December 31, 2021
Semi Annual Report
VictoryShares USAA MSCI USA Value Momentum ETF
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
VictoryShares USAA MSCI International Value Momentum ETF
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
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Victory Portfolios II
TABLE OF CONTENTS
Investment
Objective & Portfolio Holdings (Unaudited) |
2 |
||||||
Schedules of Portfolio Investments |
|||||||
VictoryShares
USAA MSCI USA Value Momentum ETF |
6 | ||||||
VictoryShares
USAA MSCI USA Small Cap Value Momentum ETF |
12 | ||||||
VictoryShares
USAA MSCI International Value Momentum ETF |
25 | ||||||
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
38 | ||||||
Financial Statements |
|||||||
Statements of Assets and Liabilities |
50 | ||||||
Statements of Operations |
52 | ||||||
Statements of Changes in Net Assets |
54 | ||||||
Financial Highlights |
56 | ||||||
Notes to Financial Statements |
60 |
||||||
Supplemental Information (Unaudited) |
71 |
||||||
Proxy Voting and Portfolio Holdings Information |
71 | ||||||
Expense Examples |
71 | ||||||
Advisory Contract Approval |
73 |
|
|||||
Privacy Policy (inside back cover) |
1
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
December 31, 2021 |
(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*:
December 31, 2021
(% of Net Assets)
The J.M. Smucker Co. |
1.1 |
% |
|||||
Public Storage |
1.1 |
% |
|||||
Oracle Corp. |
1.0 |
% |
|||||
Juniper Networks, Inc. |
1.0 |
% |
|||||
Extra Space Storage, Inc. |
0.9 |
% |
|||||
AbbVie, Inc. |
0.9 |
% |
|||||
Archer-Daniels-Midland Co. |
0.9 |
% |
|||||
Bristol-Myers Squibb Co. |
0.9 |
% |
|||||
Alphabet, Inc., Class A |
0.9 |
% |
|||||
The Kroger Co. |
0.9 |
% |
Sector Allocation*:
December 31, 2021
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
2
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
December 31, 2021 |
(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*:
December 31, 2021
(% of Net Assets)
National Fuel Gas Co. |
0.5 |
% |
|||||
Weis Markets, Inc. |
0.5 |
% |
|||||
Otter Tail Corp. |
0.5 |
% |
|||||
Encore Wire Corp. |
0.5 |
% |
|||||
Universal Corp. |
0.5 |
% |
|||||
STAG Industrial, Inc. |
0.5 |
% |
|||||
Life Storage, Inc. |
0.4 |
% |
|||||
Ingles Markets, Inc., Class A |
0.4 |
% |
|||||
Amphastar Pharmaceuticals, Inc. |
0.4 |
% |
|||||
National Storage Affiliates Trust |
0.4 |
% |
Sector Allocation*:
December 31, 2021
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
3
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
December 31, 2021 |
(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*:
December 31, 2021
(% of Net Assets)
Loblaw Cos. Ltd. |
1.1 |
% |
|||||
George Weston Ltd. |
1.0 |
% |
|||||
Segro PLC |
0.9 |
% |
|||||
Bank Leumi Le-Israel BM |
0.9 |
% |
|||||
Tesco PLC |
0.9 |
% |
|||||
Hermes International |
0.9 |
% |
|||||
Koninklijke Ahold Delhaize NV |
0.8 |
% |
|||||
Novo Nordisk A/S, Class B |
0.8 |
% |
|||||
Merck KGaA |
0.8 |
% |
|||||
Sofina SA |
0.7 |
% |
Sector Allocation*:
December 31, 2021
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
4
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
December 31, 2021 |
(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*:
December 31, 2021
(% of Net Assets)
China Power International Development Ltd. |
1.0 |
% |
|||||
Synnex Technology International Corp. |
1.0 |
% |
|||||
WPG Holdings Ltd. |
1.0 |
% |
|||||
Taishin Financial Holding Co. Ltd. |
1.0 |
% |
|||||
Compal Electronics, Inc. |
0.9 |
% |
|||||
Bank of China Ltd., Class H |
0.9 |
% |
|||||
China Development Financial Holding Corp. |
0.9 |
% |
|||||
Arca Continental SAB de CV |
0.9 |
% |
|||||
KT&G Corp. |
0.9 |
% |
|||||
Grupo Bimbo SAB de CV, Class A |
0.8 |
% |
Sector Allocation*:
December 31, 2021
(% of Net Assets)
* Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.
Percentages are of the net assets of the Fund and may not equal 100%.
Refer to the Schedule of Portfolio Investments for a complete list of securities.
5
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.7%) |
|||||||||||
Communication Services (5.1%): |
|||||||||||
Alphabet, Inc., Class A (a) |
1,177 |
$ |
3,409,816 |
||||||||
AMC Entertainment Holdings, Inc. (a) (b) |
13,974 |
380,093 |
|||||||||
AT&T, Inc. |
60,436 |
1,486,726 |
|||||||||
Discovery, Inc., Class A (a) (b) |
64,310 |
1,513,857 |
|||||||||
DISH Network Corp., Class A (a) (b) |
50,117 |
1,625,795 |
|||||||||
Liberty Global PLC, Class C (a) |
90,634 |
2,545,909 |
|||||||||
Lumen Technologies, Inc. (b) |
187,747 |
2,356,225 |
|||||||||
News Corp., Class A |
105,735 |
2,358,948 |
|||||||||
The Interpublic Group of Cos., Inc. |
60,671 |
2,272,129 |
|||||||||
ViacomCBS, Inc., Class B |
40,676 |
1,227,602 |
|||||||||
19,177,100 |
|||||||||||
Consumer Discretionary (9.4%): |
|||||||||||
Advance Auto Parts, Inc. |
4,950 |
1,187,406 |
|||||||||
AutoZone, Inc. (a) |
738 |
1,547,136 |
|||||||||
Bath & Body Works, Inc. |
17,486 |
1,220,348 |
|||||||||
BorgWarner, Inc. |
45,583 |
2,054,426 |
|||||||||
D.R. Horton, Inc. |
21,477 |
2,329,181 |
|||||||||
DoorDash, Inc., Class A (a) |
4,356 |
648,608 |
|||||||||
eBay, Inc. |
16,999 |
1,130,433 |
|||||||||
Ford Motor Co. |
120,481 |
2,502,390 |
|||||||||
Garmin Ltd. |
9,128 |
1,242,960 |
|||||||||
General Motors Co. (a) |
33,916 |
1,988,495 |
|||||||||
Genuine Parts Co. |
9,938 |
1,393,308 |
|||||||||
Lear Corp. |
11,423 |
2,089,838 |
|||||||||
Lennar Corp., Class A |
17,095 |
1,985,755 |
|||||||||
LKQ Corp. |
32,919 |
1,976,128 |
|||||||||
Mohawk Industries, Inc. (a) |
7,971 |
1,452,157 |
|||||||||
Newell Brands, Inc. |
84,623 |
1,848,166 |
|||||||||
PulteGroup, Inc. |
32,663 |
1,867,017 |
|||||||||
Target Corp. (c) |
10,726 |
2,482,425 |
|||||||||
Tesla, Inc. (a) |
602 |
636,182 |
|||||||||
Tractor Supply Co. |
6,242 |
1,489,341 |
|||||||||
Whirlpool Corp. |
9,290 |
2,179,991 |
|||||||||
35,251,691 |
|||||||||||
Consumer Staples (8.2%): |
|||||||||||
Archer-Daniels-Midland Co. |
51,249 |
3,463,920 |
|||||||||
Bunge Ltd. |
32,082 |
2,995,176 |
|||||||||
Costco Wholesale Corp. |
3,895 |
2,211,191 |
|||||||||
Keurig Dr Pepper, Inc. |
57,030 |
2,102,126 |
|||||||||
Molson Coors Beverage Co., Class B |
54,078 |
2,506,515 |
|||||||||
The Estee Lauder Cos., Inc. |
4,123 |
1,526,335 |
|||||||||
The J.M. Smucker Co. |
30,020 |
4,077,316 |
|||||||||
The Kraft Heinz Co. |
73,108 |
2,624,577 |
|||||||||
The Kroger Co. |
73,940 |
3,346,524 |
|||||||||
Tyson Foods, Inc., Class A |
35,317 |
3,078,230 |
|||||||||
Walgreens Boots Alliance, Inc. |
52,395 |
2,732,923 |
|||||||||
30,664,833 |
See notes to financial statements.
6
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Energy (3.0%): |
|||||||||||
ConocoPhillips |
32,284 |
$ |
2,330,259 |
||||||||
Devon Energy Corp. |
39,737 |
1,750,415 |
|||||||||
Diamondback Energy, Inc. |
5,952 |
641,923 |
|||||||||
EOG Resources, Inc. |
22,388 |
1,988,726 |
|||||||||
Exxon Mobil Corp. |
42,899 |
2,624,990 |
|||||||||
Pioneer Natural Resources Co. |
11,519 |
2,095,076 |
|||||||||
11,431,389 |
|||||||||||
Financials (12.1%): |
|||||||||||
AGNC Investment Corp. |
136,035 |
2,045,966 |
|||||||||
Ally Financial, Inc. |
31,379 |
1,493,954 |
|||||||||
American Financial Group, Inc. |
6,663 |
914,963 |
|||||||||
American International Group, Inc. |
32,163 |
1,828,788 |
|||||||||
Athene Holding Ltd., Class A (a) |
19,189 |
1,599,019 |
|||||||||
Bank of America Corp. |
25,787 |
1,147,264 |
|||||||||
Blackstone, Inc. |
18,013 |
2,330,702 |
|||||||||
Capital One Financial Corp. |
10,463 |
1,518,077 |
|||||||||
Citigroup, Inc. |
29,149 |
1,760,308 |
|||||||||
Citizens Financial Group, Inc. |
41,116 |
1,942,731 |
|||||||||
Equitable Holdings, Inc. |
56,572 |
1,854,996 |
|||||||||
Fifth Third Bancorp |
22,672 |
987,366 |
|||||||||
Franklin Resources, Inc. |
34,691 |
1,161,801 |
|||||||||
Invesco Ltd. |
76,892 |
1,770,054 |
|||||||||
KKR & Co., Inc. |
32,031 |
2,386,309 |
|||||||||
Lincoln National Corp. |
18,251 |
1,245,813 |
|||||||||
Loews Corp. |
47,575 |
2,747,932 |
|||||||||
MetLife, Inc. |
34,165 |
2,134,971 |
|||||||||
Morgan Stanley |
23,917 |
2,347,693 |
|||||||||
Prudential Financial, Inc. |
18,940 |
2,050,066 |
|||||||||
Raymond James Financial, Inc. |
13,596 |
1,365,038 |
|||||||||
Regions Financial Corp. |
84,081 |
1,832,966 |
|||||||||
Signature Bank |
3,033 |
981,084 |
|||||||||
Synchrony Financial |
15,898 |
737,508 |
|||||||||
The Goldman Sachs Group, Inc. |
6,005 |
2,297,213 |
|||||||||
Upstart Holdings, Inc. (a) |
5,202 |
787,063 |
|||||||||
Wells Fargo & Co. |
42,720 |
2,049,706 |
|||||||||
45,319,351 |
|||||||||||
Health Care (15.4%): |
|||||||||||
AbbVie, Inc. |
25,964 |
3,515,526 |
|||||||||
Anthem, Inc. |
5,489 |
2,544,371 |
|||||||||
Bio-Rad Laboratories, Inc., Class A (a) |
1,772 |
1,338,870 |
|||||||||
Bio-Techne Corp. |
2,768 |
1,431,997 |
|||||||||
Bristol-Myers Squibb Co. |
54,902 |
3,423,140 |
|||||||||
Cardinal Health, Inc. |
24,813 |
1,277,621 |
|||||||||
Centene Corp. (a) |
29,518 |
2,432,283 |
|||||||||
Charles River Laboratories International, Inc. (a) |
5,840 |
2,200,395 |
|||||||||
Cigna Corp. |
10,948 |
2,513,989 |
|||||||||
CVS Health Corp. |
29,996 |
3,094,387 |
|||||||||
Danaher Corp. |
5,232 |
1,721,380 |
See notes to financial statements.
7
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Eli Lilly & Co. |
5,651 |
$ |
1,560,919 |
||||||||
HCA Healthcare, Inc. |
8,316 |
2,136,547 |
|||||||||
Horizon Therapeutics PLC (a) |
18,295 |
1,971,469 |
|||||||||
Jazz Pharmaceuticals PLC (a) |
19,498 |
2,484,045 |
|||||||||
Laboratory Corp. of America Holdings (a) |
7,857 |
2,468,748 |
|||||||||
McKesson Corp. |
12,218 |
3,037,028 |
|||||||||
Merck & Co., Inc. |
23,062 |
1,767,472 |
|||||||||
Moderna, Inc. (a) |
8,120 |
2,062,318 |
|||||||||
Molina Healthcare, Inc. (a) |
6,637 |
2,111,097 |
|||||||||
Novavax, Inc. (a) (b) |
2,956 |
422,915 |
|||||||||
PerkinElmer, Inc. |
7,612 |
1,530,469 |
|||||||||
Pfizer, Inc. |
35,306 |
2,084,819 |
|||||||||
Quest Diagnostics, Inc. |
9,061 |
1,567,644 |
|||||||||
Universal Health Services, Inc., Class B |
15,939 |
2,066,651 |
|||||||||
Viatris, Inc. |
151,460 |
2,049,254 |
|||||||||
Waters Corp. (a) |
3,527 |
1,314,160 |
|||||||||
West Pharmaceutical Services, Inc. |
3,244 |
1,521,469 |
|||||||||
57,650,983 |
|||||||||||
Industrials (14.2%): |
|||||||||||
AMERCO, Inc. |
3,873 |
2,812,689 |
|||||||||
Carrier Global Corp. |
43,781 |
2,374,682 |
|||||||||
Deere & Co. |
3,313 |
1,135,995 |
|||||||||
Eaton Corp. PLC |
15,998 |
2,764,774 |
|||||||||
Expeditors International of Washington, Inc. |
13,555 |
1,820,301 |
|||||||||
FedEx Corp. |
4,073 |
1,053,441 |
|||||||||
Generac Holdings, Inc. (a) |
5,171 |
1,819,778 |
|||||||||
General Dynamics Corp. |
14,492 |
3,021,147 |
|||||||||
General Electric Co. |
8,807 |
831,997 |
|||||||||
Huntington Ingalls Industries, Inc. |
6,660 |
1,243,688 |
|||||||||
Ingersoll Rand, Inc. (c) |
21,045 |
1,302,054 |
|||||||||
Jacobs Engineering Group, Inc. |
18,909 |
2,632,700 |
|||||||||
Johnson Controls International PLC |
35,857 |
2,915,533 |
|||||||||
Knight-Swift Transportation Holdings, Inc. |
47,344 |
2,885,143 |
|||||||||
L3Harris Technologies, Inc. |
12,716 |
2,711,560 |
|||||||||
Old Dominion Freight Line, Inc. |
4,439 |
1,590,849 |
|||||||||
Owens Corning, Inc. |
21,424 |
1,938,872 |
|||||||||
Parker-Hannifin Corp. |
3,626 |
1,153,503 |
|||||||||
Raytheon Technologies Corp. |
26,236 |
2,257,870 |
|||||||||
Republic Services, Inc. (c) |
14,233 |
1,984,792 |
|||||||||
Robert Half International, Inc. |
22,342 |
2,491,580 |
|||||||||
Sensata Technologies Holding PLC (a) |
18,692 |
1,153,110 |
|||||||||
Snap-on, Inc. |
11,270 |
2,427,333 |
|||||||||
Textron, Inc. |
27,424 |
2,117,133 |
|||||||||
Trane Technologies PLC |
6,513 |
1,315,821 |
|||||||||
United Rentals, Inc. (a) |
4,949 |
1,644,503 |
|||||||||
Westinghouse Air Brake Technologies Corp. |
21,903 |
2,017,485 |
|||||||||
53,418,333 |
See notes to financial statements.
8
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Information Technology (16.3%): |
|||||||||||
Affirm Holdings, Inc. (a) |
8,460 |
$ |
850,738 |
||||||||
Applied Materials, Inc. |
13,865 |
2,181,796 |
|||||||||
Arrow Electronics, Inc. (a) |
21,376 |
2,870,156 |
|||||||||
Asana, Inc., Class A (a) |
8,593 |
640,608 |
|||||||||
Bill.com Holdings, Inc. (a) |
3,749 |
934,063 |
|||||||||
Broadcom, Inc. |
2,734 |
1,819,231 |
|||||||||
Cisco Systems, Inc. |
32,292 |
2,046,344 |
|||||||||
Cloudflare, Inc., Class A (a) |
14,620 |
1,922,530 |
|||||||||
Dell Technologies, Inc., Class C (a) |
32,920 |
1,849,116 |
|||||||||
EPAM Systems, Inc. (a) |
4,201 |
2,808,158 |
|||||||||
F5, Inc. (a) |
12,822 |
3,137,672 |
|||||||||
Fortinet, Inc. (a) |
6,767 |
2,432,060 |
|||||||||
Gartner, Inc. (a) |
6,648 |
2,222,559 |
|||||||||
Hewlett Packard Enterprise Co. |
164,739 |
2,597,934 |
|||||||||
HP, Inc. |
74,757 |
2,816,096 |
|||||||||
Intel Corp. |
51,243 |
2,639,015 |
|||||||||
International Business Machines Corp. |
10,647 |
1,423,078 |
|||||||||
Intuit, Inc. |
2,440 |
1,569,457 |
|||||||||
Juniper Networks, Inc. |
100,549 |
3,590,605 |
|||||||||
Micron Technology, Inc. |
27,290 |
2,542,064 |
|||||||||
NetApp, Inc. |
27,623 |
2,541,040 |
|||||||||
NXP Semiconductors NV |
5,355 |
1,219,762 |
|||||||||
ON Semiconductor Corp. (a) |
14,208 |
965,007 |
|||||||||
Oracle Corp. |
41,307 |
3,602,384 |
|||||||||
Qorvo, Inc. (a) |
13,890 |
2,172,257 |
|||||||||
Seagate Technology Holdings PLC |
26,483 |
2,992,049 |
|||||||||
TE Connectivity Ltd. |
8,169 |
1,317,986 |
|||||||||
VMware, Inc., Class A |
5,122 |
593,537 |
|||||||||
Western Digital Corp. (a) |
28,218 |
1,840,096 |
|||||||||
Zebra Technologies Corp. (a) |
1,928 |
1,147,546 |
|||||||||
61,284,944 |
|||||||||||
Materials (4.6%): |
|||||||||||
Albemarle Corp. |
3,454 |
807,442 |
|||||||||
CF Industries Holdings, Inc. |
14,876 |
1,052,923 |
|||||||||
Corteva, Inc. |
51,998 |
2,458,465 |
|||||||||
Freeport-McMoRan, Inc. |
44,480 |
1,856,150 |
|||||||||
International Paper Co. |
21,293 |
1,000,345 |
|||||||||
LyondellBasell Industries NV, Class A |
19,911 |
1,836,392 |
|||||||||
Nucor Corp. |
20,236 |
2,309,939 |
|||||||||
Steel Dynamics, Inc. |
32,681 |
2,028,510 |
|||||||||
The Mosaic Co. |
50,055 |
1,966,661 |
|||||||||
Westrock Co. |
41,393 |
1,836,194 |
|||||||||
17,153,021 |
|||||||||||
Real Estate (6.6%): |
|||||||||||
AvalonBay Communities, Inc. |
4,890 |
1,235,165 |
|||||||||
Camden Property Trust |
16,792 |
3,000,394 |
|||||||||
CBRE Group, Inc., Class A (a) |
22,007 |
2,387,980 |
|||||||||
Equity Residential |
14,390 |
1,302,295 |
See notes to financial statements.
9
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Extra Space Storage, Inc. |
15,519 |
$ |
3,518,623 |
||||||||
Iron Mountain, Inc. |
54,494 |
2,851,671 |
|||||||||
Mid-America Apartment Communities, Inc. |
12,671 |
2,907,234 |
|||||||||
Public Storage |
10,555 |
3,953,481 |
|||||||||
Regency Centers Corp. |
12,382 |
932,984 |
|||||||||
Simon Property Group, Inc. |
9,084 |
1,451,351 |
|||||||||
UDR, Inc. |
20,945 |
1,256,490 |
|||||||||
24,797,668 |
|||||||||||
Utilities (4.8%): |
|||||||||||
CenterPoint Energy, Inc. |
38,416 |
1,072,191 |
|||||||||
Duke Energy Corp. (c) |
14,564 |
1,527,764 |
|||||||||
Edison International |
20,458 |
1,396,259 |
|||||||||
Evergy, Inc. (c) |
19,782 |
1,357,243 |
|||||||||
Exelon Corp. |
57,085 |
3,297,230 |
|||||||||
FirstEnergy Corp. |
32,855 |
1,366,439 |
|||||||||
NRG Energy, Inc. |
60,803 |
2,619,393 |
|||||||||
PG&E Corp. (a) |
105,839 |
1,284,885 |
|||||||||
UGI Corp. |
61,298 |
2,814,191 |
|||||||||
Vistra Corp. |
58,382 |
1,329,358 |
|||||||||
18,064,953 |
|||||||||||
Total Common Stocks (Cost $313,473,773) |
374,214,266 |
||||||||||
Collateral for Securities Loaned^ (0.7%) |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 0.04% (d) |
60,722 |
60,722 |
|||||||||
Fidelity
Investments Money Market Government Portfolio, Institutional Shares,
0.01% (d) |
1,192,583 |
1,192,583 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
0.02% (d) |
30,303 |
30,303 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.07% (d) |
241,628 |
241,628 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
0.06% (d) |
1,086,406 |
1,086,406 |
|||||||||
Total Collateral for Securities Loaned (Cost $2,611,642) |
2,611,642 |
||||||||||
Total Investments (Cost $316,085,415) ? 100.4% |
376,825,908 |
||||||||||
Liabilities in excess of other assets ? (0.4)% |
(1,377,671 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
375,448,237 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Rate disclosed is the daily yield on December 31, 2021.
PLC ? Public Limited Company
See notes to financial statements.
