||
Net realized gains (losses) |
(689,429 |
) |
36,512,318 |
1,927,212 |
19,617,138 |
||||||||||||||
Net
change in unrealized appreciation/depreciation |
(64,701,944 |
) |
62,078,654 |
(59,090,887 |
) |
61,071,078 |
|||||||||||||
Change
in net assets resulting from operations |
(55,317,522 |
) |
109,540,295 |
(47,554,391 |
) |
88,078,164 |
|||||||||||||
Change
in net assets resulting from distributions to shareholders |
(12,229,755 |
) |
(10,100,636 |
) |
(10,246,565 |
) |
(6,382,157 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
(6,876,009 |
) |
(57,063,375 |
) |
2,145,943 |
19,002,805 |
|||||||||||||
Change in net assets |
(74,423,286 |
) |
42,376,284 |
(55,655,013 |
) |
100,698,812 |
|||||||||||||
Net Assets: |
|||||||||||||||||||
Beginning of period |
357,380,448 |
315,004,164 |
265,590,820 |
164,892,008 |
|||||||||||||||
End of period |
$ |
282,957,162 |
$ |
357,380,448 |
$ |
209,935,807 |
$ |
265,590,820 |
|||||||||||
Capital Transactions: |
|||||||||||||||||||
Proceeds from shares issued |
$ |
? |
$ |
45,460,436 |
$ |
9,384,929 |
$ |
72,396,227 |
|||||||||||
Cost of shares redeemed |
(6,876,009 |
) |
(102,523,811 |
) |
(7,238,986 |
) |
(53,393,422 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
$ |
(6,876,009 |
) |
$ |
(57,063,375 |
) |
$ |
2,145,943 |
$ |
19,002,805 |
|||||||||
Share Transactions: |
|||||||||||||||||||
Issued |
? |
1,100,000 |
200,000 |
1,800,000 |
|||||||||||||||
Redeemed |
(150,000 |
) |
(2,100,000 |
) |
(150,000 |
) |
(1,050,000 |
) |
|||||||||||
Change in Shares |
(150,000 |
) |
(1,000,000 |
) |
50,000 |
750,000 |
See notes to financial statements.
64
This page is intentionally left blank.
65
Victory Portfolios II |
Financial Highlights |
For a Share Outstanding Throughout Each Period
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net Investment Income (Loss)(a) |
Net
Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net Investment Income |
Total Distributions |
||||||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
65.66 |
1.07 |
(5.52 |
) |
(4.45 |
) |
(1.11 |
) |
(1.11 |
) |
||||||||||||||||
2021 |
$ |
45.30 |
0.81 |
20.32 |
21.13 |
(0.77 |
) |
(0.77 |
) |
||||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
50.37 |
0.72 |
(4.85 |
) |
(4.13 |
) |
(0.94 |
) |
(0.94 |
) |
||||||||||||||||
Year
Ended August 31, 2019 |
$ |
53.85 |
1.00 |
(3.59 |
) |
(2.59 |
) |
(0.89 |
) |
(0.89 |
) |
||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
50.19 |
0.78 |
3.34 |
4.12 |
(0.46 |
) |
(0.46 |
) |
||||||||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
72.20 |
0.88 |
(11.79 |
) |
(10.91 |
) |
(0.74 |
) |
(0.74 |
) |
||||||||||||||||
2021 |
$ |
45.57 |
0.52 |
26.84 |
27.36 |
(0.73 |
) |
(0.73 |
) |
||||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
49.54 |
0.60 |
(3.74 |
) |
(3.14 |
) |
(0.83 |
) |
(0.83 |
) |
||||||||||||||||
Year
Ended August 31, 2019 |
$ |
57.21 |
1.00 |
(7.86 |
) |
(6.86 |
) |
(0.81 |
) |
(0.81 |
) |
||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
50.13 |
0.57 |
6.81 |
7.38 |
(0.30 |
) |
(0.30 |
) |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year,
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(g) Commencement of operations.
(h) Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See Note 5 in the Notes to Financial Statements).
See notes to financial statements.
