June 30, 2022

Annual Report

VictoryShares US 500 Volatility Wtd ETF

VictoryShares US Small Cap Volatility Wtd ETF

VictoryShares International Volatility Wtd ETF

VictoryShares US Large Cap High Div Volatility Wtd ETF

VictoryShares US Small Cap High Div Volatility Wtd ETF

VictoryShares International High Div Volatility Wtd ETF

VictoryShares Emerging Market High Div Volatility Wtd ETF

VictoryShares Dividend Accelerator ETF

VictoryShares US Multi-Factor Minimum Volatility ETF

VictoryShares US 500 Enhanced Volatility Wtd ETF

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

VictoryShares US Discovery Enhanced Volatility Wtd ETF

VictoryShares Developed Enhanced Volatility Wtd ETF

VictoryShares Nasdaq Next 50 ETF

VictoryShares ESG Core Plus Bond ETF

VictoryShares ESG Corporate Bond ETF

VictoryShares THB Mid Cap ESG ETF


 

www.vcm.com

News, Information And Education 24 Hours A Day, 7 Days A Week

The Victory Capital website gives fund shareholders, prospective shareholders, and investment professionals a convenient way to access fund information, get guidance, and track fund performance anywhere they can access the Internet. The site includes:

? Detailed performance records

? Daily share prices

? The latest fund news

? Investment resources to help you become a better investor

? A section dedicated to investment professionals

Whether you're a potential investor searching for the fund that matches your investment philosophy, a seasoned investor interested in planning tools, or an investment professional, www.vcm.com has what you seek. Visit us anytime. We're always open.


 

Victory Portfolios II

TABLE OF CONTENTS

Shareholder Letter (Unaudited)

   

4

   
Managers' Commentary / Investment
Overview (Unaudited)
   

6

   
Investment Objective and Portfolio
Holdings (Unaudited)
   

45

   

Schedules of Portfolio Investments

 

VictoryShares US 500 Volatility Wtd ETF

    62    

VictoryShares US Small Cap Volatility Wtd ETF

    74    

VictoryShares International Volatility Wtd ETF

    86    
VictoryShares US Large Cap High Div Volatility
Wtd ETF
    105    
VictoryShares US Small Cap High Div Volatility
Wtd ETF
    109    
VictoryShares International High Div Volatility
Wtd ETF
    113    
VictoryShares Emerging Market High Div Volatility
Wtd ETF
    120    

VictoryShares Dividend Accelerator ETF

    127    

VictoryShares US Multi-Factor Minimum Volatility ETF

    130    

VictoryShares US 500 Enhanced Volatility Wtd ETF

    133    
VictoryShares US EQ Income Enhanced Volatility
Wtd ETF
    145    
VictoryShares US Discovery Enhanced Volatility
Wtd ETF
    149    

VictoryShares Developed Enhanced Volatility Wtd ETF

    161    

VictoryShares Nasdaq Next 50 ETF

    181    

VictoryShares ESG Core Plus Bond ETF

    184    

VictoryShares ESG Corporate Bond ETF

    198    

VictoryShares THB Mid Cap ESG ETF

    206

 

 

Financial Statements

 

Statements of Assets and Liabilities

    208    

Statements of Operations

    214    

Statements of Changes in Net Assets

    220    

Financial Highlights

    226    

Notes to Financial Statements

   

238

   
Report of Independent Registered Public
Accounting Firm
   

262

   

Supplemental Information (Unaudited)

   

264

   

Trustee and Officer Information

    264    

Proxy Voting and Portfolio Holdings Information

    268    

Expense Examples

    268    

Additional Federal Income Tax Information

    270    

Liquidity Risk Management Program

    271    

Privacy Policy (inside back cover)

 
 


1


 

IRA DISTRIBUTION WITHHOLDING DISCLOSURE

We generally must withhold federal income tax at a rate of 10% of the taxable portion of your distribution and, if you live in a state that requires state income tax withholding, at your state's tax rate. However, you may elect not to have withholding apply or to have income tax withheld at a higher rate. Any withholding election that you make will apply to any subsequent distribution unless and until you change or revoke the election. If you wish to make a withholding election, or change or revoke a prior withholding election, call 800-539-3863 and form W-4P (OMB No. 1545-0074 withholding certificate for pension or annuity payments) will be electronically sent.

If you do not have a withholding election in place by the date of a distribution, federal income tax will be withheld from the taxable portion of your distribution at a rate of 10%. If you must pay estimated taxes, you may be subject to estimated tax penalties if your estimated tax payments are not sufficient and sufficient tax is not withheld from your distribution.

For more specific information, please consult your tax adviser.

The Funds are distributed by Foreside Fund Services, LLC. Victory Capital Management Inc. is the investment adviser to the Funds and receives fees from the Funds for performing services for the Funds.

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus of the Victory Funds.

For additional information about any Victory Fund, including fees, expenses, and risks, view our prospectus online at vcm.com or call 800-539-3863. Read it carefully before you invest or send money.

The information in this report is based on data obtained from recognized services and sources and is believed to be reliable. Any opinions, projections, or recommendations in this report are subject to change without notice and are not intended as individual investment advice. Past investment performance of the Funds, markets or securities mentioned herein should not be considered to be indicative of future results.

? NOT FDIC INSURED ? NO BANK GUARANTEE ? MAY LOSE VALUE

Call Victory at:

800-539-FUND (800-539-3863)

Visit our website at:

www.vcm.com

 


2


 

This page is intentionally left blank.

 


3


 

Victory Funds Letter to Shareholders
(Unaudited)

Dear Shareholder,

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

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

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

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

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

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

 


4


 

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

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

On the following pages you will find information relating to your Victory Funds investment. If you have any questions regarding the current market dynamics or your specific portfolio or investment plan, we encourage you to contact your financial advisor. If you invest with us directly, you may call 800-539-3863 or visit our website at www.vcm.com.

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

Christopher K. Dyer, CFA

President,

Victory Funds

 


5


 

VictoryShares US 500 Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US 500 Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -8.63% for the fiscal year ended June 30, 2022, compared to the Index's return of -8.32%. The Fund outperformed the S&P 500? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.

Over the reporting period, the Fund's performance relative to the S&P 500? Index was driven by its underweight positions in the largest market-cap stocks within the index. The top 10 stocks in the S&P 500? Index combined to make up over 28% of the Index, while the Fund only held 2% in these same names. This underweight added 0.54% of relative performance. The Fund's positive stock selection in the rest of the market also added value during the reporting period. The Fund's underweight to the Energy sector was a detractor from relative performance.

 


6


 

VictoryShares US 500 Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/1/14

 

7/1/14

         



 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Large Cap
500 Volatility
Weighted Index1
 

S&P 500? Index2

 

One Year

   

?8.63

%

   

?8.57

%

   

?8.32

%

   

?10.62

%

 

Five Year

   

9.29

%

   

9.29

%

   

9.66

%

   

11.31

%

 

Since Inception

   

9.33

%

   

9.33

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US 500 Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Large Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The S&P 500? Index, an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


7


 

VictoryShares US Small Cap Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US Small Cap Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -11.82% for the fiscal year ended June 30, 2022, compared to the Index's return of -11.40%. The Fund outperformed the Russell 2000? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.20% for the period.

The Fund's overweight to the Financials sector and underweight to the Health Care sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Health Care and Information Technology sectors, but detracted in the Energy sector.

