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
|
|||||||||||||
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.
|
|||||||||||||
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 |
411,466 |
|||||||||
State Street Corp. |
11,149 |
687,336 |
|||||||||
SVB Financial Group (a) |
1,285 |
507,562 |
|||||||||
Synchrony Financial |
22,495 |
621,312 |
|||||||||
T. Rowe Price Group, Inc. |
7,792 |
885,249 |
|||||||||
The Allstate Corp. |
11,698 |
1,482,488 |
|||||||||
The Bank of New York Mellon Corp. |
21,096 |
879,914 |
|||||||||
The Carlyle Group, Inc. |
19,507 |
617,592 |
|||||||||
The Charles Schwab Corp. |
12,489 |
789,055 |
|||||||||
The Goldman Sachs Group, Inc. |
3,501 |
1,039,867 |
|||||||||
The Hartford Financial Services Group Inc. |
20,062 |
1,312,657 |
|||||||||
The PNC Financial Services Group, Inc. |
6,252 |
986,378 |
|||||||||
The Progressive Corp. |
15,585 |
1,812,068 |
|||||||||
The Travelers Cos., Inc. |
8,540 |
1,444,370 |
|||||||||
Tradeweb Markets, Inc., Class A |
16,551 |
1,129,606 |
|||||||||
Truist Financial Corp. |
17,443 |
827,321 |
|||||||||
U.S. Bancorp |
20,777 |
956,158 |
|||||||||
Upstart Holdings, Inc. (a) (c) |
1,936 |
61,216 |
|||||||||
W.R. Berkley Corp. |
23,785 |
1,623,564 |
|||||||||
Webster Financial Corp. |
14,896 |
627,866 |
|||||||||
Wells Fargo & Co. |
18,031 |
706,274 |
|||||||||
Zions Bancorp NA |
13,027 |
663,074 |
|||||||||
82,051,058 |
|||||||||||
Health Care (14.4%): |
|||||||||||
Abbott Laboratories |
13,392 |
1,455,041 |
|||||||||
AbbVie, Inc. |
11,511 |
1,763,025 |
|||||||||
ABIOMED, Inc. (a) |
2,605 |
644,764 |
|||||||||
Agilent Technologies, Inc. |
10,425 |
1,238,177 |
|||||||||
Align Technology, Inc. (a) |
1,629 |
385,535 |
|||||||||
AmerisourceBergen Corp. |
11,329 |
1,602,827 |
|||||||||
Amgen, Inc. |
6,614 |
1,609,186 |
|||||||||
Avantor, Inc. (a) |
30,956 |
962,732 |
|||||||||
Baxter International, Inc. |
19,410 |
1,246,704 |
|||||||||
Becton Dickinson & Co. |
6,124 |
1,509,750 |
|||||||||
Biogen, Inc. (a) |
4,702 |
958,926 |
|||||||||
Bio-Rad Laboratories, Inc., Class A (a) |
1,796 |
889,020 |
|||||||||
Bio-Techne Corp. |
2,334 |
809,058 |
|||||||||
Boston Scientific Corp. (a) |
29,694 |
1,106,695 |
|||||||||
Bristol-Myers Squibb Co. |
25,108 |
1,933,316 |
|||||||||
Bruker Corp. |
15,709 |
985,897 |
|||||||||
Cardinal Health, Inc. |
21,159 |
1,105,981 |
|||||||||
Catalent, Inc. (a) |
10,366 |
1,112,168 |
|||||||||
Centene Corp. (a) |
12,823 |
1,084,954 |
|||||||||
Charles River Laboratories International, Inc. (a) |
3,511 |
751,249 |
|||||||||
Cigna Corp. |
4,896 |
1,290,194 |
|||||||||
CVS Health Corp. |
14,190 |
1,314,845 |
See notes to financial statements.
66
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Danaher Corp. |
4,751 |
$ |
1,204,474 |
||||||||
DaVita, Inc. (a) |
9,939 |
794,722 |
|||||||||
DENTSPLY SIRONA, Inc. |
21,577 |
770,946 |
|||||||||
Dexcom, Inc. (a) |
7,147 |
532,666 |
|||||||||
Edwards Lifesciences Corp. (a) |
10,262 |
975,814 |
|||||||||
Elevance Health, Inc. |
2,774 |
1,338,677 |
|||||||||
Eli Lilly & Co. |
4,560 |
1,478,489 |
|||||||||
Embecta Corp. (a) |
1,226 |
31,042 |
|||||||||
Gilead Sciences, Inc. (b) |
31,209 |
1,929,028 |
|||||||||
HCA Healthcare, Inc. |
4,271 |
717,784 |
|||||||||
Henry Schein, Inc. (a) |
15,247 |
1,170,055 |
|||||||||
Hologic, Inc. (a) |
19,415 |
1,345,459 |
|||||||||
Horizon Therapeutics PLC (a) |
12,533 |
999,632 |
|||||||||
Humana, Inc. |
2,225 |
1,041,456 |
|||||||||
IDEXX Laboratories, Inc. (a) |
1,973 |
691,990 |
|||||||||
Illumina, Inc. (a) |
2,561 |
472,146 |
|||||||||
Incyte Corp. (a) |
16,404 |
1,246,212 |
|||||||||
Insulet Corp. (a) |
2,731 |
595,194 |
|||||||||
Intuitive Surgical, Inc. (a) |
3,814 |
765,508 |
|||||||||
IQVIA Holdings, Inc. (a) |
5,622 |
1,219,918 |
|||||||||
Johnson & Johnson (b) |
12,633 |
2,242,484 |
|||||||||
Laboratory Corp. of America Holdings |
5,173 |
1,212,344 |
|||||||||
McKesson Corp. |
5,698 |
1,858,745 |
|||||||||
Medtronic PLC |
14,240 |
1,278,040 |
|||||||||
Merck & Co., Inc. |
16,241 |
1,480,692 |
|||||||||
Mettler-Toledo International, Inc. (a) |
906 |
1,040,786 |
|||||||||
Moderna, Inc. (a) |
2,368 |
338,269 |
|||||||||
Molina Healthcare, Inc. (a) |
3,429 |
958,783 |
|||||||||
PerkinElmer, Inc. |
6,642 |
944,625 |
|||||||||
Pfizer, Inc. |
21,310 |
1,117,283 |
|||||||||
Quest Diagnostics, Inc. |
10,878 |
1,446,556 |
|||||||||
Regeneron Pharmaceuticals, Inc. (a) |
1,962 |
1,159,797 |
|||||||||
Repligen Corp. (a) |
3,520 |
571,648 |
|||||||||
ResMed, Inc. |
5,191 |
1,088,189 |
|||||||||
STERIS PLC |
5,772 |
1,189,898 |
|||||||||
Stryker Corp. |
5,281 |
1,050,549 |
|||||||||
Teleflex, Inc. |
2,964 |
728,699 |
|||||||||
The Cooper Cos., Inc. |
3,332 |
1,043,316 |
|||||||||
Thermo Fisher Scientific, Inc. |
2,613 |
1,419,591 |
|||||||||
UnitedHealth Group, Inc. |
3,237 |
1,662,620 |
|||||||||
Universal Health Services, Inc., Class B |
7,963 |
801,954 |
|||||||||
Veeva Systems, Inc., Class A (a) |
4,418 |
874,941 |
|||||||||
Vertex Pharmaceuticals, Inc. (a) |
5,625 |
1,585,069 |
|||||||||
Waters Corp. (a) |
4,371 |
1,446,714 |
|||||||||
West Pharmaceutical Services, Inc. |
2,827 |
854,800 |
|||||||||
Zimmer Biomet Holdings, Inc. |
8,370 |
879,352 |
|||||||||
Zoetis, Inc. |
8,050 |
1,383,714 |
|||||||||
76,740,714 |
See notes to financial statements.
67
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (15.9%): |
|||||||||||
3M Co. |
10,912 |
$ |
1,412,122 |
||||||||
A O Smith Corp. |
17,588 |
961,712 |
|||||||||
AMERCO, Inc. |
2,180 |
1,042,541 |
|||||||||
AMETEK, Inc. |
12,706 |
1,396,262 |
|||||||||
Booz Allen Hamilton Holding Corp. |
15,007 |
1,356,033 |
|||||||||
Builders FirstSource, Inc. (a) |
11,254 |
604,340 |
|||||||||
C.H. Robinson Worldwide, Inc. |
12,999 |
1,317,709 |
|||||||||
Carlisle Cos., Inc. |
6,095 |
1,454,328 |
|||||||||
Carrier Global Corp. |
26,144 |
932,295 |
|||||||||
Caterpillar, Inc. |
6,521 |
1,165,694 |
|||||||||
Cintas Corp. |
3,765 |
1,406,341 |
|||||||||
Copart, Inc. (a) |
9,843 |
1,069,540 |
|||||||||
CoStar Group, Inc. (a) (b) |
14,033 |
847,734 |
|||||||||
CSX Corp. |
41,641 |
1,210,088 |
|||||||||
Cummins, Inc. |
7,038 |
1,362,064 |
|||||||||
Deere & Co. |
3,007 |
900,506 |
|||||||||
Delta Air Lines, Inc. (a) |
20,302 |
588,149 |
|||||||||
Dover Corp. |
9,572 |
1,161,275 |
|||||||||
Eaton Corp. PLC |
8,979 |
1,131,264 |
|||||||||
Emerson Electric Co. |
14,197 |
1,129,229 |
|||||||||
Equifax, Inc. |
5,039 |
921,028 |
|||||||||
Expeditors International of Washington, Inc. |
12,937 |
1,260,840 |
|||||||||
Fastenal Co. |
30,335 |
1,514,323 |
|||||||||
FedEx Corp. |
5,726 |
1,298,142 |
|||||||||
Fortive Corp. |
22,609 |
1,229,477 |
|||||||||
Fortune Brands Home & Security, Inc. |
13,473 |
806,763 |
|||||||||
Generac Holdings, Inc. (a) |
2,254 |
474,647 |
|||||||||
General Dynamics Corp. |
7,821 |
1,730,396 |
|||||||||
Graco, Inc. |
21,202 |
1,259,611 |
|||||||||
HEICO Corp. |
8,720 |
1,143,366 |
|||||||||
Honeywell International, Inc. |
7,858 |
1,365,799 |
|||||||||
Howmet Aerospace, Inc. |
27,031 |
850,125 |
|||||||||
IDEX Corp. |
7,632 |
1,386,200 |
|||||||||
Illinois Tool Works, Inc. |
8,075 |
1,471,669 |
|||||||||
Ingersoll Rand, Inc. (b) |
23,838 |
1,003,103 |
|||||||||
J.B. Hunt Transport Services, Inc. |
5,891 |
927,656 |
|||||||||
Jacobs Engineering Group, Inc. |
10,420 |
1,324,695 |
|||||||||
Johnson Controls International PLC |
21,515 |
1,030,138 |
|||||||||
L3Harris Technologies, Inc. |
5,158 |
1,246,689 |
|||||||||
Leidos Holdings, Inc. |
11,124 |
1,120,298 |
|||||||||
Lockheed Martin Corp. |
3,224 |
1,386,191 |
|||||||||
Masco Corp. |
25,333 |
1,281,850 |
|||||||||
Nordson Corp. |
6,163 |
1,247,638 |
|||||||||
Norfolk Southern Corp. |
5,342 |
1,214,183 |
|||||||||
Northrop Grumman Corp. |
2,954 |
1,413,696 |
|||||||||
Old Dominion Freight Line, Inc. |
3,719 |
953,105 |
|||||||||
Otis Worldwide Corp. |
18,758 |
1,325,628 |
|||||||||
PACCAR, Inc. |
15,689 |
1,291,832 |
|||||||||
Parker-Hannifin Corp. |
4,105 |
1,010,035 |
See notes to financial statements.
68
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Quanta Services, Inc. |
7,999 |
$ |
1,002,595 |
||||||||
Raytheon Technologies Corp. |
13,886 |
1,334,584 |
|||||||||
Regal Rexnord Corp. |
6,431 |
730,047 |
|||||||||
Republic Services, Inc. (b) |
14,118 |
1,847,623 |
|||||||||
Robert Half International, Inc. |
10,889 |
815,477 |
|||||||||
Rockwell Automation, Inc. |
5,107 |
1,017,876 |
|||||||||
Rollins, Inc. |
35,421 |
1,236,901 |
|||||||||
Roper Technologies, Inc. |
3,676 |
1,450,733 |
|||||||||
Snap-on, Inc. |
6,050 |
1,192,032 |
|||||||||
Southwest Airlines Co. (a) |
21,793 |
787,163 |
|||||||||
Stanley Black & Decker, Inc. |
7,396 |
775,545 |
|||||||||
Textron, Inc. |
15,171 |
926,493 |
|||||||||
Trane Technologies PLC |
8,398 |
1,090,648 |
|||||||||
TransDigm Group, Inc. (a) |
1,647 |
883,896 |
|||||||||
TransUnion |
13,169 |
1,053,388 |
|||||||||
Trex Co., Inc. (a) |
8,231 |
447,931 |
|||||||||
Union Pacific Corp. |
6,654 |
1,419,165 |
|||||||||
United Parcel Service, Inc., Class B |
5,358 |
978,049 |
|||||||||
United Rentals, Inc. (a) |
2,818 |
684,520 |
|||||||||
Verisk Analytics, Inc. |
9,062 |
1,568,542 |
|||||||||
W.W. Grainger, Inc. |
3,016 |
1,370,561 |
|||||||||
Waste Management, Inc. |
13,797 |
2,110,665 |
|||||||||
Watsco, Inc. |
5,165 |
1,233,505 |
|||||||||
Westinghouse Air Brake Technologies Corp. |
12,910 |
1,059,653 |
|||||||||
Xylem, Inc. |
13,201 |
1,032,054 |
|||||||||
84,987,995 |
|||||||||||
Information Technology (13.8%): |
|||||||||||
Accenture PLC, Class A |
4,164 |
1,156,135 |
|||||||||
Adobe, Inc. (a) |
1,969 |
720,772 |
|||||||||
Advanced Micro Devices, Inc. (a) |
5,062 |
387,091 |
|||||||||
Akamai Technologies, Inc. (a) |
12,956 |
1,183,271 |
|||||||||
Amphenol Corp., Class A |
20,297 |
1,306,721 |
|||||||||
Analog Devices, Inc. |
7,217 |
1,054,332 |
|||||||||
ANSYS, Inc. (a) |
3,302 |
790,136 |
|||||||||
Apple, Inc. |
8,000 |
1,093,760 |
|||||||||
Applied Materials, Inc. |
5,851 |
532,324 |
|||||||||
AppLovin Corp., Class A (a) (c) |
7,995 |
275,348 |
|||||||||
Arista Networks, Inc. (a) |
6,759 |
633,589 |
|||||||||
Autodesk, Inc. (a) |
3,808 |
654,824 |
|||||||||
Automatic Data Processing, Inc. |
7,338 |
1,541,273 |
|||||||||
Bentley Systems, Inc., Class B (c) |
22,748 |
757,508 |
|||||||||
Block, Inc. (a) (b) |
3,893 |
239,264 |
|||||||||
Broadcom, Inc. |
1,965 |
954,617 |
|||||||||
Broadridge Financial Solutions, Inc. |
9,671 |
1,378,601 |
|||||||||
Cadence Design Systems, Inc. (a) |
6,234 |
935,287 |
|||||||||
CDW Corp. |
7,156 |
1,127,499 |
|||||||||
Cisco Systems, Inc. |
27,262 |
1,162,452 |
|||||||||
Cognex Corp. |
13,621 |
579,165 |
|||||||||
Cognizant Technology Solutions Corp., Class A |
16,747 |
1,130,255 |
|||||||||
Corning, Inc. |
29,185 |
919,619 |
See notes to financial statements.
69
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Dell Technologies, Inc., Class C |
23,418 |
$ |
1,082,146 |
||||||||
Dynatrace, Inc. (a) |
15,469 |
610,097 |
|||||||||
Enphase Energy, Inc. (a) |
2,842 |
554,872 |
|||||||||
Entegris, Inc. |
6,374 |
587,237 |
|||||||||
EPAM Systems, Inc. (a) |
2,150 |
633,777 |
|||||||||
F5, Inc. (a) |
5,592 |
855,800 |
|||||||||
Fair Isaac Corp. (a) |
1,934 |
775,341 |
|||||||||
Fidelity National Information Services, Inc. |
10,311 |
945,209 |
|||||||||
Fiserv, Inc. (a) |
11,394 |
1,013,724 |
|||||||||
FleetCor Technologies, Inc. (a) |
4,728 |
993,400 |
|||||||||
Fortinet, Inc. (a) |
10,417 |
589,394 |
|||||||||
Gartner, Inc. (a) |
3,555 |
859,706 |
|||||||||
Global Payments, Inc. |
6,685 |
739,628 |
|||||||||
GoDaddy, Inc., Class A (a) |
10,208 |
710,068 |
|||||||||
Hewlett Packard Enterprise Co. |
70,429 |
933,889 |
|||||||||
HP, Inc. |
30,264 |
992,054 |
|||||||||
Intel Corp. |
23,573 |
881,866 |
|||||||||
International Business Machines Corp. |
11,769 |
1,661,665 |
|||||||||
Intuit, Inc. |
2,019 |
778,203 |
|||||||||
Jack Henry & Associates, Inc. |
8,012 |
1,442,320 |
|||||||||
Juniper Networks, Inc. |
37,101 |
1,057,378 |
|||||||||
Keysight Technologies, Inc. (a) |
8,168 |
1,125,959 |
|||||||||
KLA Corp. |
2,253 |
718,887 |
|||||||||
Lam Research Corp. |
1,482 |
631,554 |
|||||||||
Mastercard, Inc., Class A |
2,837 |
895,017 |
|||||||||
Microchip Technology, Inc. |
12,538 |
728,207 |
|||||||||
Micron Technology, Inc. |
9,552 |
528,035 |
|||||||||
Microsoft Corp. (b) |
4,581 |
1,176,538 |
|||||||||
Monolithic Power Systems, Inc. |
1,742 |
668,998 |
|||||||||
Motorola Solutions, Inc. |
6,204 |
1,300,358 |
|||||||||
NetApp, Inc. |
15,343 |
1,000,977 |
|||||||||
NortonLifeLock, Inc. |
39,376 |
864,697 |
|||||||||
NVIDIA Corp. |
2,588 |
392,315 |
|||||||||
NXP Semiconductors NV |
4,440 |
657,253 |
|||||||||
ON Semiconductor Corp. (a) |
10,073 |
506,773 |
|||||||||
Oracle Corp. |
13,435 |
938,703 |
|||||||||
Paychex, Inc. |
13,028 |
1,483,498 |
|||||||||
Paycom Software, Inc. (a) |
2,356 |
659,963 |
|||||||||
Paylocity Holding Corp. (a) |
3,519 |
613,784 |
|||||||||
PayPal Holdings, Inc. (a) |
6,093 |
425,535 |
|||||||||
PTC, Inc. (a) |
8,801 |
935,898 |
|||||||||
Qorvo, Inc. (a) |
6,436 |
607,044 |
|||||||||
QUALCOMM, Inc. |
5,017 |
640,872 |
|||||||||
Salesforce, Inc. (a) |
4,406 |
727,166 |
|||||||||
ServiceNow, Inc. (a) (b) |
1,383 |
657,644 |
|||||||||
Skyworks Solutions, Inc. |
7,432 |
688,500 |
|||||||||
SS&C Technologies Holdings, Inc. |
20,842 |
1,210,295 |
|||||||||
Synopsys, Inc. (a) |
3,053 |
927,196 |
|||||||||
TE Connectivity Ltd. |
8,767 |
991,986 |
|||||||||
Teledyne Technologies, Inc. (a) |
3,423 |
1,284,002 |
See notes to financial statements.
70
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Teradyne, Inc. |
5,813 |
$ |
520,554 |
||||||||
Texas Instruments, Inc. |
7,455 |
1,145,461 |
|||||||||
The Trade Desk, Inc., Class A (a) |
4,980 |
208,612 |
|||||||||
Trimble, Inc. (a) |
16,046 |
934,359 |
|||||||||
Tyler Technologies, Inc. (a) |
2,439 |
810,919 |
|||||||||
Ubiquiti, Inc. (c) |
3,153 |
782,606 |
|||||||||
VeriSign, Inc. (a) |
6,853 |
1,146,712 |
|||||||||
Visa, Inc., Class A |
5,334 |
1,050,211 |
|||||||||
VMware, Inc., Class A |
9,211 |
1,049,870 |
|||||||||
Western Digital Corp. (a) |
15,967 |
715,801 |
|||||||||
Workday, Inc., Class A (a) |
4,421 |
617,083 |
|||||||||
Zebra Technologies Corp. (a) |
2,526 |
742,518 |
|||||||||
Zoom Video Communications, Inc., Class A (a) |
4,746 |
512,426 |
|||||||||
73,436,403 |
|||||||||||
Materials (5.7%): |
|||||||||||
Air Products and Chemicals, Inc. |
6,555 |
1,576,346 |
|||||||||
Albemarle Corp. |
3,492 |
729,758 |
|||||||||
Alcoa Corp. |
7,070 |
322,251 |
|||||||||
Avery Dennison Corp. |
7,572 |
1,225,680 |
|||||||||
Ball Corp. |
14,381 |
988,981 |
|||||||||
Celanese Corp. |
8,437 |
992,276 |
|||||||||
CF Industries Holdings, Inc. |
9,553 |
818,979 |
|||||||||
Cleveland-Cliffs, Inc. (a) |
24,777 |
380,823 |
|||||||||
Corteva, Inc. |
23,515 |
1,273,102 |
|||||||||
Dow, Inc. |
20,776 |
1,072,249 |
|||||||||
DuPont de Nemours, Inc. |
14,830 |
824,251 |
|||||||||
Eastman Chemical Co. |
9,492 |
852,097 |
|||||||||
Ecolab, Inc. |
8,094 |
1,244,533 |
|||||||||
FMC Corp. |
9,165 |
980,747 |
|||||||||
Freeport-McMoRan, Inc. |
14,843 |
434,306 |
|||||||||
International Flavors & Fragrances, Inc. |
10,029 |
1,194,654 |
|||||||||
International Paper Co. |
32,410 |
1,355,710 |
|||||||||
LyondellBasell Industries NV, Class A |
12,026 |
1,051,794 |
|||||||||
Martin Marietta Materials, Inc. |
3,133 |
937,519 |
|||||||||
Newmont Corp. |
16,687 |
995,713 |
|||||||||
Nucor Corp. |
5,394 |
563,188 |
|||||||||
Packaging Corp. of America |
9,395 |
1,291,813 |
|||||||||
PPG Industries, Inc. |
10,459 |
1,195,882 |
|||||||||
Reliance Steel & Aluminum Co. |
5,761 |
978,563 |
|||||||||
RPM International, Inc. |
18,332 |
1,443,095 |
|||||||||
Steel Dynamics, Inc. |
10,776 |
712,832 |
|||||||||
The Mosaic Co. |
14,486 |
684,174 |
|||||||||
The Sherwin-Williams Co. |
6,092 |
1,364,060 |
|||||||||
Vulcan Materials Co. |
6,713 |
953,917 |
|||||||||
Westlake Corp. |
8,556 |
838,659 |
|||||||||
Westrock Co. |
23,908 |
952,495 |
|||||||||
30,230,447 |
See notes to financial statements.
71
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.3%): |
|||||||||||
CBRE Group, Inc., Class A (a) |
11,560 |
$ |
850,931 |
||||||||
Jones Lang LaSalle, Inc. (a) |
3,944 |
689,648 |
|||||||||
1,540,579 |
|||||||||||
Utilities (8.5%): |
|||||||||||
Alliant Energy Corp. |
29,443 |
1,725,654 |
|||||||||
Ameren Corp. |
21,381 |
1,931,987 |
|||||||||
American Electric Power Co., Inc. (b) |
21,663 |
2,078,348 |
|||||||||
American Water Works Co., Inc. |
10,225 |
1,521,173 |
|||||||||
Atmos Energy Corp. |
15,187 |
1,702,463 |
|||||||||
CenterPoint Energy, Inc. |
60,875 |
1,800,683 |
|||||||||
CMS Energy Corp. |
28,930 |
1,952,775 |
|||||||||
Consolidated Edison, Inc. (b) |
20,178 |
1,918,928 |
|||||||||
Dominion Energy, Inc. |
21,514 |
1,717,032 |
|||||||||
DTE Energy Co. |
16,141 |
2,045,872 |
|||||||||
Duke Energy Corp. (b) |
19,164 |
2,054,573 |
|||||||||
Edison International |
25,473 |
1,610,913 |
|||||||||
Entergy Corp. |
14,251 |
1,605,233 |
|||||||||
Essential Utilities, Inc. |
33,252 |
1,524,604 |
|||||||||
Evergy, Inc. (b) |
29,724 |
1,939,491 |
|||||||||
Eversource Energy (b) |
19,902 |
1,681,122 |
|||||||||
Exelon Corp. |
43,975 |
1,992,947 |
|||||||||
FirstEnergy Corp. |
41,631 |
1,598,214 |
|||||||||
NextEra Energy, Inc. (b) |
16,883 |
1,307,757 |
|||||||||
NiSource, Inc. |
63,339 |
1,867,867 |
|||||||||
PPL Corp. |
69,695 |
1,890,825 |
|||||||||
Sempra Energy |
11,312 |
1,699,854 |
|||||||||
The Southern Co. (b) |
30,356 |
2,164,686 |
|||||||||
WEC Energy Group, Inc. (b) |
19,033 |
1,915,481 |
|||||||||
Xcel Energy, Inc. (b) |
25,990 |
1,839,053 |
|||||||||
45,087,535 |
|||||||||||
Total Common Stocks (Cost $485,338,953) |
530,853,266 |
||||||||||
Collateral for Securities Loaned (0.6%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) |
104,778 |
104,778 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (d) |
52,289 |
52,289 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) |
652,152 |
652,152 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) |
416,938 |
416,938 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (d) |
278,050 |
278,050 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (d) |
1,874,634 |
1,874,634 |
|||||||||
Total Collateral for Securities Loaned (Cost $3,378,841) |
3,378,841 |
||||||||||
Total Investments (Cost $488,717,794) ? 100.2% |
534,232,107 |
||||||||||
Liabilities in excess of other assets ? (0.2)% |
(829,541 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
533,402,566 |
See notes to financial statements.
72
Victory Portfolios
II VictoryShares US 500 Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
12 |
9/16/22 |
$ |
2,362,022 |
$ |
2,273,700 |
$ |
(88,322 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(88,322 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(88,322 |
) |
See notes to financial statements.
73
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.6%) |
|||||||||||
Communication Services (2.9%): |
|||||||||||
Advantage Solutions, Inc. (a) |
6,101 |
$ |
23,184 |
||||||||
AMC Networks, Inc., Class A (a) |
836 |
24,344 |
|||||||||
Boston Omaha Corp., Class A (a) |
1,541 |
31,822 |
|||||||||
Cars.com, Inc. (a) |
2,309 |
21,774 |
|||||||||
EchoStar Corp., Class A (a) |
1,905 |
36,766 |
|||||||||
Gray Television, Inc. |
2,110 |
35,638 |
|||||||||
IDT Corp., Class B (a) |
822 |
20,673 |
|||||||||
John Wiley & Sons, Inc., Class A |
1,316 |
62,852 |
|||||||||
PubMatic, Inc., Class A (a) |
808 |
12,839 |
|||||||||
Scholastic Corp. |
1,660 |
59,710 |
|||||||||
Sciplay Corp., Class A (a) |
2,946 |
41,156 |
|||||||||
Shenandoah Telecommunications Co. |
1,363 |
30,258 |
|||||||||
Telephone & Data Systems, Inc. |
2,847 |
44,954 |
|||||||||
The EW Scripps Co., Class A (a) |
2,325 |
28,993 |
|||||||||
Thryv Holdings, Inc. (a) |
1,174 |
26,286 |
|||||||||
United States Cellular Corp. (a) |
2,174 |
62,959 |
|||||||||
WideOpenWest, Inc. (a) |
2,771 |
50,460 |
|||||||||
Yelp, Inc. (a) |
1,506 |
41,822 |
|||||||||
656,490 |
|||||||||||
Consumer Discretionary (12.4%): |
|||||||||||
1-800-Flowers.com, Inc., Class A (a) |
2,049 |
19,486 |
|||||||||
Abercrombie & Fitch Co. (a) |
924 |
15,634 |
|||||||||
Academy Sports & Outdoors, Inc. |
1,249 |
44,389 |
|||||||||
Accel Entertainment, Inc. (a) |
3,873 |
41,131 |
|||||||||
American Axle & Manufacturing Holdings, Inc. (a) |
3,886 |
29,262 |
|||||||||
Arko Corp. |
5,504 |
44,913 |
|||||||||
Big Lots, Inc. |
1,164 |
24,409 |
|||||||||
Bloomin' Brands, Inc. |
1,686 |
28,021 |
|||||||||
Boot Barn Holdings, Inc. (a) |
447 |
30,803 |
|||||||||
Brinker International, Inc. (a) |
940 |
20,708 |
|||||||||
Caleres, Inc. |
1,736 |
45,553 |
|||||||||
Camping World Holdings, Inc., Class A (b) |
1,419 |
30,636 |
|||||||||
Carriage Services, Inc. |
1,142 |
45,280 |
|||||||||
Cavco Industries, Inc. (a) |
189 |
37,042 |
|||||||||
Century Communities, Inc. |
692 |
31,119 |
|||||||||
Chuy's Holdings, Inc. (a) |
1,222 |
24,342 |
|||||||||
Clarus Corp. |
2,251 |
42,746 |
|||||||||
Dana, Inc. |
2,188 |
30,785 |
|||||||||
Dave & Buster's Entertainment, Inc. (a) |
775 |
25,405 |
|||||||||
Denny's Corp. (a) |
3,053 |
26,500 |
|||||||||
Dine Brands Global, Inc. |
511 |
33,256 |
|||||||||
Dorman Products, Inc. (a) |
727 |
79,759 |
|||||||||
Dream Finders Homes, Inc., Class A (a) (b) |
1,918 |
20,408 |
|||||||||
Ethan Allen Interiors, Inc. |
1,894 |
38,278 |
|||||||||
Everi Holdings, Inc. (a) |
1,642 |
26,781 |
|||||||||
Fossil Group, Inc. (a) |
2,287 |
11,824 |
|||||||||
Franchise Group, Inc. |
1,052 |
36,894 |
See notes to financial statements.
74
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Frontdoor, Inc. (a) |
1,763 |
$ |
42,453 |
||||||||
Funko, Inc., Class A (a) |
2,298 |
51,291 |
|||||||||
Genesco, Inc. (a) |
576 |
28,748 |
|||||||||
Gentherm, Inc. (a) |
529 |
33,015 |
|||||||||
G-III Apparel Group Ltd. (a) |
1,725 |
34,897 |
|||||||||
Golden Entertainment, Inc. (a) |
686 |
27,131 |
|||||||||
GoPro, Inc., Class A (a) |
5,545 |
30,664 |
|||||||||
Graham Holdings Co., Class B |
120 |
68,021 |
|||||||||
Green Brick Partners, Inc. (a) |
1,767 |
34,580 |
|||||||||
Groupon, Inc. (a) (b) |
1,200 |
13,560 |
|||||||||
Guess?, Inc. (b) |
1,752 |
29,872 |
|||||||||
iRobot Corp. (a) |
641 |
23,557 |
|||||||||
Jack in the Box, Inc. |
737 |
41,316 |
|||||||||
Johnson Outdoors, Inc., Class A |
815 |
49,845 |
|||||||||
Kontoor Brands, Inc. |
917 |
30,600 |
|||||||||
La-Z-Boy, Inc. |
1,542 |
36,561 |
|||||||||
M/I Homes, Inc. (a) |
978 |
38,787 |
|||||||||
Malibu Boats, Inc., Class A (a) |
693 |
36,528 |
|||||||||
MarineMax, Inc. (a) |
950 |
34,314 |
|||||||||
Monarch Casino & Resort, Inc. (a) |
628 |
36,845 |
|||||||||
Monro, Inc. |
1,071 |
45,924 |
|||||||||
Movado Group, Inc. |
1,075 |
33,250 |
|||||||||
National Vision Holdings, Inc. (a) |
1,321 |
36,328 |
|||||||||
Ollie's Bargain Outlet Holdings, Inc. (a) |
885 |
51,994 |
|||||||||
OneWater Marine, Inc. (a) |
809 |
26,737 |
|||||||||
Overstock.com, Inc. (a) (b) |
444 |
11,104 |
|||||||||
Oxford Industries, Inc. |
590 |
52,357 |
|||||||||
Patrick Industries, Inc. |
680 |
35,251 |
|||||||||
Perdoceo Education Corp. (a) |
6,152 |
72,471 |
|||||||||
Qurate Retail, Inc., Class A |
5,662 |
16,250 |
|||||||||
Rent-A-Center, Inc. |
1,263 |
24,565 |
|||||||||
Ruth's Hospitality Group, Inc. |
1,796 |
29,203 |
|||||||||
Sally Beauty Holdings, Inc. (a) |
2,169 |
25,854 |
|||||||||
Shoe Carnival, Inc. |
1,329 |
28,720 |
|||||||||
Sleep Number Corp. (a) |
584 |
18,075 |
|||||||||
Smith & Wesson Brands, Inc. |
1,687 |
22,150 |
|||||||||
Sonic Automotive, Inc., Class A |
842 |
30,842 |
|||||||||
Standard Motor Products, Inc. |
1,721 |
77,428 |
|||||||||
Strategic Education, Inc. |
725 |
51,171 |
|||||||||
Stride, Inc. (a) |
1,087 |
44,339 |
|||||||||
Sturm Ruger & Co., Inc. (c) |
873 |
55,566 |
|||||||||
The Aaron's Co., Inc. |
1,785 |
25,972 |
|||||||||
The Buckle, Inc. |
1,037 |
28,715 |
|||||||||
The Cheesecake Factory, Inc. |
986 |
26,050 |
|||||||||
The Children's Place, Inc. (a) |
497 |
19,343 |
|||||||||
Tri Pointe Homes, Inc. (a) |
2,293 |
38,683 |
|||||||||
Tupperware Brands Corp. (a) |
1,735 |
11,000 |
|||||||||
Urban Outfitters, Inc. (a) |
1,544 |
28,811 |
|||||||||
Vista Outdoor, Inc. (a) |
1,241 |
34,624 |
|||||||||
Winmark Corp. |
258 |
50,457 |
See notes to financial statements.
75
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Winnebago Industries, Inc. |
729 |
$ |
35,400 |
||||||||
Wolverine World Wide, Inc. |
2,192 |
44,191 |
|||||||||
WW International, Inc. (a) |
3,238 |
20,691 |
|||||||||
XPEL, Inc. (a) |
475 |
21,817 |
|||||||||
Zumiez, Inc. (a) |
845 |
21,970 |
|||||||||
2,805,252 |
|||||||||||
Consumer Staples (7.6%): |
|||||||||||
B&G Foods, Inc. (b) |
2,490 |
59,212 |
|||||||||
BellRing Brands, Inc. (a) |
1,644 |
40,919 |
|||||||||
Central Garden & Pet Co., Class A (a) |
1,527 |
61,095 |
|||||||||
e.l.f. Beauty, Inc. (a) |
2,248 |
68,969 |
|||||||||
Edgewell Personal Care Co. |
1,438 |
49,640 |
|||||||||
Energizer Holdings, Inc. |
2,307 |
65,403 |
|||||||||
Fresh Del Monte Produce, Inc. |
2,250 |
66,443 |
|||||||||
Grocery Outlet Holding Corp. (a) |
1,799 |
76,691 |
|||||||||
Hostess Brands, Inc. (a) |
3,794 |
80,471 |
|||||||||
Ingles Markets, Inc., Class A |
758 |
65,756 |
|||||||||
Inter Parfums, Inc. |
639 |
46,685 |
|||||||||
John B Sanfilippo & Son, Inc. |
1,223 |
88,655 |
|||||||||
Medifast, Inc. |
251 |
45,308 |
|||||||||
MGP Ingredients, Inc. |
573 |
57,352 |
|||||||||
Mission Produce, Inc. (a) |
4,303 |
61,318 |
|||||||||
Nu Skin Enterprises, Inc., Class A |
1,166 |
50,488 |
|||||||||
PriceSmart, Inc. |
953 |
68,263 |
|||||||||
SpartanNash Co. |
2,663 |
80,343 |
|||||||||
The Andersons, Inc. |
1,281 |
42,260 |
|||||||||
The Duckhorn Portfolio, Inc. (a) |
2,392 |
50,376 |
|||||||||
Tootsie Roll Industries, Inc. |
2,052 |
72,538 |
|||||||||
United Natural Foods, Inc. (a) |
897 |
35,342 |
|||||||||
Universal Corp. |
1,557 |
94,199 |
|||||||||
USANA Health Sciences, Inc. (a) |
859 |
62,157 |
|||||||||
Utz Brands, Inc. |
3,222 |
44,528 |
|||||||||
Vector Group Ltd. |
4,592 |
48,216 |
|||||||||
WD-40 Co. |
285 |
57,388 |
|||||||||
Weis Markets, Inc. (c) |
1,134 |
84,528 |
|||||||||
1,724,543 |
|||||||||||
Energy (2.6%): |
|||||||||||
Arch Resources, Inc. |
328 |
46,934 |
|||||||||
Archrock, Inc. |
5,891 |
48,719 |
|||||||||
Brigham Minerals, Inc. |
2,192 |
53,989 |
|||||||||
Centennial Resource Development, Inc., Class A (a) |
3,123 |
18,676 |
|||||||||
CONSOL Energy, Inc. (a) |
851 |
42,022 |
|||||||||
Core Laboratories NV |
1,348 |
26,704 |
|||||||||
CVR Energy, Inc. |
1,771 |
59,328 |
|||||||||
Gulfport Energy Corp. (a) |
726 |
57,724 |
|||||||||
Laredo Petroleum, Inc. (a) |
276 |
19,027 |
|||||||||
Noble Corp. (a) |
1,684 |
42,689 |
|||||||||
Oasis Petroleum, Inc. |
306 |
37,225 |
|||||||||
PBF Energy, Inc., Class A (a) |
1,483 |
43,037 |
See notes to financial statements.