66
Victory Portfolios II |
Financial Highlights ? continued |
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||||||||||
Net
Asset Value, End of Period |
Total Return(b) |
Net Expenses(c)(d) |
Net Investment Income (Loss)(c) |
Gross Expenses(c)(d) |
Net
Assets, End of Period (000's) |
Portfolio Turnover(b)(e) |
|||||||||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
60.10 |
(6.94 |
)% |
0.20 |
% |
1.59 |
% |
0.27 |
% |
$ |
267,461 |
53 |
% |
|||||||||||||||||
2021 |
$ |
65.66 |
47.02 |
% |
0.20 |
% |
1.47 |
% |
0.27 |
% |
$ |
443,213 |
76 |
% |
|||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
45.30 |
(8.31 |
)% |
0.20 |
% |
1.80 |
% |
0.28 |
% |
$ |
464,347 |
66 |
% |
|||||||||||||||||
Year
Ended August 31, 2019 |
$ |
50.37 |
(4.79 |
)% |
0.20 |
% |
2.00 |
% |
0.25 |
% |
$ |
468,445 |
87 |
% |
|||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
53.85 |
8.23 |
% |
0.20 |
% |
1.76 |
% |
0.25 |
% |
$ |
398,504 |
84 |
% |
|||||||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
60.55 |
(15.24 |
)% |
0.24 |
%(h) |
1.26 |
% |
0.27 |
% |
$ |
257,356 |
70 |
% |
|||||||||||||||||
2021 |
$ |
72.20 |
60.47 |
% |
0.24 |
%(h) |
0.87 |
% |
0.28 |
% |
$ |
299,631 |
78 |
% |
|||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
45.57 |
(6.44 |
)% |
0.25 |
% |
1.53 |
% |
0.31 |
% |
$ |
239,247 |
70 |
% |
|||||||||||||||||
Year
Ended August 31, 2019 |
$ |
49.54 |
(11.99 |
)% |
0.25 |
% |
1.98 |
% |
0.30 |
% |
$ |
101,564 |
88 |
% |
|||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
57.21 |
14.80 |
% |
0.25 |
% |
1.25 |
% |
0.30 |
% |
$ |
71,517 |
81 |
% |
See notes to financial statements.
67
Victory Portfolios II |
Financial Highlights |
For a Share Outstanding Throughout Each Period
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net Investment Income (Loss)(a) |
Net
Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net Investment Income |
Total Distributions |
||||||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF |
|||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
49.64 |
1.41 |
(9.20 |
) |
(7.79 |
) |
(1.71 |
) |
(1.71 |
) |
||||||||||||||||
2021 |
$ |
38.42 |
1.28 |
11.17 |
12.45 |
(1.23 |
) |
(1.23 |
) |
||||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
43.16 |
0.83 |
(4.35 |
) |
(3.52 |
) |
(1.22 |
) |
(1.22 |
) |
||||||||||||||||
Year
Ended August 31, 2019 |
$ |
48.10 |
1.30 |
(4.99 |
) |
(3.69 |
) |
(1.25 |
) |
(1.25 |
) |
||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
50.08 |
1.34 |
(2.64 |
) |
(1.30 |
) |
(0.68 |
) |
(0.68 |
) |
||||||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
52.08 |
1.91 |
(11.18 |
) |
(9.27 |
) |
(2.05 |
) |
(2.05 |
) |
||||||||||||||||
2021 |
$ |
37.91 |
1.36 |
14.10 |
15.46 |
(1.29 |
) |
(1.29 |
) |
||||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
41.23 |
0.73 |
(2.85 |
) |
(2.12 |
) |
(1.20 |
) |
(1.20 |
) |
||||||||||||||||
Year
Ended August 31, 2019 |
$ |
45.58 |
1.31 |
(4.73 |
) |
(3.42 |
) |
(0.93 |
) |
(0.93 |
) |
||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
49.95 |
1.17 |
(5.10 |
) |
(3.93 |
) |
(0.44 |
) |
(0.44 |
) |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year,
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(g) Commencement of operations.
See notes to financial statements.