10
Victory Portfolios
II VictoryShares USAA MSCI USA Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
4 |
3/18/22 |
$ |
937,929 |
$ |
951,700 |
$ |
13,771 |
|||||||||||||||
Total unrealized appreciation |
$ |
13,771 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
13,771 |
See notes to financial statements.
11
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.7%) |
|||||||||||
Communication Services (3.4%): |
|||||||||||
AMC Networks, Inc., Class A (a) |
14,190 |
$ |
488,704 |
||||||||
Cars.com, Inc. (a) |
19,133 |
307,850 |
|||||||||
Consolidated Communications Holdings, Inc. (a) |
28,072 |
209,979 |
|||||||||
Entercom Communications Corp. (a) |
150,656 |
387,186 |
|||||||||
Gannett Co., Inc. (a) |
41,684 |
222,176 |
|||||||||
Globalstar, Inc. (a) |
318,985 |
370,023 |
|||||||||
Gray Television, Inc. |
29,231 |
589,297 |
|||||||||
IDT Corp., Class B (a) |
4,026 |
177,788 |
|||||||||
iHeartMedia, Inc., Class A (a) |
27,432 |
577,169 |
|||||||||
John Wiley & Sons, Inc., Class A |
8,346 |
477,975 |
|||||||||
Liberty Latin America Ltd., Class C (a) |
25,758 |
293,641 |
|||||||||
Lions Gate Entertainment Corp., Class A (a) |
39,752 |
661,473 |
|||||||||
Loyalty Ventures, Inc. (a) |
1,090 |
32,776 |
|||||||||
Magnite, Inc. (a) |
8,740 |
152,950 |
|||||||||
Nexstar Media Group, Inc., Class A |
2,348 |
354,501 |
|||||||||
Scholastic Corp. |
22,483 |
898,421 |
|||||||||
TechTarget, Inc. (a) |
3,315 |
317,113 |
|||||||||
TEGNA, Inc. |
41,701 |
773,970 |
|||||||||
Telephone & Data Systems, Inc. |
44,801 |
902,740 |
|||||||||
The EW Scripps Co., Class A (a) |
27,263 |
527,539 |
|||||||||
United States Cellular Corp. (a) |
27,850 |
877,832 |
|||||||||
WideOpenWest, Inc. (a) |
13,660 |
293,963 |
|||||||||
9,895,066 |
|||||||||||
Consumer Discretionary (11.6%): |
|||||||||||
Abercrombie & Fitch Co. (a) |
12,086 |
420,955 |
|||||||||
Academy Sports & Outdoors, Inc. (a) |
5,911 |
259,493 |
|||||||||
Adtalem Global Education, Inc. (a) |
14,990 |
443,104 |
|||||||||
American Axle & Manufacturing Holdings, Inc. (a) |
22,965 |
214,263 |
|||||||||
American Eagle Outfitters, Inc. (b) |
8,998 |
227,829 |
|||||||||
Asbury Automotive Group, Inc. (a) |
1,943 |
335,614 |
|||||||||
AutoNation, Inc. (a) |
6,206 |
725,171 |
|||||||||
Big Lots, Inc. |
4,832 |
217,682 |
|||||||||
Boot Barn Holdings, Inc. (a) |
5,007 |
616,111 |
|||||||||
Caleres, Inc. |
16,680 |
378,302 |
|||||||||
Capri Holdings Ltd. (a) |
8,142 |
528,497 |
|||||||||
Carriage Services, Inc. |
8,036 |
517,840 |
|||||||||
Century Communities, Inc. |
6,512 |
532,616 |
|||||||||
Citi Trends, Inc. (a) |
6,310 |
597,873 |
|||||||||
Clarus Corp. |
15,754 |
436,701 |
|||||||||
Crocs, Inc. (a) |
3,035 |
389,148 |
|||||||||
Dana, Inc. |
22,485 |
513,108 |
|||||||||
Dick's Sporting Goods, Inc. (b) |
4,871 |
560,116 |
|||||||||
Dillard's, Inc., Class A |
1,966 |
481,709 |
|||||||||
Ethan Allen Interiors, Inc. |
34,025 |
894,517 |
|||||||||
Foot Locker, Inc. |
12,183 |
531,544 |
|||||||||
Funko, Inc., Class A (a) |
26,305 |
494,534 |
See notes to financial statements.
12
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
GameStop Corp., Class A (a) (b) |
2,441 |
$ |
362,220 |
||||||||
Genesco, Inc. (a) |
6,550 |
420,314 |
|||||||||
G-III Apparel Group Ltd. (a) |
13,933 |
385,108 |
|||||||||
Golden Entertainment, Inc. (a) |
9,141 |
461,895 |
|||||||||
Graham Holdings Co., Class B |
1,775 |
1,117,948 |
|||||||||
Green Brick Partners, Inc. (a) |
25,964 |
787,488 |
|||||||||
Group 1 Automotive, Inc. |
3,080 |
601,278 |
|||||||||
GrowGeneration Corp. (a) (c) |
9,658 |
126,037 |
|||||||||
H&R Block, Inc. |
16,410 |
386,620 |
|||||||||
Haverty Furniture Cos., Inc. (b) |
9,894 |
302,460 |
|||||||||
Hibbett, Inc. |
5,731 |
412,231 |
|||||||||
Houghton Mifflin Harcourt Co. (a) |
13,621 |
219,298 |
|||||||||
Hovnanian Enterprises, Inc., Class A (a) |
4,540 |
577,897 |
|||||||||
KB Home |
12,849 |
574,736 |
|||||||||
Kohl's Corp. (c) |
7,521 |
371,462 |
|||||||||
Laureate Education, Inc., Class A |
36,822 |
450,701 |
|||||||||
M/I Homes, Inc. (a) |
8,343 |
518,768 |
|||||||||
Macy's, Inc. |
18,772 |
491,451 |
|||||||||
MarineMax, Inc. (a) (b) |
10,328 |
609,765 |
|||||||||
MDC Holdings, Inc. |
13,131 |
733,104 |
|||||||||
Meritage Homes Corp. (a) |
5,161 |
629,952 |
|||||||||
Modine Manufacturing Co. (a) |
36,180 |
365,056 |
|||||||||
Movado Group, Inc. |
16,291 |
681,453 |
|||||||||
Penske Automotive Group, Inc. |
6,939 |
744,000 |
|||||||||
Perdoceo Education Corp. (a) |
75,789 |
891,279 |
|||||||||
PVH Corp. |
2,330 |
248,495 |
|||||||||
Qurate Retail, Inc., Class A |
61,094 |
464,314 |
|||||||||
Rent-A-Center, Inc. |
12,637 |
607,081 |
|||||||||
Revolve Group, Inc. (a) |
8,273 |
463,619 |
|||||||||
Service Corp. International |
8,043 |
570,973 |
|||||||||
Shoe Carnival, Inc. |
6,511 |
254,450 |
|||||||||
Shutterstock, Inc. |
7,277 |
806,874 |
|||||||||
Signet Jewelers Ltd. |
5,201 |
452,643 |
|||||||||
Skyline Champion Corp. (a) |
3,751 |
296,254 |
|||||||||
Smith & Wesson Brands, Inc. |
26,065 |
463,957 |
|||||||||
Sportsman's Warehouse Holdings, Inc. (a) |
17,598 |
207,656 |
|||||||||
Tapestry, Inc. |
7,108 |
288,585 |
|||||||||
Taylor Morrison Home Corp. (a) |
16,466 |
575,651 |
|||||||||
Tenneco, Inc., Class A (a) |
31,461 |
355,509 |
|||||||||
The Buckle, Inc. (b) |
8,128 |
343,896 |
|||||||||
The Container Store Group, Inc. (a) |
16,877 |
168,432 |
|||||||||
The Goodyear Tire & Rubber Co. (a) |
32,559 |
694,158 |
|||||||||
The ODP Corp. (a) |
12,690 |
498,463 |
|||||||||
Toll Brothers, Inc. |
10,050 |
727,520 |
|||||||||
TravelCenters of America, Inc. (a) |
3,883 |
200,440 |
|||||||||
Tri Pointe Homes, Inc. (a) |
24,156 |
673,711 |
|||||||||
Vista Outdoor, Inc. (a) |
11,049 |
509,027 |
|||||||||
XPEL, Inc. (a) |
3,913 |
267,180 |
|||||||||
Zumiez, Inc. (a) |
12,580 |
603,714 |
|||||||||
34,281,850 |
See notes to financial statements.
13
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Consumer Staples (4.8%): |
|||||||||||
Celsius Holdings, Inc. (a) |
6,273 |
$ |
467,778 |
||||||||
Central Garden & Pet Co., Class A (a) |
9,880 |
472,758 |
|||||||||
Coca-Cola Consolidated, Inc. |
1,718 |
1,063,768 |
|||||||||
Coty, Inc., Class A (a) (c) |
20,513 |
215,386 |
|||||||||
Darling Ingredients, Inc. (a) |
10,616 |
735,583 |
|||||||||
Edgewell Personal Care Co. |
8,825 |
403,391 |
|||||||||
Fresh Del Monte Produce, Inc. |
24,298 |
670,625 |
|||||||||
Hostess Brands, Inc. (a) |
40,857 |
834,300 |
|||||||||
Ingles Markets, Inc., Class A |
14,427 |
1,245,627 |
|||||||||
Pilgrim's Pride Corp. (a) |
35,470 |
1,000,254 |
|||||||||
Sanderson Farms, Inc. |
5,148 |
983,680 |
|||||||||
Seaboard Corp. |
283 |
1,113,608 |
|||||||||
SpartanNash Co. |
28,129 |
724,603 |
|||||||||
The Andersons, Inc. |
20,926 |
810,045 |
|||||||||
United Natural Foods, Inc. (a) |
10,851 |
532,567 |
|||||||||
Universal Corp. |
24,625 |
1,352,405 |
|||||||||
Weis Markets, Inc. (b) (c) |
22,261 |
1,466,555 |
|||||||||
14,092,933 |
|||||||||||
Energy (3.5%): |
|||||||||||
Antero Resources Corp. (a) |
30,224 |
528,920 |
|||||||||
Arch Resources, Inc. |
3,783 |
345,464 |
|||||||||
Berry Corp. |
24,522 |
206,475 |
|||||||||
Callon Petroleum Co. (a) (b) |
12,002 |
567,094 |
|||||||||
Centennial Resource Development, Inc., Class A (a) |
83,046 |
496,615 |
|||||||||
Civitas Resources, Inc. |
12,527 |
613,447 |
|||||||||
CNX Resources Corp. (a) |
24,718 |
339,873 |
|||||||||
CONSOL Energy, Inc. (a) |
9,345 |
212,225 |
|||||||||
Dorian LPG Ltd. |
61,219 |
776,869 |
|||||||||
EQT Corp. (a) |
14,981 |
326,736 |
|||||||||
Gevo, Inc. (a) (b) |
42,821 |
183,274 |
|||||||||
Helix Energy Solutions Group, Inc. (a) |
125,227 |
390,708 |
|||||||||
International Seaways, Inc. |
39,836 |
584,792 |
|||||||||
Laredo Petroleum, Inc. (a) (b) |
3,354 |
201,676 |
|||||||||
Magnolia Oil & Gas Corp., Class A |
14,389 |
271,520 |
|||||||||
Marathon Oil Corp. |
44,587 |
732,119 |
|||||||||
Matador Resources Co. |
8,274 |
305,476 |
|||||||||
Meta Materials, Inc. (a) (b) |
51,259 |
126,097 |
|||||||||
Northern Oil and Gas, Inc. |
11,278 |
232,101 |
|||||||||
Ovintiv, Inc. |
17,784 |
599,321 |
|||||||||
PDC Energy, Inc. |
10,378 |
506,239 |
|||||||||
Peabody Energy Corp. (a) (c) |
21,681 |
218,328 |
|||||||||
SM Energy Co. |
20,593 |
607,082 |
|||||||||
Transocean Ltd. (a) (b) |
144,331 |
398,354 |
|||||||||
Whiting Petroleum Corp. (a) |
8,577 |
554,760 |
|||||||||
10,325,565 |
See notes to financial statements.
14
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Financials (11.8%): |
|||||||||||
Affiliated Managers Group, Inc. |
2,428 |
$ |
399,430 |
||||||||
A-Mark Precious Metals, Inc. |
4,384 |
267,862 |
|||||||||
American Equity Investment Life Holding Co. |
14,185 |
552,080 |
|||||||||
American National Group, Inc. |
4,597 |
868,098 |
|||||||||
Ameris Bancorp |
7,517 |
373,445 |
|||||||||
Assured Guaranty Ltd. |
12,452 |
625,090 |
|||||||||
Atlanticus Holdings Corp. (a) |
3,188 |
227,368 |
|||||||||
B Riley Financial, Inc. |
10,230 |
909,038 |
|||||||||
Berkshire Hills Bancorp, Inc. |
12,903 |
366,832 |
|||||||||
Brighthouse Financial, Inc. (a) |
10,430 |
540,274 |
|||||||||
BrightSpire Capital, Inc. |
23,061 |
236,606 |
|||||||||
Chimera Investment Corp. |
46,595 |
702,653 |
|||||||||
CIT Group, Inc. |
9,710 |
498,511 |
|||||||||
Cowen, Inc., Class A |
16,741 |
604,350 |
|||||||||
Customers Bancorp, Inc. |
14,548 |
951,003 |
|||||||||
Dime Community Bancshares, Inc. |
13,798 |
485,138 |
|||||||||
Donnelley Financial Solutions, Inc. (a) |
15,453 |
728,454 |
|||||||||
Encore Capital Group, Inc. (a) |
8,939 |
555,201 |
|||||||||
Enova International, Inc. (a) |
14,477 |
592,978 |
|||||||||
Enstar Group Ltd. (a) |
2,106 |
521,425 |
|||||||||
First Bancorp/Puerto Rico |
25,041 |
345,065 |
|||||||||
Flagstar Bancorp, Inc. |
16,613 |
796,427 |
|||||||||
Flushing Financial Corp. |
16,941 |
411,666 |
|||||||||
FNB Corp. |
68,697 |
833,295 |
|||||||||
Genworth Financial, Inc. (a) |
155,973 |
631,691 |
|||||||||
Granite Point Mortgage Trust, Inc. |
34,121 |
399,557 |
|||||||||
Great Western Bancorp, Inc. |
9,740 |
330,770 |
|||||||||
Hancock Whitney Corp. |
6,812 |
340,736 |
|||||||||
HarborOne Bancorp, Inc. |
42,924 |
636,992 |
|||||||||
HCI Group, Inc. |
7,463 |
623,459 |
|||||||||
Hope Bancorp, Inc. |
58,303 |
857,637 |
|||||||||
Houlihan Lokey, Inc. |
5,170 |
535,198 |
|||||||||
Janus Henderson Group PLC |
18,896 |
792,498 |
|||||||||
Jefferies Financial Group, Inc. |
22,295 |
865,046 |
|||||||||
LendingClub Corp. (a) |
13,848 |
334,845 |
|||||||||
Meta Financial Group, Inc. |
7,279 |
434,265 |
|||||||||
Metropolitan Bank Holding Corp. (a) |
3,339 |
355,704 |
|||||||||
MFA Financial, Inc. |
50,325 |
229,482 |
|||||||||
MGIC Investment Corp. |
43,167 |
622,468 |
|||||||||
Midland States Bancorp, Inc. |
18,236 |
452,070 |
|||||||||
Mr. Cooper Group, Inc. (a) |
14,110 |
587,117 |
|||||||||
National Western Life Group, Inc., Class A |
3,248 |
696,501 |
|||||||||
Navient Corp. |
29,096 |
617,417 |
|||||||||
New Residential Investment Corp. |
23,385 |
250,453 |
|||||||||
New York Community Bancorp, Inc. |
39,212 |
478,779 |
|||||||||
Northfield Bancorp, Inc. |
32,695 |
528,351 |
|||||||||
OFG Bancorp |
13,217 |
351,044 |
|||||||||
Old Republic International Corp. |
39,309 |
966,215 |
See notes to financial statements.
15
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
PacWest Bancorp |
6,785 |
$ |
306,478 |
||||||||
Pennymac Financial Services |
9,453 |
659,630 |
|||||||||
Pinnacle Financial Partners, Inc. |
8,289 |
791,600 |
|||||||||
Popular, Inc. |
10,120 |
830,245 |
|||||||||
Radian Group, Inc. |
14,346 |
303,131 |
|||||||||
Ready Capital Corp. |
16,933 |
264,663 |
|||||||||
ServisFirst Bancshares, Inc. |
6,924 |
588,125 |
|||||||||
Silvergate Capital Corp., Class A (a) |
5,975 |
885,495 |
|||||||||
SiriusPoint Ltd. (a) |
98,163 |
798,065 |
|||||||||
SLM Corp. |
21,407 |
421,076 |
|||||||||
State Auto Financial Corp. |
8,553 |
442,105 |
|||||||||
Sterling Bancorp |
25,877 |
667,368 |
|||||||||
Triumph Bancorp, Inc. (a) |
4,225 |
503,113 |
|||||||||
Universal Insurance Holdings, Inc. |
30,204 |
513,468 |
|||||||||
Unum Group |
23,771 |
584,054 |
|||||||||
34,869,200 |
|||||||||||
Health Care (25.0%): |
|||||||||||
Agios Pharmaceuticals, Inc. (a) |
7,407 |
243,468 |
|||||||||
Alkermes PLC (a) |
31,476 |
732,132 |
|||||||||
Anavex Life Sciences Corp. (a) |
22,593 |
391,763 |
|||||||||
Atea Pharmaceuticals, Inc. (a) |
33,271 |
297,443 |
|||||||||
Aurinia Pharmaceuticals, Inc. (a) |
7,449 |
170,359 |
|||||||||
Avid Bioservices, Inc. (a) |
16,432 |
479,486 |
|||||||||
Beam Therapeutics, Inc. (a) (b) |
5,985 |
476,945 |
|||||||||
BioCryst Pharmaceuticals, Inc. (a) |
14,915 |
206,573 |
|||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) |
2,409 |
331,984 |
|||||||||
C4 Therapeutics, Inc. (a) |
7,115 |
229,103 |
|||||||||
CareDx, Inc. (a) |
3,387 |
154,041 |
|||||||||
Castle Biosciences, Inc. (a) |
4,398 |
188,542 |
|||||||||
Catalyst Pharmaceuticals, Inc. (a) |
78,759 |
533,198 |
|||||||||
Celldex Therapeutics, Inc. (a) |
9,854 |
380,759 |
|||||||||
Cerevel Therapeutics Holdings, Inc. (a) |
7,888 |
255,729 |
|||||||||
Curis, Inc. (a) |
72,122 |
343,301 |
|||||||||
Dynavax Technologies Corp. (a) (b) |
13,190 |
185,583 |
|||||||||
Eagle Pharmaceuticals, Inc. (a) |
18,179 |
925,675 |
|||||||||
Emergent BioSolutions, Inc. (a) |
13,109 |
569,848 |
|||||||||
Enanta Pharmaceuticals, Inc. (a) |
5,120 |
382,874 |
|||||||||
Exelixis, Inc. (a) |
20,995 |
383,789 |
|||||||||
Fate Therapeutics, Inc. (a) |
2,480 |
145,105 |
|||||||||
Halozyme Therapeutics, Inc. (a) |
10,183 |
409,458 |
|||||||||
Humanigen, Inc. (a) |
18,131 |
67,447 |
|||||||||
Ideaya Biosciences, Inc. (a) |
12,235 |
289,235 |
|||||||||
Inhibrx, Inc. (a) |
6,699 |
292,545 |
|||||||||
Intellia Therapeutics, Inc. (a) |
3,112 |
367,963 |
|||||||||
Ironwood Pharmaceuticals, Inc. (a) |
63,201 |
736,924 |
|||||||||
IVERIC bio, Inc. (a) |
13,646 |
228,161 |
|||||||||
Ligand Pharmaceuticals, Inc. (a) |
2,052 |
316,952 |
|||||||||
Morphic Holding, Inc. (a) |
4,840 |
229,319 |
See notes to financial statements.
16
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Myriad Genetics, Inc. (a) |
15,105 |
$ |
416,898 |
||||||||
Natera, Inc. (a) |
2,909 |
271,672 |
|||||||||
Ocugen, Inc. (a) (b) |
61,302 |
278,924 |
|||||||||
OPKO Health, Inc. (a) |
112,822 |
542,674 |
|||||||||
Organogenesis Holdings, Inc. (a) |
48,578 |
448,861 |
|||||||||
Protagonist Therapeutics, Inc. (a) |
4,404 |
150,617 |
|||||||||
Prothena Corp. PLC (a) |
8,137 |
401,968 |
|||||||||
Repligen Corp. (a) |
2,866 |
759,031 |
|||||||||
Rubius Therapeutics, Inc. (a) |
13,444 |
130,138 |
|||||||||
Sorrento Therapeutics, Inc. (a) (b) |
36,760 |
170,934 |
|||||||||
SpringWorks Therapeutics, Inc. (a) |
3,716 |
230,318 |
|||||||||
United Therapeutics Corp. (a) |
5,442 |
1,175,907 |
|||||||||
Vanda Pharmaceuticals, Inc. (a) |
43,573 |
683,660 |
|||||||||
Veracyte, Inc. (a) |
5,998 |
247,118 |
|||||||||
Vericel Corp. (a) |
5,078 |
199,565 |
|||||||||
Xenon Pharmaceuticals, Inc. (a) |
7,545 |
235,706 |
|||||||||
AngioDynamics, Inc. (a) |
28,452 |
784,706 |
|||||||||
Anika Therapeutics, Inc. (a) (b) |
7,989 |
286,246 |
|||||||||
AtriCure, Inc. (a) |
11,056 |
768,724 |
|||||||||
Atrion Corp. |
747 |
526,560 |
|||||||||
Avanos Medical, Inc. (a) |
10,919 |
378,562 |
|||||||||
BioLife Solutions, Inc. (a) |
10,898 |
406,168 |
|||||||||
CONMED Corp. |
5,508 |
780,814 |
|||||||||
CryoPort, Inc. (a) |
8,158 |
482,709 |
|||||||||
Cutera, Inc. (a) |
5,647 |
233,334 |
|||||||||
Envista Holdings Corp. (a) |
13,518 |
609,121 |
|||||||||
Establishment Labs Holdings, Inc. (a) |
8,470 |
572,487 |
|||||||||
Globus Medical, Inc. (a) |
5,860 |
423,092 |
|||||||||
Heska Corp. (a) |
3,721 |
679,045 |
|||||||||
ICU Medical, Inc. (a) |
1,881 |
446,437 |
|||||||||
Inogen, Inc. (a) |
4,919 |
167,246 |
|||||||||
Integer Holdings Corp. (a) |
7,780 |
665,890 |
|||||||||
Integra LifeSciences Holdings Corp. (a) |
13,905 |
931,496 |
|||||||||
Lantheus Holdings, Inc. (a) |
25,033 |
723,203 |
|||||||||
LeMaitre Vascular, Inc. |
15,902 |
798,757 |
|||||||||
LivaNova PLC (a) |
4,249 |
371,490 |
|||||||||
Meridian Bioscience, Inc. (a) |
26,794 |
546,598 |
|||||||||
Merit Medical Systems, Inc. (a) |
12,064 |
751,587 |
|||||||||
Mesa Laboratories, Inc. |
1,657 |
543,645 |
|||||||||
Natus Medical, Inc. (a) |
31,673 |
751,600 |
|||||||||
NuVasive, Inc. (a) |
6,291 |
330,152 |
|||||||||
OraSure Technologies, Inc. (a) |
56,165 |
488,074 |
|||||||||
Orthofix Medical, Inc. (a) |
25,187 |
783,064 |
|||||||||
OrthoPediatrics Corp. (a) |
5,868 |
351,258 |
|||||||||
Quidel Corp. (a) |
1,973 |
266,335 |
|||||||||
Senseonics Holdings, Inc. (a) (b) |
64,222 |
171,473 |
|||||||||
Shockwave Medical, Inc. (a) |
2,840 |
506,457 |
|||||||||
STAAR Surgical Co. (a) |
2,068 |
188,808 |
|||||||||
Varex Imaging Corp. (a) |
26,606 |
839,419 |
See notes to financial statements.