76
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Peabody Energy Corp. (a) (c) |
1,024 |
$ |
21,842 |
||||||||
RPC, Inc. (a) |
3,372 |
23,300 |
|||||||||
World Fuel Services Corp. (c) |
1,728 |
35,355 |
|||||||||
576,571 |
|||||||||||
Financials (24.9%): |
|||||||||||
1st Source Corp. |
1,423 |
64,604 |
|||||||||
A-Mark Precious Metals, Inc. |
1,204 |
38,829 |
|||||||||
Amerant Bancorp, Inc. |
1,679 |
47,214 |
|||||||||
AMERISAFE, Inc. |
1,310 |
68,133 |
|||||||||
AssetMark Financial Holdings, Inc. (a) |
3,248 |
60,965 |
|||||||||
Atlanticus Holdings Corp. (a) |
585 |
20,574 |
|||||||||
B Riley Financial, Inc. |
704 |
29,744 |
|||||||||
Banc of California, Inc. |
2,875 |
50,658 |
|||||||||
BancFirst Corp. |
995 |
95,231 |
|||||||||
Banner Corp. |
1,000 |
56,210 |
|||||||||
Berkshire Hills Bancorp, Inc. |
2,045 |
50,655 |
|||||||||
BGC Partners, Inc., Class A |
11,576 |
39,011 |
|||||||||
Blucora, Inc. (a) |
3,193 |
58,943 |
|||||||||
Brightsphere Investment Group, Inc. |
2,588 |
46,610 |
|||||||||
Brookline Bancorp, Inc. |
4,235 |
56,368 |
|||||||||
Byline Bancorp, Inc. |
2,305 |
54,859 |
|||||||||
Capitol Federal Financial, Inc. |
8,054 |
73,936 |
|||||||||
City Holding Co. |
1,004 |
80,200 |
|||||||||
CNO Financial Group, Inc. |
2,768 |
50,073 |
|||||||||
Columbia Banking System, Inc. |
1,433 |
41,055 |
|||||||||
Columbia Financial, Inc. (a) (c) |
3,978 |
86,760 |
|||||||||
ConnectOne Bancorp, Inc. |
2,032 |
49,682 |
|||||||||
Customers Bancorp, Inc. (a) |
604 |
20,476 |
|||||||||
Dime Community Bancshares, Inc. |
2,114 |
62,680 |
|||||||||
Donnelley Financial Solutions, Inc. (a) |
1,283 |
37,579 |
|||||||||
Eagle Bancorp, Inc. |
1,125 |
53,336 |
|||||||||
Employers Holdings, Inc. |
2,041 |
85,498 |
|||||||||
Encore Capital Group, Inc. (a) |
1,063 |
61,410 |
|||||||||
Enova International, Inc. (a) |
1,084 |
31,241 |
|||||||||
Enterprise Financial Services Corp. |
1,464 |
60,756 |
|||||||||
FB Financial Corp. |
1,430 |
56,085 |
|||||||||
Federal Agricultural Mortgage Corp., Class C |
568 |
55,465 |
|||||||||
First BanCorp/Puerto Rico |
3,930 |
50,736 |
|||||||||
First Bancorp/Southern Pines NC |
1,356 |
47,324 |
|||||||||
First Busey Corp. |
2,406 |
54,977 |
|||||||||
First Commonwealth Financial Corp. |
4,067 |
54,579 |
|||||||||
First Financial Bancorp |
2,541 |
49,295 |
|||||||||
First Foundation, Inc. |
2,326 |
47,636 |
|||||||||
First Merchants Corp. |
1,481 |
52,753 |
|||||||||
FirstCash Holdings, Inc. |
883 |
61,377 |
|||||||||
Fulton Financial Corp. |
3,601 |
52,034 |
|||||||||
GCM Grosvenor, Inc., Class A |
7,224 |
49,484 |
|||||||||
Genworth Financial, Inc. (a) |
11,667 |
41,185 |
|||||||||
German American Bancorp, Inc. |
1,574 |
53,799 |
|||||||||
Green Dot Corp., Class A (a) |
1,755 |
44,068 |
See notes to financial statements.
77
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Heartland Financial USA, Inc. |
1,338 |
$ |
55,581 |
||||||||
Heritage Financial Corp. |
2,476 |
62,296 |
|||||||||
Hilltop Holdings, Inc. |
2,078 |
55,400 |
|||||||||
HomeStreet, Inc. |
1,296 |
44,932 |
|||||||||
Hope Bancorp, Inc. |
3,460 |
47,886 |
|||||||||
Horace Mann Educators Corp. |
1,819 |
69,813 |
|||||||||
Horizon Bancorp, Inc. |
3,330 |
58,009 |
|||||||||
International Bancshares Corp. |
1,431 |
57,355 |
|||||||||
Kearny Financial Corp. |
6,005 |
66,716 |
|||||||||
Lakeland Bancorp, Inc. |
3,876 |
56,667 |
|||||||||
Lakeland Financial Corp. |
813 |
53,999 |
|||||||||
LendingClub Corp. (a) |
997 |
11,655 |
|||||||||
LendingTree, Inc. (a) |
284 |
12,445 |
|||||||||
Live Oak Bancshares, Inc. |
592 |
20,063 |
|||||||||
Merchants Bancorp |
2,050 |
46,474 |
|||||||||
Meta Financial Group, Inc. |
993 |
38,399 |
|||||||||
Metropolitan Bank Holding Corp. (a) |
480 |
33,322 |
|||||||||
National Bank Holdings Corp., Class A |
1,520 |
58,170 |
|||||||||
Navient Corp. |
2,677 |
37,451 |
|||||||||
NBT Bancorp, Inc. |
1,889 |
71,008 |
|||||||||
Nicolet Bankshares, Inc. (a) |
800 |
57,872 |
|||||||||
NMI Holdings, Inc., Class A (a) |
2,255 |
37,546 |
|||||||||
Northwest Bancshares, Inc. (c) |
6,142 |
78,618 |
|||||||||
OceanFirst Financial Corp. |
2,982 |
57,046 |
|||||||||
OFG Bancorp |
1,875 |
47,625 |
|||||||||
Open Lending Corp., Class A (a) |
1,430 |
14,629 |
|||||||||
Origin Bancorp, Inc. |
1,528 |
59,286 |
|||||||||
Palomar Holdings, Inc. (a) |
680 |
43,792 |
|||||||||
Park National Corp. |
494 |
59,898 |
|||||||||
Peoples Bancorp, Inc. |
2,451 |
65,197 |
|||||||||
Piper Sandler Cos. |
369 |
41,830 |
|||||||||
PJT Partners, Inc., Class A |
1,018 |
71,545 |
|||||||||
PRA Group, Inc. (a) |
1,691 |
61,485 |
|||||||||
Preferred Bank |
885 |
60,198 |
|||||||||
Premier Financial Corp. |
1,986 |
50,345 |
|||||||||
ProAssurance Corp. |
2,589 |
61,178 |
|||||||||
PROG Holdings, Inc. (a) |
1,394 |
23,001 |
|||||||||
Provident Financial Services, Inc. |
3,199 |
71,210 |
|||||||||
Renasant Corp. |
1,728 |
49,784 |
|||||||||
S&T Bancorp, Inc. |
2,038 |
55,902 |
|||||||||
Safety Insurance Group, Inc. (c) |
1,137 |
110,403 |
|||||||||
Sandy Spring Bancorp, Inc. |
1,306 |
51,025 |
|||||||||
Seacoast Banking Corp. of Florida |
1,579 |
52,170 |
|||||||||
SiriusPoint Ltd. (a) |
9,686 |
52,498 |
|||||||||
Southside Bancshares, Inc. (c) |
1,679 |
62,828 |
|||||||||
Stewart Information Services Corp. |
1,059 |
52,685 |
|||||||||
Stock Yards Bancorp, Inc. |
1,261 |
75,433 |
|||||||||
StoneX Group, Inc. (a) |
731 |
57,069 |
|||||||||
The Bancorp, Inc. (a) |
1,362 |
26,586 |
|||||||||
Tompkins Financial Corp. (b) |
864 |
62,294 |
See notes to financial statements.
78
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Towne Bank |
2,268 |
$ |
61,576 |
||||||||
TriCo Bancshares |
1,583 |
72,248 |
|||||||||
Triumph Bancorp, Inc. (a) |
431 |
26,963 |
|||||||||
Trustmark Corp. |
1,964 |
57,329 |
|||||||||
Veritex Holdings, Inc. |
1,413 |
41,344 |
|||||||||
Victory Capital Holdings, Inc., Class A (d) |
1,478 |
35,620 |
|||||||||
Virtus Investment Partners, Inc. |
216 |
36,940 |
|||||||||
Washington Federal, Inc. |
1,993 |
59,830 |
|||||||||
Washington Trust Bancorp, Inc. |
1,286 |
62,204 |
|||||||||
WesBanco, Inc. |
1,625 |
51,529 |
|||||||||
Westamerica Bancorp |
1,363 |
75,865 |
|||||||||
World Acceptance Corp. (a) |
154 |
17,285 |
|||||||||
5,631,439 |
|||||||||||
Health Care (10.1%): |
|||||||||||
AdaptHealth Corp. (a) |
2,207 |
39,814 |
|||||||||
Addus HomeCare Corp. (a) |
509 |
42,390 |
|||||||||
Agiliti, Inc. (a) |
2,042 |
41,881 |
|||||||||
Allscripts Healthcare Solutions, Inc. (a) |
2,930 |
43,452 |
|||||||||
Amneal Pharmaceuticals, Inc. (a) |
9,146 |
29,084 |
|||||||||
Amphastar Pharmaceuticals, Inc. (a) |
2,033 |
70,728 |
|||||||||
AnaptysBio, Inc. (a) |
1,281 |
26,004 |
|||||||||
Apollo Medical Holdings, Inc. (a) (b) |
431 |
16,632 |
|||||||||
Arcus Biosciences, Inc. (a) |
768 |
19,461 |
|||||||||
Atrion Corp. |
79 |
49,680 |
|||||||||
Avanos Medical, Inc. (a) |
1,380 |
37,729 |
|||||||||
Aveanna Healthcare Holdings, Inc. (a) |
7,647 |
17,282 |
|||||||||
Avid Bioservices, Inc. (a) |
1,544 |
23,561 |
|||||||||
Bioventus, Inc., Class A (a) |
3,230 |
22,029 |
|||||||||
Catalyst Pharmaceuticals, Inc. (a) |
4,906 |
34,391 |
|||||||||
Collegium Pharmaceutical, Inc. (a) |
2,083 |
36,911 |
|||||||||
Community Health Systems, Inc. (a) |
2,858 |
10,718 |
|||||||||
Corcept Therapeutics, Inc. (a) |
1,676 |
39,855 |
|||||||||
CorVel Corp. (a) |
350 |
51,545 |
|||||||||
Cross Country Healthcare, Inc. (a) |
1,259 |
26,225 |
|||||||||
Cutera, Inc. (a) |
1,157 |
43,388 |
|||||||||
Dynavax Technologies Corp. (a) |
1,975 |
24,865 |
|||||||||
Emergent BioSolutions, Inc. (a) |
706 |
21,914 |
|||||||||
Fulgent Genetics, Inc. (a) |
468 |
25,520 |
|||||||||
Haemonetics Corp. (a) |
677 |
44,127 |
|||||||||
Hanger, Inc. (a) |
2,799 |
40,082 |
|||||||||
Harmony Biosciences Holdings, Inc. (a) |
943 |
45,990 |
|||||||||
Innovage Holding Corp. (a) (b) |
4,332 |
18,974 |
|||||||||
Innoviva, Inc. (a) |
2,793 |
41,225 |
|||||||||
Integer Holdings Corp. (a) |
757 |
53,490 |
|||||||||
Ironwood Pharmaceuticals, Inc. (a) |
5,804 |
66,920 |
|||||||||
iTeos Therapeutics, Inc. (a) |
772 |
15,903 |
|||||||||
LeMaitre Vascular, Inc. |
1,178 |
53,658 |
|||||||||
Ligand Pharmaceuticals, Inc. (a) |
356 |
31,762 |
|||||||||
MEDNAX, Inc. (a) |
2,332 |
48,995 |
|||||||||
Meridian Bioscience, Inc. (a) |
1,512 |
45,995 |
See notes to financial statements.
79
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Mesa Laboratories, Inc. |
273 |
$ |
55,676 |
||||||||
Multiplan Corp. (a) (b) |
6,761 |
37,118 |
|||||||||
National HealthCare Corp. (c) |
1,096 |
76,610 |
|||||||||
National Research Corp. |
1,472 |
56,348 |
|||||||||
Natus Medical, Inc. (a) |
1,777 |
58,232 |
|||||||||
NextGen Healthcare, Inc. (a) |
3,234 |
56,401 |
|||||||||
OptimizeRx Corp. (a) (c) |
667 |
18,269 |
|||||||||
Organogenesis Holdings, Inc. (a) |
4,153 |
20,267 |
|||||||||
Pacira BioSciences, Inc. (a) |
808 |
47,106 |
|||||||||
Patterson Cos., Inc. (c) |
2,046 |
61,994 |
|||||||||
Phibro Animal Health Corp., Class A |
2,357 |
45,089 |
|||||||||
Prestige Consumer Healthcare, Inc. (a) |
1,201 |
70,619 |
|||||||||
Prothena Corp. PLC (a) |
766 |
20,797 |
|||||||||
RadNet, Inc. (a) |
1,524 |
26,335 |
|||||||||
REGENXBIO, Inc. (a) |
1,028 |
25,392 |
|||||||||
Simulations Plus, Inc. |
962 |
47,455 |
|||||||||
Supernus Pharmaceuticals, Inc. (a) |
1,584 |
45,809 |
|||||||||
Syndax Pharmaceuticals, Inc. (a) |
2,199 |
42,309 |
|||||||||
U.S. Physical Therapy, Inc. |
504 |
55,037 |
|||||||||
uniQure NV (a) |
1,865 |
34,764 |
|||||||||
Varex Imaging Corp. (a) |
2,262 |
48,384 |
|||||||||
Xencor, Inc. (a) |
1,524 |
41,712 |
|||||||||
2,293,903 |
|||||||||||
Industrials (21.2%): |
|||||||||||
AAR Corp. (a) |
1,244 |
52,049 |
|||||||||
ACCO Brands Corp. |
6,322 |
41,283 |
|||||||||
AerSale Corp. (a) |
2,294 |
33,286 |
|||||||||
Air Transport Services Group, Inc. (a) |
1,877 |
53,926 |
|||||||||
Alamo Group, Inc. |
521 |
60,660 |
|||||||||
Albany International Corp. |
721 |
56,808 |
|||||||||
Altra Industrial Motion Corp. |
1,189 |
41,912 |
|||||||||
ArcBest Corp. |
398 |
28,007 |
|||||||||
Arcosa, Inc. |
1,017 |
47,219 |
|||||||||
Astec Industries, Inc. |
987 |
40,250 |
|||||||||
Atlas Air Worldwide Holdings, Inc. (a) |
739 |
45,604 |
|||||||||
AZZ, Inc. |
1,358 |
55,434 |
|||||||||
Barnes Group, Inc. |
1,489 |
46,367 |
|||||||||
BlueLinx Holdings, Inc. (a) |
285 |
19,041 |
|||||||||
Brady Corp., Class A |
1,779 |
84,040 |
|||||||||
BrightView Holdings, Inc. (a) |
3,698 |
44,376 |
|||||||||
CBIZ, Inc. (a) |
2,047 |
81,798 |
|||||||||
Columbus McKinnon Corp. |
1,300 |
36,881 |
|||||||||
Construction Partners, Inc., Class A (a) |
1,758 |
36,813 |
|||||||||
CRA International, Inc. |
557 |
49,751 |
|||||||||
CSW Industrials, Inc. |
588 |
60,582 |
|||||||||
Daseke, Inc. (a) |
3,594 |
22,966 |
|||||||||
Deluxe Corp. |
1,633 |
35,387 |
|||||||||
Douglas Dynamics, Inc. |
1,646 |
47,306 |
|||||||||
Dycom Industries, Inc. (a) |
446 |
41,496 |
|||||||||
Eagle Bulk Shipping, Inc. |
641 |
33,255 |
See notes to financial statements.
80
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Encore Wire Corp. |
353 |
$ |
36,684 |
||||||||
Energy Recovery, Inc. (a) |
2,731 |
53,036 |
|||||||||
Enerpac Tool Group Corp. |
3,246 |
61,739 |
|||||||||
EnPro Industries, Inc. |
559 |
45,799 |
|||||||||
ESCO Technologies, Inc. |
1,035 |
70,763 |
|||||||||
Federal Signal Corp. |
2,061 |
73,372 |
|||||||||
Forrester Research, Inc. (a) |
1,313 |
62,814 |
|||||||||
Forward Air Corp. |
566 |
52,049 |
|||||||||
Franklin Covey Co. (a) |
1,082 |
49,967 |
|||||||||
Genco Shipping & Trading Ltd. |
1,739 |
33,597 |
|||||||||
Gibraltar Industries, Inc. (a) |
1,073 |
41,579 |
|||||||||
Global Industrial Co. |
1,833 |
61,900 |
|||||||||
GMS, Inc. (a) |
826 |
36,757 |
|||||||||
GrafTech International Ltd. |
3,785 |
26,760 |
|||||||||
Granite Construction, Inc. |
1,844 |
53,734 |
|||||||||
Great Lakes Dredge & Dock Corp. (a) |
5,117 |
67,084 |
|||||||||
Griffon Corp. |
2,327 |
65,226 |
|||||||||
H&E Equipment Services, Inc. |
994 |
28,796 |
|||||||||
Healthcare Services Group |
3,267 |
56,878 |
|||||||||
Heartland Express, Inc. |
6,179 |
85,950 |
|||||||||
Heidrick & Struggles International, Inc. |
1,469 |
47,537 |
|||||||||
Helios Technologies, Inc. |
638 |
42,267 |
|||||||||
Heritage-Crystal Clean, Inc. (a) |
2,258 |
60,876 |
|||||||||
HNI Corp. |
1,542 |
53,492 |
|||||||||
Hub Group, Inc., Class A (a) |
760 |
53,914 |
|||||||||
Huron Consulting Group, Inc. (a) |
1,184 |
76,948 |
|||||||||
Hydrofarm Holdings Group, Inc. (a) (b) |
1,389 |
4,834 |
|||||||||
ICF International, Inc. |
870 |
82,650 |
|||||||||
IES Holdings, Inc. (a) |
1,254 |
37,833 |
|||||||||
Insteel Industries, Inc. |
1,297 |
43,670 |
|||||||||
Interface, Inc. |
3,703 |
46,436 |
|||||||||
Janus International Group, Inc. (a) |
4,016 |
36,264 |
|||||||||
JELD-WEN Holding, Inc. (a) |
2,125 |
31,004 |
|||||||||
Kadant, Inc. |
309 |
56,346 |
|||||||||
Kaman Corp. |
1,285 |
40,156 |
|||||||||
KAR Auction Services, Inc. (a) |
1,618 |
23,898 |
|||||||||
Kelly Services, Inc., Class A |
1,993 |
39,521 |
|||||||||
Kennametal, Inc. |
1,815 |
42,162 |
|||||||||
Kforce, Inc. |
748 |
45,882 |
|||||||||
Lindsay Corp. |
448 |
59,503 |
|||||||||
Marten Transport Ltd. |
4,145 |
69,719 |
|||||||||
Maxar Technologies, Inc. |
903 |
23,559 |
|||||||||
McGrath RentCorp |
850 |
64,600 |
|||||||||
Moog, Inc., Class A |
745 |
59,146 |
|||||||||
Mueller Water Products, Inc., Class A |
5,083 |
59,624 |
|||||||||
MYR Group, Inc. (a) |
620 |
54,641 |
|||||||||
NOW, Inc. (a) |
3,888 |
38,025 |
|||||||||
NV5 Global, Inc. (a) |
510 |
59,537 |
|||||||||
Omega Flex, Inc. |
366 |
39,389 |
|||||||||
PAM Transportation Services, Inc. (a) |
940 |
25,747 |
See notes to financial statements.
81
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
PGT Innovations, Inc. (a) |
2,650 |
$ |
44,096 |
||||||||
Pitney Bowes, Inc. |
7,568 |
27,396 |
|||||||||
Primoris Services Corp. |
1,833 |
39,886 |
|||||||||
Proto Labs, Inc. (a) |
651 |
31,144 |
|||||||||
Quanex Building Products Corp. |
2,631 |
59,855 |
|||||||||
REV Group, Inc. |
2,580 |
28,045 |
|||||||||
Rush Enterprises, Inc., Class A |
1,235 |
59,527 |
|||||||||
Shoals Technologies Group, Inc., Class A (a) |
1,685 |
27,769 |
|||||||||
SkyWest, Inc. (a) |
1,250 |
26,563 |
|||||||||
SP Plus Corp. (a) |
1,688 |
51,855 |
|||||||||
SPX Corp. (a) |
1,260 |
66,578 |
|||||||||
Standex International Corp. |
757 |
64,178 |
|||||||||
Steelcase, Inc., Class A |
5,455 |
58,532 |
|||||||||
Sterling Infrastructure, Inc. (a) |
1,482 |
32,485 |
|||||||||
Sun Country Airlines Holdings, Inc. (a) |
1,376 |
25,236 |
|||||||||
Tennant Co. |
1,057 |
62,627 |
|||||||||
Terex Corp. |
1,076 |
29,450 |
|||||||||
The Gorman-Rupp Co. |
1,893 |
53,572 |
|||||||||
The Greenbrier Cos., Inc. |
1,094 |
39,373 |
|||||||||
The Shyft Group, Inc. |
939 |
17,456 |
|||||||||
Titan International, Inc. (a) |
2,911 |
43,956 |
|||||||||
Trinity Industries, Inc. |
1,917 |
46,430 |
|||||||||
TrueBlue, Inc. (a) |
1,832 |
32,793 |
|||||||||
Veritiv Corp. (a) |
262 |
28,440 |
|||||||||
Wabash National Corp. |
2,791 |
37,902 |
|||||||||
Werner Enterprises, Inc. |
1,877 |
72,340 |
|||||||||
4,787,645 |
|||||||||||
Information Technology (9.5%): |
|||||||||||
3D Systems Corp. (a) |
1,417 |
13,745 |
|||||||||
A10 Networks, Inc. |
2,073 |
29,810 |
|||||||||
ACM Research, Inc., Class A (a) |
998 |
16,796 |
|||||||||
Alpha & Omega Semiconductor Ltd. (a) |
536 |
17,870 |
|||||||||
American Software, Inc., Class A |
2,136 |
34,518 |
|||||||||
Avid Technology, Inc. (a) |
1,031 |
26,755 |
|||||||||
Axcelis Technologies, Inc. (a) |
516 |
28,297 |
|||||||||
Badger Meter, Inc. |
616 |
49,828 |
|||||||||
Belden, Inc. |
1,023 |
54,495 |
|||||||||
Benchmark Electronics, Inc. |
2,523 |
56,919 |
|||||||||
Cambium Networks Corp. (a) |
1,049 |
15,368 |
|||||||||
Cerence, Inc. (a) |
742 |
18,721 |
|||||||||
CEVA, Inc. (a) |
1,013 |
33,996 |
|||||||||
Clearfield, Inc. (a) |
454 |
28,125 |
|||||||||
Cohu, Inc. (a) |
1,240 |
34,410 |
|||||||||
CommVault Systems, Inc. (a) |
808 |
50,823 |
|||||||||
Corsair Gaming, Inc. (a) (b) |
1,896 |
24,895 |
|||||||||
CSG Systems International, Inc. |
1,535 |
91,609 |
|||||||||
Digi International, Inc. (a) |
2,912 |
70,529 |
|||||||||
Ebix, Inc. (b) |
1,153 |
19,486 |
|||||||||
ePlus, Inc. (a) |
1,196 |
63,532 |
|||||||||
EVERTEC, Inc. |
1,755 |
64,724 |
See notes to financial statements.
82
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Extreme Networks, Inc. (a) |
3,377 |
$ |
30,123 |
||||||||
Harmonic, Inc. (a) |
4,014 |
34,801 |
|||||||||
Ichor Holdings Ltd. (a) |
974 |
25,305 |
|||||||||
InterDigital, Inc. |
1,147 |
69,738 |
|||||||||
Knowles Corp. (a) |
4,718 |
81,763 |
|||||||||
Methode Electronics, Inc. |
1,407 |
52,115 |
|||||||||
Mitek Systems, Inc. (a) |
3,213 |
29,688 |
|||||||||
N-able, Inc. (a) |
2,226 |
20,034 |
|||||||||
Napco Security Technologies, Inc. (a) |
2,346 |
48,304 |
|||||||||
NETGEAR, Inc. (a) |
2,351 |
43,541 |
|||||||||
NetScout Systems, Inc. (a) |
1,963 |
66,448 |
|||||||||
OSI Systems, Inc. (a) |
1,160 |
99,110 |
|||||||||
Paymentus Holdings, Inc., Class A (a) (b) |
1,244 |
16,632 |
|||||||||
PC Connection, Inc. |
1,129 |
49,732 |
|||||||||
Photronics, Inc. (a) |
2,045 |
39,837 |
|||||||||
Plexus Corp. (a) |
803 |
63,036 |
|||||||||
Progress Software Corp. |
1,354 |
61,336 |
|||||||||
Rambus, Inc. (a) |
2,261 |
48,589 |
|||||||||
Riot Blockchain, Inc. (a) (b) |
1,158 |
4,852 |
|||||||||
Sanmina Corp. (a) |
1,658 |
67,530 |
|||||||||
ScanSource, Inc. (a) |
1,390 |
43,285 |
|||||||||
Super Micro Computer, Inc. (a) |
1,167 |
47,088 |
|||||||||
TTM Technologies, Inc. (a) |
5,343 |
66,788 |
|||||||||
Ultra Clean Holdings, Inc. (a) |
690 |
20,541 |
|||||||||
Veeco Instruments, Inc. (a) |
1,635 |
31,719 |
|||||||||
Verra Mobility Corp. (a) |
3,478 |
54,639 |
|||||||||
Vishay Intertechnology, Inc. |
3,581 |
63,813 |
|||||||||
Vizio Holding Corp., Class A (a) |
2,365 |
16,129 |
|||||||||
2,141,767 |
|||||||||||
Materials (5.1%): |
|||||||||||
AdvanSix, Inc. |
1,036 |
34,644 |
|||||||||
Chase Corp. |
757 |
58,902 |
|||||||||
Greif, Inc., Class A |
1,107 |
69,055 |
|||||||||
Hawkins, Inc. |
1,160 |
41,795 |
|||||||||
Ingevity Corp. (a) |
898 |
56,700 |
|||||||||
Innospec, Inc. |
754 |
72,226 |
|||||||||
Intrepid Potash, Inc. (a) |
519 |
23,505 |
|||||||||
Kronos Worldwide, Inc. |
4,480 |
82,432 |
|||||||||
Materion Corp. |
662 |
48,809 |
|||||||||
Minerals Technologies, Inc. |
998 |
61,217 |
|||||||||
O-I Glass, Inc. (a) |
3,651 |
51,114 |
|||||||||
Origin Materials, Inc. (a) |
5,818 |
29,788 |
|||||||||
Orion Engineered Carbons SA |
3,264 |
50,690 |
|||||||||
Pactiv Evergreen, Inc. |
4,703 |
46,842 |
|||||||||
Ramaco Resources, Inc. |
1,549 |
20,369 |
|||||||||
Ryerson Holding Corp. |
1,224 |
26,059 |
|||||||||
Schnitzer Steel Industries, Inc. |
800 |
26,272 |
|||||||||
Schweitzer-Mauduit International, Inc. |
1,654 |
41,548 |
|||||||||
Stepan Co. |
819 |
83,006 |
|||||||||
SunCoke Energy, Inc. |
5,140 |
35,003 |
See notes to financial statements.
83
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
TimkenSteel Corp. (a) |
1,669 |
$ |
31,227 |
||||||||
TriMas Corp. |
1,958 |
54,217 |
|||||||||
Trinseo PLC |
830 |
31,922 |
|||||||||
Warrior Met Coal, Inc. |
1,157 |
35,416 |
|||||||||
Worthington Industries, Inc. |
972 |
42,865 |
|||||||||
1,155,623 |
|||||||||||
Real Estate (0.7%): |
|||||||||||
Anywhere Real Estate, Inc. (a) |
2,630 |
25,853 |
|||||||||
Forestar Group, Inc. (a) |
3,150 |
43,124 |
|||||||||
Marcus & Millichap, Inc. |
1,271 |
47,014 |
|||||||||
The RMR Group, Inc., Class A |
1,754 |
49,726 |
|||||||||
165,717 |
|||||||||||
Utilities (2.6%): |
|||||||||||
Chesapeake Utilities Corp. |
671 |
86,928 |
|||||||||
MGE Energy, Inc. |
1,302 |
101,335 |
|||||||||
Middlesex Water Co. |
589 |
51,644 |
|||||||||
Northwest Natural Holding Co. |
1,629 |
86,500 |
|||||||||
Otter Tail Corp. (c) |
1,311 |
88,007 |
|||||||||
SJW Group |
1,385 |
86,438 |
|||||||||
Unitil Corp. (c) |
1,553 |
91,192 |
|||||||||
592,044 |
|||||||||||
Total Common Stocks (Cost $23,695,380) |
22,530,994 |
||||||||||
Collateral for Securities Loaned (1.2%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) |
8,199 |
8,199 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (e) |
4,092 |
4,092 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (e) |
51,033 |
51,033 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) |
32,627 |
32,627 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (e) |
21,758 |
21,758 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (e) |
146,696 |
146,696 |
|||||||||
Total Collateral for Securities Loaned (Cost $264,405) |
264,405 |
||||||||||
Total Investments (Cost $23,959,785) ? 100.8% |
22,795,399 |
||||||||||
Liabilities in excess of other assets ? (0.8)% |
(178,636 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
22,616,763 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Affiliated security (See Note 10 in the Notes to Financial Statements).
(e) Rate disclosed is the daily yield on June 30, 2022.
See notes to financial statements.
84
Victory Portfolios
II VictoryShares US Small Cap Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
CVR ? Contingent Value Right
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini Russell 2000 Index Futures |
1 |
9/16/22 |
$ |
82,734 |
$ |
85,400 |
$ |
2,666 |
|||||||||||||||
Total unrealized appreciation |
$ |
2,666 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
2,666 |
See notes to financial statements.
85
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.1%) |
|||||||||||
Australia (5.2%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
REA Group Ltd. |
1,773 |
$ |
136,829 |
||||||||
Telstra Corp. Ltd. |
101,549 |
269,803 |
|||||||||
406,632 |
|||||||||||
Consumer Discretionary (0.4%): |
|||||||||||
Aristocrat Leisure Ltd. |
7,897 |
187,361 |
|||||||||
Wesfarmers Ltd. |
6,706 |
193,951 |
|||||||||
381,312 |
|||||||||||
Consumer Staples (0.6%): |
|||||||||||
Coles Group Ltd. |
22,477 |
276,257 |
|||||||||
Woolworths Group Ltd. |
9,962 |
244,741 |
|||||||||
520,998 |
|||||||||||
Energy (0.4%): |
|||||||||||
Santos Ltd. |
31,729 |
162,469 |
|||||||||
Woodside Energy Group Ltd. |
8,450 |
185,670 |
|||||||||
348,139 |
|||||||||||
Financials (1.7%): |
|||||||||||
ASX Ltd. |
4,603 |
259,553 |
|||||||||
Australia & New Zealand Banking Group Ltd. |
15,503 |
235,690 |
|||||||||
Commonwealth Bank of Australia |
3,261 |
203,392 |
|||||||||
Macquarie Group Ltd. |
1,768 |
200,717 |
|||||||||
National Australia Bank Ltd. |
14,214 |
268,670 |
|||||||||
QBE Insurance Group Ltd. |
21,625 |
181,319 |
|||||||||
Westpac Banking Corp. |
15,547 |
209,215 |
|||||||||
1,558,556 |
|||||||||||
Health Care (0.9%): |
|||||||||||
Cochlear Ltd. |
1,117 |
153,166 |
|||||||||
CSL Ltd. |
1,070 |
198,675 |
|||||||||
Ramsay Health Care Ltd. |
5,866 |
296,484 |
|||||||||
Sonic Healthcare Ltd. |
9,294 |
211,718 |
|||||||||
860,043 |
|||||||||||
Materials (0.8%): |
|||||||||||
BHP Group Ltd. |
5,653 |
160,921 |
|||||||||
Fortescue Metals Group Ltd. |
9,466 |
114,514 |
|||||||||
Newcrest Mining Ltd. |
10,215 |
147,261 |
|||||||||
Rio Tinto Ltd. |
2,084 |
147,700 |
|||||||||
South32 Ltd. |
49,487 |
134,554 |
|||||||||
704,950 |
|||||||||||
4,780,630 |
|||||||||||
Austria (0.4%): |
|||||||||||
Energy (0.2%): |
|||||||||||
OMV AG |
3,250 |
152,423 |
See notes to financial statements.
86
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (0.1%): |
|||||||||||
Erste Group Bank AG |
4,089 |
$ |
103,684 |
||||||||
Utilities (0.1%): |
|||||||||||
Verbund AG |
1,354 |
132,438 |
|||||||||
388,545 |
|||||||||||
Belgium (1.2%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Anheuser-Busch InBev SA |
2,915 |
156,871 |
|||||||||
Financials (0.6%): |
|||||||||||
Groupe Bruxelles Lambert SA |
3,266 |
272,674 |
|||||||||
KBC Group NV |
2,815 |
157,919 |
|||||||||
Sofina SA |
572 |
116,872 |
|||||||||
547,465 |
|||||||||||
Health Care (0.2%): |
|||||||||||
UCB SA |
2,248 |
189,944 |
|||||||||
Materials (0.2%): |
|||||||||||
Solvay SA, Class A |
2,136 |
173,050 |
|||||||||
1,067,330 |
|||||||||||
Canada (14.7%): |
|||||||||||
Communication Services (1.4%): |
|||||||||||
BCE, Inc. (a) |
10,787 |
530,298 |
|||||||||
Rogers Communications, Inc., Class B (b) |
6,007 |
287,888 |
|||||||||
TELUS Corp. (a) (b) |
20,666 |
460,368 |
|||||||||
1,278,554 |
|||||||||||
Consumer Discretionary (0.7%): |
|||||||||||
Dollarama, Inc. |
5,827 |
335,585 |
|||||||||
Magna International, Inc. |
2,351 |
129,113 |
|||||||||
Restaurant Brands International, Inc. |
4,459 |
223,712 |
|||||||||
688,410 |
|||||||||||
Consumer Staples (1.3%): |
|||||||||||
Alimentation Couche-Tard, Inc. |
5,182 |
202,166 |
|||||||||
George Weston Ltd. |
2,737 |
319,785 |
|||||||||
Loblaw Cos. Ltd. |
4,013 |
361,981 |
|||||||||
Metro, Inc. |
6,523 |
350,174 |
|||||||||
1,234,106 |
|||||||||||
Energy (2.0%): |
|||||||||||
Canadian Natural Resources Ltd. |
2,999 |
161,182 |
|||||||||
Cenovus Energy, Inc. |
8,222 |
156,454 |
|||||||||
Enbridge, Inc. |
8,039 |
339,549 |
|||||||||
Imperial Oil Ltd. (b) |
3,595 |
169,499 |
|||||||||
Pembina Pipeline Corp. |
8,684 |
307,010 |
|||||||||
Suncor Energy, Inc. |
4,773 |
167,482 |
|||||||||
TC Energy Corp. |
5,981 |
309,878 |
|||||||||
Tourmaline Oil Corp. |
3,675 |
191,117 |
|||||||||
1,802,171 |
See notes to financial statements.