 


8


 

VictoryShares US Small Cap Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/8/15

 

7/8/15

         



 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Small Cap
500 Volatility
Weighted Index1
 

Russell 2000? Index2

 

One Year

   

?11.82

%

   

?11.83

%

   

?11.40

%

   

?25.20

%

 

Five Year

   

7.37

%

   

7.38

%

   

7.75

%

   

5.17

%

 

Since Inception

   

8.49

%

   

8.49

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Small Cap Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Small Cap 500 Volatility Weighted Index consists of 500 of the largest U.S. small cap stocks with $3 billion or less of market value with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The Russell 2000? Index measures the performance of the small-cap segment of the U.S. equity universe. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


9


 

VictoryShares International Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares International Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -16.10% for the fiscal year ended June 30, 2022, compared to the Index's return of -15.81%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.

The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in the United Kingdom.

 


10


 

VictoryShares International Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

8/20/15

         



 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
International
500 Volatility
Weighted Index1
 

MSCI EAFE Index (Net)2

 

One Year

   

?16.10

%

   

?15.53

%

   

?15.81

%

   

?17.77

%

 

Five Year

   

2.19

%

   

2.25

%

   

2.45

%

   

2.20

%

 

Since Inception

   

3.10

%

   

3.21

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares International Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory International 500 Volatility Weighted Index consists of 500 of the largest developed country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


11


 

VictoryShares US Large Cap High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US Large Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 5.50% for the fiscal year ended June 30, 2022, compared to the Index's return of 5.95%. The Fund outperformed the Russell 1000? Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -6.82% for the period.

The Fund's overweight to the Utilities and Consumer Staples sectors were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Staples and Information Technology sectors, but detracted in the Energy sector.

 


12


 

VictoryShares US Large Cap High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/8/15

 

7/8/15

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Large Cap
High Dividend
100 Volatility
Weighted Index1
  Russell 1000?
Value Index2
 

One Year

   

5.50

%

   

5.63

%

   

5.95

%

   

?6.82

%

 

Five Year

   

10.02

%

   

10.04

%

   

10.44

%

   

7.17

%

 

Since Inception

   

10.88

%

   

10.90

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Large Cap High Div Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend yielding stocks of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The Russell 1000? Value Index is made up of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


13


 

VictoryShares US Small Cap High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US Small Cap High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -9.76% for the fiscal year ended June 30, 2022, compared to the Index's return of -9.31%. The Fund outperformed the Russell 2000? Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -16.28% for the period.

The Fund's overweight to the Consumer Staples sector and underweight to the Health Care sector were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Discretionary and Financials sectors, but detracted in the Industrials sector.

 


14


 

VictoryShares US Small Cap High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/8/15

 

7/8/15

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Small Cap
High Dividend
100 Volatility
Weighted Index1
  Russell 2000?
Value Index2
 

One Year

   

?9.76

%

   

?9.78

%

   

?9.31

%

   

?16.28

%

 

Five Year

   

9.10

%

   

9.11

%

   

9.50

%

   

4.89

%

 

Since Inception

   

9.63

%

   

9.64

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Small Cap High Div Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The Russell 2000? Index is an index measuring the performance of approximately 2,000 smallest-cap American companies in the Russell 3000? Index, which is made up of 3,000 of the largest U.S. stocks. It is a market cap-weighted index. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


15


 

VictoryShares International High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares International High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -5.92% for the fiscal year ended June 30, 2022, compared to the Index's return of -5.32%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.

The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in Norway.

 


16


 

VictoryShares International High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

8/20/15

 

8/20/15

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
International
High Dividend
100 Volatility
Weighted Index1
 

MSCI EAFE Index (Net)2

 

One Year

   

?5.92

%

   

?5.82

%

   

?5.32

%

   

?17.77

%

 

Five Year

   

1.31

%

   

1.22

%

   

1.81

%

   

2.20

%

 

Since Inception

   

1.67

%

   

1.67

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares International High Div Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory International High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory International 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


17


 

VictoryShares Emerging Market High Div Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares Emerging Market High Div Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -18.55% for the fiscal year ended June 30, 2022, compared to the Index's return of -17.69%. The Fund outperformed the MSCI Emerging Markets Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.28% for the period.

The Fund's underweight to South Korea was a large positive contributor to relative performance. An overweight to Russia was a detractor. Stock selection was positive in China and Taiwan, but detracted in Malaysia.

 


18


 

VictoryShares Emerging Market High Div Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

10/26/17

 

10/26/17

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
Emerging Market
High Dividend
100 Volatility
Weighted Index1
  MSCI Emerging
Markets Index (Net)2
 

One Year

   

?18.55

%

   

?17.96

%

   

?17.69

%

   

?25.28

%

 

Since Inception

   

?1.39

%

   

?1.34

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Emerging Market High Div Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index consists of the highest 100 dividend-yielding stocks of the Nasdaq Victory Emerging Market 500 Volatility Weighted Index. These stocks are then weighted based on their standard deviation (volatility). This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The MSCI Emerging Markets Index (Net) captures large- and mid-cap representation across 24 Emerging Markets (EM) countries. With 1,380 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


19


 

VictoryShares Dividend Accelerator ETF

Managers' Commentary
(Unaudited)

VictoryShares Dividend Accelerator ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index (the "Index") before fees and expenses.

The Fund returned -4.49% for the fiscal year ended June 30, 2022, compared to the Index's return of -4.13%. The Fund outperformed the S&P 500? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.

The Fund's overweight to the Consumer Staples sector and underweight to the Communication Services sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Consumer Discretionary and Financials sectors, but detracted in the Materials sector.

 


20


 

VictoryShares Dividend Accelerator ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

4/18/17

 

4/18/17

         



 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
Dividend
Accelerator
Index1
 

S&P 500? Index2

 

One Year

   

?4.49

%

   

?4.54

%

   

?4.13

%

   

?10.62

%

 

Five Year

   

11.58

%

   

11.59

%

   

12.00

%

   

11.31

%

 

Since Inception

   

11.75

%

   

11.76

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Dividend Accelerator ETF ? Growth of $10,000

1The Nasdaq Victory Dividend Accelerator Index utilizes a rules-based approach designed to identify dividend paying stocks with a higher likelihood of future dividend growth. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The S&P 500? Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


21


 

VictoryShares US Multi-Factor Minimum Volatility ETF

Managers' Commentary
(Unaudited)

VictoryShares US Multi-Factor Minimum Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index (the "Index") before fees and expenses.

The Fund returned -2.04% for the fiscal year ended June 30, 2022, compared to the Index's return of -1.65%. The Fund outperformed the S&P 500? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.

The Fund's overweight to the Consumer Staples sector and underweight to the Communication Services sector were positive contributors to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Consumer Discretionary and Industrials sectors, but detracted in Consumer Staples.

 


22


 

VictoryShares US Multi-Factor Minimum Volatility ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

6/22/17

 

6/22/17

         



 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Multi-Factor
Minimum
Volatility Index1
 

S&P 500? Index2

 

One Year

   

?2.04

%

   

?1.97

%

   

?1.65

%

   

?10.62

%

 

Five Year

   

10.37

%

   

10.35

%

   

10.77

%

   

11.31

%

 

Since Inception

   

10.19

%

   

10.17

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Multi-Factor Minimum Volatility ETF ? Growth of $10,000

1The Nasdaq Victory US Multi-Factor Minimum Volatility Index utilizes a rules-based approach designed to generate investment returns with less volatility than the broader U.S. market. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The S&P 500? Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


23


 

VictoryShares US 500 Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US 500 Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -8.67% over the fiscal year ended June 30, 2022, compared to the Index's return of -8.32%. The Fund outperformed the S&P 500? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -10.62% for the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities during May of 2022. The Fund then reallocated to 100% equities in June of 2022. The Long/Cash feature had a relatively small impact on the Fund's relative performance versus the S&P 500? Index for the fiscal year.