68
Victory Portfolios II |
Financial Highlights ? continued |
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||||||||||
Net
Asset Value, End of Period |
Total Return(b) |
Net Expenses(c)(d) |
Net Investment Income (Loss)(c) |
Gross Expenses(c)(d) |
Net
Assets, End of Period (000's) |
Portfolio Turnover(b)(e) |
|||||||||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF |
|||||||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
40.14 |
(16.12 |
)% |
0.35 |
% |
2.96 |
% |
0.41 |
% |
$ |
282,957 |
68 |
% |
|||||||||||||||||
2021 |
$ |
49.64 |
32.66 |
% |
0.35 |
% |
2.86 |
% |
0.42 |
% |
$ |
357,380 |
90 |
% |
|||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
38.42 |
(8.39 |
)% |
0.35 |
% |
2.41 |
% |
0.41 |
% |
$ |
315,004 |
62 |
% |
|||||||||||||||||
Year
Ended August 31, 2019 |
$ |
43.16 |
(7.70 |
)% |
0.35 |
% |
2.90 |
% |
0.40 |
% |
$ |
323,693 |
87 |
% |
|||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
48.10 |
(2.64 |
)% |
0.35 |
% |
3.12 |
% |
0.40 |
% |
$ |
307,836 |
65 |
% |
|||||||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||||||||||||||
Year
Ended June 30: 2022 |
$ |
40.76 |
(18.34 |
)% |
0.45 |
% |
4.05 |
% |
0.55 |
% |
$ |
209,936 |
70 |
% |
|||||||||||||||||
2021 |
$ |
52.08 |
41.48 |
% |
0.45 |
% |
2.98 |
% |
0.56 |
% |
$ |
265,591 |
95 |
% |
|||||||||||||||||
Ten
Months Ended June 30, 2020 (f) |
$ |
37.91 |
(5.47 |
)% |
0.45 |
% |
2.18 |
% |
0.57 |
% |
$ |
164,892 |
51 |
% |
|||||||||||||||||
Year
Ended August 31, 2019 |
$ |
41.23 |
(7.62 |
)% |
0.45 |
% |
3.00 |
% |
0.50 |
% |
$ |
169,051 |
67 |
% |
|||||||||||||||||
October
24, 2017 (g) through August 31, 2018 |
$ |
45.58 |
(7.95 |
)% |
0.45 |
% |
2.77 |
% |
0.50 |
% |
$ |
154,974 |
58 |
% |
See notes to financial statements.
69
Victory Portfolios II |
Notes
to Financial Statements June 30, 2022 |
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following four Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) |
Funds (Short Name) |
||||||
VictoryShares
USAA MSCI USA Value Momentum ETF |
USAA
MSCI USA Value Momentum ETF |
||||||
VictoryShares
USAA MSCI USA Small Cap Value Momentum ETF |
USAA
MSCI USA Small Cap Value Momentum ETF |
||||||
VictoryShares
USAA MSCI International Value Momentum ETF |
USAA
MSCI International Value Momentum ETF |
||||||
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
USAA
MSCI Emerging Markets Value Momentum ETF |
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the "Exchange"). The Funds issue and redeem shares at net asset value ("NAV") only in aggregations of 50,000 shares, (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the distributor. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.
Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units. Variable fees received by each Fund are displayed in the Capital Transactions section of the Statements of Changes in Net Assets as an increase to Capital.
70
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
The transaction fees for each Fund are listed below:
Fee
for In-Kind and Cash Purchases and Redemptions |
Maximum
Additional Variable Charge for Cash Purchases and Redemptions* |
||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
500 |
2.00 |
% |
|||||||
USAA MSCI USA Small Cap Value Momentum ETF |
750 |
2.00 |
% |
||||||||
USAA MSCI International Value Momentum ETF |
3,000 |
2.00 |
% |
||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
5,500 |
2.00 |
% |
* As a percentage of the amount invested.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
? Level 1 ? quoted prices in active markets for identical securities
? Level 2 ? other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
? Level 3 ? significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Portfolio securities listed or traded on securities exchanges, including Exchange-Traded Funds ("ETFs"), American Depositary Receipts ("ADRs"), and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies, other than ETFs, are valued at their NAV. These valuations are typically categorized as Level 1 in the fair value hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
71
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time a Fund's NAV is calculated. The Funds use a systematic valuation model, provided daily by an independent third party to fair value its international equity securities. The valuations are considered as Level 2 in the fair value hierarchy.
