June
30,
2023
Annual
Report
VictoryShares
US
Value
Momentum
ETF
VictoryShares
US
Small
Mid
Cap
Value
Momentum
ETF
VictoryShares
International
Value
Momentum
ETF
VictoryShares
Emerging
Markets
Value
Momentum
ETF
vcm.com
News,
Information
And
Education
24
Hours
A
Day,
7
Days
A
Week
The
Victory
Capital
website
gives
fund
shareholders,
prospective
shareholders,
and
investment
professionals
a
convenient
way
to
access
fund
information,
get
guidance,
and
track
fund
performance
anywhere
they
can
access
the
Internet.
The
site
includes:
Detailed
performance
records
Daily
share
prices
The
latest
fund
news
Investment
resources
to
help
you
become
a
better
investor
A
section
dedicated
to
investment
professionals
Whether
you’re
a
potential
investor
searching
for
the
fund
that
matches
your
investment
philosophy,
a
seasoned
investor
interest-
ed
in
planning
tools,
or
an
investment
professional,
vcm.com
has
what
you
seek.
Visit
us
anytime.
We’re
always
open.
TABLE
OF
CONTENTS
Victory
Portfolios
II
1
Shareholder
Letter
(Unaudited)
3
Managers’
Commentary
/
Investment
Overview
(Unaudited)
5
Investment
Objectives
and
Portfolio
Holdings
(Unaudited)
17
Schedules
of
Portfolio
Investments
VictoryShares
US
Value
Momentum
ETF
21
VictoryShares
US
Small
Mid
Cap
Value
Momentum
ETF
24
VictoryShares
International
Value
Momentum
ETF
30
VictoryShares
Emerging
Markets
Value
Momentum
ETF
39
Financial
Statements
Statements
of
Assets
and
Liabilities
47
Statements
of
Operations
49
Statements
of
Changes
in
Net
Assets
51
Financial
Highlights
53
Notes
to
Financial
Statements
57
Report
of
Independent
Registered
Public
Accounting
Firm
68
Supplemental
Information
(Unaudited)
69
Trustee
and
Officer
Information
69
Proxy
Voting
and
Portfolio
Holdings
Information
71
Expense
Examples
71
Additional
Federal
Income
Tax
Information
72
Liquidity
Risk
Management
Program
73
Privacy
Policy
(inside
back
cover)
2
Call
Victory
at:
866-376-7890
Visit
our
website
at:
vcm.com
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
INVESTMENTS
INVOLVE
RISK
PRINCIPAL
LOSS
IS
POSSIBLE
3
Victory
Funds
Letter
to
Shareholders
(Unaudited)
Dear
Shareholder,
Our
annual
reporting
period
for
the
12
months
ended
June
30,
2023,
has
been
a
tale
of
two
markets.
The
dichotomy
has
been
nothing
short
of
remarkable.
Think
back
to
the
latter
half
of
2022.
This
was
a
very
difficult
time
for
investors,
marked
by
an
array
of
challenges
that
punished
both
bond
and
stock
markets.
The
U.S.
Federal
Reserve
(the
“Fed”)
was
in
the
midst
of
a
series
of
rate
hikes—more
aggressive
than
many
investors
had
ever
experienced.
Inflation
was
raging
and
conjuring
up
memories
of
the
1970s.
And
if
that
wasn’t
enough,
a
terrible
war
was
taking
place
in
Eastern
Europe,
while
tensions
between
the
world’s
two
largest
economic
powers,
the
United
States
and
China,
were
also
on
the
rise.
It
was
not
exactly
a
constructive
environment
for
investors,
and
all
of these
issues
created
headwinds
for
both
stocks
and
bonds.
It’s
not
often
that
stocks
and
bonds
decline
in
tandem,
and
the
traditional
diversified
portfolio
of
60%
equities/40%
fixed
income
was
suffering
through
one
of
its
worst
periods
on
record.
But
when
the
calendar
year
flipped,
so
did
the
markets.
During
the
first
six
months
of
2023,
financial
markets
exhibited
greater
stability
and
less
volatility.
Equities
(including
domestic,
international
and
emerging
markets)
regained
their
footing
and
rebounded.