87
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (4.1%): |
|||||||||||
Bank of Montreal |
2,866 |
$ |
275,644 |
||||||||
Brookfield Asset Management, Inc., Class A |
3,939 |
175,250 |
|||||||||
Canadian Imperial Bank of Commerce |
5,142 |
249,749 |
|||||||||
Fairfax Financial Holdings Ltd. |
473 |
250,686 |
|||||||||
Great-West Lifeco, Inc. |
15,030 |
367,050 |
|||||||||
Intact Financial Corp. |
2,706 |
381,741 |
|||||||||
Manulife Financial Corp. |
12,811 |
222,177 |
|||||||||
National Bank of Canada (b) |
4,372 |
286,949 |
|||||||||
Power Corp. of Canada |
13,714 |
352,920 |
|||||||||
Royal Bank of Canada |
3,832 |
371,111 |
|||||||||
Sun Life Financial, Inc. |
7,359 |
337,245 |
|||||||||
The Bank of Nova Scotia |
5,031 |
297,794 |
|||||||||
The Toronto-Dominion Bank |
4,010 |
263,002 |
|||||||||
3,831,318 |
|||||||||||
Industrials (1.4%): |
|||||||||||
Canadian National Railway Co. |
1,956 |
220,054 |
|||||||||
Canadian Pacific Railway Ltd. |
3,194 |
223,133 |
|||||||||
Thomson Reuters Corp. |
3,011 |
313,944 |
|||||||||
Waste Connections, Inc. |
2,492 |
309,031 |
|||||||||
WSP Global, Inc. |
1,733 |
195,976 |
|||||||||
1,262,138 |
|||||||||||
Information Technology (0.8%): |
|||||||||||
CGI, Inc. (c) |
3,119 |
248,502 |
|||||||||
Constellation Software, Inc. |
132 |
195,987 |
|||||||||
Open Text Corp. |
6,409 |
242,466 |
|||||||||
Shopify, Inc., Class A (c) |
1,270 |
39,689 |
|||||||||
726,644 |
|||||||||||
Materials (1.3%): |
|||||||||||
Aginco Eagle Mines Ltd. |
3,210 |
146,957 |
|||||||||
Barrick Gold Corp. (b) |
7,876 |
139,283 |
|||||||||
First Quantum Minerals Ltd. |
3,739 |
70,945 |
|||||||||
Franco-Nevada Corp. |
1,449 |
190,633 |
|||||||||
Ivanhoe Mines Ltd. (c) |
12,753 |
73,426 |
|||||||||
Nutrien Ltd. |
2,258 |
179,851 |
|||||||||
Teck Resources Ltd., Class B |
3,603 |
110,190 |
|||||||||
West Fraser Timber Co. Ltd. |
1,773 |
136,068 |
|||||||||
Wheaton Precious Metals Corp. |
4,401 |
158,600 |
|||||||||
1,205,953 |
|||||||||||
Utilities (1.7%): |
|||||||||||
Emera, Inc. |
11,491 |
538,390 |
|||||||||
Fortis, Inc. |
10,096 |
477,344 |
|||||||||
Hydro One Ltd. (d) |
20,820 |
559,891 |
|||||||||
1,575,625 |
|||||||||||
13,604,919 |
See notes to financial statements.
88
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Denmark (1.9%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Carlsberg AS, Class B |
1,520 |
$ |
193,630 |
||||||||
Financials (0.5%): |
|||||||||||
Danske Bank A/S |
10,957 |
154,866 |
|||||||||
Tryg A/S |
13,527 |
303,749 |
|||||||||
458,615 |
|||||||||||
Health Care (0.6%): |
|||||||||||
Coloplast A/S, Class B |
1,422 |
161,990 |
|||||||||
Genmab A/S (c) |
515 |
166,698 |
|||||||||
Novo Nordisk A/S, Class B |
1,656 |
183,699 |
|||||||||
512,387 |
|||||||||||
Industrials (0.3%): |
|||||||||||
AP Moller ? Maersk A/S, Class B |
47 |
109,645 |
|||||||||
DSV A/S |
980 |
136,883 |
|||||||||
Vestas Wind Systems A/S (b) |
2,957 |
62,462 |
|||||||||
308,990 |
|||||||||||
Materials (0.2%): |
|||||||||||
Novozymes A/S, B Shares |
3,370 |
202,303 |
|||||||||
Utilities (0.1%): |
|||||||||||
Orsted A/S (d) |
1,001 |
104,650 |
|||||||||
1,780,575 |
|||||||||||
Finland (1.5%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Kesko Oyj, Class B |
6,837 |
161,257 |
|||||||||
Energy (0.2%): |
|||||||||||
Neste Oyj |
3,875 |
171,504 |
|||||||||
Financials (0.2%): |
|||||||||||
Sampo Oyj, A Shares |
5,504 |
239,450 |
|||||||||
Industrials (0.2%): |
|||||||||||
Kone Oyj, Class B |
3,771 |
179,229 |
|||||||||
Information Technology (0.2%): |
|||||||||||
Nokia Oyj |
33,711 |
156,814 |
|||||||||
Materials (0.4%): |
|||||||||||
Stora Enso Oyj, Class R |
9,472 |
148,524 |
|||||||||
UPM-Kymmene Oyj |
6,525 |
198,339 |
|||||||||
346,863 |
|||||||||||
Utilities (0.1%): |
|||||||||||
Fortum Oyj |
8,906 |
133,583 |
|||||||||
1,388,700 |
|||||||||||
France (7.7%): |
|||||||||||
Communication Services (0.8%): |
|||||||||||
Bollore SE |
42,183 |
195,361 |
|||||||||
Orange SA |
29,292 |
344,366 |
See notes to financial statements.
89
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Publicis Groupe SA |
3,193 |
$ |
156,107 |
||||||||
Vivendi SE |
5,123 |
52,047 |
|||||||||
747,881 |
|||||||||||
Consumer Discretionary (1.0%): |
|||||||||||
Cie Generale des Etablissements Michelin SCA |
6,404 |
174,295 |
|||||||||
EssilorLuxottica SA |
1,220 |
182,672 |
|||||||||
Hermes International |
127 |
141,987 |
|||||||||
Kering SA |
232 |
119,138 |
|||||||||
LVMH Moet Hennessy Louis Vuitton SE |
248 |
151,157 |
|||||||||
Sodexo SA |
2,230 |
156,692 |
|||||||||
925,941 |
|||||||||||
Consumer Staples (0.9%): |
|||||||||||
Carrefour SA (b) |
9,947 |
175,983 |
|||||||||
Danone SA |
4,199 |
234,329 |
|||||||||
L'Oreal SA |
595 |
205,299 |
|||||||||
Pernod Ricard SA |
1,237 |
227,212 |
|||||||||
842,823 |
|||||||||||
Energy (0.2%): |
|||||||||||
TotalEnergies SE (b) |
4,113 |
217,075 |
|||||||||
Financials (0.8%): |
|||||||||||
Amundi SA (d) |
3,210 |
175,571 |
|||||||||
AXA SA |
8,860 |
201,081 |
|||||||||
BNP Paribas SA (b) |
2,961 |
140,747 |
|||||||||
Credit Agricole SA |
16,417 |
150,188 |
|||||||||
Societe Generale SA |
5,108 |
111,807 |
|||||||||
779,394 |
|||||||||||
Health Care (0.6%): |
|||||||||||
BioMerieux |
1,593 |
155,565 |
|||||||||
Euroapi SA (b) (c) |
120 |
1,893 |
|||||||||
Sanofi |
2,770 |
279,618 |
|||||||||
Sartorius Stedim Biotech |
327 |
102,549 |
|||||||||
539,625 |
|||||||||||
Industrials (2.0%): |
|||||||||||
Airbus SE |
1,251 |
121,183 |
|||||||||
Bouygues SA |
8,133 |
250,199 |
|||||||||
Bureau Veritas SA (b) |
10,125 |
259,390 |
|||||||||
Cie de Saint-Gobain |
2,886 |
123,816 |
|||||||||
Legrand SA |
2,891 |
213,437 |
|||||||||
Safran SA |
1,192 |
117,666 |
|||||||||
Schneider Electric SE |
1,306 |
154,496 |
|||||||||
Teleperformance |
604 |
185,621 |
|||||||||
Thales SA |
1,811 |
222,110 |
|||||||||
Vinci SA |
2,151 |
191,484 |
|||||||||
1,839,402 |
See notes to financial statements.
90
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.6%): |
|||||||||||
Capgemini SE |
948 |
$ |
162,358 |
||||||||
Dassault Systemes SE |
4,246 |
156,225 |
|||||||||
Edenred |
4,625 |
217,928 |
|||||||||
536,511 |
|||||||||||
Materials (0.3%): |
|||||||||||
Air Liquide SA |
1,936 |
259,897 |
|||||||||
Utilities (0.5%): |
|||||||||||
Electricite de France SA |
15,253 |
124,756 |
|||||||||
Engie SA |
17,007 |
195,413 |
|||||||||
Veolia Environnement SA (b) (c) |
5,978 |
145,883 |
|||||||||
466,052 |
|||||||||||
7,154,601 |
|||||||||||
Germany (6.4%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Deutsche Telekom AG |
12,995 |
257,972 |
|||||||||
Consumer Discretionary (0.8%): |
|||||||||||
adidas AG |
802 |
141,815 |
|||||||||
Bayerische Motoren Werke AG |
1,895 |
145,861 |
|||||||||
Continental AG |
1,851 |
128,975 |
|||||||||
Mercedes-Benz Group AG |
2,205 |
127,580 |
|||||||||
Puma SE |
2,393 |
157,564 |
|||||||||
Zalando SE (b) (c) (d) |
2,126 |
55,602 |
|||||||||
757,397 |
|||||||||||
Consumer Staples (0.3%): |
|||||||||||
Beiersdorf AG |
2,789 |
284,867 |
|||||||||
Financials (1.4%): |
|||||||||||
Allianz SE, Registered Shares |
1,060 |
202,275 |
|||||||||
Commerzbank AG (c) |
15,425 |
108,061 |
|||||||||
Deutsche Bank AG, Registered Shares |
11,062 |
96,412 |
|||||||||
Deutsche Boerse AG |
1,758 |
293,989 |
|||||||||
Hannover Rueck SE |
1,201 |
174,290 |
|||||||||
Muenchener Rueckversicherungs-Gesellschaft AG, Class R |
813 |
190,987 |
|||||||||
Talanx AG |
6,020 |
229,098 |
|||||||||
1,295,112 |
|||||||||||
Health Care (0.9%): |
|||||||||||
Bayer AG, Registered Shares |
3,946 |
234,516 |
|||||||||
Carl Zeiss Meditec AG |
936 |
111,706 |
|||||||||
Fresenius Medical Care AG & Co. KGaA |
3,233 |
161,349 |
|||||||||
Fresenius SE & Co. KGaA |
6,138 |
185,867 |
|||||||||
Merck KGaA |
973 |
164,141 |
|||||||||
857,579 |
|||||||||||
Industrials (0.9%): |
|||||||||||
Brenntag SE |
2,967 |
193,058 |
|||||||||
Deutsche Post AG, Registered Shares |
4,178 |
156,460 |
See notes to financial statements.
91
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
KION Group AG |
2,376 |
$ |
98,562 |
||||||||
Knorr-Bremse AG |
2,023 |
115,354 |
|||||||||
MTU Aero Engines AG |
642 |
116,846 |
|||||||||
Siemens AG, Registered Shares |
1,296 |
131,843 |
|||||||||
812,123 |
|||||||||||
Information Technology (0.3%): |
|||||||||||
Infineon Technologies AG |
4,494 |
108,727 |
|||||||||
SAP SE |
1,949 |
177,525 |
|||||||||
286,252 |
|||||||||||
Materials (0.8%): |
|||||||||||
BASF SE |
3,481 |
151,458 |
|||||||||
Evonik Industries AG |
9,870 |
210,559 |
|||||||||
HeidelbergCement AG |
3,144 |
151,010 |
|||||||||
Symrise AG |
2,345 |
255,169 |
|||||||||
768,196 |
|||||||||||
Real Estate (0.3%): |
|||||||||||
Deutsche Wohnen SE |
6,557 |
150,737 |
|||||||||
Vonovia SE |
4,360 |
134,312 |
|||||||||
285,049 |
|||||||||||
Utilities (0.4%): |
|||||||||||
E.ON SE |
20,719 |
173,849 |
|||||||||
RWE AG |
4,225 |
155,297 |
|||||||||
329,146 |
|||||||||||
5,933,693 |
|||||||||||
Hong Kong (4.0%): |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Galaxy Entertainment Group Ltd. |
21,000 |
125,252 |
|||||||||
Financials (0.7%): |
|||||||||||
AIA Group Ltd. |
18,330 |
198,680 |
|||||||||
Hang Seng Bank Ltd. |
13,638 |
240,724 |
|||||||||
Hong Kong Exchanges & Clearing Ltd. |
3,812 |
187,525 |
|||||||||
626,929 |
|||||||||||
Industrials (0.8%): |
|||||||||||
CK Hutchison Holdings Ltd. |
41,435 |
280,137 |
|||||||||
Jardine Matheson Holdings Ltd. |
3,900 |
204,984 |
|||||||||
SITC International Holdings Co. Ltd. |
24,530 |
69,402 |
|||||||||
Techtronic Industries Co. Ltd. |
8,343 |
87,028 |
|||||||||
Xinyi Glass Holdings Ltd. |
37,536 |
90,030 |
|||||||||
731,581 |
|||||||||||
Real Estate (0.9%): |
|||||||||||
CK Asset Holdings Ltd. |
35,350 |
250,035 |
|||||||||
Henderson Land Development Co. Ltd. |
48,962 |
183,453 |
|||||||||
Sun Hung Kai Properties Ltd. |
22,196 |
262,224 |
|||||||||
The Wharf Holdings Ltd. |
46,000 |
167,665 |
|||||||||
863,377 |
See notes to financial statements.
92
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (1.5%): |
|||||||||||
CK Infrastructure Holdings Ltd. |
51,249 |
$ |
314,159 |
||||||||
CLP Holdings Ltd. |
51,791 |
429,688 |
|||||||||
Hong Kong & China Gas Co. Ltd. |
236,281 |
254,451 |
|||||||||
Power Assets Holdings Ltd. (a) |
64,316 |
404,506 |
|||||||||
1,402,804 |
|||||||||||
3,749,943 |
|||||||||||
Ireland (0.8%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Kerry Group PLC |
2,278 |
218,019 |
|||||||||
Industrials (0.3%): |
|||||||||||
Experian PLC |
5,552 |
162,580 |
|||||||||
Kingspan Group PLC |
1,536 |
92,381 |
|||||||||
254,961 |
|||||||||||
Materials (0.3%): |
|||||||||||
CRH PLC |
4,644 |
160,577 |
|||||||||
Smurfit Kappa Group PLC |
4,430 |
148,908 |
|||||||||
309,485 |
|||||||||||
782,465 |
|||||||||||
Israel (0.7%): |
|||||||||||
Financials (0.4%): |
|||||||||||
Bank Hapoalim BM |
22,147 |
185,024 |
|||||||||
Bank Leumi Le-Israel BM |
22,143 |
196,980 |
|||||||||
382,004 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Nice Ltd. (c) |
688 |
132,164 |
|||||||||
Materials (0.2%): |
|||||||||||
ICL Group Ltd. |
15,267 |
138,612 |
|||||||||
652,780 |
|||||||||||
Italy (2.2%): |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Moncler SpA |
2,873 |
123,213 |
|||||||||
Energy (0.2%): |
|||||||||||
Eni SpA |
14,565 |
172,879 |
|||||||||
Financials (0.7%): |
|||||||||||
Assicurazioni Generali SpA |
15,067 |
240,360 |
|||||||||
Intesa Sanpaolo SpA |
73,246 |
136,610 |
|||||||||
Poste Italiane SpA (d) |
20,202 |
188,646 |
|||||||||
UniCredit SpA |
10,593 |
100,616 |
|||||||||
666,232 |
|||||||||||
Industrials (0.3%): |
|||||||||||
Atlantia SpA |
12,680 |
297,343 |
See notes to financial statements.
93
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.1%): |
|||||||||||
Nexi SpA (b) (c) (d) |
11,396 |
$ |
94,380 |
||||||||
Utilities (0.8%): |
|||||||||||
Enel SpA |
30,323 |
165,852 |
|||||||||
Snam SpA |
56,100 |
293,849 |
|||||||||
Terna ? Rete Elettrica Nazionale |
33,436 |
262,337 |
|||||||||
722,038 |
|||||||||||
2,076,085 |
|||||||||||
Japan (19.6%): |
|||||||||||
Communication Services (1.5%): |
|||||||||||
Dentsu Group, Inc. |
4,300 |
129,165 |
|||||||||
KDDI Corp. |
8,300 |
262,411 |
|||||||||
Nexon Co. Ltd. |
5,500 |
112,627 |
|||||||||
Nintendo Co. Ltd. (a) |
400 |
173,021 |
|||||||||
Nippon Telegraph & Telephone Corp. |
10,100 |
290,060 |
|||||||||
Softbank Corp. |
27,100 |
300,945 |
|||||||||
SoftBank Group Corp. |
2,700 |
104,191 |
|||||||||
Z Holdings Corp. |
27,900 |
81,524 |
|||||||||
1,453,944 |
|||||||||||
Consumer Discretionary (2.9%): |
|||||||||||
Aisin Corp. |
4,700 |
145,511 |
|||||||||
Bandai Namco Holdings, Inc. |
2,300 |
162,404 |
|||||||||
Bridgestone Corp. (b) |
4,600 |
167,846 |
|||||||||
Denso Corp. |
2,400 |
127,519 |
|||||||||
Fast Retailing Co. Ltd. |
300 |
157,187 |
|||||||||
Honda Motor Co. Ltd. |
6,600 |
160,208 |
|||||||||
Isuzu Motors Ltd. |
12,300 |
136,092 |
|||||||||
Nissan Motor Co. Ltd. |
29,400 |
114,470 |
|||||||||
Nitori Holdings Co. Ltd. |
1,300 |
123,570 |
|||||||||
Panasonic Corp. |
16,500 |
133,365 |
|||||||||
Sekisui House Ltd. |
11,900 |
208,465 |
|||||||||
Shimano, Inc. |
600 |
101,371 |
|||||||||
Sony Group Corp. |
1,400 |
114,499 |
|||||||||
Subaru Corp. |
12,100 |
215,090 |
|||||||||
Sumitomo Electric Industries Ltd. |
13,800 |
152,486 |
|||||||||
Suzuki Motor Corp. |
4,100 |
128,869 |
|||||||||
Toyota Industries Corp. |
2,400 |
148,607 |
|||||||||
Toyota Motor Corp. |
10,700 |
165,635 |
|||||||||
2,663,194 |
|||||||||||
Consumer Staples (2.0%): |
|||||||||||
Ajinomoto Co., Inc. |
7,300 |
177,576 |
|||||||||
Asahi Group Holdings Ltd. |
4,900 |
160,552 |
|||||||||
Japan Tobacco, Inc. |
16,000 |
276,692 |
|||||||||
Kao Corp. (b) |
5,600 |
225,882 |
|||||||||
Kikkoman Corp. |
2,100 |
111,455 |
|||||||||
Kirin Holdings Co. Ltd. |
14,900 |
234,769 |
|||||||||
Seven & i Holdings Co. Ltd. |
4,500 |
174,713 |
See notes to financial statements.
94
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Shiseido Co. Ltd. |
3,000 |
$ |
120,434 |
||||||||
Suntory Beverage & Food Ltd. |
5,300 |
200,420 |
|||||||||
Unicharm Corp. |
5,200 |
174,023 |
|||||||||
1,856,516 |
|||||||||||
Energy (0.4%): |
|||||||||||
ENEOS Holdings, Inc. |
63,300 |
239,696 |
|||||||||
Inpex Corp. |
12,700 |
137,616 |
|||||||||
377,312 |
|||||||||||
Financials (2.7%): |
|||||||||||
Dai-ichi Life Holdings, Inc. |
8,800 |
162,819 |
|||||||||
Japan Post Bank Co. Ltd. |
24,700 |
192,087 |
|||||||||
Japan Post Holdings Co. Ltd. |
31,000 |
221,451 |
|||||||||
Mitsubishi UFJ Financial Group, Inc. |
37,000 |
198,937 |
|||||||||
Mizuho Financial Group, Inc. |
20,370 |
231,689 |
|||||||||
MS&AD Insurance Group Holdings, Inc. |
7,000 |
214,551 |
|||||||||
ORIX Corp. |
10,800 |
181,194 |
|||||||||
Resona Holdings, Inc. |
50,100 |
187,644 |
|||||||||
Sompo Holdings, Inc. |
5,000 |
220,515 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
7,000 |
208,050 |
|||||||||
Sumitomo Mitsui Trust Holdings, Inc. |
6,700 |
206,443 |
|||||||||
Tokio Marine Holdings, Inc. |
4,300 |
250,500 |
|||||||||
2,475,880 |
|||||||||||
Health Care (2.4%): |
|||||||||||
Astellas Pharma, Inc. |
12,000 |
187,085 |
|||||||||
Chugai Pharmaceutical Co. Ltd. |
4,900 |
125,335 |
|||||||||
Daiichi Sankyo Co. Ltd. |
6,100 |
154,546 |
|||||||||
Eisai Co. Ltd. |
2,900 |
122,383 |
|||||||||
Hoya Corp. |
1,200 |
102,477 |
|||||||||
Kyowa Kirin Co. Ltd. |
7,500 |
168,620 |
|||||||||
M3, Inc. |
3,600 |
103,441 |
|||||||||
Olympus Corp. |
7,200 |
144,706 |
|||||||||
Ono Pharmaceutical Co. Ltd. |
10,400 |
266,938 |
|||||||||
Otsuka Holdings Co. Ltd. |
6,800 |
241,504 |
|||||||||
Shionogi & Co. Ltd. |
2,300 |
116,221 |
|||||||||
Sysmex Corp. |
1,600 |
96,311 |
|||||||||
Takeda Pharmaceutical Co. Ltd. |
9,400 |
264,553 |
|||||||||
Terumo Corp. |
5,300 |
159,711 |
|||||||||
2,253,831 |
|||||||||||
Industrials (3.3%): |
|||||||||||
Daikin Industries Ltd. |
900 |
144,294 |
|||||||||
FANUC Corp. |
800 |
125,254 |
|||||||||
Hitachi Ltd. |
3,300 |
156,608 |
|||||||||
ITOCHU Corp. |
6,800 |
183,809 |
|||||||||
Komatsu Ltd. |
7,900 |
175,167 |
|||||||||
Kubota Corp. (b) |
8,700 |
129,993 |
|||||||||
Marubeni Corp. |
17,100 |
154,286 |
|||||||||
Mitsubishi Corp. |
6,400 |
190,453 |
|||||||||
Mitsubishi Electric Corp. |
18,800 |
201,082 |
See notes to financial statements.
95
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Mitsui & Co. Ltd. |
7,200 |
$ |
158,930 |
||||||||
Nidec Corp. |
2,100 |
129,721 |
|||||||||
Nippon Yusen KK |
1,000 |
68,333 |
|||||||||
Recruit Holdings Co. Ltd. |
3,100 |
91,291 |
|||||||||
Secom Co. Ltd. |
3,800 |
234,818 |
|||||||||
SG Holdings Co. Ltd. |
8,600 |
145,108 |
|||||||||
SMC Corp. |
300 |
133,724 |
|||||||||
Sumitomo Corp. |
14,800 |
202,592 |
|||||||||
Toshiba Corp. |
5,400 |
219,527 |
|||||||||
Toyota Tsusho Corp. |
3,600 |
117,559 |
|||||||||
Yaskawa Electric Corp. |
4,200 |
135,294 |
|||||||||
3,097,843 |
|||||||||||
Information Technology (2.5%): |
|||||||||||
Advantest Corp. |
1,700 |
90,977 |
|||||||||
Canon, Inc. (b) |
8,400 |
191,022 |
|||||||||
FUJIFILM Holdings Corp. |
3,100 |
166,311 |
|||||||||
Fujitsu Ltd. |
1,100 |
137,561 |
|||||||||
Keyence Corp. |
300 |
102,565 |
|||||||||
Kyocera Corp. |
3,900 |
208,598 |
|||||||||
Lasertec Corp. |
600 |
71,429 |
|||||||||
Murata Manufacturing Co. Ltd. |
2,700 |
147,200 |
|||||||||
NEC Corp. |
4,000 |
155,388 |
|||||||||
Nomura Research Institute Ltd. |
4,778 |
127,146 |
|||||||||
NTT Data Corp. |
9,900 |
136,904 |
|||||||||
Obic Co. Ltd. |
1,200 |
169,748 |
|||||||||
Omron Corp. |
2,500 |
126,990 |
|||||||||
Renesas Electronics Corp. (c) |
11,000 |
99,978 |
|||||||||
Shimadzu Corp. |
5,000 |
158,116 |
|||||||||
TDK Corp. |
3,800 |
117,367 |
|||||||||
Tokyo Electron Ltd. |
300 |
97,966 |
|||||||||
2,305,266 |
|||||||||||
Materials (1.0%): |
|||||||||||
Asahi Kasei Corp. |
21,000 |
160,372 |
|||||||||
Mitsubishi Chemical Holdings Corp. |
26,200 |
142,337 |
|||||||||
Nippon Paint Holdings Co. Ltd. |
12,300 |
91,665 |
|||||||||
Nippon Steel Corp. |
7,700 |
107,786 |
|||||||||
Nitto Denko Corp. |
2,500 |
161,802 |
|||||||||
Shin-Etsu Chemical Co. Ltd. |
1,200 |
135,338 |
|||||||||
Sumitomo Metal Mining Co. Ltd. |
3,500 |
109,649 |
|||||||||
908,949 |
|||||||||||
Real Estate (0.9%): |
|||||||||||
Daiwa House Industry Co. Ltd. |
8,000 |
186,466 |
|||||||||
Mitsubishi Estate Co. Ltd. |
17,700 |
256,902 |
|||||||||
Mitsui Fudosan Co. Ltd. |
9,000 |
193,554 |
|||||||||
Sumitomo Realty & Development Co. Ltd. |
6,900 |
182,240 |
|||||||||
819,162 |
|||||||||||
18,211,897 |
See notes to financial statements.
96
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Korea, Republic Of (3.4%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
Kakao Corp. |
1,720 |
$ |
92,619 |
||||||||
NAVER Corp. |
647 |
119,621 |
|||||||||
212,240 |
|||||||||||
Consumer Discretionary (0.7%): |
|||||||||||
Hyundai Mobis Co. Ltd. |
1,078 |
165,258 |
|||||||||
Hyundai Motor Co. |
1,643 |
228,458 |
|||||||||
Kia Corp. |
3,166 |
188,531 |
|||||||||
LG Electronics, Inc. |
1,315 |
89,450 |
|||||||||
671,697 |
|||||||||||
Consumer Staples (0.1%): |
|||||||||||
LG Household & Health Care Ltd. |
197 |
103,197 |
|||||||||
Energy (0.1%): |
|||||||||||
SK Innovation Co. Ltd. |
785 |
116,108 |
|||||||||
Financials (0.6%): |
|||||||||||
Hana Financial Group, Inc. |
4,673 |
141,655 |
|||||||||
KB Financial Group, Inc. |
3,922 |
145,477 |
|||||||||
Shinhan Financial Group Co. Ltd. |
7,348 |
209,725 |
|||||||||
496,857 |
|||||||||||
Health Care (0.3%): |
|||||||||||
Celltrion, Inc. |
860 |
118,257 |
|||||||||
Samsung Biologics Co. Ltd. (c) (d) |
247 |
150,320 |
|||||||||
268,577 |
|||||||||||
Industrials (0.5%): |
|||||||||||
HMM Co. Ltd. |
4,616 |
87,477 |
|||||||||
Samsung C&T Corp. |
2,325 |
220,302 |
|||||||||
SK, Inc. |
1,053 |
174,405 |
|||||||||
482,184 |
|||||||||||
Information Technology (0.6%): |
|||||||||||
Samsung Electro-Mechanics Co. Ltd. |
1,099 |
110,484 |
|||||||||
Samsung Electronics Co. Ltd. |
4,407 |
193,513 |
|||||||||
Samsung SDI Co. Ltd. |
356 |
145,900 |
|||||||||
SK Hynix, Inc. |
1,554 |
108,939 |
|||||||||
558,836 |
|||||||||||
Materials (0.3%): |
|||||||||||
LG Chem Ltd. |
252 |
100,171 |
|||||||||
POSCO Holdings, Inc. |
690 |
122,521 |
|||||||||
222,692 |
|||||||||||
3,132,388 |
|||||||||||
Luxembourg (0.4%): |
|||||||||||
Energy (0.2%): |
|||||||||||
Tenaris SA |
11,886 |
152,812 |
See notes to financial statements.
97
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Health Care (0.1%): |
|||||||||||
Eurofins Scientific SE |
1,556 |
$ |
122,409 |
||||||||
Materials (0.1%): |
|||||||||||
ArcelorMittal SA |
3,693 |
83,234 |
|||||||||
358,455 |
|||||||||||
Netherlands (3.6%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
Koninklijke KPN NV |
92,359 |
329,128 |
|||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Prosus NV |
1,970 |
128,969 |
|||||||||
Consumer Staples (0.9%): |
|||||||||||
Davide Campari-Milano NV |
20,654 |
217,170 |
|||||||||
Heineken Holding NV |
3,009 |
218,964 |
|||||||||
Heineken NV |
2,274 |
207,295 |
|||||||||
Koninklijke Ahold Delhaize NV |
8,583 |
223,573 |
|||||||||
867,002 |
|||||||||||
Financials (0.7%): |
|||||||||||
ABN AMRO Bank NV (d) |
12,788 |
143,573 |
|||||||||
Aegon NV |
33,861 |
146,460 |
|||||||||
ING Groep NV |
15,345 |
151,636 |
|||||||||
NN Group NV |
4,974 |
225,878 |
|||||||||
667,547 |
|||||||||||
Health Care (0.1%): |
|||||||||||
Koninklijke Philips NV |
4,696 |
101,140 |
|||||||||
Industrials (0.5%): |
|||||||||||
Randstad NV |
2,998 |
145,128 |
|||||||||
Wolters Kluwer NV |
2,986 |
289,596 |
|||||||||
434,724 |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Adyen NV (c) (d) |
58 |
84,352 |
|||||||||
ASM International NV |
391 |
97,752 |
|||||||||
ASML Holding NV |
215 |
102,693 |
|||||||||
STMicroelectronics NV |
3,923 |
123,316 |
|||||||||
408,113 |
|||||||||||
Materials (0.4%): |
|||||||||||
Akzo Nobel NV |
2,534 |
166,264 |
|||||||||
Koninklijke DSM NV |
1,414 |
203,126 |
|||||||||
369,390 |
|||||||||||
3,306,013 |
|||||||||||
New Zealand (0.1%): |
|||||||||||
Health Care (0.1%): |
|||||||||||
Fisher & Paykel Healthcare Corp. Ltd. |
9,510 |
118,623 |
See notes to financial statements.
98
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Norway (1.6%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Telenor ASA |
20,157 |
$ |
268,206 |
||||||||
Consumer Staples (0.2%): |
|||||||||||
Mowi ASA |
8,503 |
193,546 |
|||||||||
Energy (0.3%): |
|||||||||||
Aker BP ASA |
3,321 |
115,390 |
|||||||||
Equinor ASA |
4,985 |
173,445 |
|||||||||
288,835 |
|||||||||||
Financials (0.5%): |
|||||||||||
DNB Bank ASA |
10,282 |
184,381 |
|||||||||
Gjensidige Forsikring ASA |
13,088 |
265,209 |
|||||||||
449,590 |
|||||||||||
Materials (0.3%): |
|||||||||||
Norsk Hydro ASA |
15,312 |
85,788 |
|||||||||
Yara International ASA |
3,518 |
147,076 |
|||||||||
232,864 |
|||||||||||
1,433,041 |
|||||||||||
Portugal (0.4%): |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Jeronimo Martins SGPS SA |
9,983 |
216,944 |
|||||||||
Utilities (0.2%): |
|||||||||||
EDP ? Energias de Portugal SA |
42,013 |
195,983 |
|||||||||
412,927 |
|||||||||||
Singapore (1.5%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Singapore Telecommunications Ltd. |
174,700 |
318,208 |
|||||||||
Consumer Staples (0.3%): |
|||||||||||
Wilmar International Ltd. |
80,200 |
233,267 |
|||||||||
Financials (0.9%): |
|||||||||||
DBS Group Holdings Ltd. |
11,800 |
252,141 |
|||||||||
Oversea-Chinese Banking Corp. Ltd. |
35,300 |
289,465 |
|||||||||
United Overseas Bank Ltd. |
13,900 |
262,689 |
|||||||||
804,295 |
|||||||||||
1,355,770 |
|||||||||||
Spain (2.5%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Telefonica SA |
48,223 |
245,668 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Industria de Diseno Textil SA |
6,980 |
157,902 |
|||||||||
Energy (0.2%): |
|||||||||||
Repsol SA |
14,842 |
218,498 |
See notes to financial statements.
99
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (0.5%): |
|||||||||||
Banco Bilbao Vizcaya Argentaria SA |
26,611 |
$ |
120,747 |
||||||||
Banco Santander SA |
49,400 |
139,135 |
|||||||||
CaixaBank SA |
51,418 |
178,706 |
|||||||||
438,588 |
|||||||||||
Health Care (0.2%): |
|||||||||||
Grifols SA (c) |
8,994 |
169,960 |
|||||||||
Industrials (0.2%): |
|||||||||||
Ferrovial SA |
7,263 |
184,090 |
|||||||||
Utilities (0.9%): |
|||||||||||
Endesa SA |
9,484 |
178,872 |
|||||||||
Iberdrola SA |
19,202 |
199,106 |
|||||||||
Naturgy Energy Group SA |
7,804 |
224,623 |
|||||||||
Red Electrica Corp. SA |
14,315 |
270,362 |
|||||||||
872,963 |
|||||||||||
2,287,669 |
|||||||||||
Sweden (4.4%): |
|||||||||||
Communication Services (0.4%): |
|||||||||||
Telia Co. AB |
87,707 |
336,101 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Evolution AB (d) |
785 |
71,412 |
|||||||||
H & M Hennes & Mauritz AB, Class B (b) |
10,023 |
119,756 |
|||||||||
191,168 |
|||||||||||
Consumer Staples (0.6%): |
|||||||||||
Essity AB, Class B |
9,813 |
256,358 |
|||||||||
Swedish Match AB |
28,920 |
294,738 |
|||||||||
551,096 |
|||||||||||
Energy (0.0%): (e) |
|||||||||||
Orron Energy AB (b) |
3,492 |
2,387 |
|||||||||
Financials (1.3%): |
|||||||||||
EQT AB |
3,454 |
70,741 |
|||||||||
Industrivarden AB, Class C (b) |
9,118 |
202,886 |
|||||||||
Investor AB, Class B |
10,681 |
175,694 |
|||||||||
L E Lundbergforetagen AB, Class B |
4,415 |
179,593 |
|||||||||
Skandinaviska Enskilda Banken AB, Class A |
18,531 |
181,971 |
|||||||||
Svenska Handelsbanken AB, Class A |
26,856 |
229,627 |
|||||||||
Swedbank AB, Class A |
15,729 |
198,916 |
|||||||||
1,239,428 |
|||||||||||
Health Care (0.1%): |
|||||||||||
Getinge AB, B Shares |
4,087 |
94,498 |
|||||||||
Industrials (1.1%): |
|||||||||||
Alfa Laval AB |
5,591 |
134,851 |
|||||||||
Assa Abloy AB, Class B |
7,746 |
164,629 |
|||||||||
Atlas Copco AB, Class A (c) |
14,172 |
132,472 |
|||||||||
Epiroc AB, Class A |
9,843 |
152,061 |
See notes to financial statements.