Over the reporting period, the Fund's performance relative to the S&P 500? Index was driven by its underweight positions in the largest market-cap names within the index. The top 10 stocks in the S&P 500? Index combined to make up over 28% of the Index, while the Fund only held 2% in these same names. This underweight added 0.54% of relative performance. The Fund's positive stock selection in the rest of the market also added value during the reporting period. The Fund's cash allocation and underweight to the Energy sector were detractors during the reporting period.

 


24


 

VictoryShares US 500 Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/1/14

 

7/1/14

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Large Cap
500 Long/Cash
Volatility
Weighted Index1
 

S&P 500? Index2

 

One Year

   

?8.67

%

   

?8.67

%

   

?8.32

%

   

?10.62

%

 

Five Year

   

9.24

%

   

9.25

%

   

9.66

%

   

11.31

%

 

Since Inception

   

9.27

%

   

9.28

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US 500 Enhanced Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The S&P 500? Index is an unmanaged index comprised of 500 domestically traded common stocks, is weighted according to the market value of each common stock in the index, and includes reinvestment of dividends. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


25


 

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

The VictoryShares US EQ Income Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned 5.49% for the fiscal year ended June 30, 2022, compared to the Index's return of 5.95%. The Fund outperformed the Russell 1000? Value Index, a market cap-based index against which the performance of the Fund is also measured, which returned -6.82% for the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index did not trigger during the reporting period.

The Fund's overweight to the Utilities and Consumer Staples sectors were positive contributors to relative performance. The underweight to the Health Care sector was a detractor. Stock selection was positive in the Consumer Staples and Information Technology sectors, but detracted in the Energy sector.

 


26


 

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/1/14

 

7/1/14

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Large Cap High
Dividend 100
Long/Cash Volatility
Weighted Index1
  Russell 1000?
Value Index2
 

One Year

   

5.49

%

   

5.55

%

   

5.95

%

   

?6.82

%

 

Five Year

   

12.13

%

   

12.13

%

   

12.58

%

   

7.17

%

 

Since Inception

   

11.54

%

   

11.54

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US EQ Income Enhanced Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The Russell 1000? Value Index is made up of about 1,000 of the largest companies in the U.S. equity market. It represents top companies by market capitalization. It's made up of about 90% of the total market capitalization of all U.S. stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


27


 

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares US Discovery Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -8.00% for the fiscal year ended June 30, 2022, compared to the Index's return of -7.49%, The Fund outperformed the Russell 2000? Index, a market cap-based index against which the performance of the Fund is also measured, which returned -25.20% for the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities in May and June of 2022.

The Long/Cash feature had a positive impact on the Fund's relative performance versus the Russell 2000? Index for the fiscal year. The Fund's underweight to the Health Care sector was a positive contributor to relative performance. The underweight to the Energy sector was a detractor. Stock selection was positive in the Health Care and Information Technology sectors, but detracted in the Energy sector.

 


28


 

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

7/31/14

 

7/31/14

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
US Small Cap
500 Long/Cash
Volatility
Weighted Index1
 

Russell 2000? Index2

 

One Year

   

?8.00

%

   

?8.06

%

   

?7.49

%

   

?25.20

%

 

Five Year

   

7.21

%

   

7.21

%

   

7.71

%

   

5.17

%

 

Since Inception

   

7.14

%

   

7.13

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares US Discovery Enhanced Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory US Small Cap 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The Russell 2000? Index is a market capitalization-weighted index composed of 2,000 U.S. small-cap common stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


29


 

VictoryShares Developed Enhanced Volatility Wtd ETF

Managers' Commentary
(Unaudited)

VictoryShares Developed Enhanced Volatility Wtd ETF (the "Fund") seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index (the "Index") before fees and expenses.

The Fund returned -11.20% for the fiscal year ended June 30, 2022, compared to the Index's return of -10.72%. The Fund outperformed the MSCI EAFE Index, a market cap-based index against which the performance of the Fund is also measured, which returned -17.77% for the period.

In tracking the Index and its rules-based methodology, the Fund reallocates from equities to U.S. Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash feature"). The Long/Cash feature of the Index triggered during the reporting period and the Fund was 75% allocated to T-Bills and 25% to equities in May and June of 2022.

The Long/Cash feature had a positive impact on the Fund's relative performance versus the MSCI EAFE Index for the fiscal year. The Fund's overweight to Canada was a large positive contributor to relative performance. An overweight to South Korea was a detractor. Stock selection was positive in Japan and the Netherlands, but detracted in the United Kingdom.

 


30


 

VictoryShares Developed Enhanced Volatility Wtd ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

9/30/14

 

9/30/14

         




 

Net Asset Value

 

Market Price Value

  Nasdaq Victory
International
500 Long/Cash
Volatility
Weighted Index1
 

MSCI EAFE Index (Net)2

 

One Year

   

?11.20

%

   

?10.85

%

   

?10.72

%

   

?17.77

%

 

Five Year

   

0.67

%

   

0.47

%

   

1.17

%

   

2.20

%

 

Since Inception

   

?0.03

%

   

?0.04

%

   

N/A

     

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Developed Enhanced Volatility Wtd ETF ? Growth of $10,000

1The Nasdaq Victory International 500 Long/Cash Volatility Weighted Index reduces its exposure to the equity markets during periods of significant market declines and reinvests when the market prices have further declined or rebounded. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

2The MSCI EAFE Index (Net) is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


31


 

VictoryShares Nasdaq Next 50 ETF

Managers' Commentary
(Unaudited)

VictoryShares Nasdaq Next 50 ETF offers exposure to the new generation of innovators, the 50 stocks that are next in line for inclusion in the Nasdaq-100 Index?. The Fund seeks to provide investment results that track the performance of the Nasdaq Q-50 Index? (the "Index") before fees and expenses.

The Fund returned -32.34% for the fiscal year ended June 30, 2022, compared to the Index's return of -32.29% for the period.

The Index's large weight and stock selection within the Technology sector was the largest negative contributors to the Fund's relative performance. The Consumer Discretionary and Communication Services sectors were also negative contributors.

 


32


 

VictoryShares Nasdaq Next 50 ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Year Ended June 30, 2022

INCEPTION DATE

 

9/9/20

 

9/9/20

         
   

Net Asset Value

 

Market Price Value

 

Nasdaq Q-50 Index1

 

One Year

   

?32.34

%

   

?32.34

%

   

?32.29

%

 

Since Inception

   

?4.79

%

   

?4.18

%

 

 

N/A

   

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares Nasdaq Next 50 ETF ? Growth of $10,000

1The Nasdaq Q-50 Index is a market capitalization-weighted index designed to track the performance of companies that are next-eligible for inclusion into the Nasdaq-100? Index. The Index is comprised of 50 securities ranked by market capitalization and reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade, and biotechnology. It does not contain securities of financial companies including banking and investment companies, as these are ineligible for Nasdaq-100? Index inclusion. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


33


 

VictoryShares ESG Core Plus Bond ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.

These events have taken their toll on the financial markets, with the S&P 500? Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index (the "Index") was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.

These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.

In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Bloomberg U.S. Corporate Index with a one-year negative total return of -14.2%.

Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.

 


34


 

VictoryShares ESG Core Plus Bond ETF

Managers' Commentary (continued)

How did the VictoryShares ESG Core Plus Bond ETF (the "Fund") perform during the reporting period?

The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -11.20%, underperforming the Index, which returned -10.29% for the period.

What strategies did you employ during the reporting period?