A summary of the valuations as of June 30, 2022, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
265,467,160 |
$ |
? |
$ |
? |
$ |
265,467,160 |
|||||||||||
Total |
$ |
265,467,160 |
$ |
? |
$ |
? |
$ |
265,467,160 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(57,133 |
) |
$ |
? |
$ |
? |
$ |
(57,133 |
) |
|||||||||
Total |
$ |
(57,133 |
) |
$ |
? |
$ |
? |
$ |
(57,133 |
) |
|||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
255,298,014 |
$ |
? |
$ |
? |
$ |
255,298,014 |
|||||||||||
Rights |
? |
? |
10,583 |
10,583 |
|||||||||||||||
Collateral for Securities Loaned |
4,071,008 |
? |
? |
4,071,008 |
|||||||||||||||
Total |
$ |
259,369,022 |
$ |
? |
$ |
10,583 |
$ |
259,379,605 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(67,780 |
) |
$ |
? |
$ |
? |
$ |
(67,780 |
) |
|||||||||
Total |
$ |
(67,780 |
) |
$ |
? |
$ |
? |
$ |
(67,780 |
) |
|||||||||
USAA
MSCI International Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
280,673,006 |
$ |
? |
$ |
? |
$ |
280,673,006 |
|||||||||||
Collateral for Securities Loaned |
9,451,062 |
? |
? |
9,451,062 |
|||||||||||||||
Total |
$ |
290,124,068 |
$ |
? |
$ |
? |
$ |
290,124,068 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(12,193 |
) |
$ |
? |
$ |
? |
$ |
(12,193 |
) |
|||||||||
Total |
$ |
(12,193 |
) |
$ |
? |
$ |
? |
$ |
(12,193 |
) |
|||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
205,802,652 |
$ |
? |
$ |
667,481 |
$ |
206,470,133 |
|||||||||||
Rights |
? |
3,421 |
? |
(a) |
3,421 |
||||||||||||||
Collateral for Securities Loaned |
1,354,181 |
? |
? |
1,354,181 |
|||||||||||||||
Total |
$ |
207,156,833 |
$ |
3,421 |
$ |
667,481 |
$ |
207,827,735 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(16,003 |
) |
$ |
? |
$ |
? |
$ |
(16,003 |
) |
|||||||||
Total |
$ |
(16,003 |
) |
$ |
? |
$ |
? |
$ |
(16,003 |
) |
* Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
(a) Zero market value security.
72
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
For the year ended June 30, 2022, there were no significant changes into/out of Level 3. The transfers into Level 3 investments for the MSCI Emerging Markets Value Momentum ETF were immaterial, although the change in unrealized appreciation/(depreciation) on these investments was $(7,791,463). These securities were impacted by the invasion of Ukraine and sanctions on market conditions in Russia. From the start of the conflict in Ukraine until June 30, 2022, Russian-held investments were valued at an approximately 99 percent discount from their last traded prices.
Real Estate Investment Trusts ("REITs"):
The Funds may invest in REITs, which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real-estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Derivative Instruments:
Foreign Exchange Currency Contracts:
The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. For the year ended June 30, 2022, the Funds had no open forward foreign exchange currency contracts.
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of
73
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Funds to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The Funds may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is reflected on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.
Management has determined that no offsetting requirements exist as a result of their conclusion that the Funds are not subject to master netting agreements for futures contracts. As of June 30, 2022, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
Summary of Derivative Instruments:
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Liabilities |
|||||||
Variation
Margin Payable on Open Futures Contracts* |
|||||||
Equity Risk Exposure |
|||||||
USAA MSCI USA Value Momentum ETF |
$ |
57,133 |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
67,780 |
||||||
USAA MSCI International Value Momentum ETF |
12,193 |
||||||
USAA MSCI Emerging Markets Value Momentum ETF |
16,003 |
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2022:
Net
Realized Gains (Losses) on Derivatives Recognized as a Result of Operations |
Net
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations |
||||||||||
Net
Realized Gains (Losses) from Futures Contracts |
Net
Change in Unrealized Appreciation/Depreciation on Futures Contracts |
||||||||||
Equity Risk Exposure |
|||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
47,624 |
$ |
(103,321 |
) |
||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
(198,572 |
) |
(60,729 |
) |
|||||||
USAA
MSCI International Value Momentum ETF |
(493,864 |
) |
24,448 |
||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
(239,366 |
) |
(20,653 |
) |
74
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are recorded on the identified cost basis.