17
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Acadia Healthcare Co., Inc. (a) |
8,734 |
$ |
530,154 |
||||||||
Addus HomeCare Corp. (a) |
8,939 |
835,886 |
|||||||||
AMN Healthcare Services, Inc. (a) |
7,366 |
901,083 |
|||||||||
Apollo Medical Holdings, Inc. (a) (b) |
5,946 |
436,912 |
|||||||||
CorVel Corp. (a) |
5,771 |
1,200,368 |
|||||||||
Covetrus, Inc. (a) |
28,139 |
561,936 |
|||||||||
Cross Country Healthcare, Inc. (a) |
13,454 |
373,483 |
|||||||||
Encompass Health Corp. |
6,212 |
405,395 |
|||||||||
Fulgent Genetics, Inc. (a) |
4,788 |
481,625 |
|||||||||
Hanger, Inc. (a) |
12,477 |
226,208 |
|||||||||
LHC Group, Inc. (a) |
2,881 |
395,360 |
|||||||||
Magellan Health, Inc. (a) |
8,628 |
819,574 |
|||||||||
MEDNAX, Inc. (a) |
19,038 |
518,024 |
|||||||||
ModivCare, Inc. (a) |
5,043 |
747,826 |
|||||||||
National HealthCare Corp. (c) |
15,625 |
1,061,562 |
|||||||||
Option Care Health, Inc. (a) |
22,673 |
644,820 |
|||||||||
Owens & Minor, Inc. |
10,974 |
477,369 |
|||||||||
Patterson Cos., Inc. (c) |
12,597 |
369,722 |
|||||||||
Premier, Inc., Class A |
25,322 |
1,042,507 |
|||||||||
Progyny, Inc. (a) |
4,836 |
243,493 |
|||||||||
RadNet, Inc. (a) |
20,512 |
617,616 |
|||||||||
Select Medical Holdings Corp. |
19,094 |
561,364 |
|||||||||
Surgery Partners, Inc. (a) |
9,420 |
503,122 |
|||||||||
Tenet Healthcare Corp. (a) |
5,868 |
479,357 |
|||||||||
The Ensign Group, Inc. |
9,939 |
834,478 |
|||||||||
The Joint Corp. (a) |
6,933 |
455,429 |
|||||||||
Tivity Health, Inc. (a) (b) |
17,691 |
467,750 |
|||||||||
Triple-S Management Corp., Class B (a) |
20,018 |
714,242 |
|||||||||
Allscripts Healthcare Solutions, Inc. (a) |
41,887 |
772,815 |
|||||||||
Change Healthcare, Inc. (a) |
26,651 |
569,798 |
|||||||||
Computer Programs and Systems, Inc. (a) (b) |
26,934 |
789,166 |
|||||||||
Evolent Health, Inc., Class A (a) |
19,343 |
535,221 |
|||||||||
HealthStream, Inc. (a) |
44,039 |
1,160,868 |
|||||||||
NextGen Healthcare, Inc. (a) |
41,335 |
735,350 |
|||||||||
Omnicell, Inc. (a) |
5,229 |
943,521 |
|||||||||
OptimizeRx Corp. (a) |
7,638 |
474,396 |
|||||||||
Phreesia, Inc. (a) |
4,192 |
174,639 |
|||||||||
Vocera Communications, Inc. (a) |
14,748 |
956,260 |
|||||||||
BioNano Genomics, Inc. (a) |
64,885 |
194,006 |
|||||||||
Bruker Corp. |
12,010 |
1,007,759 |
|||||||||
Codexis, Inc. (a) |
8,053 |
251,817 |
|||||||||
Medpace Holdings, Inc. (a) |
3,837 |
835,085 |
|||||||||
Pacific Biosciences of California, Inc. (a) |
8,226 |
168,304 |
|||||||||
Syneos Health, Inc. (a) |
7,042 |
723,073 |
|||||||||
Aclaris Therapeutics, Inc. (a) |
15,791 |
229,601 |
|||||||||
Amneal Pharmaceuticals, Inc. (a) |
104,020 |
498,256 |
|||||||||
Amphastar Pharmaceuticals, Inc. (a) |
52,298 |
1,218,020 |
|||||||||
ANI Pharmaceuticals, Inc. (a) |
20,616 |
949,985 |
|||||||||
Arvinas, Inc. (a) |
6,116 |
502,368 |
See notes to financial statements.
18
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
BioDelivery Sciences International, Inc. (a) |
218,236 |
$ |
676,532 |
||||||||
Cassava Sciences, Inc. (a) (b) |
6,659 |
290,998 |
|||||||||
Collegium Pharmaceutical, Inc. (a) |
27,282 |
509,628 |
|||||||||
Corcept Therapeutics, Inc. (a) |
26,904 |
532,699 |
|||||||||
Endo International PLC (a) |
95,064 |
357,441 |
|||||||||
Harmony Biosciences Holdings, Inc. (a) |
7,325 |
312,338 |
|||||||||
Innoviva, Inc. (a) |
51,042 |
880,474 |
|||||||||
Oramed Pharmaceuticals, Inc. (a) |
7,990 |
114,097 |
|||||||||
Pacira BioSciences, Inc. (a) |
13,935 |
838,469 |
|||||||||
Perrigo Co. PLC |
21,113 |
821,296 |
|||||||||
Phibro Animal Health Corp., Class A |
15,693 |
320,451 |
|||||||||
Prestige Consumer Healthcare, Inc. (a) |
17,921 |
1,086,909 |
|||||||||
SIGA Technologies, Inc. (a) |
45,638 |
343,198 |
|||||||||
Supernus Pharmaceuticals, Inc. (a) |
25,675 |
748,683 |
|||||||||
Tilray, Inc., Class 2 (a) (b) |
20,268 |
142,484 |
|||||||||
Zomedica Corp. (a) (b) |
480,271 |
147,203 |
|||||||||
73,564,125 |
|||||||||||
Industrials (13.3%): |
|||||||||||
ACCO Brands Corp. |
73,243 |
604,987 |
|||||||||
Acuity Brands, Inc. |
4,011 |
849,209 |
|||||||||
Advanced Drainage Systems, Inc. |
3,251 |
442,559 |
|||||||||
AGCO Corp. |
3,228 |
374,513 |
|||||||||
Air Lease Corp. |
13,941 |
616,610 |
|||||||||
Altra Industrial Motion Corp. |
5,119 |
263,987 |
|||||||||
ArcBest Corp. |
9,030 |
1,082,245 |
|||||||||
Argan, Inc. |
25,175 |
974,021 |
|||||||||
Atkore, Inc. (a) |
5,909 |
657,022 |
|||||||||
Atlas Air Worldwide Holdings, Inc. (a) |
7,163 |
674,182 |
|||||||||
Avis Budget Group, Inc. (a) (c) |
795 |
164,859 |
|||||||||
Beacon Roofing Supply, Inc. (a) |
5,680 |
325,748 |
|||||||||
Boise Cascade Co. |
11,798 |
840,018 |
|||||||||
Builders FirstSource, Inc. (a) |
10,500 |
899,955 |
|||||||||
Comfort Systems USA, Inc. |
4,036 |
399,322 |
|||||||||
CRA International, Inc. |
3,550 |
331,428 |
|||||||||
DXP Enterprises, Inc. (a) |
17,443 |
447,762 |
|||||||||
EMCOR Group, Inc. |
7,962 |
1,014,279 |
|||||||||
Encore Wire Corp. |
9,627 |
1,377,624 |
|||||||||
Genco Shipping & Trading Ltd. |
34,565 |
553,040 |
|||||||||
GMS, Inc. (a) |
10,755 |
646,483 |
|||||||||
GrafTech International Ltd. |
25,999 |
307,568 |
|||||||||
Granite Construction, Inc. |
15,568 |
602,482 |
|||||||||
Great Lakes Dredge & Dock Corp. (a) |
27,910 |
438,745 |
|||||||||
Heidrick & Struggles International, Inc. |
19,159 |
837,823 |
|||||||||
Herc Holdings, Inc. |
3,529 |
552,465 |
|||||||||
Hub Group, Inc., Class A (a) |
6,143 |
517,486 |
|||||||||
Insteel Industries, Inc. |
7,764 |
309,085 |
|||||||||
Interface, Inc. |
17,980 |
286,781 |
|||||||||
Kelly Services, Inc., Class A |
41,582 |
697,330 |
See notes to financial statements.
19
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Kforce, Inc. |
8,158 |
$ |
613,645 |
||||||||
Korn Ferry |
10,655 |
806,903 |
|||||||||
ManpowerGroup, Inc. |
3,774 |
367,323 |
|||||||||
MasTec, Inc. (a) |
3,714 |
342,728 |
|||||||||
Matson, Inc. |
10,090 |
908,403 |
|||||||||
Matthews International Corp., Class A |
10,688 |
391,929 |
|||||||||
Mueller Industries, Inc. |
16,573 |
983,773 |
|||||||||
MYR Group, Inc. (a) |
7,057 |
780,151 |
|||||||||
NOW, Inc. (a) |
79,922 |
682,534 |
|||||||||
nVent Electric PLC |
24,962 |
948,556 |
|||||||||
Primoris Services Corp. |
28,104 |
673,934 |
|||||||||
Quanex Building Products Corp. |
14,077 |
348,828 |
|||||||||
Quanta Services, Inc. |
8,710 |
998,689 |
|||||||||
Regal Rexnord Corp. |
6,213 |
1,057,328 |
|||||||||
Resideo Technologies, Inc. (a) |
20,507 |
533,797 |
|||||||||
Resources Connection, Inc. |
57,459 |
1,025,069 |
|||||||||
REV Group, Inc. |
30,919 |
437,504 |
|||||||||
Rush Enterprises, Inc., Class A |
18,628 |
1,036,462 |
|||||||||
Ryder System, Inc. |
8,762 |
722,252 |
|||||||||
SkyWest, Inc. (a) |
12,518 |
491,957 |
|||||||||
Sterling Construction Co., Inc. (a) |
25,515 |
671,044 |
|||||||||
Terex Corp. |
7,233 |
317,890 |
|||||||||
The Greenbrier Cos., Inc. |
14,501 |
665,451 |
|||||||||
The Manitowoc Co., Inc. (a) |
26,835 |
498,863 |
|||||||||
Triton International Ltd. |
16,196 |
975,485 |
|||||||||
TrueBlue, Inc. (a) |
33,944 |
939,230 |
|||||||||
Tutor Perini Corp. (a) |
37,189 |
460,028 |
|||||||||
UFP Industries, Inc. |
4,353 |
400,519 |
|||||||||
Veritiv Corp. (a) |
4,249 |
520,800 |
|||||||||
Watts Water Technologies, Inc., Class A |
2,935 |
569,889 |
|||||||||
WESCO International, Inc. (a) |
4,884 |
642,685 |
|||||||||
Zurn Water Solutions Corp. |
11,744 |
427,482 |
|||||||||
39,330,749 |
|||||||||||
Information Technology (13.8%): |
|||||||||||
A10 Networks, Inc. |
20,140 |
333,921 |
|||||||||
Alliance Data Systems Corp. |
6,089 |
405,345 |
|||||||||
Alpha & Omega Semiconductor Ltd. (a) |
17,794 |
1,077,605 |
|||||||||
Ambarella, Inc. (a) |
1,730 |
351,000 |
|||||||||
Amkor Technology, Inc. |
26,181 |
649,027 |
|||||||||
Avaya Holdings Corp. (a) |
13,005 |
257,499 |
|||||||||
Avid Technology, Inc. (a) |
9,443 |
307,558 |
|||||||||
Avnet, Inc. |
25,012 |
1,031,245 |
|||||||||
Axcelis Technologies, Inc. (a) |
5,068 |
377,870 |
|||||||||
Belden, Inc. |
5,248 |
344,951 |
|||||||||
Benchmark Electronics, Inc. |
36,150 |
979,665 |
|||||||||
Calix, Inc. (a) |
9,603 |
767,952 |
|||||||||
Cambium Networks Corp. (a) |
9,255 |
237,206 |
|||||||||
Clearfield, Inc. (a) |
4,838 |
408,424 |
See notes to financial statements.
20
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
CommScope Holding Co., Inc. (a) |
18,084 |
$ |
199,647 |
||||||||
Comtech Telecommunications Corp. |
11,241 |
266,299 |
|||||||||
Concentrix Corp. |
3,867 |
690,723 |
|||||||||
Conduent, Inc. (a) |
71,514 |
381,885 |
|||||||||
Consensus Cloud Solutions, Inc. (a) |
6,818 |
394,558 |
|||||||||
Digi International, Inc. (a) |
14,422 |
354,348 |
|||||||||
Digital Turbine, Inc. (a) |
4,434 |
270,430 |
|||||||||
Diodes, Inc. (a) |
8,460 |
928,993 |
|||||||||
DXC Technology Co. (a) |
16,872 |
543,110 |
|||||||||
Ebix, Inc. |
14,042 |
426,877 |
|||||||||
EchoStar Corp., Class A (a) |
34,539 |
910,103 |
|||||||||
ExlService Holdings, Inc. (a) |
3,700 |
535,649 |
|||||||||
Fabrinet (a) |
3,834 |
454,214 |
|||||||||
First Solar, Inc. (a) |
3,717 |
323,974 |
|||||||||
Grid Dynamics Holdings, Inc. (a) |
23,245 |
882,613 |
|||||||||
Ichor Holdings Ltd. (a) |
5,349 |
246,214 |
|||||||||
Insight Enterprises, Inc. (a) |
8,493 |
905,354 |
|||||||||
Jabil, Inc. |
12,816 |
901,606 |
|||||||||
Kimball Electronics, Inc. (a) |
17,568 |
382,280 |
|||||||||
Knowles Corp. (a) |
44,144 |
1,030,762 |
|||||||||
Kulicke & Soffa Industries, Inc. |
12,852 |
778,060 |
|||||||||
Marathon Digital Holdings, Inc. (a) (b) |
10,970 |
360,474 |
|||||||||
MaxLinear, Inc. (a) |
4,462 |
336,390 |
|||||||||
Methode Electronics, Inc. |
18,453 |
907,334 |
|||||||||
MicroStrategy, Inc. (a) (b) |
755 |
411,090 |
|||||||||
MicroVision, Inc. (a) (b) |
16,426 |
82,294 |
|||||||||
Mimecast Ltd. (a) |
4,976 |
395,940 |
|||||||||
NCR Corp. (a) |
16,976 |
682,435 |
|||||||||
NETGEAR, Inc. (a) |
14,610 |
426,758 |
|||||||||
NetScout Systems, Inc. (a) |
33,824 |
1,118,898 |
|||||||||
Onto Innovation, Inc. (a) |
9,135 |
924,736 |
|||||||||
Perficient, Inc. (a) |
7,376 |
953,643 |
|||||||||
Photronics, Inc. (a) |
56,131 |
1,058,069 |
|||||||||
Rambus, Inc. (a) |
37,446 |
1,100,538 |
|||||||||
Ribbon Communications, Inc. (a) |
46,225 |
279,661 |
|||||||||
Riot Blockchain, Inc. (a) (b) |
13,190 |
294,533 |
|||||||||
Sanmina Corp. (a) |
22,122 |
917,178 |
|||||||||
ScanSource, Inc. (a) |
22,320 |
782,986 |
|||||||||
SiTime Corp. (a) |
1,207 |
353,096 |
|||||||||
SMART Global Holdings, Inc. (a) |
11,867 |
842,438 |
|||||||||
Sprout Social, Inc., Class A (a) |
5,859 |
531,353 |
|||||||||
Super Micro Computer, Inc. (a) |
7,980 |
350,721 |
|||||||||
Synaptics, Inc. (a) |
3,090 |
894,586 |
|||||||||
TD SYNNEX Corp. |
6,356 |
726,872 |
|||||||||
Teradata Corp. (a) |
13,592 |
577,252 |
|||||||||
The Hackett Group, Inc. |
20,780 |
426,613 |
|||||||||
TTEC Holdings, Inc. |
3,809 |
344,905 |
|||||||||
TTM Technologies, Inc. (a) |
64,958 |
967,874 |
|||||||||
Ultra Clean Holdings, Inc. (a) |
10,835 |
621,496 |
See notes to financial statements.
21
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Vishay Intertechnology, Inc. |
20,097 |
$ |
439,521 |
||||||||
Vishay Precision Group, Inc. (a) |
12,059 |
447,630 |
|||||||||
Workiva, Inc. (a) |
2,693 |
351,410 |
|||||||||
Xerox Holdings Corp. |
35,306 |
799,328 |
|||||||||
Xperi Holding Corp. |
31,730 |
600,014 |
|||||||||
Ziff Davis, Inc. (a) |
8,786 |
974,016 |
|||||||||
40,619,049 |
|||||||||||
Materials (4.0%): |
|||||||||||
AdvanSix, Inc. |
14,766 |
697,693 |
|||||||||
Alcoa Corp. |
12,492 |
744,273 |
|||||||||
Alpha Metallurgical Resources, Inc. (a) |
7,705 |
470,390 |
|||||||||
Clearwater Paper Corp. (a) |
15,907 |
583,310 |
|||||||||
Cleveland-Cliffs, Inc. (a) |
22,328 |
486,081 |
|||||||||
Commercial Metals Co. |
24,182 |
877,565 |
|||||||||
Kraton Corp. (a) |
5,481 |
253,880 |
|||||||||
Louisiana-Pacific Corp. |
10,623 |
832,312 |
|||||||||
Mercer International, Inc. |
62,733 |
752,169 |
|||||||||
Olin Corp. |
11,996 |
690,010 |
|||||||||
Ranpak Holdings Corp. (a) |
8,711 |
327,359 |
|||||||||
Reliance Steel & Aluminum Co. |
6,923 |
1,123,049 |
|||||||||
Ryerson Holding Corp. |
9,829 |
256,045 |
|||||||||
Schnitzer Steel Industries, Inc. |
13,484 |
700,089 |
|||||||||
SunCoke Energy, Inc. |
85,984 |
566,635 |
|||||||||
Trinseo PLC (a) |
12,228 |
641,481 |
|||||||||
Tronox Holdings PLC, Class A |
24,103 |
579,195 |
|||||||||
United States Steel Corp. |
19,279 |
459,033 |
|||||||||
Warrior Met Coal, Inc. |
14,941 |
384,133 |
|||||||||
Worthington Industries, Inc. |
7,180 |
392,459 |
|||||||||
11,817,161 |
|||||||||||
Real Estate (7.1%): |
|||||||||||
American Homes 4 Rent, Class A |
12,612 |
550,009 |
|||||||||
Brixmor Property Group, Inc. |
12,303 |
312,619 |
|||||||||
Centerspace |
4,475 |
496,277 |
|||||||||
City Office REIT, Inc. |
55,856 |
1,101,480 |
|||||||||
CoreCivic, Inc. (a) |
62,347 |
621,600 |
|||||||||
CorePoint Lodging, Inc. (a) |
17,788 |
279,272 |
|||||||||
Cousins Properties, Inc. |
10,762 |
433,493 |
|||||||||
CubeSmart |
20,335 |
1,157,265 |
|||||||||
EastGroup Properties, Inc. |
2,673 |
609,043 |
|||||||||
eXp World Holdings, Inc. (b) |
5,412 |
182,330 |
|||||||||
First Industrial Realty Trust, Inc. |
10,619 |
702,978 |
|||||||||
Independence Realty Trust, Inc. |
36,254 |
936,441 |
|||||||||
Innovative Industrial Properties, Inc. |
1,139 |
299,454 |
|||||||||
Jones Lang LaSalle, Inc. (a) |
3,062 |
824,719 |
|||||||||
Kimco Realty Corp. |
12,860 |
316,999 |
|||||||||
Life Storage, Inc. |
8,237 |
1,261,744 |
|||||||||
LXP Industrial Trust |
40,524 |
632,985 |
|||||||||
Marcus & Millichap, Inc. (a) |
10,289 |
529,472 |
See notes to financial statements.