From the Fund's inception, bond spreads gradually began to widen into the end of 2021 and such widening precipitately increased following Russia's invasion of Ukraine, the subsequent increase in worldwide energy costs and persistent global inflation. Relative to the Index, the Fund was helped by its allocation to structured products, floating-rate bank loans, floating-rate commercial mortgage-backed securities and our issue selection of taxable municipals, as well as security selection amongst other spread-based, asset-backed securities. The Fund benefitted from allocations to auto loan asset-backed securities, collateralized loan obligations (CLOs), single asset, single borrower commercial mortgage-backed securities, Consumer Products, Airlines, and Consumer Non-Cyclical companies. Bond selection, especially within the Airlines, Cable and Satellite, Insurance, and Consumer Cyclical services also added to relative returns. An underweight position in U.S. Treasury securities, which generated less negative returns than the Index (as all spread product widened), hindered relative performance. Finally, our income orientation contributed positively to results. Over time, the income generated by the Fund accounts for the majority of its long-term return.

Under normal circumstances, the Fund will invest at least 80% of its net assets in securities of issuers that, at the time of purchase, rank in the highest three categories of the Adviser's proprietary environmental, social and governance ("ESG") composite score (described further in the Fund's prospectus), or are issued by the U.S. government, its agencies and instrumentalities, which are generally deemed to be rated in one of the highest three categories.

In assessing potential investments, we assess the following ESG factors:

?  Environmental ? Evaluated factors might include greenhouse gas emissions or water withdrawal figures (particularly in regions of scarcity), or an evaluation of the probability of meeting greenhouse gas emissions targets in the years ahead or the quality of the issuer's water usage policy.

?  Social ? Evaluated factors might include examining elements such as the issuer's safety record and the diversity of its management, as well as any stated targets towards improving these.

?  Governance ? Evaluated factors might include examining, for example, the inclusiveness of the issuer's leadership and its corporate behavior and ethics.

During the reporting period the Fund continued to purchase securities that adhered to the above standards. Application of the Fund's ESG strategy along with other factors, including duration positioning and sector allocation, detracted from the Fund's investment returns relative to the Index during the period ending June 30, 2022. In particular, our security selection within the Banking, Technology, and Retail sectors contributed most to underperformance.

In keeping with our investment process, we continued to build the Fund bond by bond. We seek ideas where our fundamental understanding of the credit risk is different than that of

 


35


 

VictoryShares ESG Core Plus Bond ETF

Managers' Commentary (continued)

the market, working with our team of analysts to evaluate each potential investment individually. During the reporting period, we found select attractive opportunities as we continued to seek relative values across the fixed income market. We took advantage of periods of volatility to add or reduce select investments in corporate credit, commercial mortgage-backed securities, asset-backed securities and taxable municipals. As spreads widened over the course of the period, we gradually increased exposure to spread products by decreasing our holdings in U.S. Treasury securities.

Our analysts continued to analyze and monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.

 


36


 

!pg hd ko [e/l OR o/r]

VictoryShares ESG Core Plus Bond ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Period Ended June 30, 2022

INCEPTION DATE

 

10/4/21

 

10/4/21

     
   

Net Asset Value

 

Market Price Value

 

Bloomberg US
Aggregate Bond Index1

 

Since Inception

   

?11.20

%

   

?10.96

%

   

?10.29

%

 

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares ESG Core Plus Bond ETF ? Growth of $10,000

1The Bloomberg US Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market. This includes Treasuries, government-related and corporate securities, mortgage-backed securities, asset-backed securities and collateralized mortgage-backed securities. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index. As of August 24, 2021, Bloomberg rebranded the Bloomberg Barclays fixed income indices as "Bloomberg Indices."

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


37


 

VictoryShares ESG Corporate Bond ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

As the world attempted to return to normal, coming out of the historical COVID-19 government-imposed lockdowns, the consequences of those lockdowns began to manifest themselves. In particular, global supply chains that functioned smoothly pre-COVID-19 were disrupted in ways that have yet to work themselves out. Generally speaking, the result was demand that rebounded faster than supply could keep up. To make matters worse, apart from the human tragedy itself, Russia's invasion of Ukraine in February 2022 added to the supply chain issues, with impacts on the price of oil, natural gas, wheat, and fertilizer, to name but a few. While the general price level fell during COVID-19, when demand fell faster than supply, the reverse is now true. As measured by the Consumer Price Index, the price level skyrocketed to 7% in 2021. During 2022, prices have risen even further, to 8.6% as of the end of May 2022.

These events have taken their toll on the financial markets, with the S&P 500? Index down 10.6% year over year, and 20% year to date; officially "bear market" territory. The bond market did not escape the pain, either. Indeed, the past year has been one of the worst for fixed income markets over the last 50 years, if not all of history. The one-year total return for the period ending June 30, 2022, for the Bloomberg US Aggregate Bond Index was worse than even during the U.S. dollar devaluation period in the late 1970s/early 1980s, down 10.3% year over year and down 10.4% year to date, performance almost as poor as the stock market.

These results were driven primarily by the significant rise in interest rates, as the bond market reacted to the dramatic increases in the price level. While the U.S. Federal Reserve (the "Fed") initially believed these price increases to be transitory, the bond market forced them to quickly abandon that thought. What was originally expected to be a gradual increase of 25 basis points ("bps") (a basis point is 1/100th of a percentage point) in the Fed Funds rate morphed into rate hikes that haven't been seen since 1994. The Fed started hiking rates by 25 bps in March, then was forced to higher hikes of 50 bps in May and a whopping 75-bps hike in June.

In addition to the jump in U.S. Treasury rates, bond spreads have widened out as well. Year over year, the Bloomberg U.S. Corporate Index (the "Index") option-adjusted spread rose from 0.80% to 1.55%, an increase of 75 bps. This took its toll on the fixed income market, leaving the Index with a one-year negative total return of -14.2%.

Some economists are starting to predict a recession. The recent rise in interest rates is already beginning to dampen demand, particularly for housing, as well as automobiles. Higher gasoline and food prices are also taking their toll, forcing consumers to curtail other purchases. Although the employment situation looks decent with the unemployment rate at 3.6%, that's typically a lagging indicator, and the COVID-19 lockdowns caused havoc in the labor markets, as many businesses still cannot fill all the positions they need. Real Gross Domestic Product decreased -1.6% in the first quarter of 2022, and a decrease in the second quarter would fit the textbook definition of recession, although the consensus estimate is for growth in the second quarter. Recession or no recession, economic activity is likely to slow in the near term as the economy readjusts from the COVID-19 pandemic.

 


38


 

VictoryShares ESG Corporate Bond ETF

Managers' Commentary (continued)

How did VictoryShares ESG Corporate Bond ETF (the "Fund") perform during the reporting period?

The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -15.37%, underperforming the Index, which returned -14.48% for the period,

What strategies did you employ during the reporting period?

From the Fund's inception, bond spreads gradually began to widen into the end of 2021 and such widening precipitately increased following Russia's invasion of Ukraine, the subsequent increase in worldwide energy costs and persistent global inflation. Higher inflation also led to a more restrictive monetary policy by the Fed and greater uncertainty regarding economic growth. Global financial markets performed poorly as the macroeconomic and geopolitical environment deteriorated. The Fund has a higher allocation to BBB-rated corporate credit, which is the lowest rating category within investment grade, relative to the Index, was a primary driver of underperformance.

Under normal circumstances, the Fund will invest at least 80% of its net assets in securities of issuers that, at the time of purchase, rank in the highest three categories of the Adviser's proprietary environmental, social and governance ("ESG") composite score (described further in the Fund's prospectus), or are issued by the U.S. government, its agencies and instrumentalities, which are generally deemed to be rated in one of the highest three categories.

In assessing potential investments, we assess the following ESG factors:

?  Environmental ? Evaluated factors might include greenhouse gas emissions or water withdrawal figures (particularly in regions of scarcity), or an evaluation of the probability of meeting greenhouse gas emissions targets in the years ahead or the quality of the issuer's water usage policy.