100
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Nibe Industrier AB, Class B |
14,853 |
$ |
111,570 |
||||||||
Sandvik AB |
8,720 |
141,450 |
|||||||||
Volvo AB, Class B |
11,057 |
171,280 |
|||||||||
1,008,313 |
|||||||||||
Information Technology (0.3%): |
|||||||||||
Hexagon AB, Class B |
13,475 |
140,032 |
|||||||||
Telefonaktiebolaget LM Ericsson, Class B |
17,178 |
128,144 |
|||||||||
268,176 |
|||||||||||
Materials (0.3%): |
|||||||||||
Boliden AB |
3,862 |
122,895 |
|||||||||
Svenska Cellulosa AB SCA, Class B |
13,243 |
197,916 |
|||||||||
320,811 |
|||||||||||
Real Estate (0.1%): |
|||||||||||
Fastighets AB Balder, B Shares (c) |
16,206 |
77,684 |
|||||||||
4,089,662 |
|||||||||||
Switzerland (6.4%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Swisscom AG, Registered Shares |
586 |
323,789 |
|||||||||
Consumer Discretionary (0.3%): |
|||||||||||
Cie Financiere Richemont SA, Registered Shares |
1,101 |
117,251 |
|||||||||
The Swatch Group AG |
555 |
131,700 |
|||||||||
248,951 |
|||||||||||
Consumer Staples (1.0%): |
|||||||||||
Barry Callebaut AG, Registered Shares |
159 |
354,814 |
|||||||||
Chocoladefabriken Lindt & Spruengli AG |
22 |
223,803 |
|||||||||
Nestle SA, Registered Shares |
2,919 |
340,800 |
|||||||||
919,417 |
|||||||||||
Financials (1.3%): |
|||||||||||
Julius Baer Group Ltd. |
3,306 |
152,537 |
|||||||||
Partners Group Holding AG |
140 |
126,169 |
|||||||||
Swiss Life Holding AG |
440 |
214,353 |
|||||||||
Swiss Re AG |
2,901 |
224,847 |
|||||||||
UBS Group AG |
10,308 |
166,202 |
|||||||||
Zurich Insurance Group AG |
703 |
305,799 |
|||||||||
1,189,907 |
|||||||||||
Health Care (1.3%): |
|||||||||||
Alcon, Inc. |
2,564 |
179,117 |
|||||||||
Lonza Group AG, Registered Shares |
288 |
153,580 |
|||||||||
Novartis AG, Registered Shares |
3,816 |
323,231 |
|||||||||
Roche Holding AG |
773 |
257,977 |
|||||||||
Sonova Holding AG |
465 |
148,098 |
|||||||||
Straumann Holding AG, Class R |
980 |
117,713 |
|||||||||
1,179,716 |
See notes to financial statements.
101
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (1.1%): |
|||||||||||
ABB Ltd., Registered Shares |
6,617 |
$ |
176,500 |
||||||||
Geberit AG, Registered Shares |
407 |
195,633 |
|||||||||
Kuehne + Nagel International AG, Class R |
678 |
160,532 |
|||||||||
Schindler Holding AG |
983 |
179,298 |
|||||||||
SGS SA, Registered Shares |
112 |
256,386 |
|||||||||
VAT Group AG (d) |
365 |
87,034 |
|||||||||
1,055,383 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Logitech International SA, Class R (b) |
2,043 |
106,741 |
|||||||||
Materials (1.0%): |
|||||||||||
EMS-Chemie Holding AG |
251 |
186,837 |
|||||||||
Givaudan SA, Registered Shares |
61 |
214,538 |
|||||||||
Glencore PLC |
29,309 |
158,775 |
|||||||||
Holcim AG |
5,003 |
214,115 |
|||||||||
Sika AG, Registered Shares |
581 |
133,913 |
|||||||||
908,178 |
|||||||||||
5,932,082 |
|||||||||||
United Kingdom (8.5%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
BT Group PLC |
63,050 |
142,962 |
|||||||||
WPP PLC |
13,242 |
132,899 |
|||||||||
275,861 |
|||||||||||
Consumer Discretionary (0.6%): |
|||||||||||
Compass Group PLC |
7,689 |
157,218 |
|||||||||
Entain PLC (c) |
6,187 |
93,751 |
|||||||||
InterContinental Hotels Group PLC |
2,615 |
138,447 |
|||||||||
Next PLC |
2,221 |
158,405 |
|||||||||
547,821 |
|||||||||||
Consumer Staples (1.5%): |
|||||||||||
Associated British Foods PLC |
7,410 |
142,314 |
|||||||||
British American Tobacco PLC |
6,301 |
269,907 |
|||||||||
Diageo PLC |
6,042 |
259,622 |
|||||||||
Imperial Brands PLC |
11,867 |
265,178 |
|||||||||
Tesco PLC |
76,299 |
237,265 |
|||||||||
Unilever PLC |
4,669 |
211,450 |
|||||||||
1,385,736 |
|||||||||||
Energy (0.4%): |
|||||||||||
BP PLC |
33,826 |
159,861 |
|||||||||
Shell PLC |
7,067 |
183,549 |
|||||||||
343,410 |
|||||||||||
Financials (2.0%): |
|||||||||||
3i Group PLC |
11,252 |
151,806 |
|||||||||
Admiral Group PLC |
6,068 |
165,726 |
|||||||||
Aviva PLC |
42,838 |
209,229 |
See notes to financial statements.
102
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Barclays PLC |
69,906 |
$ |
130,278 |
||||||||
HSBC Holdings PLC |
29,860 |
194,650 |
|||||||||
Legal & General Group PLC |
57,199 |
166,731 |
|||||||||
Lloyds Banking Group PLC |
250,485 |
128,988 |
|||||||||
London Stock Exchange Group PLC |
2,322 |
215,687 |
|||||||||
NatWest Group PLC |
60,539 |
160,847 |
|||||||||
Schroders PLC |
5,415 |
176,100 |
|||||||||
Standard Chartered PLC |
21,004 |
158,138 |
|||||||||
1,858,180 |
|||||||||||
Health Care (0.7%): |
|||||||||||
AstraZeneca PLC |
1,655 |
217,543 |
|||||||||
GSK PLC (a) |
14,371 |
308,818 |
|||||||||
Smith & Nephew PLC |
11,273 |
157,441 |
|||||||||
683,802 |
|||||||||||
Industrials (1.8%): |
|||||||||||
Ashtead Group PLC |
2,782 |
116,443 |
|||||||||
BAE Systems PLC |
27,231 |
275,150 |
|||||||||
Bunzl PLC |
6,560 |
217,089 |
|||||||||
Ferguson PLC |
1,671 |
186,862 |
|||||||||
Intertek Group PLC |
3,216 |
164,630 |
|||||||||
RELX PLC |
10,154 |
275,097 |
|||||||||
Rentokil Initial PLC |
28,822 |
166,485 |
|||||||||
Rolls-Royce Holdings PLC (c) |
85,232 |
86,048 |
|||||||||
Spirax-Sarco Engineering PLC |
1,308 |
157,254 |
|||||||||
1,645,058 |
|||||||||||
Information Technology (0.2%): |
|||||||||||
Halma PLC |
6,625 |
161,991 |
|||||||||
Materials (0.5%): |
|||||||||||
Anglo American PLC |
2,547 |
91,045 |
|||||||||
Antofagasta PLC |
6,527 |
91,753 |
|||||||||
Croda International PLC |
2,190 |
172,507 |
|||||||||
Evraz PLC (a) (f) (g) (h) (i) |
34,029 |
30,234 |
|||||||||
Rio Tinto PLC |
2,151 |
128,712 |
|||||||||
514,251 |
|||||||||||
Utilities (0.5%): |
|||||||||||
National Grid PLC |
21,980 |
281,428 |
|||||||||
SSE PLC |
10,759 |
211,610 |
|||||||||
493,038 |
|||||||||||
7,909,148 |
|||||||||||
Total Common Stocks (Cost $93,316,079) |
91,907,941 |
||||||||||
Collateral for Securities Loaned (3.4%)^ |
|||||||||||
United States (3.4%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) |
97,660 |
97,660 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (j) |
48,737 |
48,737 |
See notes to financial statements.
103
Victory Portfolios
II VictoryShares International Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) |
607,850 |
$ |
607,850 |
||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) |
388,614 |
388,614 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (j) |
259,162 |
259,162 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (j) |
1,747,286 |
1,747,286 |
|||||||||
Total Collateral for Securities Loaned (Cost $3,149,309) |
3,149,309 |
||||||||||
Total Investments (Cost $96,465,388) ? 102.5% |
95,057,250 |
||||||||||
Liabilities in excess of other assets ? (2.5)% |
(2,344,487 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
92,712,763 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Non-income producing security.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $1,715,431 and amounted to 1.9% of net assets.
(e) Amount represents less than 0.05% of net assets.
(f) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(g) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Evraz PLC |
3/19/2021 |
$ |
213,602 |
(j) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini MSCI EAFE Index Futures |
5 |
9/16/22 |
$ |
467,990 |
$ |
464,150 |
$ |
(3,840 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(3,840 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(3,840 |
) |
See notes to financial statements.
104
Victory Portfolios
II VictoryShares US Large Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.2%) |
|||||||||||
Communication Services (4.9%): |
|||||||||||
AT&T, Inc. |
125,171 |
$ |
2,623,584 |
||||||||
Lumen Technologies, Inc. |
161,311 |
1,759,903 |
|||||||||
Omnicom Group, Inc. |
27,572 |
1,753,855 |
|||||||||
Paramount Global, Class B |
51,414 |
1,268,897 |
|||||||||
The Interpublic Group of Cos., Inc. |
56,611 |
1,558,501 |
|||||||||
Verizon Communications, Inc. |
89,048 |
4,519,186 |
|||||||||
Warner Bros. Discovery, Inc. (a) (b) |
30,281 |
406,371 |
|||||||||
13,890,297 |
|||||||||||
Consumer Discretionary (4.3%): |
|||||||||||
Best Buy Co., Inc. |
20,024 |
1,305,365 |
|||||||||
Darden Restaurants, Inc. |
15,363 |
1,737,862 |
|||||||||
Genuine Parts Co. |
25,162 |
3,346,546 |
|||||||||
Hasbro, Inc. |
25,217 |
2,064,768 |
|||||||||
VF Corp. |
39,922 |
1,763,355 |
|||||||||
Whirlpool Corp. |
12,287 |
1,902,888 |
|||||||||
12,120,784 |
|||||||||||
Consumer Staples (15.9%): |
|||||||||||
Altria Group, Inc. |
63,763 |
2,663,380 |
|||||||||
Campbell Soup Co. |
78,674 |
3,780,286 |
|||||||||
Conagra Brands, Inc. |
97,337 |
3,332,819 |
|||||||||
General Mills, Inc. |
53,646 |
4,047,591 |
|||||||||
Kellogg Co. |
57,600 |
4,109,184 |
|||||||||
Kimberly-Clark Corp. |
30,617 |
4,137,888 |
|||||||||
PepsiCo, Inc. |
28,782 |
4,796,808 |
|||||||||
Philip Morris International, Inc. |
33,887 |
3,346,002 |
|||||||||
The Clorox Co. |
15,461 |
2,179,692 |
|||||||||
The Coca-Cola Co. |
70,262 |
4,420,182 |
|||||||||
The J.M. Smucker Co. |
25,584 |
3,275,008 |
|||||||||
The Kraft Heinz Co. |
79,011 |
3,013,480 |
|||||||||
Walgreens Boots Alliance, Inc. |
55,777 |
2,113,948 |
|||||||||
45,216,268 |
|||||||||||
Electric Utilities (15.3%): |
|||||||||||
Alliant Energy Corp. |
62,995 |
3,692,137 |
|||||||||
American Electric Power Co., Inc. (b) |
46,348 |
4,446,627 |
|||||||||
Duke Energy Corp. (b) |
40,996 |
4,395,181 |
|||||||||
Edison International |
54,498 |
3,446,453 |
|||||||||
Entergy Corp. |
30,490 |
3,434,394 |
|||||||||
Evergy, Inc. (b) |
63,595 |
4,149,574 |
|||||||||
Eversource Energy (b) |
42,576 |
3,596,395 |
|||||||||
Exelon Corp. |
94,085 |
4,263,932 |
|||||||||
FirstEnergy Corp. |
89,072 |
3,419,474 |
|||||||||
The Southern Co. (b) |
64,950 |
4,631,584 |
|||||||||
Xcel Energy, Inc. (b) |
55,605 |
3,934,610 |
|||||||||
43,410,361 |
See notes to financial statements.
105
Victory Portfolios
II VictoryShares US Large Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Energy (6.9%): |
|||||||||||
Chevron Corp. |
19,700 |
$ |
2,852,166 |
||||||||
Exxon Mobil Corp. |
30,404 |
2,603,799 |
|||||||||
Kinder Morgan, Inc. |
162,837 |
2,729,148 |
|||||||||
Marathon Petroleum Corp. |
27,454 |
2,256,993 |
|||||||||
ONEOK, Inc. |
35,173 |
1,952,101 |
|||||||||
Phillips 66 |
22,330 |
1,830,837 |
|||||||||
The Williams Cos., Inc. |
98,261 |
3,066,726 |
|||||||||
Valero Energy Corp. |
22,261 |
2,365,899 |
|||||||||
19,657,669 |
|||||||||||
Financials (16.4%): |
|||||||||||
Apollo Global Management, Inc. |
31,719 |
1,537,737 |
|||||||||
Blackstone, Inc. |
14,003 |
1,277,494 |
|||||||||
Citigroup, Inc. |
46,166 |
2,123,174 |
|||||||||
Citizens Financial Group, Inc. |
40,544 |
1,447,015 |
|||||||||
CME Group, Inc. |
15,218 |
3,115,125 |
|||||||||
CNA Financial Corp. |
65,087 |
2,922,406 |
|||||||||
Comerica, Inc. |
21,452 |
1,574,148 |
|||||||||
Fidelity National Financial, Inc. |
59,100 |
2,184,336 |
|||||||||
Franklin Resources, Inc. |
66,305 |
1,545,570 |
|||||||||
Huntington Bancshares, Inc. |
138,194 |
1,662,474 |
|||||||||
JPMorgan Chase & Co. |
20,083 |
2,261,547 |
|||||||||
KeyCorp |
91,615 |
1,578,526 |
|||||||||
Lincoln National Corp. |
26,343 |
1,232,062 |
|||||||||
MetLife, Inc. |
38,890 |
2,441,903 |
|||||||||
Morgan Stanley |
26,439 |
2,010,950 |
|||||||||
Principal Financial Group, Inc. |
33,974 |
2,269,123 |
|||||||||
Prudential Financial, Inc. |
23,203 |
2,220,063 |
|||||||||
Regions Financial Corp. |
84,113 |
1,577,119 |
|||||||||
State Street Corp. |
23,849 |
1,470,291 |
|||||||||
T. Rowe Price Group, Inc. |
16,670 |
1,893,879 |
|||||||||
The Allstate Corp. |
25,024 |
3,171,292 |
|||||||||
Truist Financial Corp. |
37,322 |
1,770,182 |
|||||||||
U.S. Bancorp |
44,456 |
2,045,865 |
|||||||||
Webster Financial Corp. |
31,869 |
1,343,278 |
|||||||||
46,675,559 |
|||||||||||
Health Care (9.9%): |
|||||||||||
AbbVie, Inc. |
24,624 |
3,771,412 |
|||||||||
Amgen, Inc. |
14,148 |
3,442,209 |
|||||||||
Bristol-Myers Squibb Co. |
53,717 |
4,136,209 |
|||||||||
Cardinal Health, Inc. |
45,270 |
2,366,263 |
|||||||||
Gilead Sciences, Inc. (b) |
66,769 |
4,126,992 |
|||||||||
Johnson & Johnson (b) |
27,030 |
4,798,095 |
|||||||||
Merck & Co., Inc. |
34,753 |
3,168,431 |
|||||||||
Pfizer, Inc. |
45,589 |
2,390,231 |
|||||||||
28,199,842 |
See notes to financial statements.
106
Victory Portfolios
II VictoryShares US Large Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (3.0%): |
|||||||||||
3M Co. |
23,345 |
$ |
3,021,076 |
||||||||
Cummins, Inc. |
15,060 |
2,914,562 |
|||||||||
Watsco, Inc. |
11,052 |
2,639,439 |
|||||||||
8,575,077 |
|||||||||||
Information Technology (5.8%): |
|||||||||||
Broadcom, Inc. |
4,206 |
2,043,317 |
|||||||||
Cisco Systems, Inc. |
58,325 |
2,486,978 |
|||||||||
Hewlett Packard Enterprise Co. |
150,687 |
1,998,110 |
|||||||||
Intel Corp. |
50,438 |
1,886,885 |
|||||||||
International Business Machines Corp. |
25,180 |
3,555,164 |
|||||||||
NetApp, Inc. |
32,825 |
2,141,503 |
|||||||||
Texas Instruments, Inc. |
15,952 |
2,451,025 |
|||||||||
16,562,982 |
|||||||||||
Materials (5.5%): |
|||||||||||
Air Products and Chemicals, Inc. |
14,022 |
3,372,011 |
|||||||||
Dow, Inc. |
44,454 |
2,294,271 |
|||||||||
International Paper Co. |
69,346 |
2,900,743 |
|||||||||
LyondellBasell Industries NV, Class A |
24,570 |
2,148,892 |
|||||||||
Newmont Corp. |
35,700 |
2,130,219 |
|||||||||
Packaging Corp. of America |
20,101 |
2,763,887 |
|||||||||
15,610,023 |
|||||||||||
Multi-Utilities (11.3%): |
|||||||||||
Ameren Corp. |
45,748 |
4,133,789 |
|||||||||
CMS Energy Corp. |
61,900 |
4,178,250 |
|||||||||
Consolidated Edison, Inc. (b) |
43,178 |
4,106,228 |
|||||||||
Dominion Energy, Inc. |
46,033 |
3,673,894 |
|||||||||
DTE Energy Co. |
34,529 |
4,376,551 |
|||||||||
NiSource, Inc. |
135,518 |
3,996,426 |
|||||||||
Sempra Energy |
24,202 |
3,636,834 |
|||||||||
WEC Energy Group, Inc. (b) |
40,728 |
4,098,866 |
|||||||||
32,200,838 |
|||||||||||
Total Common Stocks (Cost $277,667,437) |
282,119,700 |
||||||||||
Total Investments (Cost $277,667,437) ? 99.2% |
282,119,700 |
||||||||||
Other assets in excess of liabilities ? 0.8% |
2,187,348 |
||||||||||
NET ASSETS ? 100.00% |
$ |
284,307,048 |
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
See notes to financial statements.
107
Victory Portfolios
II VictoryShares US Large Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
9 |
9/16/22 |
$ |
1,776,474 |
$ |
1,705,275 |
$ |
(71,199 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(71,199 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(71,199 |
) |
See notes to financial statements.
108
Victory Portfolios
II VictoryShares US Small Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.3%) |
|||||||||||
Communication Services (2.0%): |
|||||||||||
John Wiley & Sons, Inc., Class A |
66,054 |
$ |
3,154,739 |
||||||||
Telephone & Data Systems, Inc. |
142,908 |
2,256,517 |
|||||||||
5,411,256 |
|||||||||||
Consumer Discretionary (14.8%): |
|||||||||||
Big Lots, Inc. (a) |
58,413 |
1,224,921 |
|||||||||
Camping World Holdings, Inc., Class A (a) |
71,218 |
1,537,597 |
|||||||||
Dana, Inc. |
109,842 |
1,545,477 |
|||||||||
Ethan Allen Interiors, Inc. |
95,094 |
1,921,850 |
|||||||||
Franchise Group, Inc. |
52,817 |
1,852,292 |
|||||||||
Guess?, Inc. (a) |
87,943 |
1,499,428 |
|||||||||
Jack in the Box, Inc. |
36,990 |
2,073,659 |
|||||||||
Kontoor Brands, Inc. |
46,036 |
1,536,221 |
|||||||||
La-Z-Boy, Inc. |
77,389 |
1,834,893 |
|||||||||
Monro, Inc. |
53,753 |
2,304,929 |
|||||||||
Movado Group, Inc. |
53,964 |
1,669,106 |
|||||||||
Oxford Industries, Inc. |
29,636 |
2,629,899 |
|||||||||
Patrick Industries, Inc. |
34,114 |
1,768,470 |
|||||||||
Rent-A-Center, Inc. |
63,387 |
1,232,877 |
|||||||||
Smith & Wesson Brands, Inc. |
84,697 |
1,112,072 |
|||||||||
Standard Motor Products, Inc. |
86,378 |
3,886,146 |
|||||||||
Strategic Education, Inc. |
36,415 |
2,570,171 |
|||||||||
Sturm Ruger & Co., Inc. (b) |
43,847 |
2,790,861 |
|||||||||
The Aaron's Co., Inc. |
89,623 |
1,304,015 |
|||||||||
The Buckle, Inc. |
52,078 |
1,442,040 |
|||||||||
Wolverine World Wide, Inc. |
110,060 |
2,218,809 |
|||||||||
39,955,733 |
|||||||||||
Consumer Staples (12.8%): |
|||||||||||
B&G Foods, Inc. (a) |
124,999 |
2,972,476 |
|||||||||
Edgewell Personal Care Co. |
72,187 |
2,491,895 |
|||||||||
Energizer Holdings, Inc. |
115,815 |
3,283,355 |
|||||||||
Fresh Del Monte Produce, Inc. |
112,970 |
3,336,004 |
|||||||||
Medifast, Inc. |
12,586 |
2,271,899 |
|||||||||
Nu Skin Enterprises, Inc., Class A |
58,521 |
2,533,959 |
|||||||||
SpartanNash Co. |
133,678 |
4,033,065 |
|||||||||
The Andersons, Inc. |
64,296 |
2,121,125 |
|||||||||
Universal Corp. |
78,177 |
4,729,709 |
|||||||||
Vector Group Ltd. |
230,529 |
2,420,555 |
|||||||||
Weis Markets, Inc. (b) |
56,920 |
4,242,817 |
|||||||||
34,436,859 |
|||||||||||
Energy (2.6%): |
|||||||||||
Archrock, Inc. |
295,754 |
2,445,886 |
|||||||||
Brigham Minerals, Inc. |
110,026 |
2,709,940 |
|||||||||
World Fuel Services Corp. (b) |
86,745 |
1,774,803 |
|||||||||
6,930,629 |
See notes to financial statements.
109
Victory Portfolios
II VictoryShares US Small Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (22.9%): |
|||||||||||
B Riley Financial, Inc. |
35,347 |
$ |
1,493,411 |
||||||||
Capitol Federal Financial, Inc. |
396,079 |
3,636,005 |
|||||||||
Columbia Banking System, Inc. (a) |
71,961 |
2,061,683 |
|||||||||
First Busey Corp. |
120,806 |
2,760,417 |
|||||||||
First Financial Bancorp |
127,538 |
2,474,237 |
|||||||||
Fulton Financial Corp. |
180,778 |
2,612,242 |
|||||||||
GCM Grosvenor, Inc., Class A (a) |
362,662 |
2,484,235 |
|||||||||
Heritage Financial Corp. |
124,288 |
3,127,086 |
|||||||||
Hope Bancorp, Inc. |
173,700 |
2,404,008 |
|||||||||
Kearny Financial Corp. |
301,453 |
3,349,143 |
|||||||||
Navient Corp. |
134,383 |
1,880,018 |
|||||||||
Northwest Bancshares, Inc. (b) |
308,345 |
3,946,816 |
|||||||||
Park National Corp. |
24,816 |
3,008,940 |
|||||||||
Peoples Bancorp, Inc. |
123,065 |
3,273,529 |
|||||||||
Premier Financial Corp. |
99,711 |
2,527,674 |
|||||||||
Provident Financial Services, Inc. |
160,610 |
3,575,179 |
|||||||||
S&T Bancorp, Inc. |
102,324 |
2,806,747 |
|||||||||
Safety Insurance Group, Inc. (b) |
57,100 |
5,544,410 |
|||||||||
Southside Bancshares, Inc. (b) |
84,290 |
3,154,132 |
|||||||||
Washington Trust Bancorp, Inc. |
64,558 |
3,122,670 |
|||||||||
WesBanco, Inc. |
81,586 |
2,587,092 |
|||||||||
61,829,674 |
|||||||||||
Health Care (3.4%): |
|||||||||||
National HealthCare Corp. (b) |
55,029 |
3,846,527 |
|||||||||
Patterson Cos., Inc. (b) |
102,719 |
3,112,386 |
|||||||||
Phibro Animal Health Corp., Class A |
118,346 |
2,263,959 |
|||||||||
9,222,872 |
|||||||||||
Industrials (18.6%): |
|||||||||||
ACCO Brands Corp. |
317,358 |
2,072,348 |
|||||||||
Brady Corp., Class A |
89,305 |
4,218,768 |
|||||||||
Deluxe Corp. |
81,968 |
1,776,247 |
|||||||||
Douglas Dynamics, Inc. |
82,634 |
2,374,901 |
|||||||||
Eagle Bulk Shipping, Inc. (a) |
32,203 |
1,670,692 |
|||||||||
Genco Shipping & Trading Ltd. |
87,301 |
1,686,655 |
|||||||||
Global Industrial Co. |
91,995 |
3,106,671 |
|||||||||
Granite Construction, Inc. |
92,573 |
2,697,577 |
|||||||||
H&E Equipment Services, Inc. |
49,919 |
1,446,153 |
|||||||||
Healthcare Services Group |
163,994 |
2,855,136 |
|||||||||
HNI Corp. |
77,415 |
2,685,526 |
|||||||||
Kaman Corp. |
64,509 |
2,015,906 |
|||||||||
Kennametal, Inc. |
91,100 |
2,116,253 |
|||||||||
McGrath RentCorp |
42,650 |
3,241,400 |
|||||||||
Mueller Water Products, Inc., Class A |
255,176 |
2,993,215 |
|||||||||
Pitney Bowes, Inc. |
379,923 |
1,375,321 |
|||||||||
Steelcase, Inc., Class A |
273,858 |
2,938,496 |
|||||||||
The Gorman-Rupp Co. |
95,039 |
2,689,604 |
|||||||||
The Greenbrier Cos., Inc. |
54,908 |
1,976,139 |
See notes to financial statements.
110
Victory Portfolios
II VictoryShares US Small Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Trinity Industries, Inc. |
96,218 |
$ |
2,330,400 |
||||||||
Wabash National Corp. |
140,096 |
1,902,504 |
|||||||||
50,169,912 |
|||||||||||
Information Technology (7.0%): |
|||||||||||
American Software, Inc., Class A |
107,245 |
1,733,079 |
|||||||||
Benchmark Electronics, Inc. |
126,678 |
2,857,856 |
|||||||||
CSG Systems International, Inc. |
77,039 |
4,597,688 |
|||||||||
InterDigital, Inc. |
57,594 |
3,501,715 |
|||||||||
Progress Software Corp. |
67,982 |
3,079,585 |
|||||||||
Vishay Intertechnology, Inc. |
179,770 |
3,203,501 |
|||||||||
18,973,424 |
|||||||||||
Materials (5.9%): |
|||||||||||
Greif, Inc., Class A |
55,564 |
3,466,082 |
|||||||||
Kronos Worldwide, Inc. |
224,881 |
4,137,810 |
|||||||||
Pactiv Evergreen, Inc. |
236,076 |
2,351,317 |
|||||||||
Schweitzer-Mauduit International, Inc. |
83,052 |
2,086,266 |
|||||||||
SunCoke Energy, Inc. |
258,033 |
1,757,205 |
|||||||||
Worthington Industries, Inc. |
48,776 |
2,151,022 |
|||||||||
15,949,702 |
|||||||||||
Real Estate (0.9%): |
|||||||||||
The RMR Group, Inc., Class A |
88,044 |
2,496,047 |
|||||||||
Utilities (8.4%): |
|||||||||||
MGE Energy, Inc. |
65,383 |
5,088,759 |
|||||||||
Northwest Natural Holding Co. |
81,783 |
4,342,677 |
|||||||||
Otter Tail Corp. (b) |
65,821 |
4,418,564 |
|||||||||
SJW Group |
69,507 |
4,337,932 |
|||||||||
Unitil Corp. (b) |
77,964 |
4,578,046 |
|||||||||
22,765,978 |
|||||||||||
Total Common Stocks (Cost $297,529,768) |
268,142,086 |
||||||||||
Collateral for Securities Loaned (2.8%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (c) |
235,026 |
235,026 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (c) |
117,290 |
117,290 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (c) |
1,462,838 |
1,462,838 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (c) |
935,231 |
935,231 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (c) |
623,694 |
623,694 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (c) |
4,204,982 |
4,204,982 |
|||||||||
Total Collateral for Securities Loaned (Cost $7,579,061) |
7,579,061 |
||||||||||
Total Investments (Cost $305,108,829) ? 102.1% |
275,721,147 |
||||||||||
Liabilities in excess of other assets ? (2.1)% |
(5,702,215 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
270,018,932 |
See notes to financial statements.
111
Victory Portfolios
II VictoryShares US Small Cap High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security is on loan.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) Rate disclosed is the daily yield on June 30, 2022.
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini Russell 2000 Index Futures |
19 |
9/16/22 |
$ |
1,707,363 |
$ |
1,622,600 |
$ |
(84,763 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(84,763 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(84,763 |
) |
See notes to financial statements.
112
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (98.7%) |
|||||||||||
Australia (5.0%): |
|||||||||||
Communication Services (1.2%): |
|||||||||||
Telstra Corp. Ltd. |
71,366 |
$ |
189,611 |
||||||||
Financials (1.9%): |
|||||||||||
Australia & New Zealand Banking Group Ltd. |
10,840 |
164,799 |
|||||||||
Westpac Banking Corp. |
10,870 |
146,276 |
|||||||||
311,075 |
|||||||||||
Materials (1.9%): |
|||||||||||
BHP Group Ltd. |
3,974 |
113,126 |
|||||||||
Fortescue Metals Group Ltd. |
6,651 |
80,460 |
|||||||||
Rio Tinto Ltd. |
1,465 |
103,829 |
|||||||||
297,415 |
|||||||||||
798,101 |
|||||||||||
Austria (0.7%): |
|||||||||||
Energy (0.7%): |
|||||||||||
OMV AG |
2,284 |
107,119 |
|||||||||
Canada (15.0%): |
|||||||||||
Communication Services (4.3%): |
|||||||||||
BCE, Inc. (a) |
7,579 |
372,590 |
|||||||||
TELUS Corp. (a) |
14,521 |
323,479 |
|||||||||
696,069 |
|||||||||||
Consumer Discretionary (1.0%): |
|||||||||||
Restaurant Brands International, Inc. |
3,119 |
156,483 |
|||||||||
Energy (4.2%): |
|||||||||||
Enbridge, Inc. |
5,649 |
238,601 |
|||||||||
Pembina Pipeline Corp. |
6,100 |
215,657 |
|||||||||
TC Energy Corp. |
4,202 |
217,707 |
|||||||||
671,965 |
|||||||||||
Financials (3.1%): |
|||||||||||
Great-West Lifeco, Inc. |
10,561 |
257,912 |
|||||||||
Power Corp. of Canada |
9,593 |
246,869 |
|||||||||
504,781 |
|||||||||||
Utilities (2.4%): |
|||||||||||
Emera, Inc. |
8,075 |
378,339 |
|||||||||
2,407,637 |
|||||||||||
Finland (1.5%): |
|||||||||||
Materials (0.9%): |
|||||||||||
UPM-Kymmene Oyj |
4,585 |
139,369 |
|||||||||
Utilities (0.6%): |
|||||||||||
Fortum Oyj |
6,257 |
93,850 |
|||||||||
233,219 |
See notes to financial statements.
113
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
France (7.2%): |
|||||||||||
Communication Services (1.7%): |
|||||||||||
Orange SA |
20,583 |
$ |
241,981 |
||||||||
Vivendi SE |
3,582 |
36,391 |
|||||||||
278,372 |
|||||||||||
Energy (1.0%): |
|||||||||||
TotalEnergies SE (b) |
2,890 |
152,528 |
|||||||||
Financials (2.9%): |
|||||||||||
Amundi SA (c) |
2,245 |
122,791 |
|||||||||
AXA SA |
6,226 |
141,301 |
|||||||||
BNP Paribas SA |
2,070 |
98,394 |
|||||||||
Credit Agricole SA (b) |
11,535 |
105,526 |
|||||||||
468,012 |
|||||||||||
Industrials (1.1%): |
|||||||||||
Bouygues SA |
5,714 |
175,782 |
|||||||||
Utilities (0.5%): |
|||||||||||
Electricite de France SA |
10,677 |
87,329 |
|||||||||
1,162,023 |
|||||||||||
Germany (6.0%): |
|||||||||||
Communication Services (1.1%): |
|||||||||||
Deutsche Telekom AG |
9,085 |
180,352 |
|||||||||
Financials (0.9%): |
|||||||||||
Allianz SE, Registered Shares |
745 |
142,165 |
|||||||||
Health Care (1.0%): |
|||||||||||
Bayer AG, Registered Shares |
2,771 |
164,684 |
|||||||||
Materials (2.2%): |
|||||||||||
BASF SE |
2,446 |
106,425 |
|||||||||
Evonik Industries AG |
6,935 |
147,946 |
|||||||||
HeidelbergCement AG |
2,200 |
105,669 |
|||||||||
360,040 |
|||||||||||
Utilities (0.8%): |
|||||||||||
E.ON SE |
14,561 |
122,178 |
|||||||||
969,419 |
|||||||||||
Hong Kong (10.0%): |
|||||||||||
Industrials (1.9%): |
|||||||||||
CK Hutchison Holdings Ltd. |
29,027 |
196,248 |
|||||||||
SITC International Holdings Co. Ltd. |
17,511 |
49,543 |
|||||||||
Xinyi Glass Holdings Ltd. |
26,528 |
63,627 |
|||||||||
309,418 |
|||||||||||
Real Estate (3.1%): |
|||||||||||
CK Asset Holdings Ltd. |
25,129 |
177,740 |
|||||||||
Henderson Land Development Co. Ltd. |
34,123 |
127,854 |
|||||||||
Sun Hung Kai Properties Ltd. |
15,795 |
186,603 |
|||||||||
492,197 |
See notes to financial statements.
114
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (5.0%): |
|||||||||||
CK Infrastructure Holdings Ltd. |
36,128 |
$ |
221,466 |
||||||||
CLP Holdings Ltd. |
36,123 |
299,698 |
|||||||||
Power Assets Holdings Ltd. (a) |
45,039 |
283,266 |
|||||||||
804,430 |
|||||||||||
1,606,045 |
|||||||||||
Italy (6.4%): |
|||||||||||
Energy (0.7%): |
|||||||||||
Eni SpA |
10,230 |
121,425 |
|||||||||
Financials (2.5%): |
|||||||||||
Assicurazioni Generali SpA |
10,534 |
168,046 |
|||||||||
Intesa Sanpaolo SpA |
51,210 |
95,511 |
|||||||||
Poste Italiane SpA (c) |
14,195 |
132,553 |
|||||||||
396,110 |
|||||||||||
Utilities (3.2%): |
|||||||||||
Enel SpA |
21,306 |
116,534 |
|||||||||
Snam SpA |
39,425 |
206,506 |
|||||||||
Terna ? Rete Elettrica Nazionale |
23,498 |
184,364 |
|||||||||
507,404 |
|||||||||||
1,024,939 |
|||||||||||
Japan (12.4%): |
|||||||||||
Communication Services (1.3%): |
|||||||||||
Softbank Corp. |
19,000 |
210,994 |
|||||||||
Consumer Discretionary (2.2%): |
|||||||||||
Aisin Corp. |
3,300 |
102,167 |
|||||||||
Honda Motor Co. Ltd. |
4,600 |
111,660 |
|||||||||
Sekisui House Ltd. |
8,300 |
145,400 |
|||||||||
359,227 |
|||||||||||
Consumer Staples (1.2%): |
|||||||||||
Japan Tobacco, Inc. |
11,300 |
195,414 |
|||||||||
Energy (1.7%): |
|||||||||||
ENEOS Holdings, Inc. |
44,500 |
168,507 |
|||||||||
Inpex Corp. |
8,900 |
96,440 |
|||||||||
264,947 |
|||||||||||
Financials (1.9%): |
|||||||||||
Mizuho Financial Group, Inc. |
14,300 |
162,648 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
4,900 |
145,635 |
|||||||||
308,283 |
|||||||||||
Health Care (1.2%): |
|||||||||||
Takeda Pharmaceutical Co. Ltd. |
6,600 |
185,750 |
|||||||||
Industrials (1.6%): |
|||||||||||
Marubeni Corp. |
12,000 |
108,270 |
|||||||||
Sumitomo Corp. |
10,400 |
142,362 |
|||||||||
250,632 |
See notes to financial statements.
115
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.8%): |
|||||||||||
Canon, Inc. (b) |
5,800 |
$ |
131,896 |
||||||||
Materials (0.5%): |
|||||||||||
Nippon Steel Corp. |
5,400 |
75,590 |
|||||||||
1,982,733 |
|||||||||||
Korea, Republic Of (4.5%): |
|||||||||||
Consumer Discretionary (0.8%): |
|||||||||||
Kia Corp. |
2,218 |
132,079 |
|||||||||
Financials (2.2%): |
|||||||||||
Hana Financial Group, Inc. |
3,282 |
99,489 |
|||||||||
KB Financial Group, Inc. |
2,756 |
102,227 |
|||||||||
Shinhan Financial Group Co. Ltd. |
5,163 |
147,361 |
|||||||||
349,077 |
|||||||||||
Industrials (1.0%): |
|||||||||||
Samsung C&T Corp. |
1,628 |
154,259 |
|||||||||
Materials (0.5%): |
|||||||||||
POSCO Holdings, Inc. |
485 |
86,120 |
|||||||||
721,535 |
|||||||||||
Netherlands (2.4%): |
|||||||||||
Communication Services (1.4%): |
|||||||||||
Koninklijke KPN NV |
64,893 |
231,251 |
|||||||||
Financials (1.0%): |
|||||||||||
NN Group NV |
3,496 |
158,759 |
|||||||||
390,010 |
|||||||||||
Norway (2.3%): |
|||||||||||
Communication Services (1.2%): |
|||||||||||
Telenor ASA |
14,165 |
188,477 |
|||||||||
Energy (0.5%): |
|||||||||||
Aker BP ASA |
2,333 |
81,058 |
|||||||||
Materials (0.6%): |
|||||||||||
Yara International ASA |
2,472 |
103,346 |
|||||||||
372,881 |
|||||||||||
Portugal (0.9%): |
|||||||||||
Utilities (0.9%): |
|||||||||||
EDP ? Energias de Portugal SA |
29,520 |
137,705 |
|||||||||
Spain (5.0%): |
|||||||||||
Communication Services (1.1%): |
|||||||||||
Telefonica SA |
33,882 |
172,609 |
|||||||||
Energy (1.0%): |
|||||||||||
Repsol SA |
10,431 |
153,561 |
See notes to financial statements.