22
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
National Storage Affiliates Trust |
17,358 |
$ |
1,201,174 |
||||||||
NETSTREIT Corp. |
13,738 |
314,600 |
|||||||||
NexPoint Residential Trust, Inc. |
5,205 |
436,335 |
|||||||||
One Liberty Properties, Inc. |
11,894 |
419,620 |
|||||||||
Plymouth Industrial REIT, Inc. |
14,377 |
460,064 |
|||||||||
PS Business Parks, Inc. |
3,037 |
559,324 |
|||||||||
RE/MAX Holdings, Inc. |
20,251 |
617,453 |
|||||||||
Realogy Holdings Corp. (a) |
26,570 |
446,642 |
|||||||||
RPT Realty |
18,968 |
253,792 |
|||||||||
SITE Centers Corp. |
15,895 |
251,618 |
|||||||||
STAG Industrial, Inc. |
27,906 |
1,338,372 |
|||||||||
Tanger Factory Outlet Centers, Inc. (b) |
27,184 |
524,108 |
|||||||||
The GEO Group, Inc. (b) |
38,084 |
295,151 |
|||||||||
The RMR Group, Inc., Class A |
18,856 |
653,926 |
|||||||||
UMH Properties, Inc. |
41,257 |
1,127,554 |
|||||||||
Urban Edge Properties |
17,608 |
334,552 |
|||||||||
Urstadt Biddle Properties, Inc., Class A |
15,705 |
334,516 |
|||||||||
20,816,981 |
|||||||||||
Utilities (1.4%): |
|||||||||||
Hawaiian Electric Industries, Inc. |
15,499 |
643,209 |
|||||||||
MDU Resources Group, Inc. |
15,287 |
471,451 |
|||||||||
National Fuel Gas Co. |
24,548 |
1,569,599 |
|||||||||
Otter Tail Corp. (c) |
19,370 |
1,383,405 |
|||||||||
4,067,664 |
|||||||||||
Total Common Stocks (Cost $249,242,669) |
293,680,343 |
||||||||||
Rights (0.0%) (d) |
|||||||||||
Health Care (0.0%): (d) |
|||||||||||
Achillion Pharmaceuticals (a) (e) (f) |
17,954 |
4,130 |
|||||||||
Total Rights (Cost $?) |
4,130 |
||||||||||
Collateral for Securities Loaned^ (2.5%) |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 0.04% (g) |
172,164 |
172,164 |
|||||||||
Fidelity
Investments Money Market Government Portfolio, Institutional Shares, 0.01% (g) |
3,381,329 |
3,381,329 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 0.02% (g) |
85,918 |
85,918 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.07% (g) |
685,087 |
685,087 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 0.06% (g) |
3,080,286 |
3,080,286 |
|||||||||
Total Collateral for Securities Loaned (Cost $7,404,784) |
7,404,784 |
||||||||||
Total Investments (Cost $256,647,453) ? 102.2% |
301,089,257 |
||||||||||
Liabilities in excess of other assets ? (2.2)% |
(6,348,801 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
294,740,456 |
See notes to financial statements.
23
Victory Portfolios
II VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Amount represents less than 0.05% of net assets.
(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2021, 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 0.05% of net assets as of December 31, 2021. 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 December 31, 2021.
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 |
8 |
3/18/22 |
$ |
889,102 |
$ |
897,120 |
$ |
8,018 |
|||||||||||||||
Total unrealized appreciation |
$ |
8,018 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
8,018 |
See notes to financial statements.
24
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.4%) |
|||||||||||
Australia (2.8%): |
|||||||||||
Energy (0.3%): |
|||||||||||
Washington H Soul Pattinson & Co. Ltd. (a) |
43,390 |
$ |
934,099 |
||||||||
Health Care (0.4%): |
|||||||||||
Sonic Healthcare Ltd. |
41,860 |
1,419,153 |
|||||||||
Industrials (0.4%): |
|||||||||||
Reece Ltd. |
65,006 |
1,277,510 |
|||||||||
Materials (1.0%): |
|||||||||||
BlueScope Steel Ltd. |
110,656 |
1,681,458 |
|||||||||
Fortescue Metals Group Ltd. |
57,365 |
801,196 |
|||||||||
South32 Ltd. |
352,920 |
1,028,929 |
|||||||||
3,511,583 |
|||||||||||
Real Estate (0.7%): |
|||||||||||
Goodman Group |
69,390 |
1,336,926 |
|||||||||
Stockland |
427,564 |
1,318,049 |
|||||||||
2,654,975 |
|||||||||||
9,797,320 |
|||||||||||
Austria (1.6%): |
|||||||||||
Energy (0.4%): |
|||||||||||
OMV AG |
26,938 |
1,530,168 |
|||||||||
Financials (0.7%): |
|||||||||||
Erste Group Bank AG |
16,189 |
761,261 |
|||||||||
Raiffeisen Bank International AG |
58,217 |
1,713,375 |
|||||||||
2,474,636 |
|||||||||||
Materials (0.2%): |
|||||||||||
voestalpine AG |
18,837 |
685,488 |
|||||||||
Utilities (0.3%): |
|||||||||||
Verbund AG |
8,400 |
944,743 |
|||||||||
5,635,035 |
|||||||||||
Belgium (0.7%): |
|||||||||||
Financials (0.7%): |
|||||||||||
Sofina SA |
5,415 |
2,660,238 |
|||||||||
Canada (10.2%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Shaw Communications, Inc., Class B (b) |
69,294 |
2,106,002 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Magna International, Inc. |
9,876 |
800,228 |
See notes to financial statements.
25
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Consumer Staples (2.4%): |
|||||||||||
Empire Co. Ltd., Class A |
34,607 |
$ |
1,055,895 |
||||||||
George Weston Ltd. |
31,548 |
3,662,930 |
|||||||||
Loblaw Cos. Ltd. |
45,405 |
3,725,428 |
|||||||||
8,444,253 |
|||||||||||
Energy (0.8%): |
|||||||||||
Cenovus Energy, Inc. |
36,235 |
444,923 |
|||||||||
Imperial Oil Ltd. |
47,015 |
1,697,997 |
|||||||||
Tourmaline Oil Corp. |
18,383 |
594,357 |
|||||||||
2,737,277 |
|||||||||||
Financials (1.8%): |
|||||||||||
Bank of Montreal |
23,500 |
2,533,717 |
|||||||||
Canadian Imperial Bank of Commerce |
11,981 |
1,398,566 |
|||||||||
Fairfax Financial Holdings Ltd. |
2,379 |
1,171,919 |
|||||||||
Power Corp. of Canada |
33,210 |
1,098,981 |
|||||||||
6,203,183 |
|||||||||||
Industrials (0.9%): |
|||||||||||
TFI International, Inc. |
7,639 |
857,970 |
|||||||||
WSP Global, Inc. |
16,795 |
2,441,567 |
|||||||||
3,299,537 |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Lightspeed Commerce, Inc. (c) |
21,678 |
876,628 |
|||||||||
Nuvei Corp. (c) (d) |
16,014 |
1,039,582 |
|||||||||
1,916,210 |
|||||||||||
Materials (1.3%): |
|||||||||||
First Quantum Minerals Ltd. |
24,996 |
599,002 |
|||||||||
Nutrien Ltd. |
15,149 |
1,140,297 |
|||||||||
Teck Resources Ltd., Class B |
55,091 |
1,588,857 |
|||||||||
West Fraser Timber Co. Ltd. |
14,376 |
1,373,468 |
|||||||||
4,701,624 |
|||||||||||
Real Estate (1.2%): |
|||||||||||
FirstService Corp. |
10,509 |
2,068,272 |
|||||||||
RioCan Real Estate Investment Trust |
112,762 |
2,047,864 |
|||||||||
4,116,136 |
|||||||||||
Utilities (0.5%): |
|||||||||||
AltaGas Ltd. |
83,006 |
1,794,636 |
|||||||||
36,119,086 |
|||||||||||
China (0.2%): |
|||||||||||
Financials (0.2%): |
|||||||||||
Futu Holdings Ltd., ADR (c) |
13,629 |
590,136 |
|||||||||
Denmark (2.5%): |
|||||||||||
Consumer Discretionary (0.3%): |
|||||||||||
Pandora A/S |
9,263 |
1,154,856 |
See notes to financial statements.
26
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Financials (0.3%): |
|||||||||||
Danske Bank A/S |
52,399 |
$ |
904,930 |
||||||||
Health Care (1.0%): |
|||||||||||
Demant A/S (c) |
15,896 |
814,457 |
|||||||||
Novo Nordisk A/S, Class B |
23,999 |
2,697,032 |
|||||||||
3,511,489 |
|||||||||||
Industrials (0.9%): |
|||||||||||
AP Moller ? Maersk A/S, Class B |
606 |
2,172,807 |
|||||||||
DSV A/S |
4,489 |
1,048,423 |
|||||||||
3,221,230 |
|||||||||||
8,792,505 |
|||||||||||
Finland (1.3%): |
|||||||||||
Consumer Staples (0.3%): |
|||||||||||
Kesko Oyj, Class B |
24,852 |
829,201 |
|||||||||
Industrials (0.2%): |
|||||||||||
Wartsila Oyj Abp |
56,580 |
795,279 |
|||||||||
Information Technology (0.2%): |
|||||||||||
Nokia Oyj (c) |
129,603 |
821,524 |
|||||||||
Utilities (0.6%): |
|||||||||||
Fortum Oyj |
68,988 |
2,117,457 |
|||||||||
4,563,461 |
|||||||||||
France (9.9%): |
|||||||||||
Communication Services (0.8%): |
|||||||||||
Publicis Groupe SA |
24,209 |
1,629,810 |
|||||||||
Vivendi SE |
99,001 |
1,338,627 |
|||||||||
2,968,437 |
|||||||||||
Consumer Discretionary (2.2%): |
|||||||||||
Cie Generale des Etablissements Michelin SCA |
6,845 |
1,122,086 |
|||||||||
Hermes International |
1,753 |
3,062,044 |
|||||||||
LVMH Moet Hennessy Louis Vuitton SE |
2,991 |
2,472,800 |
|||||||||
Renault SA (c) |
31,979 |
1,110,819 |
|||||||||
7,767,749 |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
Carrefour SA |
125,735 |
2,302,794 |
|||||||||
Energy (0.6%): |
|||||||||||
Bollore SA |
374,318 |
2,094,325 |
|||||||||
Financials (2.2%): |
|||||||||||
AXA SA |
30,764 |
916,080 |
|||||||||
BNP Paribas SA |
22,887 |
1,581,672 |
|||||||||
CNP Assurances |
59,959 |
1,483,037 |
|||||||||
Credit Agricole SA |
105,455 |
1,505,044 |
|||||||||
Eurazeo SE |
10,311 |
900,534 |
See notes to financial statements.
27
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Societe Generale SA |
40,690 |
$ |
1,397,670 |
||||||||
7,784,037 |
|||||||||||
Health Care (0.5%): |
|||||||||||
Ipsen SA |
7,813 |
715,240 |
|||||||||
Sartorius Stedim Biotech |
1,541 |
845,373 |
|||||||||
1,560,613 |
|||||||||||
Industrials (0.9%): |
|||||||||||
Bouygues SA |
47,535 |
1,702,254 |
|||||||||
Cie de Saint-Gobain |
22,499 |
1,583,002 |
|||||||||
3,285,256 |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Capgemini SE |
7,476 |
1,832,124 |
|||||||||
Materials (0.3%): |
|||||||||||
EssilorLuxottica SA |
5,083 |
1,082,323 |
|||||||||
Utilities (1.2%): |
|||||||||||
Electricite de France SA |
110,067 |
1,292,992 |
|||||||||
Suez SA |
41,508 |
935,092 |
|||||||||
Veolia Environnement SA |
59,084 |
2,167,567 |
|||||||||
4,395,651 |
|||||||||||
35,073,309 |
|||||||||||
Germany (6.6%): |
|||||||||||
Consumer Discretionary (1.7%): |
|||||||||||
Bayerische Motoren Werke AG |
19,116 |
1,923,665 |
|||||||||
Daimler AG |
15,791 |
1,213,753 |
|||||||||
Porsche Automobil Holding SE, Preference Shares |
15,611 |
1,481,301 |
|||||||||
Volkswagen AG, Preference Shares |
6,946 |
1,401,917 |
|||||||||
6,020,636 |
|||||||||||
Financials (0.7%): |
|||||||||||
Commerzbank AG (c) |
171,594 |
1,305,274 |
|||||||||
Deutsche Bank AG, Registered Shares (c) |
107,016 |
1,340,879 |
|||||||||
2,646,153 |
|||||||||||
Health Care (1.9%): |
|||||||||||
Bayer AG, Registered Shares |
31,830 |
1,701,268 |
|||||||||
Carl Zeiss Meditec AG |
4,280 |
899,708 |
|||||||||
Fresenius SE & Co. KGaA |
36,776 |
1,480,492 |
|||||||||
Merck KGaA |
10,364 |
2,675,417 |
|||||||||
6,756,885 |
|||||||||||
Industrials (1.3%): |
|||||||||||
Brenntag SE |
22,100 |
2,000,020 |
|||||||||
Daimler Truck Holding AG (c) |
7,895 |
289,907 |
|||||||||
Deutsche Post AG, Registered Shares |
34,299 |
2,205,340 |
|||||||||
4,495,267 |
See notes to financial statements.
28
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Materials (0.6%): |
|||||||||||
Covestro AG (d) |
13,175 |
$ |
812,060 |
||||||||
HeidelbergCement AG |
20,605 |
1,394,677 |
|||||||||
2,206,737 |
|||||||||||
Utilities (0.4%): |
|||||||||||
Uniper SE |
29,786 |
1,415,881 |
|||||||||
23,541,559 |
|||||||||||
Hong Kong (4.9%): |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Chow Tai Fook Jewellery Group Ltd. |
467,600 |
840,880 |
|||||||||
Consumer Staples (0.5%): |
|||||||||||
WH Group Ltd. (d) |
2,518,615 |
1,579,727 |
|||||||||
Industrials (1.8%): |
|||||||||||
CK Hutchison Holdings Ltd. |
341,805 |
2,205,250 |
|||||||||
Jardine Matheson Holdings Ltd. |
38,300 |
2,106,883 |
|||||||||
SITC International Holdings Co. Ltd. |
187,000 |
676,398 |
|||||||||
Xinyi Glass Holdings Ltd. |
611,593 |
1,529,708 |
|||||||||
6,518,239 |
|||||||||||
Real Estate (1.5%): |
|||||||||||
CK Asset Holdings Ltd. |
374,256 |
2,359,412 |
|||||||||
Hongkong Land Holdings Ltd. |
203,700 |
1,059,240 |
|||||||||
Sino Land Co. Ltd. |
783,629 |
975,980 |
|||||||||
Sun Hung Kai Properties Ltd. |
87,560 |
1,062,450 |
|||||||||
5,457,082 |
|||||||||||
Utilities (0.9%): |
|||||||||||
CK Infrastructure Holdings Ltd. |
207,500 |
1,321,444 |
|||||||||
Power Assets Holdings Ltd. (b) |
276,500 |
1,723,626 |
|||||||||
3,045,070 |
|||||||||||
17,440,998 |
|||||||||||
Israel (3.6%): |
|||||||||||
Financials (2.0%): |
|||||||||||
Bank Hapoalim BM |
134,722 |
1,389,467 |
|||||||||
Bank Leumi Le-Israel BM |
297,275 |
3,194,913 |
|||||||||
Israel Discount Bank Ltd., Class A |
176,392 |
1,186,753 |
|||||||||
Mizrahi Tefahot Bank Ltd. |
33,636 |
1,296,851 |
|||||||||
7,067,984 |
|||||||||||
Health Care (0.4%): |
|||||||||||
Inmode Ltd. (c) |
6,495 |
458,417 |
|||||||||
Teva Pharmaceutical Industries Ltd., ADR (c) |
130,549 |
1,045,697 |
|||||||||
1,504,114 |
|||||||||||
Materials (0.6%): |
|||||||||||
ICL Group Ltd. |
216,268 |
2,085,273 |
See notes to financial statements.
29
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.6%): |
|||||||||||
Azrieli Group Ltd. |
23,348 |
$ |
2,227,977 |
||||||||
12,885,348 |
|||||||||||
Italy (1.5%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Telecom Italia SpA |
3,899,178 |
1,925,312 |
|||||||||
Energy (0.2%): |
|||||||||||
Eni SpA |
60,581 |
841,872 |
|||||||||
Financials (0.7%): |
|||||||||||
Intesa Sanpaolo SpA |
325,143 |
840,820 |
|||||||||
UniCredit SpA |
111,418 |
1,716,092 |
|||||||||
2,556,912 |
|||||||||||
5,324,096 |
|||||||||||
Japan (25.2%): |
|||||||||||
Communication Services (0.8%): |
|||||||||||
Dentsu Group, Inc. |
11,200 |
398,767 |
|||||||||
KDDI Corp. |
23,800 |
694,851 |
|||||||||
Konami Holdings Corp. |
6,900 |
330,754 |
|||||||||
Nippon Telegraph & Telephone Corp. |
58,600 |
1,602,970 |
|||||||||
3,027,342 |
|||||||||||
Consumer Discretionary (3.6%): |
|||||||||||
Aisin Corp. |
20,400 |
781,243 |
|||||||||
Bridgestone Corp. |
29,700 |
1,276,413 |
|||||||||
Denso Corp. |
13,100 |
1,084,016 |
|||||||||
Honda Motor Co. Ltd. |
34,100 |
956,476 |
|||||||||
Iida Group Holdings Co. Ltd. |
44,700 |
1,038,749 |
|||||||||
Isuzu Motors Ltd. |
54,600 |
678,499 |
|||||||||
Mazda Motor Corp. (c) |
83,800 |
644,028 |
|||||||||
Nissan Motor Co. Ltd. (c) |
160,300 |
773,694 |
|||||||||
Panasonic Corp. |
39,000 |
428,422 |
|||||||||
Sekisui House Ltd. |
30,900 |
662,517 |
|||||||||
Subaru Corp. |
21,500 |
384,052 |
|||||||||
Sumitomo Electric Industries Ltd. |
74,200 |
966,201 |
|||||||||
Toyota Industries Corp. |
12,200 |
973,627 |
|||||||||
Toyota Motor Corp. |
72,800 |
1,331,079 |
|||||||||
Yamaha Motor Co. Ltd. |
30,400 |
728,354 |
|||||||||
12,707,370 |
|||||||||||
Consumer Staples (1.5%): |
|||||||||||
Asahi Group Holdings Ltd. |
26,800 |
1,041,233 |
|||||||||
Japan Tobacco, Inc. (a) |
88,300 |
1,780,876 |
|||||||||
Lawson, Inc. |
13,200 |
624,723 |
|||||||||
Seven & i Holdings Co. Ltd. |
31,200 |
1,369,869 |
|||||||||
Suntory Beverage & Food Ltd. |
17,100 |
617,741 |
|||||||||
5,434,442 |
See notes to financial statements.
30
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Energy (1.3%): |
|||||||||||
Ajinomoto Co., Inc. |
44,600 |
$ |
1,354,403 |
||||||||
ENEOS Holdings, Inc. |
273,800 |
1,023,109 |
|||||||||
Idemitsu Kosan Co. Ltd. |
45,244 |
1,153,937 |
|||||||||
Inpex Corp. |
107,100 |
931,911 |
|||||||||
4,463,360 |
|||||||||||
Financials (3.5%): |
|||||||||||
Concordia Financial Group Ltd. |
239,700 |
870,085 |
|||||||||
Japan Post Bank Co. Ltd. |
74,400 |
681,621 |
|||||||||
Japan Post Holdings Co. Ltd. |
153,800 |
1,197,758 |
|||||||||
Japan Post Insurance Co. Ltd. |
28,600 |
459,468 |
|||||||||
Mitsubishi HC Capital, Inc. |
95,500 |
471,881 |
|||||||||
Mitsubishi UFJ Financial Group, Inc. |
207,000 |
1,123,306 |
|||||||||
Mizuho Financial Group, Inc. |
94,200 |
1,196,775 |
|||||||||
ORIX Corp. |
46,900 |
956,083 |
|||||||||
Resona Holdings, Inc. |
280,100 |
1,088,244 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
34,400 |
1,177,884 |
|||||||||
Sumitomo Mitsui Trust Holdings, Inc. |
34,900 |
1,164,697 |
|||||||||
The Chiba Bank Ltd. |
157,700 |
902,473 |
|||||||||
The Shizuoka Bank Ltd. |
147,500 |
1,052,885 |
|||||||||
12,343,160 |
|||||||||||
Health Care (0.7%): |
|||||||||||
Medipal Holdings Corp. |
68,000 |
1,272,546 |
|||||||||
Shionogi & Co. Ltd. |
8,700 |
613,846 |
|||||||||
Sumitomo Dainippon Pharma Co. Ltd. |
45,900 |
528,136 |
|||||||||
2,414,528 |
|||||||||||
Industrials (6.0%): |
|||||||||||
AGC, Inc. |
20,800 |
991,637 |
|||||||||
Benefit One, Inc. |
7,600 |
325,700 |
|||||||||
Dai Nippon Printing Co. Ltd. |
42,700 |
1,072,738 |
|||||||||
Fuji Electric Co. Ltd. |
18,200 |
992,541 |
|||||||||
Hitachi Ltd. |
15,400 |
833,155 |
|||||||||
ITOCHU Corp. |
45,800 |
1,399,196 |
|||||||||
Kajima Corp. |
86,800 |
995,726 |
|||||||||
Kurita Water Industries Ltd. |
19,700 |
934,063 |
|||||||||
Lixil Corp. |
14,000 |
372,628 |
|||||||||
Marubeni Corp. |
117,000 |
1,137,437 |
|||||||||
Mitsubishi Corp. |
45,400 |
1,439,806 |
|||||||||
Mitsubishi Heavy Industries Ltd. |
21,400 |
494,139 |
|||||||||
Mitsui & Co. Ltd. |
53,600 |
1,267,679 |
|||||||||
NGK Insulators Ltd. |
27,100 |
457,491 |
|||||||||
Nippon Express Co. Ltd. (e) |
17,100 |
1,026,104 |
|||||||||
Nippon Yusen KK |
11,600 |
882,428 |
|||||||||
Obayashi Corp. |
130,300 |
1,007,051 |
|||||||||
Shimizu Corp. |
157,400 |
974,566 |
|||||||||
Sumitomo Corp. |
84,800 |
1,252,246 |
|||||||||
Taisei Corp. |
33,800 |
1,025,843 |
See notes to financial statements.