Withholding taxes on interest, dividends, and gains as a result of certain investments by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
Value
of Securities on Loan |
Non-Cash Collateral |
Cash Collateral |
|||||||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
$ |
3,833,348 |
$ |
? |
$ |
4,071,008 |
|||||||||
USAA
MSCI International Value Momentum ETF |
7,546,965 |
? |
9,451,062 |
||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
1,278,323 |
? |
1,354,181 |
75
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Foreign Currency Translations:
The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities and foreign currency transactions on the Statements of Operations.
Foreign Taxes:
The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales associated with in-kind transactions for the year ended June 30, 2022, are included in the table below. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as Net realized gains (losses) from in-kind redemptions.
Excluding U.S. Government Securities |
Associated
with In-Kind Transactions |
||||||||||||||||||
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
USAA
MSCI USA Value Momentum ETF |
$ |
188,734,906 |
$ |
187,657,991 |
$ |
88,394,838 |
$ |
243,106,147 |
|||||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
203,753,280 |
203,083,093 |
94,715,313 |
89,841,140 |
|||||||||||||||
USAA
MSCI International Value Momentum ETF |
226,918,781 |
228,719,065 |
? |
6,898,055 |
|||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
167,500,188 |
165,849,278 |
1,955,422 |
3,587,996 |
76
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at www.vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
USAA MSCI USA Value Momentum ETF |
Ownership % |
||||||
USAA Cornerstone Conservative Fund |
1.8 |
||||||
USAA Cornerstone Equity Fund |
9.1 |
||||||
USAA Target Retirement Income Fund |
4.5 |
||||||
USAA Target Retirement 2030 Fund |
15.5 |
||||||
USAA Target Retirement 2040 Fund |
25.2 |
||||||
USAA Target Retirement 2050 Fund |
17.2 |
||||||
USAA Target Retirement 2060 Fund |
2.4 |
||||||
USAA MSCI USA Small Cap Value Momentum ETF |
Ownership % |
||||||
USAA Cornerstone Conservative Fund |
0.4 |
||||||
USAA Cornerstone Equity Fund |
2.4 |
||||||
USAA Target Retirement Income Fund |
2.0 |
||||||
USAA Target Retirement 2030 Fund |
8.1 |
||||||
USAA Target Retirement 2040 Fund |
10.7 |
||||||
USAA Target Retirement 2050 Fund |
6.6 |
||||||
USAA Target Retirement 2060 Fund |
1.0 |
||||||
USAA MSCI International Value Momentum ETF |
Ownership % |
||||||
USAA Cornerstone Conservative Fund |
1.6 |
||||||
USAA Cornerstone Equity Fund |
7.9 |
||||||
USAA Target Retirement Income Fund |
6.3 |
||||||
USAA Target Retirement 2030 Fund |
17.8 |
||||||
USAA Target Retirement 2040 Fund |
26.3 |
||||||
USAA Target Retirement 2050 Fund |
17.5 |
||||||
USAA Target Retirement 2060 Fund |
2.5 |
||||||
USAA MSCI Emerging Markets Value Momentum ETF |
Ownership % |
||||||
USAA Cornerstone Aggressive Fund |
0.3 |
||||||
USAA Cornerstone Conservative Fund |
1.3 |
||||||
USAA Cornerstone Equity Fund |
5.2 |
||||||
USAA Cornerstone Moderate Fund |
1.0 |
||||||
USAA Cornerstone Moderately Aggressive Fund |
1.3 |
||||||
USAA Cornerstone Moderately Conservative Fund |
0.2 |
||||||
USAA Target Retirement 2030 Fund |
17.3 |
||||||
USAA Target Retirement 2040 Fund |
24.6 |
||||||
USAA Target Retirement 2050 Fund |
16.2 |
||||||
USAA Target Retirement 2060 Fund |
2.3 |
||||||
USAA Target Retirement Income Fund |
8.8 |
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
77
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate |
|||||||
USAA MSCI USA Value Momentum ETF |
0.15 |
% |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
0.15 |
% |
|||||
USAA MSCI International Value Momentum ETF |
0.25 |
% |
|||||
USAA MSCI Emerging Markets Value Momentum ETF |
0.30 |
% |
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets |
|||||||||||
Up to $15 billion |
$15 billion ? $30 billion |
Over $30 billion |
|||||||||
0.08 |
%, plus |
0.05 |
%, plus |
0.04 |
% |
Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator, sub-fund accountant, and transfer agent to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC serves as the Funds' distributor.