116
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (2.9%): |
|||||||||||
Endesa SA |
6,665 |
$ |
125,704 |
||||||||
Naturgy Energy Group SA |
5,482 |
157,789 |
|||||||||
Red Electrica Corp. SA |
10,055 |
189,905 |
|||||||||
473,398 |
|||||||||||
799,568 |
|||||||||||
Sweden (2.4%): |
|||||||||||
Communication Services (1.5%): |
|||||||||||
Telia Co. AB |
61,604 |
236,072 |
|||||||||
Energy (0.0%): (d) |
|||||||||||
Orron Energy AB (b) |
2,453 |
1,677 |
|||||||||
Financials (0.9%): |
|||||||||||
Swedbank AB, Class A |
11,006 |
139,187 |
|||||||||
376,936 |
|||||||||||
Switzerland (6.1%): |
|||||||||||
Communication Services (1.4%): |
|||||||||||
Swisscom AG, Registered Shares |
412 |
227,647 |
|||||||||
Financials (2.3%): |
|||||||||||
Swiss Re AG |
2,038 |
157,958 |
|||||||||
Zurich Insurance Group AG |
494 |
214,886 |
|||||||||
372,844 |
|||||||||||
Health Care (1.4%): |
|||||||||||
Novartis AG, Registered Shares |
2,681 |
227,092 |
|||||||||
Materials (1.0%): |
|||||||||||
Holcim AG |
3,515 |
150,432 |
|||||||||
978,015 |
|||||||||||
United Kingdom (10.9%): |
|||||||||||
Consumer Staples (3.3%): |
|||||||||||
British American Tobacco PLC |
4,428 |
189,676 |
|||||||||
Imperial Brands PLC |
8,338 |
186,320 |
|||||||||
Unilever PLC |
3,281 |
148,590 |
|||||||||
524,586 |
|||||||||||
Energy (0.7%): |
|||||||||||
BP PLC |
23,772 |
112,346 |
|||||||||
Financials (2.4%): |
|||||||||||
Admiral Group PLC |
4,263 |
116,429 |
|||||||||
Aviva PLC |
30,097 |
147,000 |
|||||||||
Legal & General Group PLC |
40,190 |
117,151 |
|||||||||
380,580 |
|||||||||||
Health Care (1.3%): |
|||||||||||
GSK PLC (a) |
10,100 |
217,039 |
See notes to financial statements.
117
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Materials (1.1%): |
|||||||||||
Anglo American PLC |
1,790 |
$ |
63,985 |
||||||||
Evraz PLC (a) (e) (f) (g) (h) |
23,292 |
20,694 |
|||||||||
Rio Tinto PLC |
1,512 |
90,476 |
|||||||||
175,155 |
|||||||||||
Utilities (2.1%): |
|||||||||||
National Grid PLC |
15,447 |
197,780 |
|||||||||
SSE PLC |
7,560 |
148,692 |
|||||||||
346,472 |
|||||||||||
1,756,178 |
|||||||||||
Total Common Stocks (Cost $17,714,299) |
15,824,063 |
||||||||||
Collateral for Securities Loaned (2.3%)^ |
|||||||||||
United States (2.3%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (i) |
11,581 |
11,581 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (i) |
5,779 |
5,779 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (i) |
72,081 |
72,081 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (i) |
46,083 |
46,083 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (i) |
30,732 |
30,732 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (i) |
207,199 |
207,199 |
|||||||||
Total Collateral for Securities Loaned (Cost $373,455) |
373,455 |
||||||||||
Total Investments (Cost $18,087,754) ? 101.0% |
16,197,518 |
||||||||||
Liabilities in excess of other assets ? (1.0)% |
(159,501 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
16,038,017 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $255,344 and amounted to 1.6% of net assets.
(d) Amount represents less than 0.05% of net assets.
(e) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.1% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(f) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.1% of net assets.
(g) Restricted security that is not registered under the Securities Act of 1933.
See notes to financial statements.
118
Victory Portfolios
II VictoryShares International High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(h) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Evraz PLC |
3/19/2021 |
$ |
141,368 |
(i) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini MSCI EAFE Index Futures |
1 |
9/16/22 |
$ |
93,044 |
$ |
92,830 |
$ |
(214 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(214 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(214 |
) |
See notes to financial statements.
119
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (98.5%) |
|||||||||||
Brazil (9.5%): |
|||||||||||
Consumer Discretionary (0.6%): |
|||||||||||
Vibra Energia SA |
18,559 |
$ |
59,264 |
||||||||
Consumer Staples (2.4%): |
|||||||||||
Ambev SA |
34,300 |
87,833 |
|||||||||
Atacadao SA |
24,700 |
78,684 |
|||||||||
JBS SA |
12,800 |
77,271 |
|||||||||
243,788 |
|||||||||||
Energy (0.6%): |
|||||||||||
Petroleo Brasileiro SA, Preference Shares |
12,700 |
67,785 |
|||||||||
Financials (2.6%): |
|||||||||||
B3 SA ? Brasil Bolsa Balcao |
24,800 |
51,942 |
|||||||||
Banco do Brasil SA |
15,100 |
96,321 |
|||||||||
BB Seguridade Participacoes SA |
24,000 |
119,062 |
|||||||||
267,325 |
|||||||||||
Materials (1.3%): |
|||||||||||
Cia Siderurgica Nacional SA |
12,200 |
35,997 |
|||||||||
CSN Mineracao SA |
52,318 |
38,592 |
|||||||||
Vale SA |
4,400 |
64,374 |
|||||||||
138,963 |
|||||||||||
Utilities (2.0%): |
|||||||||||
Centrais Eletricas Brasileiras SA |
11,100 |
97,999 |
|||||||||
CPFL Energia SA |
18,700 |
110,351 |
|||||||||
208,350 |
|||||||||||
985,475 |
|||||||||||
Chile (1.9%): |
|||||||||||
Energy (0.6%): |
|||||||||||
Empresas COPEC SA |
8,532 |
62,976 |
|||||||||
Industrials (0.7%): |
|||||||||||
Cia Sud Americana de Vapores SA |
781,420 |
69,852 |
|||||||||
Materials (0.6%): |
|||||||||||
Empresas CMPC SA |
37,981 |
63,150 |
|||||||||
195,978 |
|||||||||||
China (19.8%): |
|||||||||||
Energy (1.8%): |
|||||||||||
China Petroleum & Chemical Corp., Class H |
232,845 |
104,752 |
|||||||||
China Shenhua Energy Co. Ltd., Class H |
26,220 |
75,185 |
|||||||||
179,937 |
|||||||||||
Financials (13.9%): |
|||||||||||
Agricultural Bank of China Ltd., Class H (a) (b) |
495,426 |
186,891 |
|||||||||
Bank of China Ltd., Class H (a) (b) (c) |
594,460 |
237,129 |
|||||||||
Bank of Communications Co. Ltd., Class H |
201,311 |
139,055 |
See notes to financial statements.
120
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
China CITIC Bank Corp. Ltd., Class H |
329,589 |
$ |
147,434 |
||||||||
China Everbright Bank Co. Ltd., Class H |
361,667 |
117,074 |
|||||||||
China Merchants Securities Co. Ltd., Class H (d) |
74,918 |
81,348 |
|||||||||
China Minsheng Banking Corp. Ltd., Class H (c) |
271,174 |
96,766 |
|||||||||
Industrial & Commercial Bank of China Ltd., Class H (c) |
290,256 |
172,380 |
|||||||||
New China Life Insurance Co. Ltd., Class H |
38,453 |
108,058 |
|||||||||
The People's Insurance Co. Group of China Ltd., Class H |
489,171 |
149,620 |
|||||||||
1,435,755 |
|||||||||||
Health Care (0.9%): |
|||||||||||
Sinopharm Group Co. Ltd., Class H |
37,528 |
90,967 |
|||||||||
Industrials (0.5%): |
|||||||||||
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H |
96,237 |
51,390 |
|||||||||
Information Technology (1.2%): |
|||||||||||
China Railway Signal & Communication Corp. Ltd., Class H (d) |
371,697 |
124,111 |
|||||||||
Materials (0.4%): |
|||||||||||
China Hongqiao Group Ltd. |
39,543 |
44,700 |
|||||||||
Real Estate (1.1%): |
|||||||||||
China Vanke Co. Ltd., Class H |
27,331 |
68,688 |
|||||||||
Country Garden Holdings Co. Ltd. |
79,212 |
49,062 |
|||||||||
117,750 |
|||||||||||
2,044,610 |
|||||||||||
Colombia (0.8%): |
|||||||||||
Utilities (0.8%): |
|||||||||||
Interconexion Electrica SA ESP |
16,846 |
83,377 |
|||||||||
Hong Kong (0.6%): |
|||||||||||
Utilities (0.6%): |
|||||||||||
China Gas Holdings Ltd. |
37,886 |
58,519 |
|||||||||
India (8.1%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Indus Towers Ltd. |
22,477 |
59,517 |
|||||||||
Consumer Discretionary (1.3%): |
|||||||||||
Bajaj Auto Ltd. |
2,897 |
135,980 |
|||||||||
Consumer Staples (1.3%): |
|||||||||||
ITC Ltd. |
39,875 |
138,105 |
|||||||||
Energy (1.5%): |
|||||||||||
Bharat Petroleum Corp. Ltd. |
24,346 |
95,081 |
|||||||||
Hindustan Petroleum Corp. Ltd. |
23,554 |
64,785 |
|||||||||
159,866 |
|||||||||||
Materials (1.4%): |
|||||||||||
Ambuja Cements Ltd. |
23,328 |
107,235 |
|||||||||
Vedanta Ltd. |
11,919 |
33,659 |
|||||||||
140,894 |
See notes to financial statements.
121
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (2.0%): |
|||||||||||
NTPC Ltd. |
58,640 |
$ |
106,115 |
||||||||
Power Grid Corp. of India Ltd. |
37,782 |
101,384 |
|||||||||
207,499 |
|||||||||||
841,861 |
|||||||||||
Indonesia (3.7%): |
|||||||||||
Communication Services (0.9%): |
|||||||||||
PT Telkom Indonesia Persero Tbk |
357,472 |
95,998 |
|||||||||
Consumer Staples (2.1%): |
|||||||||||
PT Gudang Garam Tbk |
41,764 |
87,411 |
|||||||||
PT Indofood Sukses Makmur Tbk |
281,211 |
133,101 |
|||||||||
220,512 |
|||||||||||
Energy (0.7%): |
|||||||||||
PT Adaro Energy Indonesia Tbk |
367,320 |
70,530 |
|||||||||
387,040 |
|||||||||||
Malaysia (11.6%): |
|||||||||||
Consumer Staples (0.8%): |
|||||||||||
Kuala Lumpur Kepong Bhd |
17,100 |
85,151 |
|||||||||
Financials (6.0%): |
|||||||||||
Malayan Banking Bhd (b) |
133,400 |
260,079 |
|||||||||
Public Bank Bhd |
209,900 |
208,185 |
|||||||||
RHB Bank Bhd |
116,500 |
151,508 |
|||||||||
619,772 |
|||||||||||
Health Care (0.6%): |
|||||||||||
Hartalega Holdings Bhd |
57,700 |
40,073 |
|||||||||
Top Glove Corp. Bhd |
100,200 |
23,651 |
|||||||||
63,724 |
|||||||||||
Industrials (2.6%): |
|||||||||||
MISC Bhd |
88,600 |
142,774 |
|||||||||
Sime Darby Bhd |
256,500 |
124,000 |
|||||||||
266,774 |
|||||||||||
Utilities (1.6%): |
|||||||||||
Tenaga Nasional Bhd |
92,500 |
167,533 |
|||||||||
1,202,954 |
|||||||||||
Mexico (4.6%): |
|||||||||||
Consumer Staples (2.9%): |
|||||||||||
Arca Continental SAB de CV |
28,079 |
185,057 |
|||||||||
Kimberly-Clark de Mexico SAB de CV, Class A |
86,553 |
117,230 |
|||||||||
302,287 |
|||||||||||
Materials (1.7%): |
|||||||||||
Grupo Mexico SAB de CV, Class B |
17,251 |
71,452 |
|||||||||
Orbia Advance Corp. SAB de CV |
43,779 |
102,477 |
|||||||||
173,929 |
|||||||||||
476,216 |
See notes to financial statements.
122
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Netherlands (0.0%): (e) |
|||||||||||
Consumer Staples (0.0%): |
|||||||||||
X5 Retail Group NV, GDR (f) (g) (h) (i) |
5,583 |
$ |
438 |
||||||||
Philippines (1.3%): |
|||||||||||
Communication Services (1.3%): |
|||||||||||
Globe Telecom, Inc. |
1,225 |
50,542 |
|||||||||
PLDT, Inc. |
2,715 |
82,976 |
|||||||||
133,518 |
|||||||||||
Poland (2.9%): |
|||||||||||
Communication Services (0.8%): |
|||||||||||
Cyfrowy Polsat SA |
17,684 |
83,785 |
|||||||||
Consumer Discretionary (0.5%): |
|||||||||||
LPP SA |
25 |
50,209 |
|||||||||
Energy (0.7%): |
|||||||||||
Polski Koncern Naftowy ORLEN SA |
4,744 |
72,577 |
|||||||||
Financials (0.9%): |
|||||||||||
Powszechny Zaklad Ubezpieczen SA |
13,416 |
89,803 |
|||||||||
296,374 |
|||||||||||
Romania (1.2%): |
|||||||||||
Real Estate (1.2%): |
|||||||||||
NEPI Rockcastle S.A. |
24,084 |
128,987 |
|||||||||
Russian Federation (0.2%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Mobile TeleSystems PJSC (f) (g) |
74,552 |
3,244 |
|||||||||
Rostelecom PJSC (b) (f) (g) (h) (i) |
216,040 |
2,841 |
|||||||||
6,085 |
|||||||||||
Consumer Staples (0.0%): (e) |
|||||||||||
Magnit PJSC (f) (g) |
2,982 |
49 |
|||||||||
Energy (0.0%): (e) |
|||||||||||
Tatneft PJSC (f) (g) |
26,475 |
1,851 |
|||||||||
Financials (0.0%): (e) |
|||||||||||
Moscow Exchange MICEX-RTS PJSC (a) (f) (g) |
83,340 |
1,540 |
|||||||||
Materials (0.1%): |
|||||||||||
Magnitogorsk Iron & Steel Works PJSC (f) (g) |
149,520 |
1,339 |
|||||||||
MMC Norilsk Nickel PJSC (f) (g) |
476 |
1,775 |
|||||||||
Novolipetsk Steel PJSC (f) (g) |
47,250 |
1,640 |
|||||||||
Polyus PJSC (f) (g) |
1,101 |
2,268 |
|||||||||
Severstal PAO (f) (g) (h) (i) |
7,165 |
1,871 |
|||||||||
8,893 |
|||||||||||
Utilities (0.0%): (e) |
|||||||||||
Inter RAO UES PJSC (f) (g) |
4,103,676 |
2,166 |
|||||||||
RusHydro PJSC (f) (g) (h) (i) |
22,215,994 |
2,880 |
|||||||||
5,046 |
|||||||||||
23,464 |
See notes to financial statements.
123
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
South Africa (5.5%): |
|||||||||||
Communication Services (2.0%): |
|||||||||||
MultiChoice Group |
12,092 |
$ |
86,117 |
||||||||
Vodacom Group Ltd. |
14,343 |
115,662 |
|||||||||
201,779 |
|||||||||||
Energy (0.7%): |
|||||||||||
Exxaro Resources Ltd. |
6,272 |
76,439 |
|||||||||
Financials (0.9%): |
|||||||||||
Sanlam Ltd. |
29,536 |
96,030 |
|||||||||
Materials (1.9%): |
|||||||||||
African Rainbow Minerals Ltd. |
3,870 |
50,870 |
|||||||||
Anglo American Platinum Ltd. |
388 |
34,001 |
|||||||||
Impala Platinum Holdings Ltd. |
2,869 |
31,959 |
|||||||||
Kumba Iron Ore Ltd. |
1,508 |
48,747 |
|||||||||
Sibanye Stillwater Ltd. |
12,727 |
31,831 |
|||||||||
197,408 |
|||||||||||
571,656 |
|||||||||||
Taiwan (18.7%): |
|||||||||||
Communication Services (2.8%): |
|||||||||||
Far EasTone Telecommunications Co. Ltd. |
104,000 |
292,426 |
|||||||||
Financials (1.1%): |
|||||||||||
Yuanta Financial Holding Co. Ltd. |
176,000 |
116,615 |
|||||||||
Industrials (1.7%): |
|||||||||||
Far Eastern New Century Corp. |
164,000 |
175,407 |
|||||||||
Information Technology (10.3%): |
|||||||||||
Asustek Computer, Inc. |
10,000 |
104,433 |
|||||||||
Catcher Technology Co. Ltd. |
22,000 |
122,461 |
|||||||||
Compal Electronics, Inc. (b) |
253,000 |
193,588 |
|||||||||
Largan Precision Co. Ltd. |
1,000 |
58,018 |
|||||||||
Lite-On Technology Corp. |
49,059 |
95,537 |
|||||||||
Pegatron Corp. |
83,000 |
159,121 |
|||||||||
Quanta Computer, Inc. (b) |
43,000 |
115,411 |
|||||||||
Synnex Technology International Corp. |
54,000 |
96,623 |
|||||||||
WPG Holdings Ltd. (b) |
63,000 |
116,753 |
|||||||||
1,061,945 |
|||||||||||
Materials (2.8%): |
|||||||||||
Asia Cement Corp. |
99,000 |
145,843 |
|||||||||
Taiwan Cement Corp. (b) |
107,000 |
142,153 |
|||||||||
287,996 |
|||||||||||
1,934,389 |
|||||||||||
Thailand (6.8%): |
|||||||||||
Communication Services (0.6%): |
|||||||||||
Total Access Communication PCL |
51,300 |
64,580 |
See notes to financial statements.
124
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Consumer Staples (1.3%): |
|||||||||||
Charoen Pokphand Foods PCL |
183,600 |
$ |
135,042 |
||||||||
Energy (1.1%): |
|||||||||||
PTT PCL |
115,100 |
110,707 |
|||||||||
Materials (2.5%): |
|||||||||||
PTT Global Chemical PCL |
73,000 |
93,963 |
|||||||||
The Siam Cement PCL |
15,600 |
165,051 |
|||||||||
259,014 |
|||||||||||
Real Estate (1.3%): |
|||||||||||
Land & Houses PCL |
559,600 |
132,186 |
|||||||||
701,529 |
|||||||||||
Turkey (1.3%): |
|||||||||||
Industrials (0.8%): |
|||||||||||
Enka Insaat ve Sanayi A/S |
81,595 |
84,353 |
|||||||||
Materials (0.5%): |
|||||||||||
Eregli Demir ve Celik Fabrikalari TAS |
28,235 |
45,952 |
|||||||||
130,305 |
|||||||||||
Total Common Stocks (Cost $13,793,624) |
10,196,690 |
||||||||||
Collateral for Securities Loaned (2.6%)^ |
|||||||||||
United States (2.6%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) |
8,255 |
8,255 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (j) |
4,120 |
4,120 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) |
51,381 |
51,381 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) |
32,849 |
32,849 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (j) |
21,907 |
21,907 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (j) |
147,696 |
147,696 |
|||||||||
Total Collateral for Securities Loaned (Cost $266,208) |
266,208 |
||||||||||
Total Investments (Cost $14,059,832) ? 101.1% |
10,462,898 |
||||||||||
Liabilities in excess of other assets ? (1.1)% |
(112,045 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
10,350,853 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $205,459 and amounted to 2.0% of net assets.
(e) Amount represents less than 0.05% of net assets.
See notes to financial statements.
125
Victory Portfolios
II VictoryShares Emerging Market High Div Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.2% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were 0.2% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Rostelecom PJSC |
9/18/2020 |
$ |
283,116 |
||||||||
RusHydro PJSC |
9/18/2020 |
235,617 |
|||||||||
Severstal PAO |
6/1/2018 |
106,124 |
|||||||||
X5 Retail Group NV |
9/18/2020 |
199,826 |
(j) Rate disclosed is the daily yield on June 30, 2022.
GDR ? Global Depositary Receipt
PCL ? Public Company Limited
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini
MSCI Emerging Markets Index Futures |
2 |
9/16/22 |
$ |
100,683 |
$ |
100,270 |
$ |
(413 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(413 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(413 |
) |
See notes to financial statements.
126
Victory Portfolios
II VictoryShares Dividend Accelerator ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.6%) |
|||||||||||
Aerospace & Defense (3.1%): |
|||||||||||
Lockheed Martin Corp. |
10,996 |
$ |
4,727,840 |
||||||||
Northrop Grumman Corp. |
8,273 |
3,959,210 |
|||||||||
8,687,050 |
|||||||||||
Commercial Services & Supplies (0.6%): |
|||||||||||
Cintas Corp. |
4,784 |
1,786,968 |
|||||||||
Communication Services (0.5%): |
|||||||||||
AT&T, Inc. |
70,708 |
1,482,040 |
|||||||||
Consumer Discretionary (7.6%): |
|||||||||||
Genuine Parts Co. |
27,155 |
3,611,615 |
|||||||||
Leggett & Platt, Inc. |
128,998 |
4,460,751 |
|||||||||
Lithia Motors, Inc. |
10,175 |
2,796,192 |
|||||||||
Lowe's Cos., Inc. |
12,107 |
2,114,729 |
|||||||||
NIKE, Inc., Class B |
41,542 |
4,245,592 |
|||||||||
Target Corp. (a) |
26,786 |
3,782,987 |
|||||||||
21,011,866 |
|||||||||||
Consumer Staples (19.4%): |
|||||||||||
Altria Group, Inc. |
28,621 |
1,195,499 |
|||||||||
Archer-Daniels-Midland Co. |
40,220 |
3,121,072 |
|||||||||
Brown-Forman Corp., Class B |
67,646 |
4,746,043 |
|||||||||
Colgate-Palmolive Co. |
82,673 |
6,625,414 |
|||||||||
Costco Wholesale Corp. |
9,516 |
4,560,829 |
|||||||||
Hormel Foods Corp. (b) |
79,789 |
3,778,807 |
|||||||||
Kimberly-Clark Corp. |
34,336 |
4,640,510 |
|||||||||
McCormick & Co., Inc. |
29,414 |
2,448,716 |
|||||||||
PepsiCo, Inc. |
20,264 |
3,377,198 |
|||||||||
Sysco Corp. |
28,234 |
2,391,702 |
|||||||||
The Clorox Co. |
38,303 |
5,399,957 |
|||||||||
The Coca-Cola Co. |
48,935 |
3,078,501 |
|||||||||
The Procter & Gamble Co. |
23,335 |
3,355,340 |
|||||||||
Walgreens Boots Alliance, Inc. |
46,758 |
1,772,128 |
|||||||||
Walmart, Inc. |
28,674 |
3,486,185 |
|||||||||
53,977,901 |
|||||||||||
Electrical Equipment (2.0%): |
|||||||||||
Emerson Electric Co. |
71,295 |
5,670,804 |
|||||||||
Energy (0.8%): |
|||||||||||
ONEOK, Inc. |
39,263 |
2,179,096 |
|||||||||
Financials (8.6%): |
|||||||||||
Aflac, Inc. |
63,104 |
3,491,544 |
|||||||||
Aon PLC, Class A |
27,531 |
7,424,560 |
|||||||||
Axis Capital Holdings Ltd. |
31,459 |
1,795,994 |
|||||||||
Cincinnati Financial Corp. |
9,047 |
1,076,412 |
|||||||||
Commerce Bancshares, Inc. |
49,736 |
3,265,169 |
|||||||||
Franklin Resources, Inc. |
107,726 |
2,511,093 |
|||||||||
Old Republic International Corp. |
54,079 |
1,209,207 |
See notes to financial statements.
127
Victory Portfolios
II VictoryShares Dividend Accelerator ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
S&P Global, Inc. |
3,823 |
$ |
1,288,580 |
||||||||
T. Rowe Price Group, Inc. |
16,158 |
1,835,710 |
|||||||||
23,898,269 |
|||||||||||
Health Care (12.4%): |
|||||||||||
Abbott Laboratories |
31,505 |
3,423,018 |
|||||||||
Becton Dickinson & Co. |
8,863 |
2,184,996 |
|||||||||
DENTSPLY SIRONA, Inc. |
10,885 |
388,921 |
|||||||||
Elevance Health, Inc. |
17,307 |
8,352,012 |
|||||||||
Johnson & Johnson (a) |
15,554 |
2,760,991 |
|||||||||
Medtronic PLC |
48,263 |
4,331,604 |
|||||||||
Merck & Co., Inc. |
68,106 |
6,209,224 |
|||||||||
Quest Diagnostics, Inc. |
43,671 |
5,807,370 |
|||||||||
West Pharmaceutical Services, Inc. |
2,947 |
891,084 |
|||||||||
34,349,220 |
|||||||||||
Industrial Conglomerates (6.8%): |
|||||||||||
3M Co. |
73,222 |
9,475,659 |
|||||||||
Carlisle Cos., Inc. |
17,278 |
4,122,704 |
|||||||||
Honeywell International, Inc. |
30,416 |
5,286,605 |
|||||||||
18,884,968 |
|||||||||||
Information Technology (13.0%): |
|||||||||||
Apple, Inc. |
54,634 |
7,469,560 |
|||||||||
Automatic Data Processing, Inc. |
16,550 |
3,476,162 |
|||||||||
Cisco Systems, Inc. |
141,413 |
6,029,850 |
|||||||||
Jack Henry & Associates, Inc. |
18,703 |
3,366,914 |
|||||||||
Mastercard, Inc., Class A |
19,717 |
6,220,319 |
|||||||||
Microchip Technology, Inc. |
69,347 |
4,027,674 |
|||||||||
QUALCOMM, Inc. |
15,912 |
2,032,599 |
|||||||||
Texas Instruments, Inc. |
23,529 |
3,615,231 |
|||||||||
36,238,309 |
|||||||||||
Machinery (12.1%): |
|||||||||||
Caterpillar, Inc. |
14,683 |
2,624,733 |
|||||||||
Donaldson Co., Inc. |
128,663 |
6,193,837 |
|||||||||
Dover Corp. |
27,058 |
3,282,677 |
|||||||||
Illinois Tool Works, Inc. |
26,352 |
4,802,652 |
|||||||||
ITT, Inc. |
48,598 |
3,267,730 |
|||||||||
Lincoln Electric Holdings, Inc. |
66,059 |
8,149,038 |
|||||||||
Nordson Corp. |
15,958 |
3,230,537 |
|||||||||
Stanley Black & Decker, Inc. |
19,035 |
1,996,010 |
|||||||||
33,547,214 |
|||||||||||
Materials (5.7%): |
|||||||||||
Air Products and Chemicals, Inc. |
13,721 |
3,299,626 |
|||||||||
Nucor Corp. |
5,223 |
545,333 |
|||||||||
PPG Industries, Inc. |
27,630 |
3,159,214 |
|||||||||
RPM International, Inc. |
61,559 |
4,845,925 |
|||||||||
Sonoco Products Co. |
30,164 |
1,720,555 |
|||||||||
The Sherwin-Williams Co. |
10,152 |
2,273,134 |
|||||||||
15,843,787 |
See notes to financial statements.
128
Victory Portfolios
II VictoryShares Dividend Accelerator ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Professional Services (1.5%): |
|||||||||||
Robert Half International, Inc. |
53,958 |
$ |
4,040,915 |
||||||||
Trading Companies & Distributors (1.8%): |
|||||||||||
W.W. Grainger, Inc. |
10,929 |
4,966,465 |
|||||||||
Utilities (3.7%): |
|||||||||||
Consolidated Edison, Inc. (a) |
85,886 |
8,167,759 |
|||||||||
National Fuel Gas Co. |
7,667 |
506,405 |
|||||||||
UGI Corp. |
37,906 |
1,463,551 |
|||||||||
10,137,715 |
|||||||||||
Total Common Stocks (Cost $283,697,397) |
276,702,587 |
||||||||||
Collateral for Securities Loaned (0.1%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (c) |
11,345 |
11,345 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (c) |
5,662 |
5,662 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (c) |
70,616 |
70,616 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (c) |
45,146 |
45,146 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (c) |
30,108 |
30,108 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (c) |
202,987 |
202,987 |
|||||||||
Total Collateral for Securities Loaned (Cost $365,864) |
365,864 |
||||||||||
Total Investments (Cost $284,063,261) ? 99.7% |
277,068,451 |
||||||||||
Other assets in excess of liabilities ? 0.3% |
840,930 |
||||||||||
NET ASSETS ? 100.00% |
$ |
277,909,381 |
^ Purchased with cash collateral from securities on loan.
(a) All or a portion of this security has been segregated as collateral for derivative instruments.
(b) All or a portion of this security is on loan.
(c) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
4 |
9/16/22 |
$ |
765,639 |
$ |
757,900 |
$ |
(7,739 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(7,739 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(7,739 |
) |
See notes to financial statements.
129
Victory Portfolios
II VictoryShares US Multi-Factor Minimum Volatility ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.6%) |
|||||||||||
Communication Services (5.1%): |
|||||||||||
Charter Communications, Inc., Class A (a) |
6,509 |
$ |
3,049,662 |
||||||||
Comcast Corp., Class A |
54,266 |
2,129,398 |
|||||||||
Fox Corp., Class A |
12,892 |
414,606 |
|||||||||
Ziff Davis, Inc. (a) |
6,551 |
488,246 |
|||||||||
6,081,912 |
|||||||||||
Consumer Discretionary (9.9%): |
|||||||||||
AutoZone, Inc. (a) |
2,035 |
4,373,459 |
|||||||||
Gentex Corp. |
19,082 |
533,724 |
|||||||||
Lowe's Cos., Inc. |
2,653 |
463,399 |
|||||||||
Tapestry, Inc. |
9,333 |
284,843 |
|||||||||
Target Corp. (b) |
18,832 |
2,659,643 |
|||||||||
Thor Industries, Inc. |
4,278 |
319,695 |
|||||||||
Tractor Supply Co. |
16,581 |
3,214,227 |
|||||||||
11,848,990 |
|||||||||||
Consumer Staples (13.8%): |
|||||||||||
Colgate-Palmolive Co. |
4,445 |
356,222 |
|||||||||
Kellogg Co. |
19,849 |
1,416,028 |
|||||||||
Philip Morris International, Inc. |
3,587 |
354,180 |
|||||||||
The Clorox Co. |
16,910 |
2,383,972 |
|||||||||
The Hershey Co. |
14,124 |
3,038,920 |
|||||||||
The J.M. Smucker Co. |
10,801 |
1,382,636 |
|||||||||
The Kroger Co. |
67,948 |
3,215,979 |
|||||||||
Tyson Foods, Inc., Class A |
5,986 |
515,155 |
|||||||||
Walmart, Inc. |
31,017 |
3,771,047 |
|||||||||
16,434,139 |
|||||||||||
Energy (8.9%): |
|||||||||||
Chevron Corp. |
26,951 |
3,901,966 |
|||||||||
ConocoPhillips |
15,956 |
1,433,008 |
|||||||||
Devon Energy Corp. |
5,692 |
313,686 |
|||||||||
EOG Resources, Inc. |
7,881 |
870,378 |
|||||||||
Exxon Mobil Corp. |
4,075 |
348,983 |
|||||||||
Hess Corp. |
3,151 |
333,817 |
|||||||||
Marathon Oil Corp. |
13,417 |
301,614 |
|||||||||
Phillips 66 |
5,972 |
489,644 |
|||||||||
Pioneer Natural Resources Co. |
5,977 |
1,333,349 |
|||||||||
Valero Energy Corp. |
12,060 |
1,281,737 |
|||||||||
10,608,182 |
|||||||||||
Financials (5.9%): |
|||||||||||
American International Group, Inc. |
9,919 |
507,158 |
|||||||||
Arch Capital Group Ltd. (a) |
8,887 |
404,270 |
|||||||||
Evercore, Inc. |
3,323 |
311,066 |
|||||||||
First American Financial Corp. |
15,211 |
804,966 |
|||||||||
Lazard Ltd., Class A |
10,358 |
335,703 |
|||||||||
SEI Investments Co. |
6,139 |
331,629 |
See notes to financial statements.
130
Victory Portfolios
II VictoryShares US Multi-Factor Minimum Volatility ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
T. Rowe Price Group, Inc. |
2,460 |
$ |
279,481 |
||||||||
The Allstate Corp. |
29,941 |
3,794,423 |
|||||||||
The Hartford Financial Services Group Inc. |
5,089 |
332,973 |
|||||||||
7,101,669 |
|||||||||||
Health Care (19.4%): |
|||||||||||
AbbVie, Inc. |
30,217 |
4,628,036 |
|||||||||
Bristol-Myers Squibb Co. |
61,186 |
4,711,322 |
|||||||||
DaVita, Inc. (a) |
2,976 |
237,961 |
|||||||||
Gilead Sciences, Inc. (b) |
5,667 |
350,277 |
|||||||||
Hologic, Inc. (a) |
29,790 |
2,064,447 |
|||||||||
Johnson & Johnson (b) |
31,101 |
5,520,738 |
|||||||||
Laboratory Corp. of America Holdings |
14,135 |
3,312,679 |
|||||||||
McKesson Corp. |
1,099 |
358,505 |
|||||||||
Merck & Co., Inc. |
14,979 |
1,365,635 |
|||||||||
Molina Healthcare, Inc. (a) |
1,006 |
281,288 |
|||||||||
UnitedHealth Group, Inc. |
662 |
340,023 |
|||||||||
23,170,911 |
|||||||||||
Industrials (11.0%): |
|||||||||||
A O Smith Corp. |
5,273 |
288,328 |
|||||||||
Atkore, Inc. (a) |
3,418 |
283,728 |
|||||||||
Clean Harbors, Inc. (a) |
3,021 |
264,851 |
|||||||||
CSX Corp. |
8,997 |
261,453 |
|||||||||
Cummins, Inc. |
1,645 |
318,357 |
|||||||||
Emerson Electric Co. |
3,433 |
273,061 |
|||||||||
Illinois Tool Works, Inc. |
5,343 |
973,762 |
|||||||||
Landstar System, Inc. |
2,237 |
325,304 |
|||||||||
Lincoln Electric Holdings, Inc. |
3,192 |
393,765 |
|||||||||
Lockheed Martin Corp. |
10,006 |
4,302,180 |
|||||||||
Oshkosh Corp. |
3,350 |
275,169 |
|||||||||
Robert Half International, Inc. |
6,535 |
489,406 |
|||||||||
Snap-on, Inc. |
1,641 |
323,326 |
|||||||||
Textron, Inc. |
4,525 |
276,342 |
|||||||||
Waste Management, Inc. |
26,679 |
4,081,353 |
|||||||||
13,130,385 |
|||||||||||
Information Technology (24.6%): |
|||||||||||
Applied Materials, Inc. |
4,410 |
401,222 |
|||||||||
Broadcom, Inc. |
6,353 |
3,086,351 |
|||||||||
Cisco Systems, Inc. |
73,024 |
3,113,743 |
|||||||||
Cognizant Technology Solutions Corp., Class A |
39,106 |
2,639,264 |
|||||||||
HP, Inc. |
95,580 |
3,133,112 |
|||||||||
Microsoft Corp. (b) |
36,309 |
9,325,241 |
|||||||||
NetApp, Inc. |
27,931 |
1,822,218 |
|||||||||
NXP Semiconductors NV |
9,912 |
1,467,273 |
|||||||||
Texas Instruments, Inc. |
24,794 |
3,809,598 |
|||||||||
Visa, Inc., Class A |
1,522 |
299,667 |
|||||||||
Zebra Technologies Corp. (a) |
810 |
238,100 |
|||||||||
29,335,789 |
See notes to financial statements.