?  Social ? Evaluated factors might include examining elements such as the issuer's safety record and the diversity of its management, as well as any stated targets towards improving these.

?  Governance ? Evaluated factors might include examining, for example, the inclusiveness of the issuer's leadership and its corporate behavior and ethics.

During the reporting period the Fund continued to purchase securities that adhered to the above standards. Application of the Fund's ESG strategy along with other factors, including duration positioning and sector allocation, detracted from the Fund's investment returns relative to the Index during the period ending June 30, 2022. In particular, our over-allocation to corporate bonds, asset-backed securities, and commercial mortgage-backed securities, along with security selection within the Financial and Industrial sectors contributed most to underperformance.

In keeping with our investment process, we continued to build the Fund bond by bond. We seek ideas where our fundamental understanding of the credit risk is different than that of the market, working with our team of analysts to evaluate each potential investment individually. During the reporting period, we found select attractive opportunities as we continued to seek relative values across the fixed income market.

 


39


 

VictoryShares ESG Corporate Bond ETF

Managers' Commentary (continued)

Our analysts continued to analyze and monitor every holding in the Fund. We are committed to building a portfolio diversified among multiple asset classes and across a large number of issuers. To minimize the Fund's exposure to potential surprises, we limit the positions we take in any one issuer.

 


40


 

VictoryShares ESG Corporate Bond ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Period Ended June 30, 2022

INCEPTION DATE

 

10/4/21

 

10/4/21

         
   

Net Asset Value

 

Market Price Value

 

Bloomberg U.S.
Corporate Bond Index1

 

Since Inception

   

?15.37

%

   

?15.08

%

   

?14.48

%

 

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares ESG Corporate Bond ETF ? Growth of $10,000

1The Bloomberg U.S. Corporate Bond Index measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasurys, government-related and corporate securities, MBS, ABS and CMBS. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


41


 

VictoryShares THB Mid Cap ESG ETF

Managers' Commentary
(Unaudited)

What were the market conditions during the reporting period?

U.S. equities were broadly lower during the period as a series of events kept investors concerns elevated. The COVID-19 Omicron variant outbreak in November ? December period last year was followed by geopolitical tensions culminating with Russia's invasion of Ukraine in February. The war in Ukraine and new China lockdowns in the spring served to amplify preexisting inflationary drivers such as energy prices and supply chain disruptions. In response, the U.S. Federal Reserve raised interest rates and struck a more hawkish tone, intending to bring inflation under control. The direction of interest rates and of inflation have been widely discussed and appear to have impacted a large swath of assets. Accurately predicting the future levels of interest rates is notoriously difficult, but certain of these anomalies appear to be reversing and may indicate that the extended period of ultra-low interest rates is ending.

How did VictoryShares THB Mid Cap ESG ETF (the "Fund") perform during the reporting period?

The Fund commenced operations on October 5, 2021. Since inception, the Fund returned -13.23%, outperforming the Russell Midcap? Index (the "Index"), which returned -17.33% for the period.

What strategies did you employ during the reporting period?

The Fund utilizes a bottom-up, fundamental approach to find mispriced securities within the investment universe. The Fund selects investments based on an active fundamental process that combines financial analysis and proprietary research to evaluate potential investments' management and long-term outlook and business strategy. Using this process, the Fund generated the highest contribution to the return from the Materials, Consumer Discretionary, and Consumer Staples sectors over the period, while the Industrials, Information Technology, and Health Care sectors were the primary detractors. The Fund's top five-performing stocks (from a contribution standpoint) were Synopsys Inc. (Information Technology), Carlisle Cos., Inc. (Industrials), IHS Markit, Ltd. (Industrials), Cadence Design Systems, Inc. (Information Technology), and CACI International, Inc. (Industrials). The bottom five-performing stocks (from a contribution standpoint) were GXO Logistics, Inc. (Industrials), Zebra Technologies, Inc. (Information Technology), Dentsply Sirona, Inc. (Health Care), Darling Ingredients, Inc. (Consumer Staples), and Tyler Technologies, Inc. (Information Technology).

We apply our internally developed Environmental, Social and Governance ("ESG") rating methodology to each company when making portfolio decisions. Our portfolio management team gathers relevant ESG data using multiple primary and secondary sources such as company filings, discussions with management, news, and a number of third-party data providers. ESG data may include metrics regarding a company's carbon emissions, water utilization, employee diversity, and director independence, among other things. The Fund does not exclusively rely on any third-party ESG ratings or scores during the portfolio construction process to make investment decisions and its own proprietary ratings could differ from those of a third party. In addition, we use a bottom-up, fundamental research investment process integrated with analysis of a company's ESG factors to identify high-quality companies we believe have the ability to sustainably grow shareholder equity and

 


42


 

VictoryShares THB Mid Cap ESG ETF

Managers' Commentary (continued)

that are trading below the Adviser's assessment of their intrinsic value. We believe there is a strong linkage between high-quality companies, good corporate citizenship, and long-term shareholder value creation.

The Energy and Utilities sectors outperformed the Index during the period. The Fund's investment strategy provides that it will not invest in companies involved in the primary manufacture of certain types of products (e.g., thermal coal and fossil fuels). Thus, our underweight (zero allocation) to high greenhouse gas-emitting sectors (Energy and Utilities) was a primary and material detractor from performance.

 


43


 

VictoryShares THB Mid Cap ESG ETF

Investment Overview
(Unaudited)

Average Annual Total Return

Period Ended June 30, 2022

INCEPTION DATE

 

10/4/21

 

10/4/21

     
   

Net Asset Value

 

Market Price Value

 

Russell Midcap? Index1

 

Since Inception

   

?13.23

%

   

?13.17

%

   

?17.33

%

 

The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month's end, please visit www.vcm.com.

Total return measures the price change in a share assuming the reinvestment of all net investment income and realized capital gain distributions, if any. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. Generally Accepted Accounting Principles or the deduction of taxes that a shareholder would pay on net investment income and realized capital gain distributions, including reinvested distributions, or redemptions of shares. The total return figures set forth above include all waivers of fees. Without such fee waivers, the total returns would have been lower.

VictoryShares THB Mid Cap ESG ETF ? Growth of $10,000

1The Russell Midcap? Index is an unmanaged index measuring the performance of medium capitalization domestically traded common stocks. This index does not include the effect of commissions, expenses, or taxes, is not representative of the Fund, and it is not possible to invest directly in an index.

The graph reflects investment of growth of a hypothetical $10,000 investment in the Fund.

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares.

Past performance is not indicative of future results.

 


44


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Johnson & Johnson

   

0.4

%

 

PepsiCo, Inc.

   

0.4

%

 

The Southern Co.

   

0.4

%

 

The Hershey Co.

   

0.4

%

 

McDonald's Corp.

   

0.4

%

 

Verizon Communications, Inc.

   

0.4

%

 

Waste Management, Inc.

   

0.4

%

 

American Electric Power Co., Inc.

   

0.4

%

 

The Coca-Cola Co.

   

0.4

%

 

Duke Energy Corp.

   

0.4

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


45


 
Victory Portfolios II
VictoryShares US Small Cap Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Safety Insurance Group, Inc.

   

0.5

%

 

MGE Energy, Inc.

   

0.4

%

 

OSI Systems, Inc.

   

0.4

%

 

BancFirst Corp.

   

0.4

%

 

Universal Corp.

   

0.4

%

 

CSG Systems International, Inc.

   

0.4

%

 

Unitil Corp.

   

0.4

%

 

John B Sanfilippo & Son, Inc.

   

0.4

%

 

Otter Tail Corp.

   

0.4

%

 

Chesapeake Utilities Corp.

   

0.4

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


46


 
Victory Portfolios II
VictoryShares International Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Hydro One Ltd.