31
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
TOPPAN, Inc. |
58,700 |
$ |
1,099,016 |
||||||||
Toshiba Corp. |
10,000 |
410,751 |
|||||||||
Toyota Tsusho Corp. |
17,200 |
791,629 |
|||||||||
21,183,570 |
|||||||||||
Information Technology (3.5%): |
|||||||||||
Brother Industries Ltd. |
47,300 |
908,170 |
|||||||||
Canon, Inc. (a) |
50,400 |
1,225,916 |
|||||||||
FUJIFILM Holdings Corp. |
15,600 |
1,155,014 |
|||||||||
Fujitsu Ltd. |
6,200 |
1,062,273 |
|||||||||
Hirose Electric Co. Ltd. |
3,600 |
604,611 |
|||||||||
Ibiden Co. Ltd. |
14,600 |
867,214 |
|||||||||
Kyocera Corp. |
20,300 |
1,266,954 |
|||||||||
NEC Corp. |
21,200 |
977,569 |
|||||||||
NTT Data Corp. |
22,100 |
473,263 |
|||||||||
Renesas Electronics Corp. (c) |
28,800 |
355,889 |
|||||||||
Ricoh Co. Ltd. |
87,000 |
809,144 |
|||||||||
Rohm Co. Ltd. |
8,300 |
754,644 |
|||||||||
Seiko Epson Corp. |
45,900 |
825,486 |
|||||||||
SUMCO Corp. (b) |
15,400 |
314,138 |
|||||||||
TDK Corp. |
10,800 |
421,102 |
|||||||||
Tokyo Electron Ltd. |
800 |
460,458 |
|||||||||
12,481,845 |
|||||||||||
Materials (2.2%): |
|||||||||||
JFE Holdings, Inc. |
58,900 |
750,348 |
|||||||||
Mitsubishi Chemical Holdings Corp. |
140,200 |
1,037,301 |
|||||||||
Mitsubishi Gas Chemical Co., Inc. |
51,600 |
872,883 |
|||||||||
Mitsui Chemicals, Inc. |
31,100 |
834,519 |
|||||||||
Nippon Steel Corp. |
48,700 |
794,433 |
|||||||||
Oji Holdings Corp. |
182,200 |
881,294 |
|||||||||
Sumitomo Chemical Co. Ltd. |
189,400 |
891,449 |
|||||||||
Sumitomo Metal Mining Co. Ltd. |
21,300 |
804,611 |
|||||||||
Tosoh Corp. |
62,400 |
924,444 |
|||||||||
7,791,282 |
|||||||||||
Real Estate (1.0%): |
|||||||||||
Daito Trust Construction Co. Ltd. |
9,100 |
1,040,745 |
|||||||||
Daiwa House Industry Co. Ltd. |
31,600 |
907,757 |
|||||||||
Hulic Co. Ltd. |
110,200 |
1,045,012 |
|||||||||
Japan Metropolitan Fund Invest |
390 |
335,626 |
|||||||||
Open House Group Co. Ltd. |
5,500 |
287,526 |
|||||||||
3,616,666 |
|||||||||||
Utilities (1.1%): |
|||||||||||
Chubu Electric Power Co., Inc. |
123,700 |
1,301,936 |
|||||||||
Osaka Gas Co. Ltd. |
38,000 |
627,311 |
|||||||||
The Kansai Electric Power Co., Inc. |
124,100 |
1,157,426 |
|||||||||
Tokyo Electric Power Co. Holdings, Inc. (c) |
337,800 |
871,231 |
|||||||||
3,957,904 |
|||||||||||
89,421,469 |
See notes to financial statements.
32
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Luxembourg (0.6%): |
|||||||||||
Health Care (0.2%): |
|||||||||||
Eurofins Scientific SE |
6,549 |
$ |
810,293 |
||||||||
Materials (0.4%): |
|||||||||||
ArcelorMittal SA |
36,987 |
1,183,828 |
|||||||||
1,994,121 |
|||||||||||
Netherlands (4.0%): |
|||||||||||
Consumer Staples (0.8%): |
|||||||||||
Koninklijke Ahold Delhaize NV |
82,138 |
2,814,839 |
|||||||||
Energy (0.2%): |
|||||||||||
Royal Dutch Shell PLC, Class B |
35,701 |
784,512 |
|||||||||
Financials (1.3%): |
|||||||||||
Aegon NV |
263,455 |
1,316,152 |
|||||||||
ING Groep NV |
95,720 |
1,332,580 |
|||||||||
NN Group NV |
36,520 |
1,977,275 |
|||||||||
4,626,007 |
|||||||||||
Industrials (0.7%): |
|||||||||||
IMCD NV |
4,892 |
1,083,155 |
|||||||||
Wolters Kluwer NV |
12,884 |
1,517,919 |
|||||||||
2,601,074 |
|||||||||||
Information Technology (1.0%): |
|||||||||||
ASM International NV |
3,394 |
1,500,253 |
|||||||||
ASML Holding NV |
2,426 |
1,949,684 |
|||||||||
3,449,937 |
|||||||||||
14,276,369 |
|||||||||||
Norway (0.7%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
Schibsted ASA, Class B |
19,760 |
665,516 |
|||||||||
Materials (0.5%): |
|||||||||||
Norsk Hydro ASA |
254,556 |
2,006,819 |
|||||||||
2,672,335 |
|||||||||||
Singapore (1.3%): |
|||||||||||
Consumer Staples (0.7%): |
|||||||||||
Wilmar International Ltd. |
759,100 |
2,331,101 |
|||||||||
Real Estate (0.6%): |
|||||||||||
CapitaLand Integrated Commercial Trust |
62,137 |
94,025 |
|||||||||
CapitaLand Investment Ltd. (c) |
859,400 |
2,173,759 |
|||||||||
2,267,784 |
|||||||||||
4,598,885 |
See notes to financial statements.
33
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Spain (2.3%): |
|||||||||||
Communication Services (0.5%): |
|||||||||||
Telefonica SA |
400,504 |
$ |
1,754,411 |
||||||||
Energy (0.4%): |
|||||||||||
Repsol SA |
133,041 |
1,578,911 |
|||||||||
Financials (1.0%): |
|||||||||||
Banco Bilbao Vizcaya Argentaria SA |
221,381 |
1,321,715 |
|||||||||
Banco Santander SA |
380,422 |
1,272,111 |
|||||||||
CaixaBank SA |
277,332 |
761,335 |
|||||||||
3,355,161 |
|||||||||||
Utilities (0.4%): |
|||||||||||
Naturgy Energy Group SA |
44,501 |
1,448,870 |
|||||||||
8,137,353 |
|||||||||||
Sweden (4.8%): |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Evolution AB (d) |
3,842 |
545,799 |
|||||||||
Financials (2.3%): |
|||||||||||
EQT AB |
40,264 |
2,192,454 |
|||||||||
Industrivarden AB, Class A |
34,684 |
1,104,819 |
|||||||||
Investor AB, Class B (a) |
113,122 |
2,913,153 |
|||||||||
Kinnevik AB, Class B (c) |
22,608 |
805,926 |
|||||||||
L E Lundbergforetagen AB, Class B (a) |
19,146 |
1,074,257 |
|||||||||
8,090,609 |
|||||||||||
Health Care (0.2%): |
|||||||||||
Getinge AB, B Shares |
17,921 |
782,053 |
|||||||||
Industrials (1.5%): |
|||||||||||
Alfa Laval AB |
46,249 |
1,861,433 |
|||||||||
Investment AB Latour, Class B |
31,230 |
1,271,780 |
|||||||||
Nibe Industrier AB, Class B |
140,202 |
2,117,621 |
|||||||||
5,250,834 |
|||||||||||
Information Technology (0.3%): |
|||||||||||
Hexagon AB, Class B |
59,116 |
937,945 |
|||||||||
Real Estate (0.4%): |
|||||||||||
Fastighets AB Balder, Class B (c) |
11,134 |
801,553 |
|||||||||
Sagax AB, Class B |
21,636 |
728,859 |
|||||||||
1,530,412 |
|||||||||||
17,137,652 |
|||||||||||
Switzerland (3.5%): |
|||||||||||
Consumer Discretionary (0.9%): |
|||||||||||
Cie Financiere Richemont SA, Registered Shares |
14,838 |
2,230,219 |
|||||||||
The Swatch Group AG |
17,903 |
1,050,228 |
|||||||||
3,280,447 |
See notes to financial statements.
34
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Health Care (1.1%): |
|||||||||||
Alcon, Inc. |
13,292 |
$ |
1,177,848 |
||||||||
Bachem Holding AG, Registered Shares |
1,210 |
950,842 |
|||||||||
Sonova Holding AG |
2,360 |
926,750 |
|||||||||
Straumann Holding AG, Class R |
461 |
980,033 |
|||||||||
4,035,473 |
|||||||||||
Industrials (1.0%): |
|||||||||||
Kuehne + Nagel International AG, Class R |
7,907 |
2,554,816 |
|||||||||
VAT Group AG (d) |
1,756 |
875,736 |
|||||||||
3,430,552 |
|||||||||||
Materials (0.5%): |
|||||||||||
Glencore PLC |
332,330 |
1,687,734 |
|||||||||
12,434,206 |
|||||||||||
United Kingdom (10.8%): |
|||||||||||
Communication Services (1.7%): |
|||||||||||
BT Group PLC |
730,469 |
1,677,493 |
|||||||||
Pearson PLC |
90,087 |
748,214 |
|||||||||
Vodafone Group PLC |
1,231,626 |
1,872,687 |
|||||||||
WPP PLC |
118,549 |
1,797,559 |
|||||||||
6,095,953 |
|||||||||||
Consumer Discretionary (1.2%): |
|||||||||||
Barratt Developments PLC |
72,771 |
737,261 |
|||||||||
Entain PLC (c) |
21,566 |
491,603 |
|||||||||
Kingfisher PLC |
372,006 |
1,704,564 |
|||||||||
Stellantis NV |
75,551 |
1,433,609 |
|||||||||
4,367,037 |
|||||||||||
Consumer Staples (2.9%): |
|||||||||||
British American Tobacco PLC |
57,377 |
2,124,311 |
|||||||||
Coca-Cola Europacific Partners PLC |
16,433 |
919,098 |
|||||||||
Imperial Brands PLC |
90,186 |
1,974,586 |
|||||||||
J Sainsbury PLC |
558,719 |
2,087,127 |
|||||||||
Tesco PLC |
793,971 |
3,117,555 |
|||||||||
10,222,677 |
|||||||||||
Financials (1.8%): |
|||||||||||
3i Group PLC |
53,007 |
1,040,310 |
|||||||||
Aviva PLC |
151,621 |
842,807 |
|||||||||
Barclays PLC |
563,106 |
1,426,241 |
|||||||||
Lloyds Banking Group PLC |
1,239,474 |
802,466 |
|||||||||
NatWest Group PLC |
482,655 |
1,475,468 |
|||||||||
Standard Chartered PLC |
135,883 |
825,262 |
|||||||||
6,412,554 |
See notes to financial statements.
35
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Industrials (0.7%): |
|||||||||||
Ashtead Group PLC |
9,346 |
$ |
752,177 |
||||||||
CNH Industrial NV |
88,460 |
1,717,191 |
|||||||||
2,469,368 |
|||||||||||
Materials (1.6%): |
|||||||||||
Anglo American PLC |
36,541 |
1,492,702 |
|||||||||
Croda International PLC |
11,559 |
1,584,390 |
|||||||||
Evraz PLC (b) |
193,560 |
1,577,192 |
|||||||||
Rio Tinto PLC |
14,522 |
962,219 |
|||||||||
5,616,503 |
|||||||||||
Real Estate (0.9%): |
|||||||||||
Segro PLC |
170,164 |
3,310,812 |
|||||||||
38,494,904 |
|||||||||||
United States (0.4%): |
|||||||||||
Health Care (0.4%): |
|||||||||||
Bausch Health Cos., Inc. (c) |
45,996 |
1,272,296 |
|||||||||
Total Common Stocks (Cost $316,504,031) |
352,862,681 |
||||||||||
Collateral for Securities Loaned^ (0.8%) |
|||||||||||
United States (0.8%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 0.04% (f) |
69,976 |
69,976 |
|||||||||
Fidelity
Investments Money Market Government Portfolio, Institutional Shares, 0.01% (f) |
1,374,335 |
1,374,335 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 0.02% (f) |
34,921 |
34,921 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.07% (f) |
278,453 |
278,453 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 0.06% (f) |
1,251,977 |
1,251,977 |
|||||||||
Total Collateral for Securities Loaned (Cost $3,009,662) |
3,009,662 |
||||||||||
Total Investments (Cost $319,513,693) ? 100.2% |
355,872,343 |
||||||||||
Liabilities in excess of other assets ? (0.2)% |
(866,087 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
355,006,256 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security is on loan.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) Non-income producing security.
(d) 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 December 31, 2021, the fair value of these securities was $4,852,904 and amounted to 1.4% of net assets.
(e) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.3% of net assets as of December 31, 2021. (See Note 2 in the Notes to Financial Statements)
See notes to financial statements.
36
Victory Portfolios
II VictoryShares USAA MSCI International Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
(f) Rate disclosed is the daily yield on December 31, 2021.
ADR ? American Depositary Receipt
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini MSCI EAFE Index Futures |
11 |
3/18/22 |
$ |
1,256,434 |
$ |
1,276,990 |
$ |
20,556 |
|||||||||||||||
Total unrealized appreciation |
$ |
20,556 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
20,556 |
See notes to financial statements.
37
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.4%) |
|||||||||||
Brazil (2.5%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
Telefonica Brasil SA |
111,800 |
$ |
967,261 |
||||||||
Consumer Staples (0.5%): |
|||||||||||
JBS SA |
164,552 |
1,121,140 |
|||||||||
Financials (0.1%): |
|||||||||||
Banco Inter SA |
46,100 |
236,459 |
|||||||||
Materials (1.2%): |
|||||||||||
Bradespar SA, Preference Shares |
1 |
4 |
|||||||||
Braskem SA, Preference Shares |
31,900 |
330,053 |
|||||||||
Cia Siderurgica Nacional SA |
161,800 |
725,922 |
|||||||||
Vale SA |
127,092 |
1,778,832 |
|||||||||
2,834,811 |
|||||||||||
Utilities (0.3%): |
|||||||||||
Centrais Eletricas Brasileiras SA |
122,848 |
736,867 |
|||||||||
|
5,896,538 |
||||||||||
Chile (0.4%): |
|||||||||||
Consumer Staples (0.4%): |
|||||||||||
Cencosud SA |
627,977 |
1,050,314 |
|||||||||
China (19.8%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
Hello Group, Inc., ADR |
64,258 |
577,037 |
|||||||||
JOYY, Inc., ADR |
6,593 |
299,520 |
|||||||||
|
876,557 |
||||||||||
Consumer Discretionary (1.6%): |
|||||||||||
Brilliance China Automotive Holdings Ltd. (a) (b) (c) |
937,510 |
702,264 |
|||||||||
BYD Co. Ltd., Class H |
11,489 |
392,874 |
|||||||||
Dongfeng Motor Group Co. Ltd., Class H |
1,007,069 |
837,039 |
|||||||||
Great Wall Motor Co. Ltd., Class H |
168,621 |
579,639 |
|||||||||
Guangzhou Automobile Group Co. Ltd. |
958,228 |
945,163 |
|||||||||
Li Ning Co. Ltd. |
38,000 |
416,005 |
|||||||||
|
3,872,984 |
||||||||||
Energy (2.0%): |
|||||||||||
China Coal Energy Co. Ltd., Class H |
1,018,000 |
587,586 |
|||||||||
China Shenhua Energy Co. Ltd., Class H |
400,485 |
939,018 |
|||||||||
China Suntien Green Energy Corp. Ltd., Class H |
569,000 |
443,739 |
|||||||||
PetroChina Co. Ltd., Class H |
3,076,000 |
1,369,075 |
|||||||||
Yankuang Energy Group Co. Ltd., Class H (d) |
706,574 |
1,404,756 |
|||||||||
|
4,744,174 |
||||||||||
Financials (7.6%): |
|||||||||||
360 DigiTech, Inc., ADR |
62,844 |
1,441,013 |
|||||||||
Agricultural Bank of China Ltd., Class H (e) |
5,498,716 |
1,890,199 |
See notes to financial statements.
38
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Bank of China Ltd., Class H (d) (e) |
6,307,421 |
$ |
2,273,367 |
||||||||
Bank of Communications Co. Ltd., Class H |
3,201,181 |
1,933,938 |
|||||||||
China Cinda Asset Management Co. Ltd., Class H |
7,868,733 |
1,433,193 |
|||||||||
China CITIC Bank Corp. Ltd., Class H |
4,082,138 |
1,769,766 |
|||||||||
China Construction Bank Corp., Class H (e) |
2,666,416 |
1,846,856 |
|||||||||
China Everbright Bank Co. Ltd., Class H |
4,072,267 |
1,441,640 |
|||||||||
China Galaxy Securities Co. Ltd., Class H |
1,888,479 |
1,085,179 |
|||||||||
China Huarong Asset Management Co. Ltd., Class H (a) (b) (c) (f) |
9,215,577 |
602,843 |
|||||||||
China Minsheng Banking Corp. Ltd., Class H (d) |
4,225,374 |
1,615,076 |
|||||||||
Industrial & Commercial Bank of China Ltd., Class H (d) |
1,558,962 |
879,832 |
|||||||||
18,212,902 |
|||||||||||
Health Care (2.6%): |
|||||||||||
3SBio, Inc. (a) (f) |
458,000 |
381,848 |
|||||||||
Cansino Biologics, Inc., Class H (a) (d) (f) |
33,273 |
769,057 |
|||||||||
China Medical System Holdings Ltd. |
425,866 |
711,206 |
|||||||||
Genscript Biotech Corp. (a) |
144,000 |
637,225 |
|||||||||
I-Mab, ADR (a) |
7,859 |
372,438 |
|||||||||
Pharmaron Beijing Co. Ltd., Class H (f) |
22,354 |
344,931 |
|||||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H |
66,500 |
292,995 |
|||||||||
Shanghai Pharmaceuticals Holding Co. Ltd. |
809,322 |
1,534,289 |
|||||||||
Sinopharm Group Co. Ltd., Class H |
494,890 |
1,076,579 |
|||||||||
6,120,568 |
|||||||||||
Industrials (2.3%): |
|||||||||||
China Railway Group Ltd., Class H |
3,014,431 |
1,592,994 |
|||||||||
China State Construction International Holdings Ltd. |
1,114,000 |
1,384,588 |
|||||||||
COSCO SHIPPING Holdings Co. Ltd., Class H (a) |
459,907 |
891,935 |
|||||||||
Country Garden Services Holdings Co. Ltd. |
69,696 |
417,480 |
|||||||||
Fosun International Ltd. |
1,120,029 |
1,208,194 |
|||||||||
5,495,191 |
|||||||||||
Materials (1.5%): |
|||||||||||
Aluminum Corp. of China Ltd., Class H (a) |
1,430,000 |
790,542 |
|||||||||
China Hongqiao Group Ltd. |
772,711 |
815,696 |
|||||||||
China National Building Material Co. Ltd., Class H |
731,535 |
897,025 |
|||||||||
Dongyue Group Ltd. |
154,000 |
240,196 |
|||||||||
Jiangxi Copper Co. Ltd., Class H |
569,929 |
912,319 |
|||||||||
3,655,778 |
|||||||||||
Utilities (1.8%): |
|||||||||||
China Longyuan Power Group Corp. Ltd., Class H |
415,183 |
969,220 |
|||||||||
China Power International Development Ltd. |
3,707,269 |
2,496,461 |
|||||||||
Huaneng Power International, Inc., Class H |
1,243,183 |
830,777 |
|||||||||
4,296,458 |
|||||||||||
47,274,612 |
|||||||||||
Cyprus (0.5%): |
|||||||||||
Financials (0.5%): |
|||||||||||
TCS Group Holding PLC, GDR |
15,820 |
1,287,135 |
See notes to financial statements.
39
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Greece (1.0%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Hellenic Telecommunications Organization SA |
40,759 |
$ |
753,440 |
||||||||
Consumer Discretionary (0.3%): |
|||||||||||
FF Group (a) (b) (c) |
14,913 |
4,070 |
|||||||||
OPAP SA |
38,316 |
543,357 |
|||||||||
547,427 |
|||||||||||
Financials (0.4%): |
|||||||||||
Alpha Services and Holdings SA (a) |
237,897 |
291,369 |
|||||||||
Eurobank Ergasias Services and Holdings SA (a) |
690,895 |
700,362 |
|||||||||
991,731 |
|||||||||||
2,292,598 |
|||||||||||
Hong Kong (7.6%): |
|||||||||||
Energy (0.2%): |
|||||||||||
Kunlun Energy Co. Ltd. |
554,000 |
519,444 |
|||||||||
Financials (0.3%): |
|||||||||||
Far East Horizon Ltd. (d) |
680,586 |
604,089 |
|||||||||
Health Care (0.6%): |
|||||||||||
China Traditional Chinese Medicine Holdings Co. Ltd. |
2,256,525 |
1,496,381 |
|||||||||
Industrials (2.3%): |
|||||||||||
China Everbright Environment Group Ltd. |
1,772,652 |
1,423,342 |
|||||||||
China Merchants Port Holdings Co. Ltd. |
924,514 |
1,683,888 |
|||||||||
CITIC Ltd. |
1,562,682 |
1,543,380 |
|||||||||
Sinotruk Hong Kong Ltd. |
523,775 |
806,190 |
|||||||||
5,456,800 |
|||||||||||
Information Technology (0.9%): |
|||||||||||
Kingboard Holdings Ltd. |
233,314 |
1,135,701 |
|||||||||
Kingboard Laminates Holdings Ltd. |
235,077 |
399,821 |
|||||||||
Lenovo Group Ltd. |
499,516 |
574,075 |
|||||||||
2,109,597 |
|||||||||||
Materials (0.3%): |
|||||||||||
Nine Dragons Paper Holdings Ltd. |
778,940 |
836,259 |
|||||||||
Real Estate (1.5%): |
|||||||||||
China Overseas Property Holdings Ltd. |
1,005,000 |
1,066,063 |
|||||||||
The Wharf Holdings Ltd. |
304,783 |
936,284 |
|||||||||
Yuexiu Property Co. Ltd. |
1,666,086 |
1,468,134 |
|||||||||
3,470,481 |
|||||||||||
Utilities (1.5%): |
|||||||||||
Beijing Enterprises Holdings Ltd. |
496,847 |
1,714,298 |
|||||||||
China Resources Power Holdings Co. Ltd. |
580,209 |
1,942,390 |
|||||||||
3,656,688 |
|||||||||||
18,149,739 |
See notes to financial statements.