131
Victory Portfolios
II VictoryShares US Multi-Factor Minimum Volatility ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Materials (0.5%): |
|||||||||||
Avery Dennison Corp. |
1,934 |
$ |
313,057 |
||||||||
Packaging Corp. of America |
2,159 |
296,862 |
|||||||||
609,919 |
|||||||||||
Real Estate (0.5%): |
|||||||||||
CBRE Group, Inc., Class A (a) |
3,723 |
274,050 |
|||||||||
Weyerhaeuser Co. |
10,623 |
351,834 |
|||||||||
625,884 |
|||||||||||
Total Common Stocks (Cost $120,662,458) |
118,947,780 |
||||||||||
Total Investments (Cost $120,662,458) ? 99.6% |
118,947,780 |
||||||||||
Other assets in excess of liabilities ? 0.4% |
492,932 |
||||||||||
NET ASSETS ? 100.00% |
$ |
119,440,712 |
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
2 |
9/16/22 |
$ |
392,928 |
$ |
378,950 |
$ |
(13,978 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(13,978 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(13,978 |
) |
See notes to financial statements.
132
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.5%) |
|||||||||||
Communication Services (4.2%): |
|||||||||||
Alphabet, Inc., Class A (a) |
779 |
$ |
1,697,643 |
||||||||
AT&T, Inc. |
97,786 |
2,049,595 |
|||||||||
Charter Communications, Inc., Class A (a) |
3,609 |
1,690,925 |
|||||||||
Comcast Corp., Class A |
47,395 |
1,859,780 |
|||||||||
DISH Network Corp., Class A (a) |
42,745 |
766,418 |
|||||||||
Electronic Arts, Inc. |
15,812 |
1,923,530 |
|||||||||
Fox Corp., Class A |
47,043 |
1,512,903 |
|||||||||
Liberty Broadband Corp., Class C (a) |
15,512 |
1,793,808 |
|||||||||
Liberty Media Corp.-Liberty Formula One, Class C (a) |
38,212 |
2,425,316 |
|||||||||
Lumen Technologies, Inc. |
126,017 |
1,374,845 |
|||||||||
Match Group, Inc. (a) |
11,590 |
807,707 |
|||||||||
Meta Platforms, Inc., Class A (a) |
5,673 |
914,771 |
|||||||||
Netflix, Inc. (a) |
3,111 |
544,021 |
|||||||||
News Corp., Class A |
90,809 |
1,414,804 |
|||||||||
Omnicom Group, Inc. |
21,541 |
1,370,223 |
|||||||||
Paramount Global, Class B |
40,162 |
991,198 |
|||||||||
Pinterest, Inc., Class A (a) |
32,735 |
594,468 |
|||||||||
Roku, Inc. (a) (b) |
5,340 |
438,628 |
|||||||||
Sirius XM Holdings, Inc. (c) |
342,890 |
2,101,916 |
|||||||||
Take-Two Interactive Software, Inc. (a) |
9,295 |
1,138,916 |
|||||||||
The Interpublic Group of Cos., Inc. |
44,223 |
1,217,459 |
|||||||||
The Walt Disney Co. (a) |
13,844 |
1,306,874 |
|||||||||
T-Mobile U.S., Inc. (a) |
16,201 |
2,179,682 |
|||||||||
Verizon Communications, Inc. |
69,562 |
3,530,271 |
|||||||||
Warner Bros. Discovery, Inc. (a) (b) |
23,468 |
314,940 |
|||||||||
Warner Music Group Corp., Class A |
39,923 |
972,524 |
|||||||||
ZoomInfo Technologies, Inc. (a) |
17,778 |
590,941 |
|||||||||
37,524,106 |
|||||||||||
Consumer Discretionary (8.1%): |
|||||||||||
Advance Auto Parts, Inc. |
10,326 |
1,787,327 |
|||||||||
Amazon.com, Inc. (a) |
10,558 |
1,121,365 |
|||||||||
Aptiv PLC (a) |
12,719 |
1,132,881 |
|||||||||
AutoZone, Inc. (a) |
1,193 |
2,563,900 |
|||||||||
Bath & Body Works, Inc. |
24,127 |
649,499 |
|||||||||
Best Buy Co., Inc. |
15,645 |
1,019,898 |
|||||||||
Booking Holdings, Inc. (a) |
729 |
1,275,014 |
|||||||||
Burlington Stores, Inc. (a) |
6,120 |
833,728 |
|||||||||
CarMax, Inc. (a) |
13,719 |
1,241,295 |
|||||||||
Chewy, Inc., Class A (a) (c) |
17,786 |
617,530 |
|||||||||
Chipotle Mexican Grill, Inc. (a) |
1,090 |
1,424,913 |
|||||||||
D.R. Horton, Inc. |
19,294 |
1,277,070 |
|||||||||
Darden Restaurants, Inc. |
12,000 |
1,357,440 |
|||||||||
Dollar General Corp. |
13,084 |
3,211,337 |
|||||||||
Dollar Tree, Inc. (a) |
9,332 |
1,454,392 |
|||||||||
Domino's Pizza, Inc. |
3,973 |
1,548,318 |
|||||||||
Etsy, Inc. (a) (b) |
5,685 |
416,199 |
|||||||||
Ford Motor Co. |
68,915 |
767,024 |
See notes to financial statements.
133
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Garmin Ltd. |
19,118 |
$ |
1,878,343 |
||||||||
General Motors Co. (a) |
30,334 |
963,408 |
|||||||||
Genuine Parts Co. |
19,655 |
2,614,115 |
|||||||||
Hasbro, Inc. |
19,703 |
1,613,282 |
|||||||||
Hilton Worldwide Holdings, Inc. |
11,530 |
1,284,903 |
|||||||||
Lennar Corp., Class A |
17,611 |
1,242,808 |
|||||||||
LKQ Corp. |
36,031 |
1,768,762 |
|||||||||
Lowe's Cos., Inc. |
9,540 |
1,666,352 |
|||||||||
Marriott International, Inc., Class A |
9,885 |
1,344,459 |
|||||||||
McDonald's Corp. |
14,464 |
3,570,872 |
|||||||||
MGM Resorts International |
30,545 |
884,278 |
|||||||||
NIKE, Inc., Class B |
13,082 |
1,336,980 |
|||||||||
NVR, Inc. (a) |
411 |
1,645,701 |
|||||||||
O'Reilly Automotive, Inc. (a) |
3,846 |
2,429,749 |
|||||||||
Pool Corp. |
4,120 |
1,447,068 |
|||||||||
PulteGroup, Inc. |
31,025 |
1,229,521 |
|||||||||
Ross Stores, Inc. |
19,519 |
1,370,819 |
|||||||||
Starbucks Corp. |
25,305 |
1,933,049 |
|||||||||
Tapestry, Inc. |
35,947 |
1,097,102 |
|||||||||
Target Corp. (b) |
11,992 |
1,693,630 |
|||||||||
Tesla, Inc. (a) |
1,109 |
746,823 |
|||||||||
The Home Depot, Inc. |
7,067 |
1,938,266 |
|||||||||
The TJX Cos., Inc. |
30,487 |
1,702,699 |
|||||||||
Tractor Supply Co. |
10,015 |
1,941,408 |
|||||||||
Ulta Beauty, Inc. (a) |
4,300 |
1,657,564 |
|||||||||
Vail Resorts, Inc. |
7,172 |
1,563,855 |
|||||||||
VF Corp. |
31,190 |
1,377,662 |
|||||||||
Whirlpool Corp. (c) |
9,601 |
1,486,907 |
|||||||||
Williams-Sonoma, Inc. |
9,103 |
1,009,978 |
|||||||||
Yum! Brands, Inc. |
22,187 |
2,518,446 |
|||||||||
72,657,939 |
|||||||||||
Consumer Staples (9.7%): |
|||||||||||
Albertsons Cos., Inc., Class A |
37,571 |
1,003,897 |
|||||||||
Altria Group, Inc. |
49,810 |
2,080,564 |
|||||||||
Archer-Daniels-Midland Co. |
31,645 |
2,455,652 |
|||||||||
Brown-Forman Corp., Class B |
42,348 |
2,971,136 |
|||||||||
Bunge Ltd. |
20,907 |
1,896,056 |
|||||||||
Campbell Soup Co. |
61,459 |
2,953,105 |
|||||||||
Church & Dwight Co., Inc. |
29,711 |
2,753,021 |
|||||||||
Colgate-Palmolive Co. |
42,232 |
3,384,472 |
|||||||||
Conagra Brands, Inc. |
76,042 |
2,603,678 |
|||||||||
Costco Wholesale Corp. |
4,808 |
2,304,378 |
|||||||||
Darling Ingredients, Inc. (a) |
20,404 |
1,220,159 |
|||||||||
General Mills, Inc. |
41,911 |
3,162,185 |
|||||||||
Hormel Foods Corp. |
61,396 |
2,907,715 |
|||||||||
Kellogg Co. |
44,996 |
3,210,015 |
|||||||||
Keurig Dr Pepper, Inc. |
73,437 |
2,598,935 |
|||||||||
Kimberly-Clark Corp. |
23,922 |
3,233,058 |
|||||||||
McCormick & Co., Inc. |
30,480 |
2,537,460 |
|||||||||
Molson Coors Beverage Co., Class B |
36,858 |
2,009,130 |
See notes to financial statements.
134
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Mondelez International, Inc., Class A |
50,821 |
$ |
3,155,476 |
||||||||
Monster Beverage Corp. (a) |
27,790 |
2,576,133 |
|||||||||
PepsiCo, Inc. |
22,483 |
3,747,017 |
|||||||||
Philip Morris International, Inc. |
26,470 |
2,613,648 |
|||||||||
Sysco Corp. |
24,183 |
2,048,542 |
|||||||||
The Clorox Co. |
12,076 |
1,702,474 |
|||||||||
The Coca-Cola Co. |
54,888 |
3,453,004 |
|||||||||
The Estee Lauder Cos., Inc. |
6,528 |
1,662,486 |
|||||||||
The Hershey Co. |
16,632 |
3,578,541 |
|||||||||
The J.M. Smucker Co. |
19,987 |
2,558,536 |
|||||||||
The Kraft Heinz Co. |
61,725 |
2,354,191 |
|||||||||
The Kroger Co. |
34,390 |
1,627,679 |
|||||||||
The Procter & Gamble Co. |
22,349 |
3,213,563 |
|||||||||
Tyson Foods, Inc., Class A |
22,400 |
1,927,744 |
|||||||||
Walgreens Boots Alliance, Inc. |
43,573 |
1,651,417 |
|||||||||
Walmart, Inc. |
24,328 |
2,957,798 |
|||||||||
86,112,865 |
|||||||||||
Energy (3.6%): |
|||||||||||
APA Corp. |
27,394 |
956,051 |
|||||||||
Chevron Corp. |
15,390 |
2,228,164 |
|||||||||
ConocoPhillips |
16,642 |
1,494,618 |
|||||||||
Continental Resources, Inc. |
18,326 |
1,197,604 |
|||||||||
Coterra Energy, Inc. |
54,095 |
1,395,110 |
|||||||||
Devon Energy Corp. |
18,068 |
995,727 |
|||||||||
Diamondback Energy, Inc. |
8,088 |
979,861 |
|||||||||
EOG Resources, Inc. |
11,873 |
1,311,254 |
|||||||||
Exxon Mobil Corp. |
23,753 |
2,034,207 |
|||||||||
Halliburton Co. |
37,442 |
1,174,181 |
|||||||||
Hess Corp. |
12,690 |
1,344,379 |
|||||||||
Kinder Morgan, Inc. |
127,205 |
2,131,956 |
|||||||||
Marathon Oil Corp. |
49,429 |
1,111,164 |
|||||||||
Marathon Petroleum Corp. |
21,449 |
1,763,322 |
|||||||||
Occidental Petroleum Corp. |
22,454 |
1,322,092 |
|||||||||
ONEOK, Inc. |
27,477 |
1,524,973 |
|||||||||
Ovintiv, Inc. |
21,943 |
969,661 |
|||||||||
Phillips 66 |
17,443 |
1,430,152 |
|||||||||
Pioneer Natural Resources Co. |
6,548 |
1,460,728 |
|||||||||
Schlumberger NV |
34,308 |
1,226,854 |
|||||||||
The Williams Cos., Inc. |
76,760 |
2,395,680 |
|||||||||
Valero Energy Corp. |
17,391 |
1,848,315 |
|||||||||
32,296,053 |
|||||||||||
Financials (15.4%): |
|||||||||||
Aflac, Inc. |
40,637 |
2,248,445 |
|||||||||
Ally Financial, Inc. |
33,011 |
1,106,199 |
|||||||||
American Express Co. |
8,969 |
1,243,283 |
|||||||||
American Financial Group, Inc. |
16,980 |
2,356,994 |
|||||||||
American International Group, Inc. |
28,992 |
1,482,361 |
|||||||||
Ameriprise Financial, Inc. |
6,631 |
1,576,056 |
|||||||||
Aon PLC, Class A |
7,357 |
1,984,036 |
See notes to financial statements.
135
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Apollo Global Management, Inc. |
24,776 |
$ |
1,201,140 |
||||||||
Arch Capital Group Ltd. (a) |
49,719 |
2,261,717 |
|||||||||
Ares Management Corp., Class A |
21,483 |
1,221,523 |
|||||||||
Arthur J. Gallagher & Co. |
16,913 |
2,757,496 |
|||||||||
Bank of America Corp. |
45,385 |
1,412,835 |
|||||||||
Berkshire Hathaway, Inc., Class B (a) |
10,782 |
2,943,702 |
|||||||||
BlackRock, Inc. |
3,095 |
1,884,979 |
|||||||||
Blackstone, Inc. |
10,939 |
997,965 |
|||||||||
Brown & Brown, Inc. |
36,596 |
2,135,011 |
|||||||||
Capital One Financial Corp. |
10,822 |
1,127,544 |
|||||||||
Cboe Global Markets, Inc. |
19,553 |
2,213,204 |
|||||||||
Chubb Ltd. |
11,690 |
2,298,020 |
|||||||||
Cincinnati Financial Corp. |
16,686 |
1,985,300 |
|||||||||
Citigroup, Inc. |
36,066 |
1,658,675 |
|||||||||
Citizens Financial Group, Inc. |
31,671 |
1,130,338 |
|||||||||
CME Group, Inc. |
11,891 |
2,434,088 |
|||||||||
CNA Financial Corp. |
50,848 |
2,283,075 |
|||||||||
Coinbase Global, Inc., Class A (a) (c) |
4,497 |
211,449 |
|||||||||
Comerica, Inc. |
16,757 |
1,229,629 |
|||||||||
Discover Financial Services |
12,854 |
1,215,731 |
|||||||||
East West Bancorp, Inc. |
18,067 |
1,170,742 |
|||||||||
Everest Re Group Ltd. |
7,347 |
2,059,217 |
|||||||||
FactSet Research Systems, Inc. |
6,813 |
2,620,075 |
|||||||||
Fidelity National Financial, Inc. |
46,170 |
1,706,443 |
|||||||||
Fifth Third Bancorp |
35,984 |
1,209,062 |
|||||||||
First Citizens BancShares, Inc., Class A |
1,909 |
1,248,066 |
|||||||||
First Republic Bank |
10,646 |
1,535,153 |
|||||||||
Franklin Resources, Inc. |
51,795 |
1,207,341 |
|||||||||
Huntington Bancshares, Inc. |
107,959 |
1,298,747 |
|||||||||
Interactive Brokers Group, Inc. |
28,317 |
1,557,718 |
|||||||||
Intercontinental Exchange, Inc. |
24,416 |
2,296,081 |
|||||||||
JPMorgan Chase & Co. |
15,688 |
1,766,626 |
|||||||||
KeyCorp |
71,568 |
1,233,117 |
|||||||||
KKR & Co., Inc. |
26,257 |
1,215,437 |
|||||||||
Lincoln National Corp. |
20,578 |
962,433 |
|||||||||
Loews Corp. |
39,722 |
2,353,926 |
|||||||||
LPL Financial Holdings, Inc. |
8,949 |
1,650,912 |
|||||||||
M&T Bank Corp. |
8,931 |
1,423,512 |
|||||||||
Markel Corp. (a) |
2,022 |
2,614,951 |
|||||||||
MarketAxess Holdings, Inc. |
4,861 |
1,244,465 |
|||||||||
Marsh & McLennan Cos., Inc. |
18,873 |
2,930,033 |
|||||||||
MetLife, Inc. |
30,379 |
1,907,497 |
|||||||||
Moody's Corp. |
7,129 |
1,938,874 |
|||||||||
Morgan Stanley |
20,652 |
1,570,791 |
|||||||||
Morningstar, Inc. |
7,083 |
1,712,882 |
|||||||||
MSCI, Inc. |
3,658 |
1,507,645 |
|||||||||
Nasdaq, Inc. |
14,734 |
2,247,524 |
|||||||||
Northern Trust Corp. |
15,981 |
1,541,847 |
|||||||||
Principal Financial Group, Inc. |
26,538 |
1,772,473 |
|||||||||
Prudential Financial, Inc. |
18,124 |
1,734,104 |
See notes to financial statements.
136
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Raymond James Financial, Inc. |
17,734 |
$ |
1,585,597 |
||||||||
Regions Financial Corp. |
65,712 |
1,232,100 |
|||||||||
Rocket Cos., Inc., Class A (c) |
105,601 |
777,223 |
|||||||||
S&P Global, Inc. |
6,403 |
2,158,195 |
|||||||||
Signature Bank |
3,838 |
687,808 |
|||||||||
State Street Corp. |
18,634 |
1,148,786 |
|||||||||
SVB Financial Group (a) |
2,149 |
848,833 |
|||||||||
Synchrony Financial |
37,599 |
1,038,484 |
|||||||||
T. Rowe Price Group, Inc. |
13,024 |
1,479,657 |
|||||||||
The Allstate Corp. |
19,551 |
2,477,698 |
|||||||||
The Bank of New York Mellon Corp. |
35,259 |
1,470,653 |
|||||||||
The Carlyle Group, Inc. |
32,606 |
1,032,306 |
|||||||||
The Charles Schwab Corp. |
20,873 |
1,318,756 |
|||||||||
The Goldman Sachs Group, Inc. |
5,851 |
1,737,864 |
|||||||||
The Hartford Financial Services Group Inc. |
33,532 |
2,193,999 |
|||||||||
The PNC Financial Services Group, Inc. |
10,450 |
1,648,696 |
|||||||||
The Progressive Corp. |
26,051 |
3,028,950 |
|||||||||
The Travelers Cos., Inc. |
14,272 |
2,413,823 |
|||||||||
Tradeweb Markets, Inc., Class A |
27,664 |
1,888,068 |
|||||||||
Truist Financial Corp. |
29,155 |
1,382,822 |
|||||||||
U.S. Bancorp |
34,727 |
1,598,137 |
|||||||||
Upstart Holdings, Inc. (a) (c) |
3,237 |
102,354 |
|||||||||
W.R. Berkley Corp. |
39,453 |
2,693,062 |
|||||||||
Webster Financial Corp. |
24,898 |
1,049,451 |
|||||||||
Wells Fargo & Co. |
30,139 |
1,180,545 |
|||||||||
Zions Bancorp NA |
21,773 |
1,108,246 |
|||||||||
137,120,602 |
|||||||||||
Health Care (14.4%): |
|||||||||||
Abbott Laboratories |
22,385 |
2,432,130 |
|||||||||
AbbVie, Inc. |
19,238 |
2,946,492 |
|||||||||
ABIOMED, Inc. (a) |
4,354 |
1,077,659 |
|||||||||
Agilent Technologies, Inc. |
17,426 |
2,069,686 |
|||||||||
Align Technology, Inc. (a) |
2,723 |
644,452 |
|||||||||
AmerisourceBergen Corp. |
18,934 |
2,678,782 |
|||||||||
Amgen, Inc. |
11,055 |
2,689,682 |
|||||||||
Avantor, Inc. (a) |
51,739 |
1,609,083 |
|||||||||
Baxter International, Inc. |
32,441 |
2,083,685 |
|||||||||
Becton Dickinson & Co. |
10,237 |
2,523,728 |
|||||||||
Biogen, Inc. (a) |
7,858 |
1,602,561 |
|||||||||
Bio-Rad Laboratories, Inc., Class A (a) |
3,002 |
1,485,990 |
|||||||||
Bio-Techne Corp. |
3,901 |
1,352,243 |
|||||||||
Boston Scientific Corp. (a) |
49,630 |
1,849,710 |
|||||||||
Bristol-Myers Squibb Co. |
41,966 |
3,231,382 |
|||||||||
Bruker Corp. |
26,257 |
1,647,889 |
|||||||||
Cardinal Health, Inc. |
35,364 |
1,848,476 |
|||||||||
Catalent, Inc. (a) |
17,323 |
1,858,585 |
|||||||||
Centene Corp. (a) |
21,432 |
1,813,362 |
|||||||||
Charles River Laboratories International, Inc. (a) |
5,868 |
1,255,576 |
|||||||||
Cigna Corp. |
8,184 |
2,156,648 |
See notes to financial statements.
137
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
CVS Health Corp. |
23,716 |
$ |
2,197,525 |
||||||||
Danaher Corp. |
7,943 |
2,013,709 |
|||||||||
DaVita, Inc. (a) |
16,613 |
1,328,375 |
|||||||||
DENTSPLY SIRONA, Inc. |
36,063 |
1,288,531 |
|||||||||
Dexcom, Inc. (a) |
11,946 |
890,335 |
|||||||||
Edwards Lifesciences Corp. (a) |
17,154 |
1,631,174 |
|||||||||
Elevance Health, Inc. |
4,638 |
2,238,206 |
|||||||||
Eli Lilly & Co. |
7,619 |
2,470,308 |
|||||||||
Embecta Corp. (a) |
2,047 |
51,830 |
|||||||||
Gilead Sciences, Inc. (b) |
52,162 |
3,224,133 |
|||||||||
HCA Healthcare, Inc. |
7,140 |
1,199,948 |
|||||||||
Henry Schein, Inc. (a) |
25,485 |
1,955,719 |
|||||||||
Hologic, Inc. (a) |
32,450 |
2,248,785 |
|||||||||
Horizon Therapeutics PLC (a) |
20,950 |
1,670,972 |
|||||||||
Humana, Inc. |
3,718 |
1,740,284 |
|||||||||
IDEXX Laboratories, Inc. (a) |
3,299 |
1,157,058 |
|||||||||
Illumina, Inc. (a) |
4,278 |
788,692 |
|||||||||
Incyte Corp. (a) |
27,418 |
2,082,945 |
|||||||||
Insulet Corp. (a) |
4,563 |
994,460 |
|||||||||
Intuitive Surgical, Inc. (a) |
6,376 |
1,279,727 |
|||||||||
IQVIA Holdings, Inc. (a) |
9,397 |
2,039,055 |
|||||||||
Johnson & Johnson (b) |
21,115 |
3,748,124 |
|||||||||
Laboratory Corp. of America Holdings |
8,646 |
2,026,277 |
|||||||||
McKesson Corp. |
9,522 |
3,106,172 |
|||||||||
Medtronic PLC |
23,802 |
2,136,230 |
|||||||||
Merck & Co., Inc. |
27,145 |
2,474,810 |
|||||||||
Mettler-Toledo International, Inc. (a) |
1,512 |
1,736,940 |
|||||||||
Moderna, Inc. (a) |
3,958 |
565,400 |
|||||||||
Molina Healthcare, Inc. (a) |
5,732 |
1,602,725 |
|||||||||
PerkinElmer, Inc. |
11,101 |
1,578,784 |
|||||||||
Pfizer, Inc. |
35,616 |
1,867,347 |
|||||||||
Quest Diagnostics, Inc. |
18,183 |
2,417,975 |
|||||||||
Regeneron Pharmaceuticals, Inc. (a) |
3,281 |
1,939,498 |
|||||||||
Repligen Corp. (a) |
5,882 |
955,237 |
|||||||||
ResMed, Inc. |
8,675 |
1,818,540 |
|||||||||
STERIS PLC |
9,648 |
1,988,935 |
|||||||||
Stryker Corp. |
8,828 |
1,756,154 |
|||||||||
Teleflex, Inc. |
4,956 |
1,218,433 |
|||||||||
The Cooper Cos., Inc. |
5,568 |
1,743,452 |
|||||||||
Thermo Fisher Scientific, Inc. |
4,368 |
2,373,047 |
|||||||||
UnitedHealth Group, Inc. |
5,408 |
2,777,711 |
|||||||||
Universal Health Services, Inc., Class B |
13,309 |
1,340,349 |
|||||||||
Veeva Systems, Inc., Class A (a) |
7,386 |
1,462,723 |
|||||||||
Vertex Pharmaceuticals, Inc. (a) |
9,401 |
2,649,108 |
|||||||||
Waters Corp. (a) |
7,304 |
2,417,478 |
|||||||||
West Pharmaceutical Services, Inc. |
4,726 |
1,429,001 |
|||||||||
Zimmer Biomet Holdings, Inc. |
13,987 |
1,469,474 |
|||||||||
Zoetis, Inc. |
13,454 |
2,312,608 |
|||||||||
128,262,104 |
See notes to financial statements.
138
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (15.9%): |
|||||||||||
3M Co. |
18,238 |
$ |
2,360,180 |
||||||||
A O Smith Corp. |
29,397 |
1,607,428 |
|||||||||
AMERCO, Inc. |
3,643 |
1,742,192 |
|||||||||
AMETEK, Inc. |
21,238 |
2,333,844 |
|||||||||
Booz Allen Hamilton Holding Corp. |
25,080 |
2,266,229 |
|||||||||
Builders FirstSource, Inc. (a) |
18,811 |
1,010,151 |
|||||||||
C.H. Robinson Worldwide, Inc. |
21,725 |
2,202,263 |
|||||||||
Carlisle Cos., Inc. |
10,189 |
2,431,197 |
|||||||||
Carrier Global Corp. |
43,699 |
1,558,306 |
|||||||||
Caterpillar, Inc. |
10,898 |
1,948,126 |
|||||||||
Cintas Corp. |
6,294 |
2,350,998 |
|||||||||
Copart, Inc. (a) |
16,450 |
1,787,457 |
|||||||||
CoStar Group, Inc. (a) (b) |
23,456 |
1,416,977 |
|||||||||
CSX Corp. |
69,600 |
2,022,576 |
|||||||||
Cummins, Inc. |
11,762 |
2,276,300 |
|||||||||
Deere & Co. |
5,025 |
1,504,837 |
|||||||||
Delta Air Lines, Inc. (a) |
33,933 |
983,039 |
|||||||||
Dover Corp. |
15,999 |
1,940,999 |
|||||||||
Eaton Corp. PLC |
15,008 |
1,890,858 |
|||||||||
Emerson Electric Co. |
23,730 |
1,887,484 |
|||||||||
Equifax, Inc. |
8,421 |
1,539,190 |
|||||||||
Expeditors International of Washington, Inc. |
21,623 |
2,107,378 |
|||||||||
Fastenal Co. |
50,702 |
2,531,044 |
|||||||||
FedEx Corp. |
9,572 |
2,170,068 |
|||||||||
Fortive Corp. |
37,788 |
2,054,911 |
|||||||||
Fortune Brands Home & Security, Inc. |
22,519 |
1,348,438 |
|||||||||
Generac Holdings, Inc. (a) |
3,770 |
793,887 |
|||||||||
General Dynamics Corp. |
13,071 |
2,891,959 |
|||||||||
Graco, Inc. |
35,438 |
2,105,372 |
|||||||||
HEICO Corp. |
14,576 |
1,911,205 |
|||||||||
Honeywell International, Inc. |
13,132 |
2,282,473 |
|||||||||
Howmet Aerospace, Inc. |
45,180 |
1,420,911 |
|||||||||
IDEX Corp. |
12,757 |
2,317,054 |
|||||||||
Illinois Tool Works, Inc. |
13,497 |
2,459,828 |
|||||||||
Ingersoll Rand, Inc. (b) |
39,844 |
1,676,636 |
|||||||||
J.B. Hunt Transport Services, Inc. |
9,844 |
1,550,135 |
|||||||||
Jacobs Engineering Group, Inc. |
17,417 |
2,214,223 |
|||||||||
Johnson Controls International PLC |
35,961 |
1,721,813 |
|||||||||
L3Harris Technologies, Inc. |
8,620 |
2,083,454 |
|||||||||
Leidos Holdings, Inc. |
18,594 |
1,872,602 |
|||||||||
Lockheed Martin Corp. |
5,388 |
2,316,624 |
|||||||||
Masco Corp. |
42,343 |
2,142,556 |
|||||||||
Nordson Corp. |
10,301 |
2,085,334 |
|||||||||
Norfolk Southern Corp. |
8,929 |
2,029,472 |
|||||||||
Northrop Grumman Corp. |
4,938 |
2,363,179 |
|||||||||
Old Dominion Freight Line, Inc. |
6,215 |
1,592,780 |
|||||||||
Otis Worldwide Corp. |
31,353 |
2,215,716 |
|||||||||
PACCAR, Inc. |
26,224 |
2,159,284 |
|||||||||
Parker-Hannifin Corp. |
6,862 |
1,688,395 |
See notes to financial statements.
139
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Quanta Services, Inc. |
13,369 |
$ |
1,675,670 |
||||||||
Raytheon Technologies Corp. |
23,210 |
2,230,713 |
|||||||||
Regal Rexnord Corp. |
10,750 |
1,220,340 |
|||||||||
Republic Services, Inc. (b) |
23,598 |
3,088,270 |
|||||||||
Robert Half International, Inc. |
18,201 |
1,363,073 |
|||||||||
Rockwell Automation, Inc. |
8,537 |
1,701,509 |
|||||||||
Rollins, Inc. |
59,202 |
2,067,334 |
|||||||||
Roper Technologies, Inc. |
6,144 |
2,424,730 |
|||||||||
Snap-on, Inc. |
10,111 |
1,992,170 |
|||||||||
Southwest Airlines Co. (a) |
36,424 |
1,315,635 |
|||||||||
Stanley Black & Decker, Inc. |
12,363 |
1,296,384 |
|||||||||
Textron, Inc. |
25,356 |
1,548,491 |
|||||||||
Trane Technologies PLC |
14,037 |
1,822,985 |
|||||||||
TransDigm Group, Inc. (a) |
2,753 |
1,477,453 |
|||||||||
TransUnion |
22,010 |
1,760,580 |
|||||||||
Trex Co., Inc. (a) |
13,758 |
748,710 |
|||||||||
Union Pacific Corp. |
11,120 |
2,371,674 |
|||||||||
United Parcel Service, Inc., Class B |
8,953 |
1,634,281 |
|||||||||
United Rentals, Inc. (a) |
4,711 |
1,144,349 |
|||||||||
Verisk Analytics, Inc. |
15,148 |
2,621,967 |
|||||||||
W.W. Grainger, Inc. |
5,040 |
2,290,327 |
|||||||||
Waste Management, Inc. |
23,060 |
3,527,719 |
|||||||||
Watsco, Inc. |
8,631 |
2,061,255 |
|||||||||
Westinghouse Air Brake Technologies Corp. |
21,578 |
1,771,122 |
|||||||||
Xylem, Inc. |
22,065 |
1,725,042 |
|||||||||
142,049,145 |
|||||||||||
Information Technology (13.8%): |
|||||||||||
Accenture PLC, Class A |
6,960 |
1,932,444 |
|||||||||
Adobe, Inc. (a) |
3,292 |
1,205,070 |
|||||||||
Advanced Micro Devices, Inc. (a) |
8,459 |
646,860 |
|||||||||
Akamai Technologies, Inc. (a) |
21,655 |
1,977,751 |
|||||||||
Amphenol Corp., Class A |
33,923 |
2,183,963 |
|||||||||
Analog Devices, Inc. |
12,060 |
1,761,845 |
|||||||||
ANSYS, Inc. (a) |
5,519 |
1,320,642 |
|||||||||
Apple, Inc. |
13,371 |
1,828,083 |
|||||||||
Applied Materials, Inc. |
9,779 |
889,693 |
|||||||||
AppLovin Corp., Class A (a) (c) |
13,362 |
460,187 |
|||||||||
Arista Networks, Inc. (a) |
11,299 |
1,059,168 |
|||||||||
Autodesk, Inc. (a) |
6,365 |
1,094,525 |
|||||||||
Automatic Data Processing, Inc. |
12,264 |
2,575,931 |
|||||||||
Bentley Systems, Inc., Class B (c) |
38,021 |
1,266,099 |
|||||||||
Block, Inc. (a) (b) |
6,505 |
399,797 |
|||||||||
Broadcom, Inc. |
3,285 |
1,595,886 |
|||||||||
Broadridge Financial Solutions, Inc. |
16,164 |
2,304,178 |
|||||||||
Cadence Design Systems, Inc. (a) |
10,421 |
1,563,463 |
|||||||||
CDW Corp. |
11,960 |
1,884,418 |
|||||||||
Cisco Systems, Inc. |
45,567 |
1,942,977 |
|||||||||
Cognex Corp. |
22,766 |
968,010 |
|||||||||
Cognizant Technology Solutions Corp., Class A |
27,991 |
1,889,113 |
See notes to financial statements.
140
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Corning, Inc. |
48,781 |
$ |
1,537,089 |
||||||||
Dell Technologies, Inc., Class C |
39,142 |
1,808,752 |
|||||||||
Dynatrace, Inc. (a) |
25,854 |
1,019,682 |
|||||||||
Enphase Energy, Inc. (a) |
4,750 |
927,390 |
|||||||||
Entegris, Inc. |
10,653 |
981,461 |
|||||||||
EPAM Systems, Inc. (a) |
3,594 |
1,059,439 |
|||||||||
F5, Inc. (a) |
9,347 |
1,430,465 |
|||||||||
Fair Isaac Corp. (a) |
3,235 |
1,296,911 |
|||||||||
Fidelity National Information Services, Inc. |
17,233 |
1,579,749 |
|||||||||
Fiserv, Inc. (a) |
19,044 |
1,694,345 |
|||||||||
FleetCor Technologies, Inc. (a) |
7,900 |
1,659,869 |
|||||||||
Fortinet, Inc. (a) |
17,419 |
985,567 |
|||||||||
Gartner, Inc. (a) |
5,941 |
1,436,712 |
|||||||||
Global Payments, Inc. |
11,172 |
1,236,070 |
|||||||||
GoDaddy, Inc., Class A (a) |
17,059 |
1,186,624 |
|||||||||
Hewlett Packard Enterprise Co. |
117,715 |
1,560,901 |
|||||||||
HP, Inc. |
50,582 |
1,658,078 |
|||||||||
Intel Corp. |
39,399 |
1,473,917 |
|||||||||
International Business Machines Corp. |
19,671 |
2,777,348 |
|||||||||
Intuit, Inc. |
3,374 |
1,300,475 |
|||||||||
Jack Henry & Associates, Inc. |
13,391 |
2,410,648 |
|||||||||
Juniper Networks, Inc. |
62,013 |
1,767,371 |
|||||||||
Keysight Technologies, Inc. (a) |
13,652 |
1,881,928 |
|||||||||
KLA Corp. |
3,767 |
1,201,974 |
|||||||||
Lam Research Corp. |
2,477 |
1,055,574 |
|||||||||
Mastercard, Inc., Class A |
4,742 |
1,496,006 |
|||||||||
Microchip Technology, Inc. |
20,957 |
1,217,183 |
|||||||||
Micron Technology, Inc. |
15,965 |
882,545 |
|||||||||
Microsoft Corp. (b) |
7,659 |
1,967,061 |
|||||||||
Monolithic Power Systems, Inc. |
2,910 |
1,117,556 |
|||||||||
Motorola Solutions, Inc. |
10,367 |
2,172,923 |
|||||||||
NetApp, Inc. |
25,643 |
1,672,949 |
|||||||||
NortonLifeLock, Inc. |
65,813 |
1,445,253 |
|||||||||
NVIDIA Corp. |
4,327 |
655,930 |
|||||||||
NXP Semiconductors NV |
7,423 |
1,098,827 |
|||||||||
ON Semiconductor Corp. (a) |
16,837 |
847,069 |
|||||||||
Oracle Corp. |
22,456 |
1,569,001 |
|||||||||
Paychex, Inc. |
21,774 |
2,479,405 |
|||||||||
Paycom Software, Inc. (a) |
3,938 |
1,103,113 |
|||||||||
Paylocity Holding Corp. (a) |
5,881 |
1,025,764 |
|||||||||
PayPal Holdings, Inc. (a) |
10,185 |
711,320 |
|||||||||
PTC, Inc. (a) |
14,711 |
1,564,368 |
|||||||||
Qorvo, Inc. (a) |
10,758 |
1,014,695 |
|||||||||
QUALCOMM, Inc. |
8,384 |
1,070,972 |
|||||||||
Salesforce, Inc. (a) |
7,365 |
1,215,520 |
|||||||||
ServiceNow, Inc. (a) (b) |
2,310 |
1,098,451 |
|||||||||
Skyworks Solutions, Inc. |
12,423 |
1,150,867 |
|||||||||
SS&C Technologies Holdings, Inc. |
34,836 |
2,022,927 |
|||||||||
Synopsys, Inc. (a) |
5,100 |
1,548,870 |
|||||||||
TE Connectivity Ltd. |
14,654 |
1,658,100 |
See notes to financial statements.