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amounts will be the liability of the Adviser. Acquired
78
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
In
Effect Until October 31, 2022 |
|||||||
USAA MSCI USA Value Momentum ETF |
0.20 |
% |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
0.25 |
% |
|||||
USAA MSCI International Value Momentum ETF |
0.35 |
% |
|||||
USAA MSCI Emerging Markets Value Momentum ETF |
0.45 |
% |
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at June 30, 2022.
Expires 2023 |
Expires 2024 |
Expires 2025 |
Total |
||||||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
188,636 |
$ |
169,706 |
$ |
130,524 |
$ |
488,866 |
|||||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
37,764 |
? |
? |
37,764 |
|||||||||||||||
USAA MSCI International Value Momentum ETF |
71,346 |
144,936 |
104,166 |
320,448 |
|||||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
114,256 |
195,585 |
147,952 |
457,793 |
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. For the year ended June 30, 2022, the Adviser voluntarily waived the following amounts:
USAA MSCI USA Value Momentum ETF |
$ |
111,116 |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
90,764 |
||||||
USAA MSCI International Value Momentum ETF |
107,993 |
||||||
USAA MSCI Emerging Markets Value Momentum ETF |
75,379 |
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk ? The value of the equity securities in which the Fund invests may decline in response to developments affecting individual companies and/or general economic conditions in the United States or abroad. A company's earnings or dividends may not increase as expected (or may decline) because of poor management, competitive pressures, reliance on particular suppliers or geographical regions, labor problems or shortages, corporate restructurings, fraudulent disclosures, man-made or natural disasters, military confrontations or wars, terrorism, public health crises, or other events, conditions and factors. Price changes may be temporary or last for extended periods.
Foreign Securities Risk ? The USAA MSCI Emerging Markets Value Mom ETF and USAA MSCI International Value Mom ETF, invest in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of
79
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised, and continue to exercise, substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.
Passive Investment Risk ? Each Fund is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.
Market Risk ? Overall market risks may affect the value of the Funds. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
7. Borrowing:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month London Interbank Offered Rate ("LIBOR") plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month Secured Overnight Financing Rate (SOFR) plus 1.10 percent. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
80
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Amount |
Outstanding
at June 30, 2022 |
Average Borrowing |
Days Borrowing Outstanding |
Maximum Average Interest Rate* |
Borrowing During the Period |
||||||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
$ |
? |
$ |
11,600,000 |
9 |
1.63 |
% |
$ |
18,000,000 |
* Based on the number of days borrowings were outstanding for the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund
Declared |
Paid |
||||||||||
USAA MSCI USA Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI International Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
Monthly |
Monthly |
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions as applicable) were as follows:
Total Accumulated Earnings/(Loss) |
Capital |
||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
(66,052,070 |
) |
$ |
66,052,070 |
||||||
USAA MSCI USA Small Cap Value Momentum ETF |
(33,670,369 |
) |
33,670,369 |
||||||||
USAA MSCI International Value Momentum ETF |
(962,065 |
) |
962,065 |
||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
(409,734 |
) |
409,734 |
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
|
Year Ended June 30, 2022 |
||||||||||
|
Distributions paid from: |
||||||||||
Ordinary Income |
Total Distributions Paid |
||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
5,861,933 |
$ |
5,861,933 |
|||||||
USAA MSCI USA Small Cap Value Momentum ETF |
3,010,992 |
3,010,992 |
|||||||||
USAA MSCI International Value Momentum ETF |
12,229,755 |
12,229,755 |
|||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
10,246,565 |
10,246,565 |
81
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Year Ended June 30, 2021 |
|||||||||||
|
Distributions
paid from |
Total | |||||||||
|
Ordinary Income |
Distributions Paid |
|||||||||
USAA MSCI USA Value Momentum ETF |
$ |
7,140,505 |
$ |
7,140,505 |
|||||||
USAA MSCI USA Small Cap Value Momentum ETF |
3,526,739 |
3,526,739 |
|||||||||
USAA MSCI International Value Momentum ETF |
10,100,636 |
10,100,636 |
|||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
6,382,157 |
6,382,157 |
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
Undistributed Ordinary Income |
Accumulated Earnings |
Accumulated Capital and Other Losses |
Qualified Late-Year Losses* |
Unrealized Appreciation (Depreciation)** |
Total Accumulated Earnings (Loss) |
||||||||||||||||||||||
USAA
MSCI USA Value Momentum ETF |
$ |
492,140 |
$ |
492,140 |
$ |
(75,365,747 |
) |
$ |
? |
$ |
(2,088,011 |
) |
$ |
(76,961,618 |
) |
||||||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
208,854 |
208,854 |
(49,315,703 |
) |
? |
(7,314,173 |
) |
(56,421,022 |
) |
||||||||||||||||||
USAA
MSCI International Value Momentum ETF |
? |
? |
(61,202,604 |
) |
(471,036 |
) |
(21,003,315 |
) |
(82,676,955 |
) |
|||||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
1,876,625 |
1,876,625 |
(18,603,385 |
) |
? |
(18,813,174 |
) |
(35,539,934 |
) |
* Qualified late-year losses are comprised of post-October capital losses incurred after October 31 and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31 and specified losses incurred after October 31. These losses are deemed to arise on the first day of the Fund's next taxable year.