   

0.6

%

 

Emera, Inc.

   

0.6

%

 

BCE, Inc.

   

0.6

%

 

Fortis, Inc.

   

0.5

%

 

TELUS Corp.

   

0.5

%

 

CLP Holdings Ltd.

   

0.5

%

 

Power Assets Holdings Ltd.

   

0.4

%

 

Intact Financial Corp.

   

0.4

%

 

Royal Bank of Canada

   

0.4

%

 

Great-West Lifeco, Inc.

   

0.4

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


47


 
Victory Portfolios II
VictoryShares US Large Cap High Div Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Johnson & Johnson

   

1.7

%

 

PepsiCo, Inc.

   

1.7

%

 

The Southern Co.

   

1.6

%

 

Verizon Communications, Inc.

   

1.6

%

 

American Electric Power Co., Inc.

   

1.6

%

 

The Coca-Cola Co.

   

1.6

%

 

Duke Energy Corp.

   

1.5

%

 

DTE Energy Co.

   

1.5

%

 

Exelon Corp.

   

1.5

%

 

CMS Energy Corp.

   

1.5

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


48


 
Victory Portfolios II
VictoryShares US Small Cap High Div Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 100 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Safety Insurance Group, Inc.

   

2.1

%

 

MGE Energy, Inc.

   

1.9

%

 

Universal Corp.

   

1.8

%

 

CSG Systems International, Inc.

   

1.7

%

 

Unitil Corp.

   

1.7

%

 

Otter Tail Corp.

   

1.6

%

 

Northwest Natural Holding Co.

   

1.6

%

 

SJW Group

   

1.6

%

 

Weis Markets, Inc.

   

1.6

%

 

Brady Corp., Class A

   

1.6

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


49


 
Victory Portfolios II
VictoryShares International High Div Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International High Dividend 100 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Emera, Inc.

   

2.4

%

 

BCE, Inc.

   

2.3

%

 

TELUS Corp.

   

2.0

%

 

CLP Holdings Ltd.

   

1.9

%

 

Power Assets Holdings Ltd.

   

1.7

%

 

Great-West Lifeco, Inc.

   

1.6

%

 

Power Corp. of Canada

   

1.5

%

 

Orange SA

   

1.5

%

 

Enbridge, Inc.

   

1.5

%

 

Telia Co. AB

   

1.5

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


50


 
Victory Portfolios II
VictoryShares Emerging Market High Div Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory Emerging Market High Dividend 100 Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Far EasTone Telecommunications Co. Ltd.

   

2.8

%

 

Malayan Banking Bhd

   

2.5

%

 

Bank of China Ltd., Class H

   

2.3

%

 

Public Bank Bhd

   

2.0

%

 

Compal Electronics, Inc.

   

1.9

%

 

Agricultural Bank of China Ltd., Class H

   

1.8

%

 

Arca Continental SAB de CV

   

1.8

%

 

Far Eastern New Century Corp.

   

1.7

%

 

Industrial & Commercial Bank of China Ltd., Class H

   

1.7

%

 

Tenaga Nasional Bhd

   

1.6

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


51


 
Victory Portfolios II
VictoryShares Dividend Accelerator ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory Dividend Accelerator Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

3M Co.

   

3.4

%

 

Elevance Health, Inc.

   

3.0

%

 

Consolidated Edison, Inc.

   

3.0

%

 

Lincoln Electric Holdings, Inc.

   

2.9

%

 

Apple, Inc.

   

2.7

%

 

Aon PLC, Class A

   

2.7

%

 

Colgate-Palmolive Co.

   

2.4

%

 

Mastercard, Inc., Class A

   

2.2

%

 

Merck & Co., Inc.

   

2.2

%

 

Donaldson Co., Inc.

   

2.2

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


52


 
Victory Portfolios II
VictoryShares US Multi-Factor Minimum Volatility ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Multi-Factor Minimum Volatility Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Microsoft Corp.

   

7.8

%

 

Johnson & Johnson

   

4.6

%

 

Bristol-Myers Squibb Co.

   

4.0

%

 

AbbVie, Inc.

   

3.9

%

 

AutoZone, Inc.

   

3.7

%

 

Lockheed Martin Corp.

   

3.6

%

 

Waste Management, Inc.

   

3.4

%

 

Chevron Corp.

   

3.3

%

 

Texas Instruments, Inc.

   

3.2

%

 

The Allstate Corp.

   

3.2

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


53


 
Victory Portfolios II
VictoryShares US 500 Enhanced Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap 500 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Johnson & Johnson

   

0.4

%

 

PepsiCo, Inc.

   

0.4

%

 

The Southern Co.

   

0.4

%

 

The Hershey Co.

   

0.4

%

 

McDonald's Corp.

   

0.4

%

 

Verizon Communications, Inc.

   

0.4

%

 

Waste Management, Inc.

   

0.4

%

 

American Electric Power Co., Inc.

   

0.4

%

 

The Coca-Cola Co.

   

0.4

%

 

Duke Energy Corp.

   

0.4

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


54


 
Victory Portfolios II
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Large Cap High Dividend 100 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

PepsiCo, Inc.

   

1.7

%

 

Johnson & Johnson

   

1.7

%

 

The Southern Co.

   

1.6

%

 

Verizon Communications, Inc.

   

1.6

%

 

American Electric Power Co., Inc.

   

1.6

%

 

The Coca-Cola Co.

   

1.6

%

 

Duke Energy Corp.

   

1.5

%

 

DTE Energy Co.

   

1.5

%

 

Exelon Corp.

   

1.5

%

 

CMS Energy Corp.

   

1.5

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


55


 
Victory Portfolios II
VictoryShares US Discovery Enhanced Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory US Small Cap High Dividend 500 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Safety Insurance Group, Inc.

   

0.1

%

 

MGE Energy, Inc.

   

0.1

%

 

OSI Systems, Inc.

   

0.1

%

 

BancFirst Corp.

   

0.1

%

 

Universal Corp.

   

0.1

%

 

CSG Systems International, Inc.

   

0.1

%

 

Unitil Corp.

   

0.1

%

 

John B Sanfilippo & Son, Inc.

   

0.1

%

 

Otter Tail Corp.

   

0.1

%

 

Chesapeake Utilities Corp.

   

0.1

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


56


 
Victory Portfolios II
VictoryShares Developed Enhanced Volatility Wtd ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Victory International 500 Long/Cash Volatility Weighted Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Hydro One Ltd.

   

0.1

%

 

Emera, Inc.

   

0.1

%

 

BCE, Inc.

   

0.1

%

 

Fortis, Inc.

   

0.1

%

 

TELUS Corp.

   

0.1

%

 

CLP Holdings Ltd.

   

0.1

%

 

Power Assets Holdings Ltd.

   

0.1

%

 

Intact Financial Corp.

   

0.1

%

 

Royal Bank of Canada

   

0.1

%

 

Great-West Lifeco, Inc.

   

0.1

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


57


 
Victory Portfolios II
VictoryShares Nasdaq Next 50 ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide investment results that track the performance of the Nasdaq Q-50 Index before fees and expenses.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Baker Hughes Co.

   

3.3

%

 

Enphase Energy, Inc.

   

3.1

%

 

CoStar Group, Inc.

   

2.8

%

 

Coca-Cola Europacific Partners PLC

   

2.8

%

 

Rivian Automotive, Inc., Class A

   

2.7

%

 

ON Semiconductor Corp.

   

2.5

%

 

Tractor Supply Co.

   

2.5

%

 

Diamondback Energy, Inc.

   

2.5

%

 

GLOBALFOUNDRIES, Inc.

   

2.5

%

 

CDW Corp.