141
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Teledyne Technologies, Inc. (a) |
5,723 |
$ |
2,146,755 |
||||||||
Teradyne, Inc. |
9,716 |
870,068 |
|||||||||
Texas Instruments, Inc. |
12,460 |
1,914,479 |
|||||||||
The Trade Desk, Inc., Class A (a) |
8,324 |
348,692 |
|||||||||
Trimble, Inc. (a) |
26,819 |
1,561,670 |
|||||||||
Tyler Technologies, Inc. (a) |
4,077 |
1,355,521 |
|||||||||
Ubiquiti, Inc. |
5,270 |
1,308,067 |
|||||||||
VeriSign, Inc. (a) |
11,453 |
1,916,430 |
|||||||||
Visa, Inc., Class A |
8,916 |
1,755,471 |
|||||||||
VMware, Inc., Class A |
15,393 |
1,754,494 |
|||||||||
Western Digital Corp. (a) |
26,688 |
1,196,423 |
|||||||||
Workday, Inc., Class A (a) |
7,391 |
1,031,636 |
|||||||||
Zebra Technologies Corp. (a) |
4,221 |
1,240,763 |
|||||||||
Zoom Video Communications, Inc., Class A (a) |
7,934 |
856,634 |
|||||||||
122,742,220 |
|||||||||||
Materials (5.7%): |
|||||||||||
Air Products and Chemicals, Inc. |
10,955 |
2,634,458 |
|||||||||
Albemarle Corp. |
5,836 |
1,219,607 |
|||||||||
Alcoa Corp. |
11,818 |
538,665 |
|||||||||
Avery Dennison Corp. |
12,657 |
2,048,789 |
|||||||||
Ball Corp. |
24,038 |
1,653,093 |
|||||||||
Celanese Corp. |
14,103 |
1,658,654 |
|||||||||
CF Industries Holdings, Inc. |
15,968 |
1,368,937 |
|||||||||
Cleveland-Cliffs, Inc. (a) |
41,412 |
636,502 |
|||||||||
Corteva, Inc. |
39,304 |
2,127,919 |
|||||||||
Dow, Inc. |
34,725 |
1,792,157 |
|||||||||
DuPont de Nemours, Inc. |
24,786 |
1,377,606 |
|||||||||
Eastman Chemical Co. |
15,864 |
1,424,111 |
|||||||||
Ecolab, Inc. |
13,530 |
2,080,373 |
|||||||||
FMC Corp. |
15,318 |
1,639,179 |
|||||||||
Freeport-McMoRan, Inc. |
24,807 |
725,853 |
|||||||||
International Flavors & Fragrances, Inc. |
16,761 |
1,996,570 |
|||||||||
International Paper Co. |
54,170 |
2,265,931 |
|||||||||
LyondellBasell Industries NV, Class A |
20,179 |
1,764,855 |
|||||||||
Martin Marietta Materials, Inc. |
5,238 |
1,567,419 |
|||||||||
Newmont Corp. |
27,891 |
1,664,256 |
|||||||||
Nucor Corp. |
9,014 |
941,152 |
|||||||||
Packaging Corp. of America |
15,703 |
2,159,163 |
|||||||||
PPG Industries, Inc. |
17,482 |
1,998,892 |
|||||||||
Reliance Steel & Aluminum Co. |
9,630 |
1,635,752 |
|||||||||
RPM International, Inc. |
30,639 |
2,411,902 |
|||||||||
Steel Dynamics, Inc. |
18,012 |
1,191,494 |
|||||||||
The Mosaic Co. |
24,211 |
1,143,486 |
|||||||||
The Sherwin-Williams Co. |
10,184 |
2,280,299 |
|||||||||
Vulcan Materials Co. |
11,219 |
1,594,220 |
|||||||||
Westlake Corp. |
14,302 |
1,401,882 |
|||||||||
Westrock Co. |
39,960 |
1,592,006 |
|||||||||
50,535,182 |
See notes to financial statements.
142
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Real Estate (0.3%): |
|||||||||||
CBRE Group, Inc., Class A (a) |
19,322 |
$ |
1,422,292 |
||||||||
Jones Lang LaSalle, Inc. (a) |
6,593 |
1,152,852 |
|||||||||
2,575,144 |
|||||||||||
Utilities (8.4%): |
|||||||||||
Alliant Energy Corp. |
49,210 |
2,884,198 |
|||||||||
Ameren Corp. |
35,737 |
3,229,195 |
|||||||||
American Electric Power Co., Inc. (b) |
36,206 |
3,473,604 |
|||||||||
American Water Works Co., Inc. |
17,090 |
2,542,479 |
|||||||||
Atmos Energy Corp. |
25,382 |
2,845,322 |
|||||||||
CenterPoint Energy, Inc. |
101,747 |
3,009,676 |
|||||||||
CMS Energy Corp. |
48,354 |
3,263,895 |
|||||||||
Consolidated Edison, Inc. (b) |
33,728 |
3,207,533 |
|||||||||
Dominion Energy, Inc. |
35,959 |
2,869,888 |
|||||||||
DTE Energy Co. |
26,977 |
3,419,335 |
|||||||||
Duke Energy Corp. (b) |
32,028 |
3,433,722 |
|||||||||
Edison International |
42,574 |
2,692,380 |
|||||||||
Entergy Corp. |
23,821 |
2,683,197 |
|||||||||
Essential Utilities, Inc. |
55,577 |
2,548,205 |
|||||||||
Evergy, Inc. (b) |
49,680 |
3,241,620 |
|||||||||
Eversource Energy (b) |
33,264 |
2,809,810 |
|||||||||
Exelon Corp. |
73,500 |
3,331,020 |
|||||||||
FirstEnergy Corp. |
69,582 |
2,671,253 |
|||||||||
NextEra Energy, Inc. (b) |
28,219 |
2,185,844 |
|||||||||
NiSource, Inc. |
105,865 |
3,121,959 |
|||||||||
PPL Corp. |
116,489 |
3,160,347 |
|||||||||
Sempra Energy |
18,906 |
2,841,005 |
|||||||||
The Southern Co. (b) |
50,717 |
3,616,629 |
|||||||||
WEC Energy Group, Inc. (b) |
31,813 |
3,201,660 |
|||||||||
Xcel Energy, Inc. (b) |
43,442 |
3,073,956 |
|||||||||
75,357,732 |
|||||||||||
Total Common Stocks (Cost $901,489,305) |
887,233,092 |
||||||||||
Investment Companies (0.4%) |
|||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (d) |
3,245,046 |
3,245,046 |
|||||||||
Total Investment Companies (Cost $3,245,046) |
3,245,046 |
||||||||||
Collateral for Securities Loaned (0.1%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) |
39,474 |
39,474 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (d) |
19,699 |
19,699 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) |
245,691 |
245,691 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) |
157,077 |
157,077 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (d) |
104,753 |
104,753 |
See notes to financial statements.
143
Victory Portfolios
II VictoryShares US 500 Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (d) |
706,249 |
$ |
706,249 |
||||||||
Total Collateral for Securities Loaned (Cost $1,272,943) |
1,272,943 |
||||||||||
Total Investments (Cost $906,007,294) ? 100.0% |
891,751,081 |
||||||||||
Liabilities in excess of other assets ? 0.0% |
(397,700 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
891,353,381 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
19 |
9/16/22 |
$ |
3,778,541 |
$ |
3,600,025 |
$ |
(178,516 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(178,516 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(178,516 |
) |
See notes to financial statements.
144
Victory Portfolios
II VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.3%) |
|||||||||||
Communication Services (4.9%): |
|||||||||||
AT&T, Inc. |
840,130 |
$ |
17,609,125 |
||||||||
Lumen Technologies, Inc. |
1,082,623 |
11,811,417 |
|||||||||
Omnicom Group, Inc. |
185,122 |
11,775,610 |
|||||||||
Paramount Global, Class B |
345,055 |
8,515,957 |
|||||||||
The Interpublic Group of Cos., Inc. |
380,035 |
10,462,364 |
|||||||||
Verizon Communications, Inc. |
597,700 |
30,333,275 |
|||||||||
Warner Bros. Discovery, Inc. (a) (b) |
203,190 |
2,726,810 |
|||||||||
93,234,558 |
|||||||||||
Consumer Discretionary (4.3%): |
|||||||||||
Best Buy Co., Inc. |
134,427 |
8,763,296 |
|||||||||
Darden Restaurants, Inc. |
103,147 |
11,667,989 |
|||||||||
Genuine Parts Co. |
168,924 |
22,466,892 |
|||||||||
Hasbro, Inc. |
169,221 |
13,855,815 |
|||||||||
VF Corp. |
267,909 |
11,833,541 |
|||||||||
Whirlpool Corp. (c) |
82,498 |
12,776,465 |
|||||||||
81,363,998 |
|||||||||||
Consumer Staples (15.9%): |
|||||||||||
Altria Group, Inc. |
428,006 |
17,877,810 |
|||||||||
Campbell Soup Co. |
528,024 |
25,371,553 |
|||||||||
Conagra Brands, Inc. |
653,295 |
22,368,821 |
|||||||||
General Mills, Inc. |
360,087 |
27,168,564 |
|||||||||
Kellogg Co. |
386,596 |
27,579,759 |
|||||||||
Kimberly-Clark Corp. |
205,498 |
27,773,055 |
|||||||||
PepsiCo, Inc. |
193,201 |
32,198,879 |
|||||||||
Philip Morris International, Inc. |
227,408 |
22,454,266 |
|||||||||
The Clorox Co. |
103,788 |
14,632,032 |
|||||||||
The Coca-Cola Co. |
471,546 |
29,664,959 |
|||||||||
The J.M. Smucker Co. (c) |
171,784 |
21,990,070 |
|||||||||
The Kraft Heinz Co. |
530,323 |
20,226,519 |
|||||||||
Walgreens Boots Alliance, Inc. |
374,408 |
14,190,063 |
|||||||||
303,496,350 |
|||||||||||
Electric Utilities (15.3%): |
|||||||||||
Alliant Energy Corp. |
422,847 |
24,783,063 |
|||||||||
American Electric Power Co., Inc. (b) |
311,062 |
29,843,288 |
|||||||||
Duke Energy Corp. (b) |
275,200 |
29,504,192 |
|||||||||
Edison International |
365,804 |
23,133,445 |
|||||||||
Entergy Corp. |
204,708 |
23,058,309 |
|||||||||
Evergy, Inc. (b) |
426,883 |
27,854,116 |
|||||||||
Eversource Energy (b) |
285,743 |
24,136,711 |
|||||||||
Exelon Corp. |
631,430 |
28,616,408 |
|||||||||
FirstEnergy Corp. |
597,825 |
22,950,502 |
|||||||||
The Southern Co. (b) |
436,007 |
31,091,659 |
|||||||||
Xcel Energy, Inc. (b) |
373,269 |
26,412,514 |
|||||||||
291,384,207 |
See notes to financial statements.
145
Victory Portfolios
II VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Energy (6.9%): |
|||||||||||
Chevron Corp. |
132,205 |
$ |
19,140,640 |
||||||||
Exxon Mobil Corp. |
204,129 |
17,481,608 |
|||||||||
Kinder Morgan, Inc. |
1,092,914 |
18,317,239 |
|||||||||
Marathon Petroleum Corp. |
184,219 |
15,144,644 |
|||||||||
ONEOK, Inc. |
236,053 |
13,100,941 |
|||||||||
Phillips 66 |
149,908 |
12,290,957 |
|||||||||
The Williams Cos., Inc. |
659,511 |
20,583,338 |
|||||||||
Valero Energy Corp. |
149,429 |
15,881,314 |
|||||||||
131,940,681 |
|||||||||||
Financials (16.4%): |
|||||||||||
Apollo Global Management, Inc. |
212,887 |
10,320,762 |
|||||||||
Blackstone, Inc. |
94,002 |
8,575,803 |
|||||||||
Citigroup, Inc. |
309,866 |
14,250,737 |
|||||||||
Citizens Financial Group, Inc. |
272,182 |
9,714,176 |
|||||||||
CME Group, Inc. |
102,154 |
20,910,924 |
|||||||||
CNA Financial Corp. |
436,850 |
19,614,565 |
|||||||||
Comerica, Inc. |
144,052 |
10,570,536 |
|||||||||
Fidelity National Financial, Inc. |
396,606 |
14,658,558 |
|||||||||
Franklin Resources, Inc. |
444,973 |
10,372,321 |
|||||||||
Huntington Bancshares, Inc. |
927,641 |
11,159,521 |
|||||||||
JPMorgan Chase & Co. |
134,851 |
15,185,571 |
|||||||||
KeyCorp |
614,962 |
10,595,795 |
|||||||||
Lincoln National Corp. |
176,738 |
8,266,036 |
|||||||||
MetLife, Inc. |
260,960 |
16,385,678 |
|||||||||
Morgan Stanley |
177,514 |
13,501,715 |
|||||||||
Principal Financial Group, Inc. |
227,989 |
15,227,385 |
|||||||||
Prudential Financial, Inc. |
155,741 |
14,901,299 |
|||||||||
Regions Financial Corp. |
564,676 |
10,587,675 |
|||||||||
State Street Corp. |
160,022 |
9,865,356 |
|||||||||
T. Rowe Price Group, Inc. |
111,908 |
12,713,868 |
|||||||||
The Allstate Corp. |
167,958 |
21,285,317 |
|||||||||
Truist Financial Corp. |
250,474 |
11,879,982 |
|||||||||
U.S. Bancorp |
298,348 |
13,729,975 |
|||||||||
Webster Financial Corp. |
213,955 |
9,018,203 |
|||||||||
313,291,758 |
|||||||||||
Health Care (9.9%): |
|||||||||||
AbbVie, Inc. |
165,221 |
25,305,248 |
|||||||||
Amgen, Inc. |
95,045 |
23,124,448 |
|||||||||
Bristol-Myers Squibb Co. |
360,569 |
27,763,813 |
|||||||||
Cardinal Health, Inc. |
303,911 |
15,885,428 |
|||||||||
Gilead Sciences, Inc. (b) |
448,214 |
27,704,107 |
|||||||||
Johnson & Johnson (b) |
181,350 |
32,191,439 |
|||||||||
Merck & Co., Inc. |
233,206 |
21,261,391 |
|||||||||
Pfizer, Inc. |
305,955 |
16,041,221 |
|||||||||
189,277,095 |
See notes to financial statements.
146
Victory Portfolios
II VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (3.0%): |
|||||||||||
3M Co. |
156,770 |
$ |
20,287,606 |
||||||||
Cummins, Inc. |
101,038 |
19,553,884 |
|||||||||
Watsco, Inc. |
74,238 |
17,729,519 |
|||||||||
57,571,009 |
|||||||||||
Information Technology (5.8%): |
|||||||||||
Broadcom, Inc. |
28,237 |
13,717,817 |
|||||||||
Cisco Systems, Inc. |
391,574 |
16,696,716 |
|||||||||
Hewlett Packard Enterprise Co. |
1,011,418 |
13,411,403 |
|||||||||
Intel Corp. |
338,566 |
12,665,754 |
|||||||||
International Business Machines Corp. |
169,021 |
23,864,075 |
|||||||||
NetApp, Inc. |
220,338 |
14,374,851 |
|||||||||
Texas Instruments, Inc. |
107,128 |
16,460,217 |
|||||||||
111,190,833 |
|||||||||||
Materials (5.5%): |
|||||||||||
Air Products and Chemicals, Inc. |
94,101 |
22,629,409 |
|||||||||
Dow, Inc. |
298,338 |
15,397,224 |
|||||||||
International Paper Co. |
465,481 |
19,471,070 |
|||||||||
LyondellBasell Industries NV, Class A |
164,931 |
14,424,865 |
|||||||||
Newmont Corp. |
239,591 |
14,296,395 |
|||||||||
Packaging Corp. of America |
134,952 |
18,555,900 |
|||||||||
104,774,863 |
|||||||||||
Multi-Utilities (11.4%): |
|||||||||||
Ameren Corp. |
307,019 |
27,742,237 |
|||||||||
CMS Energy Corp. |
415,444 |
28,042,470 |
|||||||||
Consolidated Edison, Inc. (b) |
289,751 |
27,555,320 |
|||||||||
Dominion Energy, Inc. |
308,887 |
24,652,271 |
|||||||||
DTE Energy Co. |
231,829 |
29,384,326 |
|||||||||
NiSource, Inc. |
909,489 |
26,820,831 |
|||||||||
Sempra Energy |
162,515 |
24,421,129 |
|||||||||
WEC Energy Group, Inc. (b) |
273,385 |
27,513,466 |
|||||||||
216,132,050 |
|||||||||||
Total Common Stocks (Cost $1,908,577,051) |
1,893,657,402 |
||||||||||
Investment Companies (0.5%) |
|||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (d) |
9,879,922 |
9,879,922 |
|||||||||
Total Investment Companies (Cost $9,879,922) |
9,879,922 |
||||||||||
Collateral for Securities Loaned (0.8%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (d) |
476,069 |
476,069 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares,
1.42% (d) |
237,582 |
237,582 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (d) |
2,963,123 |
2,963,123 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (d) |
1,894,403 |
1,894,403 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (d) |
1,263,353 |
1,263,353 |
See notes to financial statements.
147
Victory Portfolios
II VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares,
1.53% (d) |
8,517,607 |
8,517,607 |
|||||||||
Total Collateral for Securities Loaned (Cost $15,352,137) |
15,352,137 |
||||||||||
Total Investments (Cost $1,933,809,110) ? 100.6% |
1,918,889,461 |
||||||||||
Liabilities in excess of other assets ? (0.6)% |
(11,493,616 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
1,907,395,845 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) All or a portion of this security is on loan.
(d) Rate disclosed is the daily yield on June 30, 2022.
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini S&P 500 Futures |
57 |
9/16/22 |
$ |
11,188,349 |
$ |
10,800,075 |
$ |
(388,274 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(388,274 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(388,274 |
) |
See notes to financial statements.
148
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (23.6%) |
|||||||||||
Communication Services (0.7%): |
|||||||||||
Advantage Solutions, Inc. (a) |
4,579 |
$ |
17,400 |
||||||||
AMC Networks, Inc., Class A (a) |
627 |
18,258 |
|||||||||
Boston Omaha Corp., Class A (a) |
1,156 |
23,871 |
|||||||||
Cars.com, Inc. (a) |
1,733 |
16,342 |
|||||||||
EchoStar Corp., Class A (a) |
1,430 |
27,599 |
|||||||||
Gray Television, Inc. |
1,583 |
26,737 |
|||||||||
IDT Corp., Class B (a) |
617 |
15,517 |
|||||||||
John Wiley & Sons, Inc., Class A |
987 |
47,139 |
|||||||||
PubMatic, Inc., Class A (a) |
607 |
9,645 |
|||||||||
Scholastic Corp. |
1,246 |
44,819 |
|||||||||
Sciplay Corp., Class A (a) |
2,211 |
30,888 |
|||||||||
Shenandoah Telecommunications Co. |
1,023 |
22,711 |
|||||||||
Telephone & Data Systems, Inc. |
2,137 |
33,743 |
|||||||||
The EW Scripps Co., Class A (a) |
1,745 |
21,760 |
|||||||||
Thryv Holdings, Inc. (a) |
881 |
19,726 |
|||||||||
United States Cellular Corp. (a) |
1,632 |
47,263 |
|||||||||
WideOpenWest, Inc. (a) |
2,080 |
37,877 |
|||||||||
Yelp, Inc. (a) |
1,130 |
31,380 |
|||||||||
492,675 |
|||||||||||
Consumer Discretionary (2.9%): |
|||||||||||
1-800-Flowers.com, Inc., Class A (a) |
1,538 |
14,626 |
|||||||||
Abercrombie & Fitch Co. (a) |
694 |
11,742 |
|||||||||
Academy Sports & Outdoors, Inc. |
937 |
33,301 |
|||||||||
Accel Entertainment, Inc. (a) |
2,907 |
30,872 |
|||||||||
American Axle & Manufacturing Holdings, Inc. (a) |
2,917 |
21,965 |
|||||||||
Arko Corp. |
4,131 |
33,709 |
|||||||||
Big Lots, Inc. |
873 |
18,307 |
|||||||||
Bloomin' Brands, Inc. |
1,265 |
21,024 |
|||||||||
Boot Barn Holdings, Inc. (a) |
336 |
23,154 |
|||||||||
Brinker International, Inc. (a) |
705 |
15,531 |
|||||||||
Caleres, Inc. |
1,303 |
34,191 |
|||||||||
Camping World Holdings, Inc., Class A (b) |
1,065 |
22,993 |
|||||||||
Carriage Services, Inc. |
857 |
33,980 |
|||||||||
Cavco Industries, Inc. (a) |
142 |
27,831 |
|||||||||
Century Communities, Inc. |
519 |
23,339 |
|||||||||
Chuy's Holdings, Inc. (a) |
917 |
18,267 |
|||||||||
Clarus Corp. |
1,690 |
32,093 |
|||||||||
Dana, Inc. |
1,642 |
23,103 |
|||||||||
Dave & Buster's Entertainment, Inc. (a) |
582 |
19,078 |
|||||||||
Denny's Corp. (a) |
2,292 |
19,895 |
|||||||||
Dine Brands Global, Inc. |
383 |
24,926 |
|||||||||
Dorman Products, Inc. (a) |
546 |
59,902 |
|||||||||
Dream Finders Homes, Inc., Class A (a) (b) |
1,439 |
15,311 |
|||||||||
Ethan Allen Interiors, Inc. |
1,422 |
28,739 |
|||||||||
Everi Holdings, Inc. (a) |
1,233 |
20,110 |
|||||||||
Fossil Group, Inc. (a) |
1,716 |
8,872 |
|||||||||
Franchise Group, Inc. |
790 |
27,705 |
See notes to financial statements.
149
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Frontdoor, Inc. (a) |
1,323 |
$ |
31,858 |
||||||||
Funko, Inc., Class A (a) |
1,725 |
38,502 |
|||||||||
Genesco, Inc. (a) |
432 |
21,561 |
|||||||||
Gentherm, Inc. (a) |
397 |
24,777 |
|||||||||
G-III Apparel Group Ltd. (a) |
1,295 |
26,198 |
|||||||||
Golden Entertainment, Inc. (a) |
515 |
20,368 |
|||||||||
GoPro, Inc., Class A (a) |
4,162 |
23,016 |
|||||||||
Graham Holdings Co., Class B |
90 |
51,016 |
|||||||||
Green Brick Partners, Inc. (a) |
1,326 |
25,950 |
|||||||||
Groupon, Inc. (a) (b) |
901 |
10,181 |
|||||||||
Guess?, Inc. (b) |
1,315 |
22,421 |
|||||||||
iRobot Corp. (a) |
481 |
17,677 |
|||||||||
Jack in the Box, Inc. |
553 |
31,001 |
|||||||||
Johnson Outdoors, Inc., Class A |
611 |
37,369 |
|||||||||
Kontoor Brands, Inc. |
688 |
22,959 |
|||||||||
La-Z-Boy, Inc. |
1,157 |
27,432 |
|||||||||
M/I Homes, Inc. (a) |
734 |
29,110 |
|||||||||
Malibu Boats, Inc., Class A (a) |
520 |
27,409 |
|||||||||
MarineMax, Inc. (a) |
713 |
25,753 |
|||||||||
Monarch Casino & Resort, Inc. (a) |
471 |
27,634 |
|||||||||
Monro, Inc. |
804 |
34,475 |
|||||||||
Movado Group, Inc. |
807 |
24,960 |
|||||||||
National Vision Holdings, Inc. (a) |
991 |
27,252 |
|||||||||
Ollie's Bargain Outlet Holdings, Inc. (a) |
664 |
39,010 |
|||||||||
OneWater Marine, Inc. (a) |
607 |
20,061 |
|||||||||
Overstock.com, Inc. (a) |
333 |
8,328 |
|||||||||
Oxford Industries, Inc. |
443 |
39,312 |
|||||||||
Patrick Industries, Inc. |
510 |
26,438 |
|||||||||
Perdoceo Education Corp. (a) |
4,618 |
54,400 |
|||||||||
Qurate Retail, Inc., Class A |
4,249 |
12,195 |
|||||||||
Rent-A-Center, Inc. |
948 |
18,439 |
|||||||||
Ruth's Hospitality Group, Inc. |
1,348 |
21,918 |
|||||||||
Sally Beauty Holdings, Inc. (a) |
1,628 |
19,406 |
|||||||||
Shoe Carnival, Inc. |
998 |
21,567 |
|||||||||
Sleep Number Corp. (a) |
438 |
13,556 |
|||||||||
Smith & Wesson Brands, Inc. |
1,266 |
16,623 |
|||||||||
Sonic Automotive, Inc., Class A |
632 |
23,150 |
|||||||||
Standard Motor Products, Inc. |
1,291 |
58,082 |
|||||||||
Strategic Education, Inc. |
544 |
38,395 |
|||||||||
Stride, Inc. (a) |
815 |
33,244 |
|||||||||
Sturm Ruger & Co., Inc. (c) |
655 |
41,691 |
|||||||||
The Aaron's Co., Inc. |
1,340 |
19,497 |
|||||||||
The Buckle, Inc. |
778 |
21,543 |
|||||||||
The Cheesecake Factory, Inc. |
740 |
19,551 |
|||||||||
The Children's Place, Inc. (a) |
373 |
14,517 |
|||||||||
Tri Pointe Homes, Inc. (a) |
1,721 |
29,033 |
|||||||||
Tupperware Brands Corp. (a) |
1,302 |
8,255 |
|||||||||
Urban Outfitters, Inc. (a) |
1,159 |
21,627 |
|||||||||
Vista Outdoor, Inc. (a) |
931 |
25,975 |
|||||||||
Winmark Corp. |
194 |
37,941 |
See notes to financial statements.
150
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II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Winnebago Industries, Inc. |
547 |
$ |
26,562 |
||||||||
Wolverine World Wide, Inc. |
1,645 |
33,163 |
|||||||||
WW International, Inc. (a) |
2,430 |
15,528 |
|||||||||
XPEL, Inc. (a) |
356 |
16,351 |
|||||||||
Zumiez, Inc. (a) |
634 |
16,484 |
|||||||||
2,105,287 |
|||||||||||
Consumer Staples (1.8%): |
|||||||||||
B&G Foods, Inc. (b) |
1,869 |
44,445 |
|||||||||
BellRing Brands, Inc. (a) |
1,234 |
30,714 |
|||||||||
Central Garden & Pet Co., Class A (a) |
1,146 |
45,851 |
|||||||||
e.l.f. Beauty, Inc. (a) |
1,687 |
51,757 |
|||||||||
Edgewell Personal Care Co. |
1,079 |
37,247 |
|||||||||
Energizer Holdings, Inc. |
1,731 |
49,074 |
|||||||||
Fresh Del Monte Produce, Inc. |
1,689 |
49,876 |
|||||||||
Grocery Outlet Holding Corp. (a) |
1,350 |
57,551 |
|||||||||
Hostess Brands, Inc. (a) |
2,847 |
60,385 |
|||||||||
Ingles Markets, Inc., Class A |
569 |
49,361 |
|||||||||
Inter Parfums, Inc. |
480 |
35,069 |
|||||||||
John B Sanfilippo & Son, Inc. |
918 |
66,546 |
|||||||||
Medifast, Inc. |
188 |
33,936 |
|||||||||
MGP Ingredients, Inc. |
430 |
43,039 |
|||||||||
Mission Produce, Inc. (a) |
3,229 |
46,013 |
|||||||||
Nu Skin Enterprises, Inc., Class A |
875 |
37,887 |
|||||||||
PriceSmart, Inc. |
715 |
51,215 |
|||||||||
SpartanNash Co. |
1,999 |
60,310 |
|||||||||
The Andersons, Inc. |
961 |
31,703 |
|||||||||
The Duckhorn Portfolio, Inc. (a) |
1,795 |
37,803 |
|||||||||
Tootsie Roll Industries, Inc. |
1,540 |
54,439 |
|||||||||
United Natural Foods, Inc. (a) |
674 |
26,556 |
|||||||||
Universal Corp. |
1,169 |
70,724 |
|||||||||
USANA Health Sciences, Inc. (a) |
645 |
46,672 |
|||||||||
Utz Brands, Inc. |
2,418 |
33,417 |
|||||||||
Vector Group Ltd. |
3,446 |
36,183 |
|||||||||
WD-40 Co. |
214 |
43,091 |
|||||||||
Weis Markets, Inc. (c) |
851 |
63,434 |
|||||||||
1,294,298 |
|||||||||||
Energy (0.6%): |
|||||||||||
Arch Resources, Inc. |
246 |
35,200 |
|||||||||
Archrock, Inc. |
4,422 |
36,570 |
|||||||||
Brigham Minerals, Inc. |
1,645 |
40,516 |
|||||||||
Centennial Resource Development, Inc., Class A (a) |
2,344 |
14,017 |
|||||||||
CONSOL Energy, Inc. (a) |
638 |
31,504 |
|||||||||
Core Laboratories NV |
1,011 |
20,028 |
|||||||||
CVR Energy, Inc. |
1,329 |
44,522 |
|||||||||
Gulfport Energy Corp. (a) |
545 |
43,333 |
|||||||||
Laredo Petroleum, Inc. (a) |
207 |
14,271 |
|||||||||
Noble Corp. (a) |
1,264 |
32,042 |
|||||||||
Oasis Petroleum, Inc. |
230 |
27,980 |
|||||||||
PBF Energy, Inc., Class A (a) |
1,113 |
32,299 |
See notes to financial statements.
151
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Peabody Energy Corp. (a) (c) |
768 |
$ |
16,381 |
||||||||
RPC, Inc. (a) |
2,531 |
17,489 |
|||||||||
World Fuel Services Corp. (c) |
1,297 |
26,537 |
|||||||||
432,689 |
|||||||||||
Financials (5.9%): |
|||||||||||
1st Source Corp. |
1,068 |
48,487 |
|||||||||
A-Mark Precious Metals, Inc. |
903 |
29,122 |
|||||||||
Amerant Bancorp, Inc. |
1,260 |
35,431 |
|||||||||
AMERISAFE, Inc. |
983 |
51,126 |
|||||||||
AssetMark Financial Holdings, Inc. (a) |
2,438 |
45,761 |
|||||||||
Atlanticus Holdings Corp. (a) |
439 |
15,440 |
|||||||||
B Riley Financial, Inc. |
528 |
22,308 |
|||||||||
Banc of California, Inc. |
2,157 |
38,006 |
|||||||||
BancFirst Corp. |
747 |
71,495 |
|||||||||
Banner Corp. |
751 |
42,214 |
|||||||||
Berkshire Hills Bancorp, Inc. |
1,535 |
38,022 |
|||||||||
BGC Partners, Inc., Class A |
8,688 |
29,279 |
|||||||||
Blucora, Inc. (a) |
2,397 |
44,249 |
|||||||||
Brightsphere Investment Group, Inc. |
1,942 |
34,975 |
|||||||||
Brookline Bancorp, Inc. |
3,179 |
42,312 |
|||||||||
Byline Bancorp, Inc. |
1,730 |
41,174 |
|||||||||
Capitol Federal Financial, Inc. |
5,921 |
54,355 |
|||||||||
City Holding Co. |
754 |
60,230 |
|||||||||
CNO Financial Group, Inc. |
2,077 |
37,573 |
|||||||||
Columbia Banking System, Inc. |
1,076 |
30,827 |
|||||||||
Columbia Financial, Inc. (a) (c) |
2,986 |
65,125 |
|||||||||
ConnectOne Bancorp, Inc. |
1,525 |
37,286 |
|||||||||
Customers Bancorp, Inc. (a) |
454 |
15,391 |
|||||||||
Dime Community Bancshares, Inc. |
1,587 |
47,055 |
|||||||||
Donnelley Financial Solutions, Inc. (a) |
963 |
28,206 |
|||||||||
Eagle Bancorp, Inc. |
844 |
40,014 |
|||||||||
Employers Holdings, Inc. |
1,496 |
62,667 |
|||||||||
Encore Capital Group, Inc. (a) |
798 |
46,100 |
|||||||||
Enova International, Inc. (a) |
814 |
23,459 |
|||||||||
Enterprise Financial Services Corp. |
1,099 |
45,609 |
|||||||||
FB Financial Corp. |
1,073 |
42,083 |
|||||||||
Federal Agricultural Mortgage Corp., Class C |
427 |
41,697 |
|||||||||
First BanCorp/Puerto Rico |
2,950 |
38,085 |
|||||||||
First Bancorp/Southern Pines NC |
1,018 |
35,528 |
|||||||||
First Busey Corp. |
1,806 |
41,267 |
|||||||||
First Commonwealth Financial Corp. |
3,052 |
40,958 |
|||||||||
First Financial Bancorp |
1,907 |
36,996 |
|||||||||
First Foundation, Inc. |
1,746 |
35,758 |
|||||||||
First Merchants Corp. |
1,112 |
39,609 |
|||||||||
FirstCash Holdings, Inc. |
662 |
46,016 |
|||||||||
Fulton Financial Corp. |
2,703 |
39,058 |
|||||||||
GCM Grosvenor, Inc., Class A |
5,422 |
37,141 |
|||||||||
Genworth Financial, Inc. (a) |
8,757 |
30,912 |
|||||||||
German American Bancorp, Inc. |
1,181 |
40,367 |
|||||||||
Green Dot Corp., Class A (a) |
1,317 |
33,070 |
See notes to financial statements.
152
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Heartland Financial USA, Inc. |
1,004 |
$ |
41,706 |
||||||||
Heritage Financial Corp. |
1,858 |
46,747 |
|||||||||
Hilltop Holdings, Inc. |
1,560 |
41,590 |
|||||||||
HomeStreet, Inc. |
973 |
33,734 |
|||||||||
Hope Bancorp, Inc. |
2,597 |
35,942 |
|||||||||
Horace Mann Educators Corp. |
1,365 |
52,389 |
|||||||||
Horizon Bancorp, Inc. |
2,499 |
43,533 |
|||||||||
International Bancshares Corp. |
1,074 |
43,046 |
|||||||||
Kearny Financial Corp. |
4,507 |
50,073 |
|||||||||
Lakeland Bancorp, Inc. |
2,909 |
42,530 |
|||||||||
Lakeland Financial Corp. |
610 |
40,516 |
|||||||||
LendingClub Corp. (a) |
748 |
8,744 |
|||||||||
LendingTree, Inc. (a) |
214 |
9,377 |
|||||||||
Live Oak Bancshares, Inc. |
444 |
15,047 |
|||||||||
Merchants Bancorp |
1,539 |
34,889 |
|||||||||
Meta Financial Group, Inc. |
745 |
28,809 |
|||||||||
Metropolitan Bank Holding Corp. (a) |
360 |
24,991 |
|||||||||
National Bank Holdings Corp., Class A |
1,141 |
43,666 |
|||||||||
Navient Corp. |
2,009 |
28,106 |
|||||||||
NBT Bancorp, Inc. |
1,418 |
53,303 |
|||||||||
Nicolet Bankshares, Inc. (a) |
600 |
43,404 |
|||||||||
NMI Holdings, Inc., Class A (a) |
1,692 |
28,172 |
|||||||||
Northwest Bancshares, Inc. (c) |
4,610 |
59,008 |
|||||||||
OceanFirst Financial Corp. |
2,238 |
42,813 |
|||||||||
OFG Bancorp |
1,407 |
35,738 |
|||||||||
Open Lending Corp., Class A (a) |
1,073 |
10,977 |
|||||||||
Origin Bancorp, Inc. |
1,147 |
44,504 |
|||||||||
Palomar Holdings, Inc. (a) |
510 |
32,844 |
|||||||||
Park National Corp. |
371 |
44,984 |
|||||||||
Peoples Bancorp, Inc. |
1,840 |
48,944 |
|||||||||
Piper Sandler Cos. |
277 |
31,401 |
|||||||||
PJT Partners, Inc., Class A |
764 |
53,694 |
|||||||||
PRA Group, Inc. (a) |
1,269 |
46,141 |
|||||||||
Preferred Bank |
664 |
45,165 |
|||||||||
Premier Financial Corp. |
1,491 |
37,797 |
|||||||||
ProAssurance Corp. |
1,943 |
45,913 |
|||||||||
PROG Holdings, Inc. (a) |
1,046 |
17,259 |
|||||||||
Provident Financial Services, Inc. |
2,401 |
53,446 |
|||||||||
Renasant Corp. |
1,297 |
37,367 |
|||||||||
S&T Bancorp, Inc. |
1,530 |
41,968 |
|||||||||
Safety Insurance Group, Inc. (c) |
854 |
82,923 |
|||||||||
Sandy Spring Bancorp, Inc. |
980 |
38,289 |
|||||||||
Seacoast Banking Corp. of Florida |
1,185 |
39,152 |
|||||||||
SiriusPoint Ltd. (a) |
7,270 |
39,403 |
|||||||||
Southside Bancshares, Inc. (c) |
1,260 |
47,149 |
|||||||||
Stewart Information Services Corp. |
795 |
39,551 |
|||||||||
Stock Yards Bancorp, Inc. |
946 |
56,590 |
|||||||||
StoneX Group, Inc. (a) |
549 |
42,860 |
|||||||||
The Bancorp, Inc. (a) |
1,022 |
19,949 |
|||||||||
Tompkins Financial Corp. (b) |
648 |
46,721 |
See notes to financial statements.