In
the
United
States,
some
of
the
most
beaten-down
growth
sectors
that
were
punished
during
the
period
of
sharply
rising
interest
rates
led
the
market
higher.
The
market’s
resiliency
and
strong
rebound
during
the
first
two
quarters
of
2023
surprised
many
pundits.
After
all,
there
were
ample
challenges
that
could
have
undermined
this
rally,
including
unusual
turmoil
within
the
banking
sector
in
March
2023
that
resulted
in
the
collapse
of
a
few
regional
banks.
Naturally,
this
ratcheted
up
volatility
for
a
spell,
but
the
Fed
took
the
necessary
steps
to
restore
confidence
in
the
banking
sector
and
avoided
a
wider
contagion.
It
also
helped
that
the
Fed
paused
its
rate
hikes
as
inflation
data
finally
cooled.
Through
all
the
ups
and
downs
in
these
two
very
different
environments,
the
S&P
500
®
Index,
the
most
widely
followed
index
representing the
domestic
stock
market,
managed
to
deliver
an
impressive
total
return
of
more
than
19%
for
our
annual
reporting
period
ended
June
30,
2023.
The
Bloomberg
U.S.
Aggregate
Bond
Index—a
proxy
for
a
diversified
fixed
income
portfolio
and
one
that
many
investors
and
institutions
follow
closely—was
basically
unchanged
during
the
same
period
at
0.94%
(despite
the
volatility).
We
don’t
deny
that
this
past
annual
reporting
period
was
difficult.
We
realize
that
the
bouts
of
stomach-churning
volatility
can
take
a
toll
on
investors’
psyche.
But
even
when
markets
snap
back
sharply
as
they
have,
investors
often
wonder
if
they
have
missed
an
opportunity.
This
reminds
us
of
two
enduring
realities:
1)
financial
markets
are
dynamic
and
apt
to
change
abruptly;
2)
it’s
vital
to
remain
calm
and
rational
whenever
faced
with
those
inevitable
times
of
turmoil.
Fortunately,
we
think
that
investors
can
take
comfort
knowing
that
all
our
Victory
Capital
independent
investment
franchises
have
experience
managing
portfolios
through
a
variety
of
market
environments.
Our
investment
professionals
remain
calm
during
turbulent
financial
markets,
and
we
think
it’s
imperative
that
investors
do
the
same.
Of
course,
there
are
still
uncertainties
ahead.
For
example, is
the
Fed
finished
with
its
rate
hikes?
Will
the
impact
of
tighter
lending
standards
ultimately
result
in
slower
growth
and
lower
corporate
profits?
Is
there
another
banking
crisis
lurking?
Nobody
really
knows
what
the
future
will
bring.
That’s
why
we
continue
to
advocate
for
a
long-term
plan,
a
well-diversified
portfolio
across
asset
classes
and
investment
types,
and
a
clear
understanding
of
individual
risk
tolerances.
These,
in
our
opinion,
are
the
key
ingredients
for
staying
the
course
and
progressing
on
investment
goals.
4
On
the
following
pages
you
will
find
information
relating
to
your
Victory
Funds
investment.
If
you
have
any
questions,
we
encourage
you
to
contact
your
financial
advisor. In
addition,
you
may
call
866-376-7890 or
visit
our
website
at
vcm.com.
From
all
of
us
here
at
Victory
Capital,
thank
you
for
letting
us
help
you
work
toward
your
investment
goals.
James
De
Vries
President,
Victory
Funds
5
VictoryShares
US
Value
Momentum
ETF
Managers’
Commentary
(Unaudited)
VictoryShares
US
Value
Momentum
ETF
(the
“Fund”)
seeks
to
provide
investment
results
that
closely
correspond,
before
fees
and
expenses,
to
the
performance
of
the
Nasdaq
Victory
US
Value
Momentum
Index
(the
“Index”). 
On
November
1,
2022,
the
Fund
changed
its
broad-based
securities
index
from
the
MSCI
USA
Index
(the
“Prior
Broad-Based
Index”)
to
the
Nasdaq
US
500
Large
Cap
Index
(the
“Broad-Based
Index”).
At
that
time,
the
Fund
selected
the
Index
in
place
of
the
MSCI
USA
Select
Value
Momentum
Blend
Index
(the
“Prior
Index”)
because
the
Adviser
believes
the
Index
is
more
cost-effective
than
the
Prior
Index.