   

2.5

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


58


 
Victory Portfolios II
VictoryShares ESG Core Plus Bond ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide high current income without undue risk to principal.

Asset Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


59


 
Victory Portfolios II
VictoryShares ESG Corporate Bond ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide maximum current income without undue risk to principal.

Asset Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


60


 
Victory Portfolios II
VictoryShares THB Mid Cap ESG ETF
 

June 30, 2022

 

  (Unaudited)

Investment Objective and Portfolio Holdings:

The Fund seeks to provide capital appreciation.

Top 10 Holdings*:

June 30, 2022

(% of Net Assets)

Waters Corp.

   

4.8

%

 

Cadence Design Systems, Inc.

   

4.7

%

 

Copart, Inc.

   

4.4

%

 

Amphenol Corp., Class A

   

4.4

%

 

Verisk Analytics, Inc.

   

4.1

%

 

Carlisle Cos., Inc.

   

4.0

%

 

J.B. Hunt Transport Services, Inc.

   

3.9

%

 

HEICO Corp.

   

3.8

%

 

Fastenal Co.

   

3.6

%

 

Chemed Corp.

   

3.6

%

 

Sector Allocation*:

June 30, 2022

(% of Net Assets)

*  Does not include futures contracts, money market instruments, and short-term investments purchased with cash collateral from securities loaned.

Percentages are of the net assets of the Fund and may not equal 100%.

Refer to the Schedule of Portfolio Investments for a complete list of securities.

 


61


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
  Schedule of Portfolio Investments
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Common Stocks (99.6%)

 

Communication Services (4.2%):

 

Alphabet, Inc., Class A (a)

   

465

   

$

1,013,356

   

AT&T, Inc.

   

58,506

     

1,226,286

   

Charter Communications, Inc., Class A (a)

   

2,159

     

1,011,556

   

Comcast Corp., Class A

   

28,356

     

1,112,689

   

DISH Network Corp., Class A (a)

   

25,575

     

458,560

   

Electronic Arts, Inc.

   

9,460

     

1,150,809

   

Fox Corp., Class A

   

28,145

     

905,143

   

Liberty Broadband Corp., Class C (a)

   

9,280

     

1,073,139

   

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

   

22,862

     

1,451,051

   

Lumen Technologies, Inc.

   

75,396

     

822,570

   

Match Group, Inc. (a)

   

6,933

     

483,161

   

Meta Platforms, Inc., Class A (a)

   

3,395

     

547,444

   

Netflix, Inc. (a)

   

1,862

     

325,608

   

News Corp., Class A

   

54,332

     

846,493

   

Omnicom Group, Inc.

   

12,888

     

819,806

   

Paramount Global, Class B

   

24,029

     

593,036

   

Pinterest, Inc., Class A (a)

   

19,585

     

355,664

   

Roku, Inc. (a) (b)

   

3,195

     

262,437

   

Sirius XM Holdings, Inc. (c)

   

205,151

     

1,257,576

   

Take-Two Interactive Software, Inc. (a)

   

5,561

     

681,389

   

The Interpublic Group of Cos., Inc.

   

26,459

     

728,416

   

The Walt Disney Co. (a)

   

8,283

     

781,915

   

T-Mobile U.S., Inc. (a)

   

9,694

     

1,304,231

   

Verizon Communications, Inc.

   

41,618

     

2,112,113

   

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

   

14,040

     

188,417

   

Warner Music Group Corp., Class A

   

23,886

     

581,863

   

ZoomInfo Technologies, Inc. (a)

   

10,637

     

353,574

   
     

22,448,302

   

Consumer Discretionary (8.1%):

 

Advance Auto Parts, Inc.

   

6,178

     

1,069,350

   

Amazon.com, Inc. (a)

   

6,327

     

671,991

   

Aptiv PLC (a)

   

7,609

     

677,734

   

AutoZone, Inc. (a)

   

715

     

1,536,621

   

Bath & Body Works, Inc.

   

14,435

     

388,590

   

Best Buy Co., Inc.

   

9,362

     

610,309

   

Booking Holdings, Inc. (a)

   

435

     

760,811

   

Burlington Stores, Inc. (a)

   

3,661

     

498,738

   

CarMax, Inc. (a)

   

8,209

     

742,750

   

Chewy, Inc., Class A (a) (c)

   

10,641

     

369,455

   

Chipotle Mexican Grill, Inc. (a)

   

652

     

852,333

   

D.R. Horton, Inc.

   

11,543

     

764,031

   

Darden Restaurants, Inc.

   

7,180

     

812,202

   

Dollar General Corp.

   

7,828

     

1,921,304

   

Dollar Tree, Inc. (a)

   

5,583

     

870,111

   

Domino's Pizza, Inc.

   

2,377

     

926,341

   

Etsy, Inc. (a) (b)

   

3,403

     

249,134

   

Ford Motor Co.

   

41,233

     

458,923

   

See notes to financial statements.

 


62


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Garmin Ltd.

   

11,438

   

$

1,123,783

   

General Motors Co. (a)

   

18,150

     

576,444

   

Genuine Parts Co.

   

11,759

     

1,563,947

   

Hasbro, Inc.

   

11,788

     

965,201

   

Hilton Worldwide Holdings, Inc.

   

6,898

     

768,713

   

Lennar Corp., Class A

   

10,538

     

743,667

   

LKQ Corp.

   

21,557

     

1,058,233

   

Lowe's Cos., Inc.

   

5,708

     

997,016

   

Marriott International, Inc., Class A

   

5,914

     

804,363

   

McDonald's Corp.

   

8,654

     

2,136,499

   

MGM Resorts International

   

18,275

     

529,061

   

NIKE, Inc., Class B

   

7,827

     

799,919

   

NVR, Inc. (a)

   

247

     

989,023

   

O'Reilly Automotive, Inc. (a)

   

2,300

     

1,453,048

   

Pool Corp.

   

2,465

     

865,782

   

PulteGroup, Inc.

   

18,563

     

735,652

   

Ross Stores, Inc.

   

11,679

     

820,216

   

Starbucks Corp.

   

15,140

     

1,156,545

   

Tapestry, Inc.

   

21,506

     

656,363

   

Target Corp. (b)

   

7,175

     

1,013,325

   

Tesla, Inc. (a)

   

663

     

446,477

   

The Home Depot, Inc.

   

4,229

     

1,159,888

   

The TJX Cos., Inc.

   

18,241

     

1,018,760

   

Tractor Supply Co.

   

5,992

     

1,161,549

   

Ulta Beauty, Inc. (a)

   

2,572

     

991,455

   

Vail Resorts, Inc.

   

4,291

     

935,653

   

VF Corp.

   

18,662

     

824,301

   

Whirlpool Corp.

   

5,744

     

889,573

   

Williams-Sonoma, Inc.

   

5,446

     

604,234

   

Yum! Brands, Inc.

   

13,274

     

1,506,732

   
     

43,476,150

   

Consumer Staples (9.7%):

 

Albertsons Cos., Inc., Class A

   

22,479

     

600,639

   

Altria Group, Inc.

   

29,800

     

1,244,746

   

Archer-Daniels-Midland Co.

   

18,933

     

1,469,201

   

Brown-Forman Corp., Class B

   

25,336

     

1,777,574

   

Bunge Ltd.

   

12,509

     

1,134,441

   

Campbell Soup Co.

   

36,770

     

1,766,798

   

Church & Dwight Co., Inc.

   

17,776

     

1,647,124

   

Colgate-Palmolive Co.

   

25,268

     

2,024,978

   

Conagra Brands, Inc.

   

45,496

     

1,557,783

   

Costco Wholesale Corp.

   

2,877

     

1,378,889

   

Darling Ingredients, Inc. (a)

   

12,207

     

729,979

   

General Mills, Inc.