40
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Hungary (1.3%): |
|||||||||||
Energy (0.6%): |
|||||||||||
MOL Hungarian Oil & Gas PLC |
196,447 |
$ |
1,527,456 |
||||||||
Health Care (0.7%): |
|||||||||||
Richter Gedeon Nyrt |
61,118 |
1,645,346 |
|||||||||
3,172,802 |
|||||||||||
India (10.0%): |
|||||||||||
Consumer Discretionary (0.6%): |
|||||||||||
Tata Motors Ltd. (a) |
135,899 |
881,914 |
|||||||||
Titan Co. Ltd. |
18,456 |
626,260 |
|||||||||
1,508,174 |
|||||||||||
Consumer Staples (0.8%): |
|||||||||||
Avenue Supermarts Ltd. (a) (f) |
8,246 |
518,201 |
|||||||||
Marico Ltd. |
119,572 |
824,619 |
|||||||||
United Spirits Ltd. (a) |
52,601 |
635,615 |
|||||||||
1,978,435 |
|||||||||||
Energy (0.7%): |
|||||||||||
Indian Oil Corp. Ltd. |
387,870 |
581,787 |
|||||||||
Oil & Natural Gas Corp. Ltd. |
606,737 |
1,162,287 |
|||||||||
1,744,074 |
|||||||||||
Financials (0.6%): |
|||||||||||
Bajaj Finserv Ltd. |
2,125 |
468,997 |
|||||||||
State Bank of India |
157,067 |
972,904 |
|||||||||
1,441,901 |
|||||||||||
Health Care (1.0%): |
|||||||||||
Apollo Hospitals Enterprise Ltd. |
17,176 |
1,158,396 |
|||||||||
Divi's Laboratories Ltd. |
9,665 |
608,252 |
|||||||||
Sun Pharmaceutical Industries Ltd. |
58,313 |
663,414 |
|||||||||
2,430,062 |
|||||||||||
Industrials (0.8%): |
|||||||||||
Adani Enterprises Ltd. |
36,086 |
829,847 |
|||||||||
Bharat Electronics Ltd. |
174,604 |
493,143 |
|||||||||
Indian Railway Catering & Tourism Corp. Ltd. |
44,810 |
501,384 |
|||||||||
1,824,374 |
|||||||||||
Information Technology (1.4%): |
|||||||||||
Larsen & Toubro Infotech Ltd. (f) |
6,081 |
599,791 |
|||||||||
Mindtree Ltd. |
8,840 |
568,438 |
|||||||||
Mphasis Ltd. |
14,375 |
656,853 |
|||||||||
Tech Mahindra Ltd. |
34,142 |
822,391 |
|||||||||
Wipro Ltd. |
80,026 |
770,110 |
|||||||||
3,417,583 |
See notes to financial statements.
41
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Materials (2.1%): |
|||||||||||
Grasim Industries Ltd. |
24,957 |
$ |
544,644 |
||||||||
Hindalco Industries Ltd. |
153,387 |
981,268 |
|||||||||
JSW Steel Ltd. |
106,783 |
942,271 |
|||||||||
SRF Ltd. |
21,173 |
689,316 |
|||||||||
Tata Steel Ltd. |
57,276 |
856,378 |
|||||||||
Vedanta Ltd. |
199,877 |
917,434 |
|||||||||
4,931,311 |
|||||||||||
Real Estate (0.6%): |
|||||||||||
DLF Ltd. |
180,984 |
950,623 |
|||||||||
Godrej Properties Ltd. (a) |
15,486 |
389,944 |
|||||||||
1,340,567 |
|||||||||||
Utilities (1.4%): |
|||||||||||
Adani Total Gas Ltd. |
57,889 |
1,340,854 |
|||||||||
Adani Transmission Ltd. (a) |
36,606 |
857,268 |
|||||||||
NTPC Ltd. |
449,789 |
752,717 |
|||||||||
The Tata Power Co. Ltd. |
145,073 |
431,205 |
|||||||||
3,382,044 |
|||||||||||
23,998,525 |
|||||||||||
Indonesia (1.2%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
PT Tower Bersama Infrastructure Tbk |
2,038,000 |
421,828 |
|||||||||
Consumer Staples (1.0%): |
|||||||||||
PT Gudang Garam Tbk |
506,080 |
1,086,549 |
|||||||||
PT Indofood Sukses Makmur Tbk |
2,952,881 |
1,310,435 |
|||||||||
2,396,984 |
|||||||||||
2,818,812 |
|||||||||||
Isle of Man (0.2%): |
|||||||||||
Real Estate (0.2%): |
|||||||||||
NEPI Rockcastle PLC |
83,338 |
553,498 |
|||||||||
Korea, Republic Of (19.3%): |
|||||||||||
Communication Services (2.8%): |
|||||||||||
HYBE Co. Ltd. (a) |
1,719 |
504,674 |
|||||||||
Kakao Corp. |
4,569 |
432,398 |
|||||||||
Kakao Games Corp. (a) |
6,529 |
499,802 |
|||||||||
LG Uplus Corp. |
118,692 |
1,357,906 |
|||||||||
NAVER Corp. |
3,775 |
1,201,966 |
|||||||||
Pearl Abyss Corp. (a) |
11,709 |
1,362,233 |
|||||||||
SK Telecom Co. Ltd. |
25,667 |
1,250,153 |
|||||||||
6,609,132 |
|||||||||||
Consumer Discretionary (2.7%): |
|||||||||||
CJ ENM Co. Ltd. |
3,842 |
448,597 |
|||||||||
F&F Co. Ltd. (a) |
507 |
403,041 |
See notes to financial statements.
42
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Hankook Tire & Technology Co. Ltd. |
27,884 |
$ |
931,226 |
||||||||
Hyundai Mobis Co. Ltd. |
4,462 |
955,271 |
|||||||||
Hyundai Motor Co. |
5,378 |
945,533 |
|||||||||
Kia Corp. |
13,798 |
954,108 |
|||||||||
LG Electronics, Inc. |
8,787 |
1,020,068 |
|||||||||
Lotte Shopping Co. Ltd. |
12,551 |
920,671 |
|||||||||
6,578,515 |
|||||||||||
Consumer Staples (2.0%): |
|||||||||||
BGF Retail Co. Ltd. |
4,491 |
549,687 |
|||||||||
CJ CheilJedang Corp. |
3,647 |
1,188,822 |
|||||||||
E-MART, Inc. |
8,481 |
1,077,292 |
|||||||||
KT&G Corp. |
30,718 |
2,041,407 |
|||||||||
4,857,208 |
|||||||||||
Energy (0.9%): |
|||||||||||
GS Holdings Corp. |
49,774 |
1,637,151 |
|||||||||
S-Oil Corp. |
8,514 |
613,796 |
|||||||||
2,250,947 |
|||||||||||
Financials (4.7%): |
|||||||||||
DB Insurance Co. Ltd. |
24,570 |
1,116,114 |
|||||||||
Hana Financial Group, Inc. |
31,295 |
1,107,007 |
|||||||||
Industrial Bank of Korea |
154,074 |
1,334,984 |
|||||||||
KB Financial Group, Inc. |
28,296 |
1,309,173 |
|||||||||
Korea Investment Holdings Co. Ltd. |
5,782 |
392,519 |
|||||||||
Meritz Securities Co. Ltd. |
288,866 |
1,251,449 |
|||||||||
NH Investment & Securities Co. Ltd. |
59,104 |
621,493 |
|||||||||
Samsung Securities Co. Ltd. |
32,129 |
1,213,537 |
|||||||||
Shinhan Financial Group Co. Ltd. |
42,780 |
1,324,336 |
|||||||||
Woori Financial Group, Inc. |
140,604 |
1,502,142 |
|||||||||
11,172,754 |
|||||||||||
Health Care (0.1%): |
|||||||||||
Seegene, Inc. |
4,725 |
242,461 |
|||||||||
Industrials (2.0%): |
|||||||||||
Doosan Bobcat, Inc. (a) |
14,143 |
484,818 |
|||||||||
Ecopro BM Co. Ltd. |
1,019 |
429,287 |
|||||||||
GS Engineering & Construction Corp. |
31,059 |
1,034,647 |
|||||||||
HMM Co. Ltd. (a) |
26,124 |
591,155 |
|||||||||
Hyundai Engineering & Construction Co. Ltd. |
25,212 |
942,732 |
|||||||||
Hyundai Heavy Industries Holdings Co. Ltd. |
10,161 |
459,008 |
|||||||||
LG Corp. |
6,387 |
434,665 |
|||||||||
Pan Ocean Co. Ltd. |
82,967 |
377,583 |
|||||||||
4,753,895 |
|||||||||||
Information Technology (2.0%): |
|||||||||||
L&F Co. Ltd. |
1,568 |
293,353 |
|||||||||
LG Display Co. Ltd. (a) |
56,586 |
1,170,991 |
|||||||||
LG Innotek Co. Ltd. |
5,214 |
1,596,548 |
See notes to financial statements.
43
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
SK Hynix, Inc. |
12,479 |
$ |
1,375,183 |
||||||||
SK Square Co. Ltd. (a) |
6,732 |
376,029 |
|||||||||
4,812,104 |
|||||||||||
Materials (1.6%): |
|||||||||||
Hyundai Steel Co. |
23,518 |
811,136 |
|||||||||
Kumho Petrochemical Co. Ltd. |
5,488 |
766,358 |
|||||||||
Lotte Chemical Corp. |
5,719 |
1,043,973 |
|||||||||
POSCO |
4,832 |
1,115,780 |
|||||||||
3,737,247 |
|||||||||||
Utilities (0.5%): |
|||||||||||
Korea Electric Power Corp. |
67,703 |
1,258,663 |
|||||||||
46,272,926 |
|||||||||||
Malaysia (1.4%): |
|||||||||||
Consumer Discretionary (0.5%): |
|||||||||||
Genting Bhd |
1,064,700 |
1,193,507 |
|||||||||
Financials (0.4%): |
|||||||||||
CIMB Group Holdings Bhd |
714,400 |
934,585 |
|||||||||
Health Care (0.5%): |
|||||||||||
IHH Healthcare Bhd |
668,200 |
1,177,289 |
|||||||||
3,305,381 |
|||||||||||
Mexico (3.4%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
America Movil SAB de CV, Class L |
971,810 |
1,029,981 |
|||||||||
Grupo Televisa SAB |
177,145 |
333,688 |
|||||||||
1,363,669 |
|||||||||||
Consumer Staples (2.8%): |
|||||||||||
Arca Continental SAB de CV (d) |
342,696 |
2,185,618 |
|||||||||
Coca-Cola Femsa SAB de CV |
159,370 |
869,857 |
|||||||||
Fomento Economico Mexicano Sab de CV |
216,089 |
1,682,253 |
|||||||||
Grupo Bimbo SAB de CV, Class A |
655,692 |
2,017,539 |
|||||||||
6,755,267 |
|||||||||||
8,118,936 |
|||||||||||
Poland (3.8%): |
|||||||||||
Communication Services (1.1%): |
|||||||||||
Cyfrowy Polsat SA |
163,852 |
1,411,508 |
|||||||||
Orange Polska SA (a) |
530,574 |
1,112,383 |
|||||||||
2,523,891 |
|||||||||||
Consumer Discretionary (0.5%): |
|||||||||||
LPP SA |
308 |
1,314,411 |
See notes to financial statements.
44
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Energy (0.9%): |
|||||||||||
Polski Koncern Naftowy ORLEN SA |
57,693 |
$ |
1,064,137 |
||||||||
Polskie Gornictwo Naftowe i Gazownictwo SA |
722,460 |
1,129,292 |
|||||||||
2,193,429 |
|||||||||||
Financials (1.0%): |
|||||||||||
Bank Polska Kasa Opieki SA |
42,110 |
1,274,667 |
|||||||||
Powszechna Kasa Oszczednosci Bank Polski SA (a) |
57,587 |
641,967 |
|||||||||
Santander Bank Polska SA |
5,965 |
515,781 |
|||||||||
2,432,415 |
|||||||||||
Utilities (0.3%): |
|||||||||||
PGE Polska Grupa Energetyczna SA (a) |
299,246 |
598,581 |
|||||||||
9,062,727 |
|||||||||||
Russian Federation (2.5%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Magnit PJSC, GDR |
32,007 |
480,105 |
|||||||||
Energy (0.6%): |
|||||||||||
Gazprom PJSC |
323,772 |
1,481,803 |
|||||||||
Financials (0.3%): |
|||||||||||
Sberbank of Russia PJSC |
177,348 |
694,248 |
|||||||||
Materials (0.9%): |
|||||||||||
PhosAgro PJSC, GDR (e) |
34,984 |
754,955 |
|||||||||
Severstal PAO |
37,439 |
801,228 |
|||||||||
United Co. RUSAL International PJSC (a) |
553,950 |
546,518 |
|||||||||
2,102,701 |
|||||||||||
Utilities (0.5%): |
|||||||||||
Inter RAO UES PJSC |
23,404,572 |
1,333,169 |
|||||||||
6,092,026 |
|||||||||||
South Africa (2.7%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
MTN Group Ltd. (a) |
89,621 |
958,597 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Pepkor Holdings Ltd. (a) (f) |
309,278 |
424,191 |
|||||||||
Consumer Staples (0.3%): |
|||||||||||
Shoprite Holdings Ltd. |
51,661 |
676,125 |
|||||||||
Energy (0.4%): |
|||||||||||
Exxaro Resources Ltd. |
99,585 |
953,857 |
|||||||||
Health Care (0.4%): |
|||||||||||
Aspen Pharmacare Holdings Ltd. |
71,376 |
1,003,736 |
See notes to financial statements.
45
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Materials (1.0%): |
|||||||||||
African Rainbow Minerals Ltd. |
68,227 |
$ |
988,437 |
||||||||
Impala Platinum Holdings Ltd. |
46,286 |
652,528 |
|||||||||
Sasol Ltd. (a) |
36,283 |
588,803 |
|||||||||
Sibanye Stillwater Ltd. |
87,400 |
268,881 |
|||||||||
2,498,649 |
|||||||||||
6,515,155 |
|||||||||||
Taiwan (17.3%): |
|||||||||||
Consumer Discretionary (1.0%): |
|||||||||||
momo.com, Inc. |
17,000 |
998,482 |
|||||||||
Pou Chen Corp. |
1,181,000 |
1,415,049 |
|||||||||
2,413,531 |
|||||||||||
Financials (4.9%): |
|||||||||||
Cathay Financial Holding Co. Ltd. |
517,000 |
1,167,908 |
|||||||||
Chailease Holding Co. Ltd. |
83,000 |
790,490 |
|||||||||
China Development Financial Holding Corp. |
3,556,000 |
2,249,250 |
|||||||||
Fubon Financial Holding Co. Ltd. |
692,100 |
1,908,672 |
|||||||||
Shin Kong Financial Holding Co. Ltd. |
2,079,000 |
830,338 |
|||||||||
SinoPac Financial Holdings Co. Ltd. |
2,318,000 |
1,353,081 |
|||||||||
Taishin Financial Holding Co. Ltd. |
3,350,768 |
2,295,046 |
|||||||||
Yuanta Financial Holding Co. Ltd. |
1,141,656 |
1,043,984 |
|||||||||
11,638,769 |
|||||||||||
Industrials (1.0%): |
|||||||||||
Evergreen Marine Corp. Ltd. |
173,000 |
891,043 |
|||||||||
Wan Hai Lines Ltd. |
111,900 |
802,839 |
|||||||||
Yang Ming Marine Transport Corp. (a) |
140,000 |
612,282 |
|||||||||
2,306,164 |
|||||||||||
Information Technology (9.4%): |
|||||||||||
Acer, Inc. |
1,530,000 |
1,683,901 |
|||||||||
ASE Technology Holding Co. Ltd. |
294,000 |
1,131,709 |
|||||||||
Asustek Computer, Inc. |
134,000 |
1,821,086 |
|||||||||
AU Optronics Corp. |
1,227,000 |
1,015,589 |
|||||||||
Catcher Technology Co. Ltd. |
106,000 |
599,595 |
|||||||||
Compal Electronics, Inc. (e) |
2,609,000 |
2,282,062 |
|||||||||
eMemory Technology, Inc. |
4,000 |
316,623 |
|||||||||
Foxconn Technology Co. Ltd. |
579,000 |
1,358,192 |
|||||||||
Hon Hai Precision Industry Co. Ltd. |
387,000 |
1,454,729 |
|||||||||
Innolux Corp. |
1,293,000 |
915,994 |
|||||||||
Lite-On Technology Corp. |
851,000 |
1,962,403 |
|||||||||
Nan Ya Printed Circuit Board Corp. |
44,000 |
909,676 |
|||||||||
Synnex Technology International Corp. |
1,021,000 |
2,442,990 |
|||||||||
Unimicron Technology Corp. |
81,000 |
676,293 |
|||||||||
United Microelectronics Corp. |
463,142 |
1,088,092 |
|||||||||
Winbond Electronics Corp. |
412,000 |
506,307 |
|||||||||
WPG Holdings Ltd. (e) |
1,243,000 |
2,363,169 |
|||||||||
22,528,410 |
See notes to financial statements.
46
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Materials (0.3%): |
|||||||||||
China Steel Corp. |
636,000 |
$ |
812,614 |
||||||||
Real Estate (0.7%): |
|||||||||||
Ruentex Development Co. Ltd. |
699,000 |
1,611,892 |
|||||||||
41,311,380 |
|||||||||||
Thailand (1.5%): |
|||||||||||
Consumer Staples (1.1%): |
|||||||||||
Charoen Pokphand Foods PCL |
1,890,900 |
1,443,435 |
|||||||||
Thai Union Group PCL |
2,169,800 |
1,266,610 |
|||||||||
2,710,045 |
|||||||||||
Health Care (0.3%): |
|||||||||||
Sri Trang Gloves Thailand PCL |
690,500 |
625,284 |
|||||||||
Information Technology (0.1%): |
|||||||||||
Delta Electronics Thailand PCL |
15,950 |
196,719 |
|||||||||
3,532,048 |
|||||||||||
Turkey (1.8%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
Turkcell Iletisim Hizmetleri A/S |
454,675 |
632,038 |
|||||||||
Financials (0.9%): |
|||||||||||
Akbank TAS |
800,606 |
434,072 |
|||||||||
Turkiye Garanti Bankasi A/S |
892,704 |
757,602 |
|||||||||
Turkiye Is Bankasi A/S |
1,654,540 |
895,811 |
|||||||||
2,087,485 |
|||||||||||
Industrials (0.2%): |
|||||||||||
KOC Holding AS |
231,201 |
494,097 |
|||||||||
Materials (0.5%): |
|||||||||||
Eregli Demir ve Celik Fabrikalari TAS |
550,385 |
1,167,103 |
|||||||||
4,380,723 |
|||||||||||
United Arab Emirates (1.0%): |
|||||||||||
Communication Services (0.5%): |
|||||||||||
Emirates Telecommunications Group Co. PJSC |
139,822 |
1,206,724 |
|||||||||
Real Estate (0.5%): |
|||||||||||
Aldar Properties PJSC |
1,062,426 |
1,154,103 |
|||||||||
2,360,827 |
|||||||||||
United States (0.2%): |
|||||||||||
Health Care (0.2%): |
|||||||||||
Legend Biotech Corp., ADR (a) |
8,086 |
376,888 |
|||||||||
Total Common Stocks (Cost $215,196,045) |
237,823,590 |
See notes to financial statements.
47
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Security Description |
Shares |
Value |
|||||||||
Collateral for Securities Loaned^ (1.2%) |
|||||||||||
United States (1.2%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 0.04% (g) |
64,235 |
$ |
64,235 |
||||||||
Fidelity
Investments Money Market Government Portfolio, Institutional Shares, 0.01% (g) |
1,261,575 |
1,261,575 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 0.02% (g) |
32,056 |
32,056 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.07% (g) |
255,606 |
255,606 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 0.06% (g) |
1,149,255 |
1,149,255 |
|||||||||
Total Collateral for Securities Loaned (Cost $2,762,727) |
2,762,727 |
||||||||||
Total Investments (Cost $217,958,772) ? 100.6% |
240,586,317 |
||||||||||
Liabilities in excess of other assets ? (0.6)% |
(1,333,835 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
239,252,482 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2021, illiquid securities were 0.5% of net assets.
(c) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.5% of net assets as of December 31, 2021. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(d) All or a portion of this security is on loan.
(e) All or a portion of this security has been segregated as collateral for derivative instruments.
(f) 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 December 31, 2021, the fair value of these securities was $3,640,862 and amounted to 1.5% of net assets.
(g) Rate disclosed is the daily yield on December 31, 2021.
ADR ? American Depositary Receipt
GDR ? Global Depositary Receipt
PCL ? Public Company Limited
PLC ? Public Limited Company
See notes to financial statements.
48
Victory Portfolios
II VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
Schedule
of Portfolio Investments ? continued December 31, 2021 |
(Unaudited)
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini
MSCI Emerging Markets Index Futures |
17 |
3/18/22 |
$ |
1,030,704 |
$ |
1,042,355 |
$ |
11,651 |
|||||||||||||||
Total unrealized appreciation |
$ |
11,651 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
11,651 |
See notes to financial statements.