The
Fund
returned
5.64%
for
the
period
July
1,
2022,
through
October
31,
2022,
underperforming
the
Prior
Index,
which
returned
5.79%
during
the
period,
and
the
Fund
returned
3.17%
for
the
period
November
1,
2022,
through
June
30,
2023,
underperforming
the
Index,
which
returned
3.30%
during
the
period. 
For
the
period
July
1,
2022,
through
October
31,
2022,
the
Fund
outperformed
the
Prior
Broad-Based
Index,
which
returned
2.87%
for
the
period
and
for
the
period
November
1,
2022,
through
June
30,
2023,
the
Fund
underperformed
the
Broad-Based
Index,
against
which
the
performance
of
the
Fund
is
also
measured,
which
returned
16.29%
for
the
period.
The
Fund’s
underweight
allocation
to
the
Information
Technology
sector
was
a
negative
contributor
to
relative
performance.
Stock
selection
was
positive
in
the
Utilities
sector,
but
detracted
in
the
Industrials
and
Information
Technology
sectors.
The
Fund’s
small
allocation
to
derivatives
during
the
year
did
not
have
a
material
impact
on
performance.
6
VictoryShares
US
Value
Momentum
ETF
Investment
Overview
(Unaudited)
*On
November
1,
2022,
the
Fund
changed
its
broad-based
securities
index
from
the
MSCI
USA
Index
to
the
Nasdaq
US
500
Large
Cap
Index.
At
that
time,
the
Fund
selected
the
Nasdaq
Victory
US
Value
Momentum
Index
(the
“Index”)
in
place
of
the
MSCI
USA
Select
Value
Momentum
Blend
Index
(the
“Prior
Index”)
because
the
Adviser
believes
the
Index
is
more
cost-effective
than
the
Prior
Index.
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
vcm.com.
Total
return
measures
the
price
change
in
a
share
assuming
the
reinvestment
of
all
net
investment
income
and
realized
capital
gain
distributions,
if
any.
The
total
returns
quoted
do
not
reflect
adjustments
made
to
the
enclosed
financial
statements
in
accordance
with
U.S.
Generally
Accepted
Accounting
Principles
or
the
deduction
of
taxes
that
a
shareholder
would
pay
on
net
investment
income
and
realized
capital
gain
distributions,
including
reinvested
distributions,
or
redemptions
of
shares.
The
total
return
figures
set
forth
above
include
all
waivers
of
fees.
Without
such
fee
waivers,
the
total
returns
would
have
been
lower.
VictoryShares
US
Value
Momentum
ETF —
Growth
of
$10,000
+The
inception
date
for
the
Nasdaq
Victory
US
Value
Momentum
Index
is
September
19,
2022.
Prior
to
that
date,
the
data
is
hypothetical.
1
The
Nasdaq
Victory
US
Value
Momentum
Index
is
designed
to
deliver
exposure
to
equity
securities
of
large-capitalization
U.S.
issuers
within
the
Nasdaq
US
Large
Cap
500
Index
that
have
higher
exposure
to
value
and
momentum
factors,
while
also
maintaining
moderate
Index
turnover
and
lower
realized
volatility
than
traditional
capitalization-weighted
indexes.
This
index
does
not
include
the
effect
of
sales
charges,
commissions,
expenses,
or
taxes,
is
not
representative
of
the
Fund,
and
it
is
not
possible
to
invest
directly
in
an
index.
2
The
Nasdaq
US
500
Large
Cap
Index
is
comprised
of
the
largest
500
securities
on
a
float-adjusted,
market-capitalization
rank
from
the
Nasdaq
US
Benchmark
Index.
This
index
does
not
include
the
effect
of
sales
charges,
commissions,
expenses,
or
taxes,
is
not
representative
of
the
Fund,
and
it
is
not
possible
to
invest
directly
in
an
index.
3
The
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
sales
charges,
commissions,
expenses,
or
taxes,
is
not
representative
of
the
Fund,
and
it
is
not
possible
to
invest
directly
in
an
index.