** The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales, futures and passive foreign investment company adjustments.
As of June 30, 2022, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.
Short-Term Amount |
Long-Term Amount |
Total |
|||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
55,201,537 |
$ |
20,164,210 |
$ |
75,365,747 |
|||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
44,173,153 |
5,142,550 |
49,315,703 |
||||||||||||
USAA MSCI International Value Momentum ETF |
50,644,306 |
10,558,298 |
61,202,604 |
||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
17,581,884 |
1,021,501 |
18,603,385 |
During the tax year ended June 30, 2022, the following Funds utilized capital loss carryforwards:
Short-Term Amount |
|||||||
USAA MSCI Emerging Markets Value Momentum ETF |
$ |
1,776,733 |
82
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
Cost
of Investments for Federal Tax Purposes |
Net Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
267,555,171 |
$ |
22,997,638 |
$ |
(25,085,649 |
) |
$ |
(2,088,011 |
) |
|||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
266,693,778 |
24,495,445 |
(31,809,618 |
) |
(7,314,173 |
) |
|||||||||||||
USAA
MSCI International Value Momentum ETF |
311,074,103 |
15,799,942 |
(36,749,977 |
) |
(20,950,035 |
) |
|||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
226,573,690 |
15,485,265 |
(34,231,220 |
) |
(18,745,955 |
) |
83
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares USAA MSCI USA Value Momentum ETF, VictoryShares USAA MSCI USA Small Cap Value Momentum ETF, VictoryShares USAA MSCI International Value Momentum ETF, and VictoryShares USAA MSCI Emerging Markets Value Momentum ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for the years ended June 30, 2022 and 2021, for the ten months ended June 30, 2020, and for the year ended August 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
The Funds' financial highlights for the period ended August 31, 2018, were audited by other auditors whose report dated October 25, 2018, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN &
COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
84
Victory Portfolios II |
Supplemental
Information June 30, 2022 |
(Unaudited)
Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth |
Position Held with the Trust |
Date Commenced Service |
Principal
Occupation During Past 5 Years |
Other Directorships Held During Past 5 Years |
|||||||||||||||
Independent Trustees. |
|||||||||||||||||||
David
Brooks Adcock, Born October 1951 |
Trustee |
May 2015 |
Consultant (since 2006). |
Chair and Trustee, Turner Funds (December 2016-December 2017). |
|||||||||||||||
Nigel
D. T. Andrews, Born April 1947 |
Trustee |
May 2015 |
Retired. |
Director,
Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012);
Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). |
|||||||||||||||
E. Lee
Beard,* Born August 1951 |
Trustee |
May 2015 |
Retired. |
None. |
|||||||||||||||
Dennis
M. Bushe, Born January 1944 |
Trustee |
July 2016 |
Retired. |
None. |
85
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Name and Date of Birth |
Position Held with the Trust |
Date Commenced Service |
Principal
Occupation During Past 5 Years |
Other Directorships Held During Past 5 Years |
|||||||||||||||
John L.