49
Victory Portfolios II |
Statements
of Assets and Liabilities December 31, 2021 |
(Unaudited)
VictoryShares USAA MSCI USA Value Momentum ETF |
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
||||||||||
Assets: |
|||||||||||
Investments, at value (Cost $316,085,415 and $256,647,453) |
$ |
376,825,908 |
(a) |
$ |
301,089,257 |
(b) |
|||||
Cash |
663,399 |
1,413,256 |
|||||||||
Deposit with broker for futures contracts |
304,819 |
247,681 |
|||||||||
Receivables: |
|||||||||||
Interest and dividends |
346,836 |
196,485 |
|||||||||
From Adviser |
9,843 |
? |
|||||||||
Prepaid expenses |
971 |
522 |
|||||||||
Total Assets |
378,151,776 |
302,947,201 |
|||||||||
Liabilities: |
|||||||||||
Payables: |
|||||||||||
Collateral received on loaned securities |
2,611,642 |
7,404,784 |
|||||||||
Investments purchased |
? |
728,620 |
|||||||||
Variation margin on open futures contracts |
2,750 |
1,640 |
|||||||||
Accrued expenses and other payables: |
|||||||||||
Investment advisory fees |
47,161 |
36,632 |
|||||||||
Administration fees |
6,112 |
5,116 |
|||||||||
Custodian fees |
3,502 |
2,449 |
|||||||||
Compliance fees |
290 |
205 |
|||||||||
Trustees' fees |
57 |
182 |
|||||||||
Other accrued expenses |
32,025 |
27,117 |
|||||||||
Total Liabilities |
2,703,539 |
8,206,745 |
|||||||||
Net Assets: |
|||||||||||
Capital |
337,073,558 |
264,090,869 |
|||||||||
Total accumulated earnings/(loss) |
38,374,679 |
30,649,587 |
|||||||||
Net Assets |
$ |
375,448,237 |
$ |
294,740,456 |
|||||||
Shares (unlimited shares authorized, no par value): |
5,300,000 |
4,000,000 |
|||||||||
Net asset value: |
$ |
70.84 |
$ |
73.69 |
(a) Includes $2,442,929 of securities on loan.
(b) Includes $6,790,948 of securities on loan.
See notes to financial statements.
50
Victory Portfolios II |
Statements
of Assets and Liabilities December 31, 2021 |
(Unaudited)
VictoryShares USAA MSCI International Value Momentum ETF |
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||
Assets: |
|||||||||||
Investments,
at value (Cost $319,513,693 and $217,958,772) |
$ |
355,872,343 |
(a) |
$ |
240,586,317 |
(b) |
|||||
Foreign currency, at value (Cost $114,351 and $148,041) |
114,873 |
148,041 |
|||||||||
Cash |
911,838 |
1,884,766 |
|||||||||
Deposit with broker for futures contracts |
225,974 |
245,250 |
|||||||||
Receivables: |
|||||||||||
Interest and dividends |
484,780 |
938,387 |
|||||||||
Reclaims |
526,636 |
7,092 |
|||||||||
From Adviser |
9,578 |
13,903 |
|||||||||
Prepaid expenses |
702 |
395 |
|||||||||
Total Assets |
358,146,724 |
243,824,151 |
|||||||||
Liabilities: |
|||||||||||
Payables: |
|||||||||||
Collateral received on loaned securities |
3,009,662 |
2,762,727 |
|||||||||
Investments purchased |
? |
1,242,490 |
|||||||||
Variation margin on open futures contracts |
794 |
5,950 |
|||||||||
Accrued foreign capital gains taxes |
? |
388,906 |
|||||||||
Accrued expenses and other payables: |
|||||||||||
Investment advisory fees |
73,641 |
60,142 |
|||||||||
Administration fees |
6,034 |
4,239 |
|||||||||
Custodian fees |
31,864 |
62,749 |
|||||||||
Compliance fees |
245 |
149 |
|||||||||
Trustees' fees |
221 |
? |
|||||||||
Other accrued expenses |
18,007 |
44,317 |
|||||||||
Total Liabilities |
3,140,468 |
4,571,669 |
|||||||||
Net Assets: |
|||||||||||
Capital |
371,548,061 |
235,681,076 |
|||||||||
Total accumulated earnings/(loss) |
(16,541,805 |
) |
3,571,406 |
||||||||
Net Assets |
$ |
355,006,256 |
$ |
239,252,482 |
|||||||
Shares (unlimited shares authorized, no par value): |
7,200,000 |
4,950,000 |
|||||||||
Net asset value: |
$ |
49.31 |
$ |
48.33 |
(a) Includes $2,864,892 of securities on loan.
(b) Includes $2,617,115 of securities on loan.
See notes to financial statements.
51
Victory Portfolios II |
Statements
of Operations For the Six Months Ended December 31, 2021 |
(Unaudited)
VictoryShares USAA MSCI USA Value Momentum ETF |
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
||||||||||
Investment Income: |
|||||||||||
Dividends |
$ |
3,587,529 |
$ |
2,178,857 |
|||||||
Interest |
42 |
129 |
|||||||||
Securities lending (net of fees) |
6,094 |
111,973 |
|||||||||
Foreign tax withholding |
(1,465 |
) |
(2,390 |
) |
|||||||
Total Income |
3,592,200 |
2,288,569 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees |
295,237 |
224,060 |
|||||||||
Administration fees |
106,927 |
81,134 |
|||||||||
Sub-Administration fees |
9,052 |
9,052 |
|||||||||
Custodian fees |
9,953 |
7,535 |
|||||||||
Servicing fees |
1,835 |
1,835 |
|||||||||
Trustees' fees |
13,705 |
9,752 |
|||||||||
Compliance fees |
1,496 |
1,077 |
|||||||||
Legal and audit fees |
14,532 |
12,970 |
|||||||||
Broker interest fees |
292 |
152 |
|||||||||
Interest fees |
321 |
? |
|||||||||
Licensing fees |
49,160 |
37,340 |
|||||||||
Other expenses |
21,047 |
14,613 |
|||||||||
Total Expenses |
523,557 |
399,520 |
|||||||||
Expenses waived/reimbursed by Adviser |
(129,611 |
) |
(47,377 |
) |
|||||||
Net Expenses |
393,946 |
352,143 |
|||||||||
Net Investment Income (Loss) |
3,198,254 |
1,936,426 |
|||||||||
Realized/Unrealized Gains (Losses) from Investments: |
|||||||||||
Net realized gains (losses) from investment securities |
(2,638,865 |
) |
(8,996,918 |
) |
|||||||
Net realized gains (losses) from futures contracts |
258,550 |
(13,092 |
) |
||||||||
Net realized gains (losses) from in-kind redemptions |
53,659,916 |
32,257,724 |
|||||||||
Net
change in unrealized appreciation/depreciation on investment securities |
(21,770,718 |
) |
(17,978,661 |
) |
|||||||
Net
change in unrealized appreciation/depreciation on futures contracts |
(32,417 |
) |
15,069 |
||||||||
Net realized/unrealized gains (losses) on investments |
29,476,466 |
5,284,122 |
|||||||||
Change in net assets resulting from operations |
$ |
32,674,720 |
$ |
7,220,548 |
See notes to financial statements.
52
Victory Portfolios II |
Statements
of Operations For the Six Months Ended December 31, 2021 |
(Unaudited)
VictoryShares USAA MSCI International Value Momentum ETF |
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||
Investment Income: |
|||||||||||
Dividends |
$ |
4,817,287 |
$ |
5,922,276 |
|||||||
Non-cash dividends |
249,914 |
896,433 |
|||||||||
Interest |
5,086 |
? |
|||||||||
Securities lending (net of fees) |
43,705 |
13,477 |
|||||||||
Foreign tax withholding |
(467,093 |
) |
(819,375 |
) |
|||||||
Total Income |
4,648,899 |
6,012,811 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees |
448,183 |
367,652 |
|||||||||
Administration fees |
97,376 |
66,568 |
|||||||||
Sub-Administration fees |
9,052 |
10,057 |
|||||||||
Custodian fees |
62,876 |
142,059 |
|||||||||
Servicing fees |
2,446 |
2,446 |
|||||||||
Trustees' fees |
11,769 |
8,226 |
|||||||||
Compliance fees |
1,311 |
890 |
|||||||||
Legal and audit fees |
21,214 |
22,750 |
|||||||||
Line of credit fees |
? |
2,155 |
|||||||||
Broker interest fees |
185 |
227 |
|||||||||
Interest fees |
3,455 |
2,130 |
|||||||||
Licensing fees |
62,743 |
42,867 |
|||||||||
Other expenses |
12,957 |
10,690 |
|||||||||
Total Expenses |
733,567 |
678,717 |
|||||||||
Expenses waived/reimbursed by Adviser |
(99,242 |
) |
(123,067 |
) |
|||||||
Net Expenses |
634,325 |
555,650 |
|||||||||
Net Investment Income (Loss) |
4,014,574 |
5,457,161 |
|||||||||
Realized/Unrealized Gains (Losses) from Investments: |
|||||||||||
Net
realized gains (losses) from investment securities and foreign
currency transactions |
9,282,023 |
6,199,893 |
|||||||||
Foreign taxes on realized gains |
? |
(295,428 |
) |
||||||||
Net realized gains (losses) from futures contracts |
(67,768 |
) |
(72,685 |
) |
|||||||
Net realized gains (losses) from in-kind redemptions |
? |
480,667 |
|||||||||
Net
change in unrealized appreciation/depreciation on investment
securities and foreign currency translations |
(9,117,973 |
) |
(21,758,629 |
) |
|||||||
Net
change in unrealized appreciation/depreciation on futures
contracts |
57,196 |
7,001 |
|||||||||
Net change in accrued foreign taxes on unrealized gains |
? |
(58,536 |
) |
||||||||
Net realized/unrealized gains (losses) on investments |
153,478 |
(15,497,717 |
) |
||||||||
Change in net assets resulting from operations |
$ |
4,168,052 |
$ |
(10,040,556 |
) |
See notes to financial statements.
53
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 |
||||||||||||||||||
Six Months Ended December 31, 2021 (Unaudited) |
Year Ended June 30, 2021 |
Six Months Ended December 31, 2021 (Unaudited) |
Year Ended June 30, 2021 |
||||||||||||||||
From Investment Activities: |
|||||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
3,198,254 |
$ |
7,298,240 |
$ |
1,936,426 |
$ |
2,465,298 |
|||||||||||
Net
realized gains (losses) from investments |
51,279,601 |
91,664,113 |
23,247,714 |
68,043,756 |
|||||||||||||||
Net
change in unrealized appreciation/depreciation on investments |
(21,803,135 |
) |
93,224,120 |
(17,963,592 |
) |
59,565,325 |
|||||||||||||
Change
in net assets resulting from operations |
32,674,720 |
192,186,473 |
7,220,548 |
130,074,379 |
|||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(3,945,776 |
) |
(7,140,505 |
) |
(1,462,984 |
) |
(3,526,739 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
(96,494,071 |
) |
(206,179,954 |
) |
(10,648,389 |
) |
(66,163,688 |
) |
|||||||||||
Change in net assets |
(67,765,127 |
) |
(21,133,986 |
) |
(4,890,825 |
) |
60,383,952 |
||||||||||||
Net Assets: |
|||||||||||||||||||
Beginning of period |
443,213,364 |
464,347,350 |
299,631,281 |
239,247,329 |
|||||||||||||||
End of period |
$ |
375,448,237 |
$ |
443,213,364 |
$ |
294,740,456 |
$ |
299,631,281 |
|||||||||||
Capital Transactions: |
|||||||||||||||||||
Proceeds from shares issued |
88,866,918 |
189,957,267 |
72,615,771 |
143,357,344 |
|||||||||||||||
Cost of shares redeemed |
(185,360,989 |
) |
(396,137,221 |
) |
(83,264,160 |
) |
(209,521,032 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
(96,494,071 |
) |
(206,179,954 |
) |
(10,648,389 |
) |
(66,163,688 |
) |
|||||||||||
Share Transactions: |
|||||||||||||||||||
Issued |
1,300,000 |
3,200,000 |
1,000,000 |
2,200,000 |
|||||||||||||||
Redeemed |
(2,750,000 |
) |
(6,700,000 |
) |
(1,150,000 |
) |
(3,300,000 |
) |
|||||||||||
Change in Shares |
(1,450,000 |
) |
(3,500,000 |
) |
(150,000 |
) |
(1,100,000 |
) |
See notes to financial statements.
54
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares
USAA MSCI International Value Momentum ETF |
VictoryShares
USAA MSCI Emerging Markets Value Momentum ETF |
||||||||||||||||||
Six Months Ended December 31, 2021 (Unaudited) |
Year Ended June 30, 2021 |
Six Months Ended December 31, 2021 (Unaudited) |
Year Ended June 30, 2021 |
||||||||||||||||
From Investment Activities: |
|||||||||||||||||||
Operations: |
|||||||||||||||||||
Net investment income (loss) |
$ |
4,014,574 |
$ |
10,949,323 |
$ |
5,457,161 |
$ |
7,389,948 |
|||||||||||
Net
realized gains (losses) from investments |
9,214,255 |
36,512,318 |
6,312,447 |
19,617,138 |
|||||||||||||||
Net
change in unrealized appreciation/depreciation on investments |
(9,060,777 |
) |
62,078,654 |
(21,810,164 |
) |
61,071,078 |
|||||||||||||
Change
in net assets resulting from operations |
4,168,052 |
109,540,295 |
(10,040,556 |
) |
88,078,164 |
||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(6,542,244 |
) |
(10,100,636 |
) |
(9,058,794 |
) |
(6,382,157 |
) |
|||||||||||
Change
in net assets resulting from capital transactions |
? |
(57,063,375 |
) |
(7,238,988 |
) |
19,002,805 |
|||||||||||||
Change in net assets |
(2,374,192 |
) |
42,376,284 |
(26,338,338 |
) |
100,698,812 |
|||||||||||||
Net Assets: |
|||||||||||||||||||
Beginning of period |
357,380,448 |
315,004,164 |
265,590,820 |
164,892,008 |
|||||||||||||||
End of period |
$ |
355,006,256 |
$ |
357,380,448 |
$ |
239,252,482 |
$ |
265,590,820 |
|||||||||||
Capital Transactions: |
|||||||||||||||||||
Proceeds from shares issued |
? |
45,460,436 |
? |
72,396,227 |
|||||||||||||||
Cost of shares redeemed |
? |
(102,523,811 |
) |
(7,238,988 |
) |
(53,393,422 |
) |
||||||||||||
Change
in net assets resulting from capital transactions |
? |
(57,063,375 |
) |
(7,238,988 |
) |
19,002,805 |
|||||||||||||
Share Transactions: |
|||||||||||||||||||
Issued |
? |
1,100,000 |
? |
1,800,000 |
|||||||||||||||
Redeemed |
? |
(2,100,000 |
) |
(150,000 |
) |
(1,050,000 |
) |
||||||||||||
Change in Shares |
? |
(1,000,000 |
) |
(150,000 |
) |
750,000 |
See notes to financial statements.
55
Victory Portfolios II |
Financial Highlights |
For a Share Outstanding Throughout Each Period
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net Investment Income (Loss)(a) |
Net
Realized and Unrealized Gains (Losses) on Investments |
Total
from Investment Activities |
Net Investment Income |
Total Distributions |
Net
Asset Value, End of Period |
Total
Return(b) |
||||||||||||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited) |
$ |
65.66 |
0.55 |
5.32 |
5.87 |
(0.69 |
) |
(0.69 |
) |
$ |
70.84 |
8.99 |
% |
||||||||||||||||||||||
Year
Ended June 30, 2021 |
$ |
45.30 |
0.81 |
20.32 |
21.13 |
(0.77 |
) |
(0.77 |
) |
$ |
65.66 |
47.02 |
% |
||||||||||||||||||||||
Ten
Months Ended June 30, 2020(e) |
$ |
50.37 |
0.72 |
(4.85 |
) |
(4.13 |
) |
(0.94 |
) |
(0.94 |
) |
$ |
45.30 |
(8.31 |
)% |
||||||||||||||||||||
Year
Ended August 31, 2019 |
$ |
53.85 |
1.00 |
(3.59 |
) |
(2.59 |
) |
(0.89 |
) |
(0.89 |
) |
$ |
50.37 |
(4.79 |
)% |
||||||||||||||||||||
October
24, 2017(f) through August 31, 2018 |
$ |
50.19 |
0.78 |
3.34 |
4.12 |
(0.46 |
) |
(0.46 |
) |
$ |
53.85 |
8.23 |
% |
||||||||||||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited) |
$ |
72.20 |
0.47 |
1.38 |
1.85 |
(0.36 |
) |
(0.36 |
) |
$ |
73.69 |
2.57 |
% |
||||||||||||||||||||||
Year
Ended June 30, 2021 |
$ |
45.57 |
0.52 |
26.84 |
27.36 |
(0.73 |
) |
(0.73 |
) |
$ |
72.20 |
60.47 |
% |
||||||||||||||||||||||
Ten
Months Ended June 30, 2020(e) |
$ |
49.54 |
0.60 |
(3.74 |
) |
(3.14 |
) |
(0.83 |
) |
(0.83 |
) |
$ |
45.57 |
(6.44 |
)% |
||||||||||||||||||||
Year
Ended August 31, 2019 |
$ |
57.21 |
1.00 |
(7.86 |
) |
(6.86 |
) |
(0.81 |
) |
(0.81 |
) |
$ |
49.54 |
(11.99 |
)% |
||||||||||||||||||||
October
24, 2017(f) through August 31, 2018 |
$ |
50.13 |
0.57 |
6.81 |
7.38 |
(0.30 |
) |
(0.30 |
) |
$ |
57.21 |
14.80 |
% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) Excludes impact of in-kind transactions.
(e) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(f) Commencement of operations.
(g) Includes impact of voluntary waivers. Without these voluntary waivers, the net expense ratio would have been at the contractual cap. (See note 4 in the Notes to Financial Statements)
See notes to financial statements.
56
Victory Portfolios II |
Financial Highlights ? continued |
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net Expenses(c) |
Net
Investment Income (Loss)(c) |
Gross Expenses(c) |
Net
Assets, End of Period (000's) |
Portfolio Turnover(b)(d) |
|||||||||||||||||||
VictoryShares USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited) |
0.20 |
% |
1.63 |
% |
0.27 |
% |
$ |
375,448 |
24 |
% |
|||||||||||||
Year
Ended June 30, 2021 |
0.20 |
% |
1.47 |
% |
0.27 |
% |
$ |
443,213 |
76 |
% |
|||||||||||||
Ten
Months Ended June 30, 2020(e) |
0.20 |
% |
1.80 |
% |
0.28 |
% |
$ |
464,347 |
66 |
% |
|||||||||||||
Year
Ended August 31, 2019 |
0.20 |
% |
2.00 |
% |
0.25 |
% |
$ |
468,445 |
87 |
% |
|||||||||||||
October
24, 2017(f) through August 31, 2018 |
0.20 |
% |
1.76 |
% |
0.25 |
% |
$ |
398,504 |
84 |
% |
|||||||||||||
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited) |
0.24 |
% |
1.30 |
% |
0.27 |
% |
$ |
294,740 |
34 |
% |
|||||||||||||
Year
Ended June 30, 2021 |
0.24 |
%(g) |
0.87 |
% |
0.28 |
% |
$ |
299,631 |
78 |
% |
|||||||||||||
Ten
Months Ended June 30, 2020(e) |
0.25 |
% |
1.53 |
% |
0.31 |
% |
$ |
239,247 |
70 |
% |
|||||||||||||
Year
Ended August 31, 2019 |
0.25 |
% |
1.98 |
% |
0.30 |
% |
$ |
101,564 |
88 |
% |
|||||||||||||
October
24, 2017(f) through August 31, 2018 |
0.25 |
% |
1.25 |
% |
0.30 |
% |
$ |
71,517 |
81 |
% |
See notes to financial statements.
57
Victory Portfolios II |
Financial Highlights |
For a Share Outstanding Throughout Each Period
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net Investment Income (Loss)(a) |
Net
Realized and Unrealized Gains (Losses) on Investments |
Total
from Investment Activities |
Net Investment Income |
Total Distributions |
Net
Asset Value, End of Period |
Total Return(b) |
||||||||||||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF |
|||||||||||||||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited): |
$ |
49.64 |
0.56 |
0.02 |
0.58 |
(0.91 |
) |
(0.91 |
) |
$ |
49.31 |
1.17 |
% |
||||||||||||||||||||||
Year
Ended June 30, 2021 |
$ |
38.42 |
1.28 |
11.17 |
12.45 |
(1.23 |
) |
(1.23 |
) |
$ |
49.64 |
32.66 |
% |
||||||||||||||||||||||
Ten
Months Ended June 30, 2020(e) |
$ |
43.16 |
0.83 |
(4.35 |
) |
(3.52 |
) |
(1.22 |
) |
(1.22 |
) |
$ |
38.42 |
(8.39 |
)% |
||||||||||||||||||||
Year
Ended August 31, 2019 |
$ |
48.10 |
1.30 |
(4.99 |
) |
(3.69 |
) |
(1.25 |
) |
(1.25 |
) |
$ |
43.16 |
(7.70 |
)% |
||||||||||||||||||||
October
24, 2017(f) through August 31, 2018 |
$ |
50.08 |
1.34 |
(2.64 |
) |
(1.30 |
) |
(0.68 |
) |
(0.68 |
) |
$ |
48.10 |
(2.64 |
)% |
||||||||||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited): |
$ |
52.08 |
1.10 |
(3.03 |
) |
(1.93 |
) |
(1.82 |
) |
(1.82 |
) |
$ |
48.33 |
(3.69 |
)% |
||||||||||||||||||||
Year
Ended June 30, 2021 |
$ |
37.91 |
1.36 |
14.10 |
15.46 |
(1.29 |
) |
(1.29 |
) |
$ |
52.08 |
41.48 |
% |
||||||||||||||||||||||
Ten
Months Ended June 30, 2020(e) |
$ |
41.23 |
0.73 |
(2.85 |
) |
(2.12 |
) |
(1.20 |
) |
(1.20 |
) |
$ |
37.91 |
(5.47 |
)% |
||||||||||||||||||||
Year
Ended August 31, 2019 |
$ |
45.58 |
1.31 |
(4.73 |
) |
(3.42 |
) |
(0.93 |
) |
(0.93 |
) |
$ |
41.23 |
(7.62 |
)% |
||||||||||||||||||||
October
24, 2017(f) through August 31, 2018 |
$ |
49.95 |
1.17 |
(5.10 |
) |
(3.93 |
) |
(0.44 |
) |
(0.44 |
) |
$ |
45.58 |
(7.95 |
)% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) Excludes impact of in-kind transactions.