4
The
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
sales
charges,
commissions,
expenses,
or
taxes,
is
not
representative
of
the
Fund,
and
it
is
not
possible
to
invest
directly
in
an
index.
Average
Annual
Total
Return
Year
Ended
June
30,
2023
INCEPTION
DATE
10/24/17
10/24/17
Net
Asset
Value
Market
Price
Value
Nasdaq
Victory
US
Value
Momentum
Index
1
Nasdaq
US
500
Large
Cap
Index
2
MSCI
USA
Select
Value
Momentum
Blend
Index
3
MSCI
USA
Index
4
7/1/22-10/31/22*
5.64%
5.93%
N/A
N/A
5.79%
2.87%
11/1/22-6/30/23*
3.17%
3.02%
3.30%
16.29%
N/A
N/A
One
Year
8.99%
9.12%
N/A
N/A
10.01%
19.57%
Five
Year
6.40%
6.36%
N/A
N/A
6.77%
12.17%
Since
Inception
6.21%
6.20%
N/A
N/A
N/A
N/A
7
VictoryShares
US
Value
Momentum
ETF
Investment
Overview
(continued)
(Unaudited)
The
graph
reflects
investment
growth
of
a
hypothetical
$10,000
investment
in
the
Fund. 
The
graph
and
table
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
redemption
of
shares. 
Past
performance
is
not
indicative
of
future
results.
8
VictoryShares
Small
Mid
Cap
Value
Momentum
ETF
Managers’
Commentary
(Unaudited)
VictoryShares
US
Small
Mid
Cap
Value
Momentum
ETF
(the
“Fund”)
seeks
to
provide
investment
results
that
closely
correspond,
before
fees
and
expenses,
to
the
performance
of
the
Nasdaq
Victory
US
Small
Mid
Cap
Value
Momentum
Index
(the
“Index”).
On
November
1,
2022,
the
Fund
changed
its
broad-based
securities
index
from
the
MSCI
USA
Small
Cap
Index
(the
“Prior
Broad-Based
Index”)
to
the
Nasdaq
US
1300
Small
Mid
Cap
Index
(the
“Broad-Based
Index”).
At
that
time,
the
Fund
selected
the
Index
in
place
of
the
MSCI
USA
Small
Cap
Select
Value
Momentum
Blend
Index
(the
“Prior
Index”)
because
the
Adviser
believes
the
Index
is
more
cost-effective
than
the
Prior
Index.
The
Fund
returned
6.64%
for
the
period
July
1,
2022,
through
October
31,
2022,
underperforming
the
Prior
Index,
which
returned
6.90%
during
the
period,
and
the
Fund
returned
5.33%
for
the
period
November
1,
2022,
through
June
30,
2023,
underperforming
the
Index,
which
returned
5.61%
during
the
period.
For
the
period
July
1,
2022,
through
October
31,
2022,
the
Fund
underperformed
the
Prior
Broad-Based
Index,
which
returned
7.76%
for
the
period
and
for
the
period
November
1,
2022,
through
June
30,
2023,
the
Fund
underperformed
the
Broad-Based
Index,
against
which
the
performance
of
the
Fund
is
also
measured,
which
returned
8.51%
for
the
period.
The
Fund’s
underweight
allocation
to
the
Industrials
sector
was
a
negative
contributor
to
relative
performance.
Stock
selection
was
positive
in
the
Financial
sector,
but
detracted
in
the
Industrials
and
Health
Care
sectors.
The
Fund’s
small
allocation
to
derivatives
during
the
year
did
not
have
a
material
impact
on
performance.
9
VictoryShares
Small
Mid
Cap
Value
Momentum
ETF
Investment
Overview
(Unaudited)
*On
November
1,
2022,
the
Fund
changed
its
broad-based
securities
index
from
the
MSCI
USA
Small
Cap
Index
to
the
Nasdaq
US
1300
Small
Mid
Cap
index.
At
that
time,
the
Fund
selected
the
Nasdaq
Victory
US
Small
Mid
Cap
Value
Momentum
Index
(the
“Index”)
in
place
of
the
MSCI
USA
Small
Cap
Select
Value
Momentum
Blend
Index
(the
Prior
Index”)
because
the
Adviser
believe
the
Index
is
more
cost-effect
than
the
Prior
Index.
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
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