Kelly, Born April 1953 |
Chair and Trustee |
May 2015 |
Partner, McCarvill Capital Partners (September 2016- September 2017). |
Director, Caledonia Mining Corporation (since May 2012). |
|||||||||||||||
David
L. Meyer, Born April 1957 |
Trustee |
May 2015 |
Retired. |
None. |
|||||||||||||||
Gloria
S. Nelund, Born May 1961 |
Trustee |
July 2016 |
Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. |
TriLinc Global Impact Fund, LLC (since 2012). |
|||||||||||||||
Leigh
A. Wilson, Born December 1944 |
Trustee |
May 2015 |
Private Investor. |
Chair (since 2013), Caledonia Mining Corporation. |
|||||||||||||||
Interested Trustee. |
|||||||||||||||||||
David
C. Brown,** Born May 1972 |
Trustee |
May 2015 |
Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. |
Trustee, USAA Mutual Funds Trust. |
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
86
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Officers:
The officers of the Trust, their date of birth, their commencement of service, and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth |
Position
with the Trust |
Date Commenced Service |
Principal Occupation During Past 5 Years |
||||||||||||
Christopher
K. Dyer, Born February 1962 |
President |
May 2015 |
Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). |
||||||||||||
Scott
A. Stahorsky, Born July 1969 |
Vice President |
May 2015 |
Manager, Fund Administration, the Adviser (since 2015). |
||||||||||||
Erin G.
Wagner, Born February 1974 |
Secretary* |
May
2015- April 2022 |
Associate General Counsel, the Adviser (2013-2022). |
||||||||||||
Thomas
Dusenberry, Born July 1977 |
Secretary |
May 2022 |
Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). |
||||||||||||
Allan
Shaer, Born March 1965 |
Treasurer |
December 2017 |
Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). |
||||||||||||
Christopher
A. Ponte, Born March 1984 |
Assistant Treasurer |
May 2015 |
Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). |
||||||||||||
Colin
Kinney, Born October 1973 |
Chief Compliance Officer** |
July
2017- June 2022 |
Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. |
||||||||||||
Sean
Fox, Born September 1976 |
Chief
Compliance Officer |
June 2022 |
Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). |
87
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Name and Date of Birth |
Position
with the Trust |
Date Commenced Service |
Principal Occupation During Past 5 Years |
||||||||||||
Chuck
Booth, Born April 1960 |
Anti-Money Laundering Compliance Officer and Identity Theft Officer |
May 2015 |
Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. |
||||||||||||
Jay G.
Baris, Born January 1954 |
Assistant Secretary |
May 2015 |
Partner, Sidley Austin LLP (since 2020); Partner, Shearman & Sterling LLP (2018-2020); Partner, Morrison & Foerster LLP (2011-2018). |
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
88
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 1/1/22 |
Actual Ending Account Value 6/30/22 |
Hypothetical Ending Account Value 6/30/22 |
Actual Expenses Paid During Period 1/1/22- 6/30/22* |
Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* |
Annualized Expense Ratio During Period 1/1/22- 6/30/22 |
||||||||||||||||||||||
USAA
MSCI USA Value Mom Index ETF |
$ |
1,000.00 |
$ |
853.80 |
$ |
1,023.80 |
$ |
0.92 |
$ |
1.00 |
0.20 |
% |
|||||||||||||||
USAA
MSCI USA Small Cap Value Mom ETF |
1,000.00 |
826.40 |
1,023.55 |
1.13 |
1.25 |
0.25 |
% |
||||||||||||||||||||
USAA
MSCI International Value Mom ETF |
1,000.00 |
829.00 |
1,023.06 |
1.59 |
1.76 |
0.35 |
% |
||||||||||||||||||||
USAA
MSCI Emerging Markets Value Mom ETF |
1,000.00 |
847.90 |
1,022.56 |
2.06 |
2.26 |
0.45 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
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Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:
Percent |
|||||||
USAA MSCI USA Value Momentum ETF |
100 |
% |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
100 |
% |
|||||
USAA MSCI Emerging Markets Value Momentum ETF |
58 |
% |
Dividends qualified for corporate dividends received deductions of:
Percent |
|||||||
USAA MSCI USA Value Momentum ETF |
98 |
% |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
85 |
% |
The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2022, were as follows:
Foreign Source Income |
Foreign Tax Expense |
||||||||||
USAA MSCI International Value Momentum ETF |
1.46 |
0.15 |
|||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
2.35 |
0.32 |
90
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
91
Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
The Victory Funds
P.O.
Box 182593
Columbus, Ohio 43218-2593
Visit our website at: |
Call Victory at: |
||||||
www.vcm.com |
866-376-7890 |
VS-MSCI-ETF-AR (6/22)