(e) The Fund's fiscal year-end changed from August 31 to June 30, effective September 1, 2019.
(f) Commencement of operations.
See notes to financial statements.
58
Victory Portfolios II |
Financial Highlights ? continued |
For a Share Outstanding Throughout Each Period
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net Expenses(c) |
Net Investment Income (Loss)(c) |
Gross Expenses(c) |
Net
Assets, End of Period (000's) |
Portfolio Turnover(b)(d) |
|||||||||||||||||||
VictoryShares USAA MSCI International Value Momentum ETF |
|||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited): |
0.35 |
% |
2.24 |
% |
0.41 |
% |
$ |
355,006 |
36 |
% |
|||||||||||||
Year
Ended June 30, 2021 |
0.35 |
% |
2.86 |
% |
0.42 |
% |
$ |
357,380 |
90 |
% |
|||||||||||||
Ten
Months Ended June 30, 2020(e) |
0.35 |
% |
2.41 |
% |
0.41 |
% |
$ |
315,004 |
62 |
% |
|||||||||||||
Year
Ended August 31, 2019 |
0.35 |
% |
2.90 |
% |
0.40 |
% |
$ |
323,693 |
87 |
% |
|||||||||||||
October
24, 2017(f) through August 31, 2018 |
0.35 |
% |
3.12 |
% |
0.40 |
% |
$ |
307,836 |
65 |
% |
|||||||||||||
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||||||
Six
Months Ended December 31, 2021 (Unaudited): |
0.45 |
% |
4.46 |
% |
0.55 |
% |
$ |
239,252 |
35 |
% |
|||||||||||||
Year
Ended June 30, 2021 |
0.45 |
% |
2.98 |
% |
0.56 |
% |
$ |
265,591 |
95 |
% |
|||||||||||||
Ten
Months Ended June 30, 2020(e) |
0.45 |
% |
2.18 |
% |
0.57 |
% |
$ |
164,892 |
51 |
% |
|||||||||||||
Year
Ended August 31, 2019 |
0.45 |
% |
3.00 |
% |
0.50 |
% |
$ |
169,051 |
67 |
% |
|||||||||||||
October
24, 2017(f) through August 31, 2018 |
0.45 |
% |
2.77 |
% |
0.50 |
% |
$ |
154,974 |
58 |
% |
See notes to financial statements.
59
Victory Portfolios II |
Notes
to Financial Statements December 31, 2021 |
(Unaudited)
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 Fund. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with Generally Accepted Accounting Principles in the United States of America ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the "Exchange"). The Funds issue and redeem shares ("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
60
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
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.
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 ETFs, American Depositary Receipts ("ADRs"), and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies are valued at 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
61
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time 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 December 31, 2021, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
USAA MSCI USA Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
374,214,266 |
$ |
? |
$ |
? |
$ |
374,214,266 |
|||||||||||
Collateral for Securities Loaned |
2,611,642 |
? |
? |
2,611,642 |
|||||||||||||||
Total |
$ |
376,825,908 |
$ |
? |
$ |
? |
$ |
376,825,908 |
|||||||||||
Other Financial Investments^: |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures |
$ |
13,771 |
$ |
? |
$ |
? |
$ |
13,771 |
|||||||||||
Total |
$ |
13,771 |
$ |
? |
$ |
? |
$ |
13,771 |
|||||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
293,680,343 |
$ |
? |
$ |
? |
$ |
293,680,343 |
|||||||||||
Rights |
? |
? |
4,130 |
4,130 |
|||||||||||||||
Collateral for Securities Loaned |
7,404,784 |
? |
? |
7,404,784 |
|||||||||||||||
Total |
$ |
301,085,127 |
$ |
? |
$ |
4,130 |
$ |
301,089,257 |
|||||||||||
Other Financial Investments^: |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures |
$ |
8,018 |
$ |
? |
$ |
? |
$ |
8,018 |
|||||||||||
Total |
$ |
8,018 |
$ |
? |
$ |
? |
$ |
8,018 |
|||||||||||
USAA MSCI International Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
351,836,577 |
$ |
1,026,104 |
$ |
? |
$ |
352,862,681 |
|||||||||||
Collateral for Securities Loaned |
3,009,662 |
? |
? |
3,009,662 |
|||||||||||||||
Total |
$ |
354,846,239 |
$ |
1,026,104 |
$ |
? |
$ |
355,872,343 |
|||||||||||
Other Financial Investments^: |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures |
$ |
20,556 |
$ |
? |
$ |
? |
$ |
20,556 |
|||||||||||
Total |
$ |
20,556 |
$ |
? |
$ |
? |
$ |
20,556 |
|||||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
|||||||||||||||||||
Common Stocks |
$ |
236,514,413 |
$ |
? |
$ |
1,309,177 |
$ |
237,823,590 |
|||||||||||
Collateral for Securities Loaned |
2,762,727 |
? |
? |
2,762,727 |
|||||||||||||||
Total |
$ |
239,277,140 |
$ |
? |
$ |
1,309,177 |
$ |
240,586,317 |
|||||||||||
Other Financial Investments^: |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures |
$ |
11,651 |
$ |
? |
$ |
? |
$ |
11,651 |
|||||||||||
Total |
$ |
11,651 |
$ |
? |
$ |
? |
$ |
11,651 |
^ Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
62
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
For the six months ended December 31, 2021, there were no transfers in or out of Level 3 in the fair value hierarchy.
As of December 31, 2021, there were no significant Level 3 holdings in the fair value hierarchy
Real Estate Investment Trusts ("REITs"):
The Funds may invest in REITs, which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real-estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Derivative Instruments:
Foreign Exchange Currency Contracts:
The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of December 31, 2021, the Funds had no open forward foreign exchange currency contracts.
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require
63
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
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 December 31, 2021, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
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 December 31, 2021:
Asset |
|||||||
Variation
Margin Receivable on Open Futures Contracts* |
|||||||
Equity Risk Exposure: |
|||||||
USAA MSCI USA Value Momentum ETF |
$ |
13,771 |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
8,018 |
||||||
USAA MSCI International Value Momentum ETF |
20,556 |
||||||
USAA MSCI Emerging Markets Value Momentum ETF |
11,651 |
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts is reported within the Statements of Assets and Liabilities.
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the period ended December 31, 2021:
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 |
$ |
258,550 |
$ |
(32,417 |
) |
||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
(13,092 |
) |
15,069 |
||||||||
USAA
MSCI International Value Momentum ETF |
(67,768 |
) |
57,196 |
||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
(72,685 |
) |
7,001 |
64
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
All open derivative positions at period end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at period end is generally representative of the notional amount of open positions to net assets throughout the period.
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 in ADRs by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The 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 December 31, 2021.
Value
of Securities on Loan |
Non-Cash
Collateral |
Cash Collateral |
|||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
2,442,929 |
$ |
? |
$ |
2,611,642 |
|||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
6,790,948 |
? |
7,404,784 |
||||||||||||
USAA MSCI International Value Momentum ETF |
2,864,892 |
? |
3,009,662 |
||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
2,617,115 |
? |
2,762,727 |
65
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
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:
It is each Fund's policy 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 six months ended December 31, 2021, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain income 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 of in-kind transactions for the six months ended December 31, 2021, were as follows. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as Net realized gains (losses) from in-kind redemptions.
|
Excluding U.S. Government Securities |
Associated
with In-Kind Transactions |
|||||||||||||||||
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
USAA
MSCI USA Value Momentum ETF |
$ |
97,827,110 |
$ |
96,624,071 |
$ |
88,394,838 |
$ |
184,614,477 |
|||||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
105,655,096 |
103,987,208 |
72,084,817 |
83,159,228 |
|||||||||||||||
USAA
MSCI International Value Momentum ETF |
125,443,623 |
126,901,097 |
? |
? |
|||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
85,161,164 |
91,760,025 |
? |
3,587,996 |
66
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
4. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate |
|||||||
USAA MSCI USA Value Momentum Index 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 six months ended December 31, 2021, 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 six months ended December 31, 2021, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator and sub-fund accountant to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The 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 six months ended December 31, 2021, 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 the aggregate, compensate the Adviser for these services. Amounts incurred for the six months ended December 31, 2021, are reflected on the Statements of Operations as Compliance fees.
Transfer Agency Fees:
Citibank serves as the Funds' Transfer Agent. Amounts incurred for the six months ended December 31, 2021, are reflected on the Statements of Operations as Transfer agent fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC ("Foreside") serves as the Funds' distributor.
67
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the six months ended December 31, 2021, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures 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 December 31, 2021, 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, 2021, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount. Prior to May 1, 2021, the Funds were permitted to recoup fees waived and expenses reimbursed for up to three years after the fiscal year in which the waiver or reimbursement took place, subject to the limitations above. This change did not have any effect on the amounts previously reported for recoupment.
As of December 31, 2021, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that repayments are not probable at December 31, 2021.
Expires 2023 |
Expires 2024 |
Expires 2025 |
Total |
||||||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
197,876 |
$ |
169,706 |
$ |
56,677 |
$ |
424,259 |
|||||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
40,487 |
? |
? |
40,487 |
|||||||||||||||
USAA MSCI International Value Momentum ETF |
71,346 |
144,936 |
42,382 |
258,664 |
|||||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
114,888 |
195,585 |
84,196 |
394,669 |
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 six months ended December 31, 2021, the Adviser voluntarily waived the following amounts:
USAA MSCI USA Value Momentum ETF |
$ |
72,934 |
|||||
USAA MSCI USA Small Cap Value Momentum ETF |
47,377 |
||||||
USAA MSCI International Value Momentum ETF |
56,860 |
||||||
USAA MSCI Emerging Markets Value Momentum ETF |
38,871 |
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.
68
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
5. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk ? An investment in the Funds' shares represents an indirect investment in the securities owned by the Funds, some of which will be traded on a national securities exchange or in the over-the-counter markets. The value of the securities in which the Funds invest, like other market investments, may move up or down, sometimes rapidly and unpredictably. The value of the securities in which the Funds invest may affect the value of the Funds' shares. An investment in the Funds' shares at any point in time may be worth less than the original investment, even after taking into account the reinvestment of the Funds' distributions.
Foreign Securities Risk ? The USAA MSCI Emerging Markets Value Momentum ETF and USAA MSCI International Value Momentum ETF invest in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised, and continue to exercise, substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The 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.
6. Borrowing and Interfund Lending:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 28, 2021, with a termination date of June 27, 2022. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the six months ended December 31, 2021, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest (one-month London InterBank Offered Rate ("LIBOR") plus one percent, with LIBOR to be replaced by a different benchmark rate in accordance with the terms of the agreement) on amounts borrowed. Prior to June 28, 2021, the Victory Funds Complex paid an annual commitment fee of 0.15% and an upfront fee of 0.10%. Each fund in the Victory Funds Complex paid a
69
Victory Portfolios II |
Notes
to Financial Statements ? continued December 31, 2021 |
(Unaudited)
pro-rata portion of the upfront fee. Interest charged to each fund during the period, if applicable, is reflected on the Statement of Operations under Line of credit fees.
The average borrowing for the days outstanding and average interest rate for each Fund during the six months ended December 31, 2021, were as follows:
Amount Outstanding at December 31, 2021 |
Average Borrowing* |
Days Borrowings Outstanding |
Average Interest Rate |
Maximum Borrowing During the Period |
|||||||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
$ |
? |
$ |
14,200,000 |
4 |
1.15 |
% |
18,000,000 |
* For the six months ended December 31, 2021, based on the number of days borrowings were outstanding.
7. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.
Declared |
Paid |
||||||||||
USAA MSCI USA Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI International Value Momentum ETF |
Monthly |
Monthly |
|||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
Monthly |
Monthly |
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings (deficit) will be determined at the end of the current tax year ending June 30, 2022.
As of June 30, 2021, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.
Short-Term |
Long-Term |
Total |
|||||||||||||
USAA MSCI USA Value Momentum ETF |
$ |
46,215,266 |
$ |
27,236,702 |
$ |
73,451,968 |
|||||||||
USAA MSCI USA Small Cap Value Momentum ETF |
29,253,603 |
8,031,372 |
37,284,975 |
||||||||||||
USAA MSCI International Value Momentum ETF |
40,393,661 |
18,995,460 |
59,389,121 |
||||||||||||
USAA MSCI Emerging Markets Value Momentum ETF |
13,909,530 |
6,470,588 |
20,380,118 |
70
Victory Portfolios II |
Supplemental
Information December 31, 2021 |
(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 the 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 the 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 July 1, 2021, through December 31, 2021.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. 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 7/1/21 |
Actual Ending Account Value 12/31/21 |
Hypothetical Ending Account Value 12/31/21 |
Actual Expenses Paid During Period 7/1/21- 12/31/21* |
Hypothetical Expenses Paid During Period 7/1/21- 12/31/21* |
Annualized Expense Ratio During Period 7/1/21- 12/31/21 |
||||||||||||||||||||||
USAA
MSCI USA Value Momentum Index ETF |
$ |
1,000.00 |
$ |
1,089.90 |
$ |
1,024.20 |
$ |
1.05 |
$ |
1.02 |
0.20 |
% |
|||||||||||||||
USAA
MSCI USA Small Cap Value Momentum ETF |
1,000.00 |
1,025.70 |
1,024.00 |
1.23 |
1.22 |
0.24 |
% |
71
Victory Portfolios II |
Supplemental
Information ? continued December 31, 2021 |
(Unaudited)
Beginning Account Value 7/1/21 |
Actual Ending Account Value 12/31/21 |
Hypothetical Ending Account Value 12/31/21 |
Actual Expenses Paid During Period 7/1/21- 12/31/21* |
Hypothetical Expenses Paid During Period 7/1/21- 12/31/21* |
Annualized Expense Ratio During Period 7/1/21- 12/31/21 |
||||||||||||||||||||||
USAA
MSCI International Value Momentum ETF |
$ |
1,000.00 |
$ |
1,011.70 |
$ |
1,023.44 |
$ |
1.77 |
$ |
1.79 |
0.35 |
% |
|||||||||||||||
USAA
MSCI Emerging Markets Value Momentum ETF |
1,000.00 |
963.10 |
1,022.94 |
2.23 |
2.29 |
0.45 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 184/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
72
Victory Portfolios II |
Supplemental
Information ? continued December 31, 2021 |
(Unaudited)
Considerations of the Board in Continuing the Investment Advisory Agreement (the "Agreement")
The Board approved the Agreement on behalf of each of the Funds at a meeting, which was called for that purpose, on November 30, 2021. The Board also considered information relating to the Funds and the Agreement provided throughout the year and, more specifically, at the meetings on October 19, 2021, and November 30, 2021. In considering whether to approve the Agreement, the Board requested, and the Adviser provided, information that the Board believed to be reasonably necessary to reach its conclusions.
The Board, including the Independent Trustees, evaluated this information along with other information obtained throughout the year and was advised by legal counsel to the Funds and independent legal counsel to the Independent Trustees.
The Board noted that each Fund assumed the performance of its predecessor fund, that the Adviser became the investment adviser to each Fund on February 26, 2019, and that prior to that date each predecessor fund was managed by a different investment adviser.
The Board took into consideration regular reports from the Adviser throughout the COVID-19 pandemic public health crisis concerning how the ongoing pandemic has affected market volatility, investment risk, liquidity and valuation of portfolio securities, and the implementation and effectiveness of business continuity plans. These reports also had confirmed that the pandemic had no material impact on the Adviser's operations.
The Board considered each Fund's advisory fee, expense ratio and investment performance as significant factors in determining whether the Agreement should be continued. In considering whether the compensation paid to the Adviser was fair and reasonable, the Board also evaluated, among other things, the following factors:
? The requirements of the Funds for the services provided by the Adviser;
? The nature, quality and extent of the services provided and expected to be provided;
? The performance of the Funds as compared to comparable funds;
? The fees payable for the services and whether the fee arrangements provided for economies of scale that would benefit Fund shareholders as the Funds grow (acknowledging that economies of scale can be complex to assess and typically are not directly measurable);
? Whether the fee would be sufficient to enable the Adviser to attract and retain experienced personnel and continue to provide quality services to the Funds;
? Fees paid by other clients of the Adviser whose accounts are managed in a similar investment style and any differences in the services provided to the other clients compared to those provided to the Funds;
? The total expenses of each Fund;
? Management's commitment to operating the Funds at competitive expense levels;
? The profitability of the Adviser (as reflected by comparing fees earned against an estimate of the Adviser's costs) with respect to the Adviser's relationship with the Funds;
? Research and other service benefits received by the Adviser obtained through payment of client commissions for securities transactions;
? Other benefits received by the Adviser, and its affiliates, including revenues paid to the Adviser, or its affiliates, by the Funds for administration and fund accounting services, and distribution;
? The capabilities and financial condition of the Adviser;
? Current economic and industry trends; and
? The historical relationship between the Trust and the Adviser.
The Board reviewed each Fund's current management fee in the context of the Adviser's profitability with respect to each Fund. The Board retained a consultant to provide comparative information about fees and performance. The Board met with the consultant to review its inputs and methodologies, among other things. The Board compared each Fund's gross management fee and total expense ratio on a net and gross basis with the median gross management fee and median expense ratio of a universe of comparable exchange-traded funds ("ETFs") compiled by the consultant and a peer group of funds with similar investment strategies selected
73
Victory Portfolios II |
Supplemental
Information ? continued December 31, 2021 |
(Unaudited)
by that consultant from the universe. The Board reviewed the factors and methodology used by the consultant in the selection of each Fund's peer group, including the consultant's selection of a broad universe of funds, the more specific universe of comparable funds, and peer groups of funds with comparable investment strategies and asset levels, among other factors.
The Board noted that none of the advisory fee arrangements for the Funds included breakpoints, which would be a structure that results in reduced fees as a fund grows. The Board also considered the Adviser's commitment to limit expenses as discussed in more detail below.
The Board also reviewed the compliance and administrative services provided to the Funds by the Adviser and its affiliates, including the Adviser's oversight of the Funds' day-to-day operations and oversight of Fund accounting, assistance in meeting legal and regulatory requirements, and other services necessary for the operation of the Funds and the Trust.
The Board found that the gross annual management fee paid by each Fund was within the range of management fees paid by each Fund's respective peer group. The Board also found that each Fund's net annual expense ratio was reasonable as compared with each Fund's respective peer group. The Board considered the Adviser's contractual agreement with each Fund to waive its fees and reimburse expenses for a specified period of time, as described in the Fund's prospectus.
The Board reviewed each Fund's performance over the one-year period against the performance of the Fund's selected peer group and benchmark index, noting that each Fund's investment objective is to track its benchmark index before fees and expenses. The Board recognized that the performance of each Fund is net of expenses, while the performance of each benchmark index reflects gross returns, and as a result, each Fund will generally underperform its benchmark index due to fees and expenses. The Board also considered each Fund's tracking error as a factor in evaluating performance.
The Board reviewed various other specific factors with respect to each Fund, as described below. In their deliberations, the Trustees did not rank the importance of any particular information or factor considered and each Trustee may have attributed different weights to various factors.
VictoryShares USAA MSCI USA Value Momentum ETF
Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year and three-year performance for the periods ended June 30, 2021, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund outperformed the benchmark index for both of the periods reviewed, outperformed the peer group median for the one-year period and underperformed the peer group median for the three-year period.
Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.
VictoryShares USAA MSCI USA Small Cap Value Momentum ETF
Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year and three-year performance for the periods ended June 30, 2021, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund outperformed both the benchmark index and the peer group median for both of the periods reviewed.
Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.
74
Victory Portfolios II |
Supplemental
Information ? continued December 31, 2021 |
(Unaudited)
VictoryShares USAA MSCI International Value Momentum ETF
Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year and three-year performance for the periods ended June 30, 2021, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, outperformed the peer group median for the one-year period and underperformed the peer group median for the three-year period.
Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.
VictoryShares USAA MSCI Emerging Markets Value Momentum ETF
Noting that the Fund commenced operations in 2017, the Board compared the Fund's one-year and three-year performance for the periods ended June 30, 2021, to that of the median performance of the Fund's peer group and benchmark index for the same periods and considered the fact that the Fund underperformed the benchmark index for both of the periods reviewed, outperformed the peer group median for the one-year period and underperformed the peer group median for the three-year period.
Having considered, among other things: (1) the Fund's management fee compared to comparable ETFs; (2) the Fund's total expense ratio compared to comparable ETFs; (3) that the Adviser's willingness to limit the expenses for a period of time would provide stability to the Fund's expenses during that period; and (4) that the Fund's performance in relation to its benchmark index and peer group was within an acceptable range, the Board concluded that the Agreement continued to be in the best interests of the Fund's shareholders.
Conclusion
Based on its review of the information requested and provided, and following extended discussions, the Board determined that the Agreement, on behalf of the Funds discussed above, was consistent with the best interests of each Fund and its shareholders, and the Board unanimously approved the Agreement, on behalf of each Fund, for an additional annual period on the basis of the foregoing review and discussions and the following considerations, among others:
? The fairness and reasonableness of the investment advisory fee payable to the Adviser under the Agreement in light of the investment advisory services provided, the costs of these services, the profitability of the Adviser's relationship with the Fund and the comparability of the fee paid to the fees paid by other investment companies, to the extent applicable;
? The nature, quality and extent of the investment advisory services provided by the Adviser;
? The Adviser's entrepreneurial commitment to the management of the Funds and the creation of a broad-based family of funds, which could entail a substantial commitment of the Adviser's resources to the successful operation of the Funds;
? The Adviser's representations regarding its staffing and capabilities to manage the Funds, including the retention of personnel with relevant portfolio management experience;
? The Adviser's efforts to enhance investment results by, among other things, developing quality portfolio management teams; and
? The overall high quality of the personnel, operations, financial condition, investment management capabilities, methodologies and performance of the Adviser.
75
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: |
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www.vcm.com |
866-376-7890 |
VS-MSCI-ETF-SAR (12/21)