   

25,076

     

1,891,984

   

Hormel Foods Corp. (c)

   

36,734

     

1,739,722

   

Kellogg Co.

   

26,921

     

1,920,544

   

Keurig Dr Pepper, Inc.

   

43,937

     

1,554,930

   

Kimberly-Clark Corp.

   

14,313

     

1,934,402

   

McCormick & Co., Inc.

   

18,236

     

1,518,147

   

Molson Coors Beverage Co., Class B

   

22,052

     

1,202,054

   

See notes to financial statements.

 


63


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Mondelez International, Inc., Class A

   

30,406

   

$

1,887,909

   

Monster Beverage Corp. (a)

   

16,627

     

1,541,323

   

PepsiCo, Inc.

   

13,451

     

2,241,744

   

Philip Morris International, Inc.

   

15,838

     

1,563,844

   

Sysco Corp.

   

14,469

     

1,225,669

   

The Clorox Co.

   

7,224

     

1,018,440

   

The Coca-Cola Co.

   

32,839

     

2,065,901

   

The Estee Lauder Cos., Inc.

   

3,905

     

994,486

   

The Hershey Co.

   

9,950

     

2,140,842

   

The J.M. Smucker Co.

   

11,958

     

1,530,744

   

The Kraft Heinz Co.

   

36,931

     

1,408,548

   

The Kroger Co.

   

20,576

     

973,862

   

The Procter & Gamble Co.

   

13,371

     

1,922,616

   

Tyson Foods, Inc., Class A

   

13,401

     

1,153,290

   

Walgreens Boots Alliance, Inc.

   

26,070

     

988,053

   

Walmart, Inc.

   

14,555

     

1,769,597

   
     

51,520,803

   

Energy (3.6%):

 

APA Corp.

   

16,390

     

572,011

   

Chevron Corp.

   

9,209

     

1,333,279

   

ConocoPhillips

   

9,957

     

894,238

   

Continental Resources, Inc.

   

10,964

     

716,497

   

Coterra Energy, Inc.

   

32,366

     

834,719

   

Devon Energy Corp.

   

10,810

     

595,739

   

Diamondback Energy, Inc.

   

4,840

     

586,366

   

EOG Resources, Inc.

   

7,202

     

795,389

   

Exxon Mobil Corp.

   

14,211

     

1,217,030

   

Halliburton Co.

   

22,402

     

702,527

   

Hess Corp.

   

7,591

     

804,191

   

Kinder Morgan, Inc.

   

76,108

     

1,275,570

   

Marathon Oil Corp.

   

29,574

     

664,824

   

Marathon Petroleum Corp.

   

12,833

     

1,055,001

   

Occidental Petroleum Corp.

   

13,434

     

790,994

   

ONEOK, Inc.

   

16,439

     

912,364

   

Ovintiv, Inc.

   

13,129

     

580,171

   

Phillips 66

   

10,436

     

855,648

   

Pioneer Natural Resources Co.

   

3,916

     

873,581

   

Schlumberger NV

   

20,526

     

734,010

   

The Williams Cos., Inc.

   

45,924

     

1,433,288

   

Valero Energy Corp.

   

10,405

     

1,105,843

   
     

19,333,280

   

Financials (15.4%):

 

Aflac, Inc.

   

24,314

     

1,345,294

   

Ally Financial, Inc.

   

19,750

     

661,822

   

American Express Co.

   

5,367

     

743,974

   

American Financial Group, Inc.

   

10,158

     

1,410,032

   

American International Group, Inc.

   

17,347

     

886,952

   

Ameriprise Financial, Inc.

   

3,967

     

942,877

   

Aon PLC, Class A

   

4,401

     

1,186,862

   

See notes to financial statements.

 


64


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Apollo Global Management, Inc.

   

14,824

   

$

718,668

   

Arch Capital Group Ltd. (a)

   

29,748

     

1,353,237

   

Ares Management Corp., Class A

   

12,854

     

730,878

   

Arthur J. Gallagher & Co.

   

10,119

     

1,649,802

   

Bank of America Corp.

   

27,153

     

845,273

   

Berkshire Hathaway, Inc., Class B (a)

   

6,450

     

1,760,979

   

BlackRock, Inc.

   

1,852

     

1,127,942

   

Blackstone, Inc.

   

6,545

     

597,100

   

Brown & Brown, Inc.

   

21,896

     

1,277,413

   

Capital One Financial Corp.

   

6,475

     

674,630

   

Cboe Global Markets, Inc.

   

11,699

     

1,324,210

   

Chubb Ltd.

   

6,994

     

1,374,881

   

Cincinnati Financial Corp.

   

9,984

     

1,187,896

   

Citigroup, Inc.

   

21,578

     

992,372

   

Citizens Financial Group, Inc.

   

18,949

     

676,290

   

CME Group, Inc.

   

7,114

     

1,456,236

   

CNA Financial Corp.

   

30,422

     

1,365,948

   

Coinbase Global, Inc., Class A (a) (c)

   

2,691

     

126,531

   

Comerica, Inc.

   

10,027

     

735,781

   

Discover Financial Services

   

7,691

     

727,415

   

East West Bancorp, Inc.

   

10,810

     

700,488

   

Everest Re Group Ltd.

   

4,397

     

1,232,391

   

FactSet Research Systems, Inc.

   

4,075

     

1,567,123

   

Fidelity National Financial, Inc.

   

27,624

     

1,020,983

   

Fifth Third Bancorp

   

21,529

     

723,374

   

First Citizens BancShares, Inc., Class A

   

1,142

     

746,617

   

First Republic Bank

   

6,370

     

918,554

   

Franklin Resources, Inc.

   

30,988

     

722,330

   

Huntington Bancshares, Inc.

   

64,592

     

777,042

   

Interactive Brokers Group, Inc.

   

16,942

     

931,979

   

Intercontinental Exchange, Inc.

   

14,608

     

1,373,736

   

JPMorgan Chase & Co.

   

9,385

     

1,056,845

   

KeyCorp

   

42,819

     

737,771

   

KKR & Co., Inc.

   

15,709

     

727,170

   

Lincoln National Corp.

   

12,312

     

575,832

   

Loews Corp.

   

23,766

     

1,408,373

   

LPL Financial Holdings, Inc.

   

5,355

     

987,890

   

M&T Bank Corp.

   

5,343

     

851,621

   

Markel Corp. (a)

   

1,210

     

1,564,832

   

MarketAxess Holdings, Inc.

   

2,908

     

744,477

   

Marsh & McLennan Cos., Inc.

   

11,292

     

1,753,083

   

MetLife, Inc.

   

18,177

     

1,141,334

   

Moody's Corp.

   

4,264

     

1,159,680

   

Morgan Stanley

   

12,357

     

939,873

   

Morningstar, Inc.

   

4,237

     

1,024,634

   

MSCI, Inc.

   

2,189

     

902,196

   

Nasdaq, Inc.

   

8,815

     

1,344,640

   

Northern Trust Corp.

   

9,561

     

922,445

   

Principal Financial Group, Inc.

   

15,877

     

1,060,425

   

Prudential Financial, Inc.

   

10,844

     

1,037,554

   

See notes to financial statements.

 


65


 
Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF
  Schedule of Portfolio Investments ? continued
June 30, 2022
 

Security Description

 

Shares

 

Value

 

Raymond James Financial, Inc.

   

10,610

   

$

948,640

   

Regions Financial Corp.

   

39,315

     

737,156

   

Rocket Cos., Inc., Class A (c)

   

63,180

     

465,005

   

S&P Global, Inc.

   

3,831

     

1,291,277

   

Signature Bank

   

2,296