153
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Towne Bank |
1,703 |
$ |
46,236 |
||||||||
TriCo Bancshares |
1,188 |
54,220 |
|||||||||
Triumph Bancorp, Inc. (a) |
324 |
20,269 |
|||||||||
Trustmark Corp. |
1,474 |
43,026 |
|||||||||
Veritex Holdings, Inc. |
1,060 |
31,016 |
|||||||||
Victory Capital Holdings, Inc., Class A (d) |
1,110 |
26,751 |
|||||||||
Virtus Investment Partners, Inc. |
162 |
27,705 |
|||||||||
Washington Federal, Inc. |
1,496 |
44,910 |
|||||||||
Washington Trust Bancorp, Inc. |
965 |
46,677 |
|||||||||
WesBanco, Inc. |
1,220 |
38,686 |
|||||||||
Westamerica Bancorp |
1,023 |
56,940 |
|||||||||
World Acceptance Corp. (a) (b) |
116 |
13,020 |
|||||||||
4,224,163 |
|||||||||||
Health Care (2.4%): |
|||||||||||
AdaptHealth Corp. (a) |
1,657 |
29,892 |
|||||||||
Addus HomeCare Corp. (a) |
382 |
31,813 |
|||||||||
Agiliti, Inc. (a) |
1,532 |
31,421 |
|||||||||
Allscripts Healthcare Solutions, Inc. (a) |
2,199 |
32,611 |
|||||||||
Amneal Pharmaceuticals, Inc. (a) |
6,864 |
21,828 |
|||||||||
Amphastar Pharmaceuticals, Inc. (a) |
1,526 |
53,090 |
|||||||||
AnaptysBio, Inc. (a) |
961 |
19,508 |
|||||||||
Apollo Medical Holdings, Inc. (a) |
323 |
12,465 |
|||||||||
Arcus Biosciences, Inc. (a) |
577 |
14,621 |
|||||||||
Atrion Corp. |
60 |
37,732 |
|||||||||
Avanos Medical, Inc. (a) |
1,036 |
28,324 |
|||||||||
Aveanna Healthcare Holdings, Inc. (a) |
5,739 |
12,970 |
|||||||||
Avid Bioservices, Inc. (a) |
1,159 |
17,686 |
|||||||||
Bioventus, Inc., Class A (a) |
2,424 |
16,532 |
|||||||||
Catalyst Pharmaceuticals, Inc. (a) |
3,682 |
25,811 |
|||||||||
Collegium Pharmaceutical, Inc. (a) |
1,564 |
27,714 |
|||||||||
Community Health Systems, Inc. (a) |
2,145 |
8,044 |
|||||||||
Corcept Therapeutics, Inc. (a) |
1,258 |
29,915 |
|||||||||
CorVel Corp. (a) |
262 |
38,585 |
|||||||||
Cross Country Healthcare, Inc. (a) |
945 |
19,684 |
|||||||||
Cutera, Inc. (a) |
868 |
32,550 |
|||||||||
Dynavax Technologies Corp. (a) |
1,482 |
18,658 |
|||||||||
Emergent BioSolutions, Inc. (a) |
530 |
16,451 |
|||||||||
Fulgent Genetics, Inc. (a) |
351 |
19,140 |
|||||||||
Haemonetics Corp. (a) |
509 |
33,177 |
|||||||||
Hanger, Inc. (a) |
2,101 |
30,086 |
|||||||||
Harmony Biosciences Holdings, Inc. (a) |
708 |
34,529 |
|||||||||
Innovage Holding Corp. (a) (b) |
3,251 |
14,239 |
|||||||||
Innoviva, Inc. (a) |
2,096 |
30,937 |
|||||||||
Integer Holdings Corp. (a) |
568 |
40,135 |
|||||||||
Ironwood Pharmaceuticals, Inc. (a) |
4,356 |
50,225 |
|||||||||
iTeos Therapeutics, Inc. (a) |
579 |
11,927 |
|||||||||
LeMaitre Vascular, Inc. |
884 |
40,266 |
|||||||||
Ligand Pharmaceuticals, Inc. (a) |
267 |
23,822 |
|||||||||
MEDNAX, Inc. (a) |
1,750 |
36,768 |
|||||||||
Meridian Bioscience, Inc. (a) |
1,135 |
34,527 |
See notes to financial statements.
154
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Mesa Laboratories, Inc. |
205 |
$ |
41,808 |
||||||||
Multiplan Corp. (a) (b) |
5,075 |
27,862 |
|||||||||
National HealthCare Corp. (c) |
823 |
57,528 |
|||||||||
National Research Corp. |
1,105 |
42,299 |
|||||||||
Natus Medical, Inc. (a) |
1,333 |
43,683 |
|||||||||
NextGen Healthcare, Inc. (a) |
2,427 |
42,327 |
|||||||||
OptimizeRx Corp. (a) (c) |
501 |
13,722 |
|||||||||
Organogenesis Holdings, Inc. (a) |
3,117 |
15,211 |
|||||||||
Pacira BioSciences, Inc. (a) |
606 |
35,330 |
|||||||||
Patterson Cos., Inc. (c) |
1,536 |
46,541 |
|||||||||
Phibro Animal Health Corp., Class A |
1,769 |
33,841 |
|||||||||
Prestige Consumer Healthcare, Inc. (a) |
901 |
52,979 |
|||||||||
Prothena Corp. PLC (a) |
575 |
15,611 |
|||||||||
RadNet, Inc. (a) |
1,144 |
19,768 |
|||||||||
REGENXBIO, Inc. (a) |
772 |
19,068 |
|||||||||
Simulations Plus, Inc. |
722 |
35,616 |
|||||||||
Supernus Pharmaceuticals, Inc. (a) |
1,189 |
34,386 |
|||||||||
Syndax Pharmaceuticals, Inc. (a) |
1,650 |
31,746 |
|||||||||
U.S. Physical Therapy, Inc. |
378 |
41,278 |
|||||||||
uniQure NV (a) |
1,400 |
26,096 |
|||||||||
Varex Imaging Corp. (a) |
1,698 |
36,320 |
|||||||||
Xencor, Inc. (a) |
1,144 |
31,311 |
|||||||||
1,722,014 |
|||||||||||
Industrials (5.0%): |
|||||||||||
AAR Corp. (a) |
933 |
39,037 |
|||||||||
ACCO Brands Corp. |
4,745 |
30,985 |
|||||||||
AerSale Corp. (a) |
1,722 |
24,986 |
|||||||||
Air Transport Services Group, Inc. (a) |
1,409 |
40,481 |
|||||||||
Alamo Group, Inc. |
391 |
45,524 |
|||||||||
Albany International Corp. |
541 |
42,625 |
|||||||||
Altra Industrial Motion Corp. |
893 |
31,478 |
|||||||||
ArcBest Corp. |
299 |
21,041 |
|||||||||
Arcosa, Inc. |
764 |
35,473 |
|||||||||
Astec Industries, Inc. |
741 |
30,218 |
|||||||||
Atlas Air Worldwide Holdings, Inc. (a) |
555 |
34,249 |
|||||||||
AZZ, Inc. |
1,020 |
41,636 |
|||||||||
Barnes Group, Inc. |
1,118 |
34,815 |
|||||||||
BlueLinx Holdings, Inc. (a) |
214 |
14,297 |
|||||||||
Brady Corp., Class A |
1,335 |
63,065 |
|||||||||
BrightView Holdings, Inc. (a) |
2,775 |
33,300 |
|||||||||
CBIZ, Inc. (a) |
1,536 |
61,379 |
|||||||||
Columbus McKinnon Corp. |
976 |
27,689 |
|||||||||
Construction Partners, Inc., Class A (a) |
1,319 |
27,620 |
|||||||||
CRA International, Inc. |
418 |
37,336 |
|||||||||
CSW Industrials, Inc. |
441 |
45,436 |
|||||||||
Daseke, Inc. (a) |
2,697 |
17,234 |
|||||||||
Deluxe Corp. |
1,225 |
26,546 |
|||||||||
Douglas Dynamics, Inc. |
1,236 |
35,523 |
|||||||||
Dycom Industries, Inc. (a) |
335 |
31,168 |
|||||||||
Eagle Bulk Shipping, Inc. |
481 |
24,954 |
See notes to financial statements.
155
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II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Encore Wire Corp. |
265 |
$ |
27,539 |
||||||||
Energy Recovery, Inc. (a) |
2,050 |
39,811 |
|||||||||
Enerpac Tool Group Corp. |
2,436 |
46,333 |
|||||||||
EnPro Industries, Inc. |
420 |
34,411 |
|||||||||
ESCO Technologies, Inc. |
776 |
53,055 |
|||||||||
Federal Signal Corp. |
1,547 |
55,073 |
|||||||||
Forrester Research, Inc. (a) |
985 |
47,122 |
|||||||||
Forward Air Corp. |
425 |
39,083 |
|||||||||
Franklin Covey Co. (a) |
812 |
37,498 |
|||||||||
Genco Shipping & Trading Ltd. |
1,305 |
25,213 |
|||||||||
Gibraltar Industries, Inc. (a) |
805 |
31,194 |
|||||||||
Global Industrial Co. |
1,375 |
46,434 |
|||||||||
GMS, Inc. (a) |
620 |
27,590 |
|||||||||
GrafTech International Ltd. |
2,841 |
20,086 |
|||||||||
Granite Construction, Inc. |
1,384 |
40,330 |
|||||||||
Great Lakes Dredge & Dock Corp. (a) |
3,840 |
50,342 |
|||||||||
Griffon Corp. |
1,747 |
48,968 |
|||||||||
H&E Equipment Services, Inc. |
746 |
21,612 |
|||||||||
Healthcare Services Group |
2,452 |
42,689 |
|||||||||
Heartland Express, Inc. |
4,638 |
64,515 |
|||||||||
Heidrick & Struggles International, Inc. |
1,102 |
35,661 |
|||||||||
Helios Technologies, Inc. |
479 |
31,734 |
|||||||||
Heritage-Crystal Clean, Inc. (a) |
1,695 |
45,697 |
|||||||||
HNI Corp. |
1,157 |
40,136 |
|||||||||
Hub Group, Inc., Class A (a) |
571 |
40,507 |
|||||||||
Huron Consulting Group, Inc. (a) |
889 |
57,776 |
|||||||||
Hydrofarm Holdings Group, Inc. (a) |
1,042 |
3,626 |
|||||||||
ICF International, Inc. |
653 |
62,035 |
|||||||||
IES Holdings, Inc. (a) |
941 |
28,390 |
|||||||||
Insteel Industries, Inc. |
973 |
32,761 |
|||||||||
Interface, Inc. |
2,779 |
34,849 |
|||||||||
Janus International Group, Inc. (a) |
3,014 |
27,216 |
|||||||||
JELD-WEN Holding, Inc. (a) |
1,595 |
23,271 |
|||||||||
Kadant, Inc. |
232 |
42,305 |
|||||||||
Kaman Corp. |
964 |
30,125 |
|||||||||
KAR Auction Services, Inc. (a) |
1,214 |
17,931 |
|||||||||
Kelly Services, Inc., Class A |
1,496 |
29,666 |
|||||||||
Kennametal, Inc. |
1,362 |
31,639 |
|||||||||
Kforce, Inc. |
561 |
34,412 |
|||||||||
Lindsay Corp. |
336 |
44,628 |
|||||||||
Marten Transport Ltd. |
3,111 |
52,327 |
|||||||||
Maxar Technologies, Inc. |
678 |
17,689 |
|||||||||
McGrath RentCorp |
638 |
48,488 |
|||||||||
Moog, Inc., Class A |
559 |
44,379 |
|||||||||
Mueller Water Products, Inc., Class A |
3,815 |
44,750 |
|||||||||
MYR Group, Inc. (a) |
465 |
40,980 |
|||||||||
NOW, Inc. (a) |
2,918 |
28,538 |
|||||||||
NV5 Global, Inc. (a) |
383 |
44,711 |
|||||||||
Omega Flex, Inc. |
275 |
29,596 |
|||||||||
PAM Transportation Services, Inc. (a) |
705 |
19,310 |
See notes to financial statements.
156
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
PGT Innovations, Inc. (a) |
1,989 |
$ |
33,097 |
||||||||
Pitney Bowes, Inc. |
5,680 |
20,562 |
|||||||||
Primoris Services Corp. |
1,375 |
29,920 |
|||||||||
Proto Labs, Inc. (a) |
488 |
23,346 |
|||||||||
Quanex Building Products Corp. |
1,974 |
44,908 |
|||||||||
REV Group, Inc. |
1,937 |
21,055 |
|||||||||
Rush Enterprises, Inc., Class A |
927 |
44,681 |
|||||||||
Shoals Technologies Group, Inc., Class A (a) |
1,265 |
20,847 |
|||||||||
SkyWest, Inc. (a) |
938 |
19,932 |
|||||||||
SP Plus Corp. (a) |
1,267 |
38,922 |
|||||||||
SPX Corp. (a) |
946 |
49,987 |
|||||||||
Standex International Corp. |
568 |
48,155 |
|||||||||
Steelcase, Inc., Class A |
4,094 |
43,929 |
|||||||||
Sterling Infrastructure, Inc. (a) |
1,112 |
24,375 |
|||||||||
Sun Country Airlines Holdings, Inc. (a) |
1,032 |
18,927 |
|||||||||
Tennant Co. |
793 |
46,985 |
|||||||||
Terex Corp. |
808 |
22,115 |
|||||||||
The Gorman-Rupp Co. |
1,421 |
40,214 |
|||||||||
The Greenbrier Cos., Inc. |
821 |
29,548 |
|||||||||
The Shyft Group, Inc. |
705 |
13,106 |
|||||||||
Titan International, Inc. (a) |
2,185 |
32,993 |
|||||||||
Trinity Industries, Inc. |
1,439 |
34,853 |
|||||||||
TrueBlue, Inc. (a) |
1,375 |
24,612 |
|||||||||
Veritiv Corp. (a) |
197 |
21,384 |
|||||||||
Wabash National Corp. |
2,095 |
28,450 |
|||||||||
Werner Enterprises, Inc. |
1,409 |
54,303 |
|||||||||
3,593,332 |
|||||||||||
Information Technology (2.3%): |
|||||||||||
3D Systems Corp. (a) |
1,063 |
10,311 |
|||||||||
A10 Networks, Inc. |
1,556 |
22,375 |
|||||||||
ACM Research, Inc., Class A (a) |
749 |
12,606 |
|||||||||
Alpha & Omega Semiconductor Ltd. (a) |
402 |
13,403 |
|||||||||
American Software, Inc., Class A |
1,603 |
25,904 |
|||||||||
Avid Technology, Inc. (a) |
774 |
20,085 |
|||||||||
Axcelis Technologies, Inc. (a) |
388 |
21,278 |
|||||||||
Badger Meter, Inc. |
463 |
37,452 |
|||||||||
Belden, Inc. |
768 |
40,911 |
|||||||||
Benchmark Electronics, Inc. |
1,894 |
42,729 |
|||||||||
Cambium Networks Corp. (a) |
787 |
11,530 |
|||||||||
Cerence, Inc. (a) |
557 |
14,053 |
|||||||||
CEVA, Inc. (a) |
760 |
25,506 |
|||||||||
Clearfield, Inc. (a) |
341 |
21,125 |
|||||||||
Cohu, Inc. (a) |
931 |
25,835 |
|||||||||
CommVault Systems, Inc. (a) |
606 |
38,117 |
|||||||||
Corsair Gaming, Inc. (a) (b) |
1,423 |
18,684 |
|||||||||
CSG Systems International, Inc. |
1,152 |
68,751 |
|||||||||
Digi International, Inc. (a) |
2,186 |
52,945 |
|||||||||
Ebix, Inc. (b) |
865 |
14,618 |
|||||||||
ePlus, Inc. (a) |
897 |
47,649 |
|||||||||
EVERTEC, Inc. |
1,317 |
48,571 |
See notes to financial statements.
157
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II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Extreme Networks, Inc. (a) |
2,534 |
$ |
22,603 |
||||||||
Harmonic, Inc. (a) |
3,013 |
26,123 |
|||||||||
Ichor Holdings Ltd. (a) |
731 |
18,991 |
|||||||||
InterDigital, Inc. |
861 |
52,349 |
|||||||||
Knowles Corp. (a) |
3,541 |
61,366 |
|||||||||
Methode Electronics, Inc. |
1,056 |
39,114 |
|||||||||
Mitek Systems, Inc. (a) |
2,411 |
22,278 |
|||||||||
N-able, Inc. (a) |
1,671 |
15,039 |
|||||||||
Napco Security Technologies, Inc. (a) |
1,760 |
36,238 |
|||||||||
NETGEAR, Inc. (a) |
1,764 |
32,669 |
|||||||||
NetScout Systems, Inc. (a) |
1,474 |
49,895 |
|||||||||
OSI Systems, Inc. (a) |
870 |
74,333 |
|||||||||
Paymentus Holdings, Inc., Class A (a) (b) |
933 |
12,474 |
|||||||||
PC Connection, Inc. |
847 |
37,310 |
|||||||||
Photronics, Inc. (a) |
1,535 |
29,902 |
|||||||||
Plexus Corp. (a) |
603 |
47,335 |
|||||||||
Progress Software Corp. |
1,016 |
46,025 |
|||||||||
Rambus, Inc. (a) |
1,697 |
36,469 |
|||||||||
Riot Blockchain, Inc. (a) (b) |
869 |
3,641 |
|||||||||
Sanmina Corp. (a) |
1,244 |
50,668 |
|||||||||
ScanSource, Inc. (a) |
1,044 |
32,510 |
|||||||||
Super Micro Computer, Inc. (a) |
876 |
35,347 |
|||||||||
TTM Technologies, Inc. (a) |
4,010 |
50,125 |
|||||||||
Ultra Clean Holdings, Inc. (a) |
518 |
15,421 |
|||||||||
Veeco Instruments, Inc. (a) |
1,227 |
23,804 |
|||||||||
Verra Mobility Corp. (a) |
2,610 |
41,003 |
|||||||||
Vishay Intertechnology, Inc. |
2,688 |
47,900 |
|||||||||
Vizio Holding Corp., Class A (a) |
1,775 |
12,106 |
|||||||||
1,607,476 |
|||||||||||
Materials (1.2%): |
|||||||||||
AdvanSix, Inc. |
778 |
26,016 |
|||||||||
Chase Corp. |
568 |
44,196 |
|||||||||
Greif, Inc., Class A |
831 |
51,838 |
|||||||||
Hawkins, Inc. |
870 |
31,346 |
|||||||||
Ingevity Corp. (a) |
674 |
42,556 |
|||||||||
Innospec, Inc. |
566 |
54,217 |
|||||||||
Intrepid Potash, Inc. (a) |
389 |
17,618 |
|||||||||
Kronos Worldwide, Inc. |
3,362 |
61,861 |
|||||||||
Materion Corp. |
497 |
36,644 |
|||||||||
Minerals Technologies, Inc. |
749 |
45,944 |
|||||||||
O-I Glass, Inc. (a) |
2,740 |
38,360 |
|||||||||
Origin Materials, Inc. (a) |
4,366 |
22,354 |
|||||||||
Orion Engineered Carbons SA |
2,450 |
38,048 |
|||||||||
Pactiv Evergreen, Inc. |
3,529 |
35,149 |
|||||||||
Ramaco Resources, Inc. |
1,163 |
15,293 |
|||||||||
Ryerson Holding Corp. |
918 |
19,544 |
|||||||||
Schnitzer Steel Industries, Inc. |
601 |
19,737 |
|||||||||
Schweitzer-Mauduit International, Inc. |
1,242 |
31,199 |
|||||||||
Stepan Co. |
615 |
62,330 |
|||||||||
SunCoke Energy, Inc. |
3,858 |
26,273 |
See notes to financial statements.
158
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II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
TimkenSteel Corp. (a) |
1,253 |
$ |
23,444 |
||||||||
TriMas Corp. |
1,470 |
40,704 |
|||||||||
Trinseo PLC |
623 |
23,961 |
|||||||||
Warrior Met Coal, Inc. |
855 |
26,172 |
|||||||||
Worthington Industries, Inc. |
729 |
32,149 |
|||||||||
866,953 |
|||||||||||
Real Estate (0.2%): |
|||||||||||
Anywhere Real Estate, Inc. (a) |
1,974 |
19,404 |
|||||||||
Forestar Group, Inc. (a) |
2,364 |
32,363 |
|||||||||
Marcus & Millichap, Inc. |
954 |
35,289 |
|||||||||
The RMR Group, Inc., Class A |
1,316 |
37,309 |
|||||||||
124,365 |
|||||||||||
Utilities (0.6%): |
|||||||||||
Chesapeake Utilities Corp. |
504 |
65,293 |
|||||||||
MGE Energy, Inc. |
970 |
75,495 |
|||||||||
Middlesex Water Co. |
442 |
38,755 |
|||||||||
Northwest Natural Holding Co. |
1,223 |
64,941 |
|||||||||
Otter Tail Corp. (c) |
984 |
66,056 |
|||||||||
SJW Group |
1,039 |
64,844 |
|||||||||
Unitil Corp. (c) |
1,165 |
68,409 |
|||||||||
443,793 |
|||||||||||
Total Common Stocks (Cost $15,780,338) |
16,907,045 |
||||||||||
Investment Companies (76.3%) |
|||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (e) (f) |
54,597,924 |
54,597,924 |
|||||||||
Total Investment Companies (Cost $54,597,924) |
54,597,924 |
||||||||||
Collateral for Securities Loaned (0.1%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (e) |
2,064 |
2,064 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (e) |
1,030 |
1,030 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (e) |
12,848 |
12,848 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (e) |
8,214 |
8,214 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (e) |
5,478 |
5,478 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (e) |
36,933 |
36,933 |
|||||||||
Total Collateral for Securities Loaned (Cost $66,567) |
66,567 |
||||||||||
Total Investments (Cost $70,444,829) ? 100.0% |
71,571,536 |
||||||||||
Other assets in excess of liabilities ? 0.0% |
6,478 |
||||||||||
NET ASSETS ? 100.00% |
$ |
71,578,014 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) All or a portion of this security is on loan.
See notes to financial statements.
159
Victory Portfolios
II VictoryShares US Discovery Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
(c) All or a portion of this security has been segregated as collateral for derivative instruments.
(d) Affiliated security (See Note 10 in the Notes to Financial Statements).
(e) Rate disclosed is the daily yield on June 30, 2022.
(f) Represents investments greater than 25% of the Fund's net assets. Performance of the Fund may be adversely impacted by concentrated investments in securities. The financial statements and portfolio holdings for these securities can be found at www.sec.gov.
CVR ? Contingent Value Right
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini Russell 2000 Index Futures |
4 |
9/16/22 |
$ |
361,506 |
$ |
341,600 |
$ |
(19,906 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(19,906 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(19,906 |
) |
See notes to financial statements.
160
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (22.7%) |
|||||||||||
Australia (1.2%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
REA Group Ltd. |
156 |
$ |
12,039 |
||||||||
Telstra Corp. Ltd. |
8,941 |
23,755 |
|||||||||
35,794 |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Aristocrat Leisure Ltd. |
696 |
16,513 |
|||||||||
Wesfarmers Ltd. |
590 |
17,064 |
|||||||||
33,577 |
|||||||||||
Consumer Staples (0.1%): |
|||||||||||
Coles Group Ltd. |
1,979 |
24,323 |
|||||||||
Woolworths Group Ltd. |
877 |
21,546 |
|||||||||
45,869 |
|||||||||||
Energy (0.1%): |
|||||||||||
Santos Ltd. |
2,807 |
14,373 |
|||||||||
Woodside Energy Group Ltd. |
746 |
16,392 |
|||||||||
30,765 |
|||||||||||
Financials (0.4%): |
|||||||||||
ASX Ltd. |
405 |
22,837 |
|||||||||
Australia & New Zealand Banking Group Ltd. |
1,365 |
20,752 |
|||||||||
Commonwealth Bank of Australia |
287 |
17,900 |
|||||||||
Macquarie Group Ltd. |
156 |
17,710 |
|||||||||
National Australia Bank Ltd. |
1,251 |
23,646 |
|||||||||
QBE Insurance Group Ltd. |
1,913 |
16,040 |
|||||||||
Westpac Banking Corp. |
1,369 |
18,423 |
|||||||||
137,308 |
|||||||||||
Health Care (0.2%): |
|||||||||||
Cochlear Ltd. |
99 |
13,575 |
|||||||||
CSL Ltd. |
94 |
17,454 |
|||||||||
Ramsay Health Care Ltd. |
519 |
26,232 |
|||||||||
Sonic Healthcare Ltd. |
818 |
18,634 |
|||||||||
75,895 |
|||||||||||
Materials (0.2%): |
|||||||||||
BHP Group Ltd. |
503 |
14,319 |
|||||||||
Fortescue Metals Group Ltd. |
834 |
10,089 |
|||||||||
Newcrest Mining Ltd. |
899 |
12,960 |
|||||||||
Rio Tinto Ltd. |
184 |
13,041 |
|||||||||
South32 Ltd. |
4,377 |
11,901 |
|||||||||
62,310 |
|||||||||||
421,518 |
|||||||||||
Austria (0.1%): |
|||||||||||
Energy (0.1%): |
|||||||||||
OMV AG |
286 |
13,413 |
See notes to financial statements.
161
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (0.0%): (a) |
|||||||||||
Erste Group Bank AG |
360 |
$ |
9,128 |
||||||||
Utilities (0.0%): (a) |
|||||||||||
Verbund AG |
119 |
11,640 |
|||||||||
34,181 |
|||||||||||
Belgium (0.3%): |
|||||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Anheuser-Busch InBev SA |
257 |
13,831 |
|||||||||
Financials (0.1%): |
|||||||||||
Groupe Bruxelles Lambert SA |
287 |
23,961 |
|||||||||
KBC Group NV |
230 |
12,903 |
|||||||||
Sofina SA |
50 |
10,216 |
|||||||||
47,080 |
|||||||||||
Health Care (0.1%): |
|||||||||||
UCB SA |
198 |
16,730 |
|||||||||
Materials (0.1%): |
|||||||||||
Solvay SA, Class A |
188 |
15,231 |
|||||||||
92,872 |
|||||||||||
Canada (3.4%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
BCE, Inc. (b) |
950 |
46,703 |
|||||||||
Rogers Communications, Inc., Class B |
529 |
25,353 |
|||||||||
TELUS Corp. (b) |
1,820 |
40,543 |
|||||||||
112,599 |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Dollarama, Inc. |
513 |
29,545 |
|||||||||
Magna International, Inc. |
208 |
11,423 |
|||||||||
Restaurant Brands International, Inc. |
393 |
19,717 |
|||||||||
60,685 |
|||||||||||
Consumer Staples (0.3%): |
|||||||||||
Alimentation Couche-Tard, Inc. |
456 |
17,790 |
|||||||||
George Weston Ltd. |
241 |
28,158 |
|||||||||
Loblaw Cos. Ltd. |
353 |
31,841 |
|||||||||
Metro, Inc. |
574 |
30,814 |
|||||||||
108,603 |
|||||||||||
Energy (0.4%): |
|||||||||||
Canadian Natural Resources Ltd. |
264 |
14,189 |
|||||||||
Cenovus Energy, Inc. |
727 |
13,834 |
|||||||||
Enbridge, Inc. |
708 |
29,904 |
|||||||||
Imperial Oil Ltd. |
318 |
14,993 |
|||||||||
Pembina Pipeline Corp. |
768 |
27,152 |
|||||||||
Suncor Energy, Inc. |
420 |
14,738 |
|||||||||
TC Energy Corp. |
527 |
27,304 |
|||||||||
Tourmaline Oil Corp. |
325 |
16,901 |
|||||||||
159,015 |
See notes to financial statements.
162
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (1.0%): |
|||||||||||
Bank of Montreal |
252 |
$ |
24,237 |
||||||||
Brookfield Asset Management, Inc., Class A |
347 |
15,438 |
|||||||||
Canadian Imperial Bank of Commerce |
452 |
21,954 |
|||||||||
Fairfax Financial Holdings Ltd. |
42 |
22,260 |
|||||||||
Great-West Lifeco, Inc. |
1,323 |
32,309 |
|||||||||
Intact Financial Corp. |
238 |
33,575 |
|||||||||
Manulife Financial Corp. |
1,128 |
19,562 |
|||||||||
National Bank of Canada |
385 |
25,269 |
|||||||||
Power Corp. of Canada |
1,208 |
31,087 |
|||||||||
Royal Bank of Canada |
337 |
32,637 |
|||||||||
Sun Life Financial, Inc. |
648 |
29,696 |
|||||||||
The Bank of Nova Scotia |
443 |
26,222 |
|||||||||
The Toronto-Dominion Bank |
353 |
23,152 |
|||||||||
337,398 |
|||||||||||
Industrials (0.3%): |
|||||||||||
Canadian National Railway Co. |
172 |
19,350 |
|||||||||
Canadian Pacific Railway Ltd. |
281 |
19,631 |
|||||||||
Thomson Reuters Corp. |
265 |
27,630 |
|||||||||
Waste Connections, Inc. |
219 |
27,158 |
|||||||||
WSP Global, Inc. |
153 |
17,302 |
|||||||||
111,071 |
|||||||||||
Information Technology (0.2%): |
|||||||||||
CGI, Inc. (c) |
275 |
21,910 |
|||||||||
Constellation Software, Inc. |
12 |
17,817 |
|||||||||
Open Text Corp. |
564 |
21,337 |
|||||||||
Shopify, Inc., Class A (c) |
110 |
3,438 |
|||||||||
64,502 |
|||||||||||
Materials (0.3%): |
|||||||||||
Aginco Eagle Mines Ltd. |
283 |
12,956 |
|||||||||
Barrick Gold Corp. (d) |
693 |
12,255 |
|||||||||
First Quantum Minerals Ltd. |
329 |
6,243 |
|||||||||
Franco-Nevada Corp. |
128 |
16,840 |
|||||||||
Ivanhoe Mines Ltd. (c) |
1,128 |
6,495 |
|||||||||
Nutrien Ltd. |
199 |
15,850 |
|||||||||
Teck Resources Ltd., Class B |
317 |
9,695 |
|||||||||
West Fraser Timber Co. Ltd. |
157 |
12,049 |
|||||||||
Wheaton Precious Metals Corp. |
388 |
13,982 |
|||||||||
106,365 |
|||||||||||
Utilities (0.4%): |
|||||||||||
Emera, Inc. |
1,012 |
47,416 |
|||||||||
Fortis, Inc. |
889 |
42,032 |
|||||||||
Hydro One Ltd. (e) |
1,833 |
49,293 |
|||||||||
138,741 |
|||||||||||
1,198,979 |
See notes to financial statements.
163
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Denmark (0.4%): |
|||||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Carlsberg AS, Class B |
134 |
$ |
17,070 |
||||||||
Financials (0.1%): |
|||||||||||
Danske Bank A/S |
965 |
13,639 |
|||||||||
Tryg A/S |
1,192 |
26,767 |
|||||||||
40,406 |
|||||||||||
Health Care (0.1%): |
|||||||||||
Coloplast A/S, Class B |
125 |
14,239 |
|||||||||
Genmab A/S (c) |
45 |
14,566 |
|||||||||
Novo Nordisk A/S, Class B |
146 |
16,196 |
|||||||||
45,001 |
|||||||||||
Industrials (0.1%): |
|||||||||||
AP Moller ? Maersk A/S, Class B |
4 |
9,332 |
|||||||||
DSV A/S |
86 |
12,012 |
|||||||||
Vestas Wind Systems A/S |
260 |
5,492 |
|||||||||
26,836 |
|||||||||||
Materials (0.1%): |
|||||||||||
Novozymes A/S, B Shares |
297 |
17,829 |
|||||||||
Utilities (0.0%): (a) |
|||||||||||
Orsted A/S (e) |
88 |
9,200 |
|||||||||
156,342 |
|||||||||||
Finland (0.3%): |
|||||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Kesko Oyj, Class B |
602 |
14,199 |
|||||||||
Energy (0.0%): (a) |
|||||||||||
Neste Oyj |
342 |
15,137 |
|||||||||
Financials (0.1%): |
|||||||||||
Sampo Oyj, A Shares |
485 |
21,100 |
|||||||||
Industrials (0.1%): |
|||||||||||
Kone Oyj, Class B |
332 |
15,779 |
|||||||||
Information Technology (0.0%): (a) |
|||||||||||
Nokia Oyj |
2,982 |
13,871 |
|||||||||
Materials (0.1%): |
|||||||||||
Stora Enso Oyj, Class R |
834 |
13,078 |
|||||||||
UPM-Kymmene Oyj |
575 |
17,478 |
|||||||||
30,556 |
|||||||||||
Utilities (0.0%): (a) |
|||||||||||
Fortum Oyj |
784 |
11,759 |
|||||||||
122,401 |
|||||||||||
France (1.8%): |
|||||||||||
Communication Services (0.2%): |
|||||||||||
Bollore SE |
3,716 |
17,210 |
|||||||||
Orange SA |
2,579 |
30,319 |
See notes to financial statements.
164
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Publicis Groupe SA |
281 |
$ |
13,738 |
||||||||
Vivendi SE |
451 |
4,582 |
|||||||||
65,849 |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Cie Generale des Etablissements Michelin SCA |
564 |
15,350 |
|||||||||
EssilorLuxottica SA |
107 |
16,021 |
|||||||||
Hermes International |
11 |
12,298 |
|||||||||
Kering SA |
21 |
10,784 |
|||||||||
LVMH Moet Hennessy Louis Vuitton SE |
22 |
13,409 |
|||||||||
Sodexo SA |
197 |
13,843 |
|||||||||
81,705 |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Carrefour SA (d) |
876 |
15,499 |
|||||||||
Danone SA |
370 |
20,648 |
|||||||||
L'Oreal SA |
53 |
18,287 |
|||||||||
Pernod Ricard SA |
109 |
20,021 |
|||||||||
74,455 |
|||||||||||
Energy (0.1%): |
|||||||||||
TotalEnergies SE |
362 |
19,105 |
|||||||||
Financials (0.2%): |
|||||||||||
Amundi SA (e) |
283 |
15,479 |
|||||||||
AXA SA |
780 |
17,702 |
|||||||||
BNP Paribas SA (d) |
261 |
12,406 |
|||||||||
Credit Agricole SA (d) |
1,446 |
13,229 |
|||||||||
Societe Generale SA |
450 |
9,850 |
|||||||||
68,666 |
|||||||||||
Health Care (0.1%): |
|||||||||||
BioMerieux |
140 |
13,672 |
|||||||||
Euroapi SA (c) |
10 |
158 |
|||||||||
Sanofi |
244 |
24,631 |
|||||||||
Sartorius Stedim Biotech |
29 |
9,094 |
|||||||||
47,555 |
|||||||||||
Industrials (0.5%): |
|||||||||||
Airbus SE |
110 |
10,656 |
|||||||||
Bouygues SA |
717 |
22,058 |
|||||||||
Bureau Veritas SA (d) |
891 |
22,826 |
|||||||||
Cie de Saint-Gobain |
254 |
10,897 |
|||||||||
Legrand SA |
255 |
18,826 |
|||||||||
Safran SA |
105 |
10,365 |
|||||||||
Schneider Electric SE |
115 |
13,604 |
|||||||||
Teleperformance |
53 |
16,288 |
|||||||||
Thales SA |
160 |
19,623 |
|||||||||
Vinci SA |
189 |
16,825 |
|||||||||
161,968 |
See notes to financial statements.
165
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.1%): |
|||||||||||
Capgemini SE |
83 |
$ |
14,215 |
||||||||
Dassault Systemes SE |
374 |
13,761 |
|||||||||
Edenred |
407 |
19,177 |
|||||||||
47,153 |
|||||||||||
Materials (0.1%): |
|||||||||||
Air Liquide SA |
170 |
22,821 |
|||||||||
Utilities (0.1%): |
|||||||||||
Electricite de France SA |
1,345 |
11,001 |
|||||||||
Engie SA |
1,497 |
17,201 |
|||||||||
Veolia Environnement SA (c) (d) |
526 |
12,836 |
|||||||||
41,038 |
|||||||||||
630,315 |
|||||||||||
Germany (1.5%): |
|||||||||||
Communication Services (0.0%): (a) |
|||||||||||
Deutsche Telekom AG |
1,144 |
22,710 |
|||||||||
Consumer Discretionary (0.2%): |
|||||||||||
adidas AG |
71 |
12,555 |
|||||||||
Bayerische Motoren Werke AG |
167 |
12,854 |
|||||||||
Continental AG |
163 |
11,358 |
|||||||||
Mercedes-Benz Group AG |
194 |
11,225 |
|||||||||
Puma SE |
211 |
13,893 |
|||||||||
Zalando SE (c) (d) (e) |
187 |
4,890 |
|||||||||
66,775 |
|||||||||||
Consumer Staples (0.1%): |
|||||||||||
Beiersdorf AG |
246 |
25,126 |
|||||||||
Financials (0.3%): |
|||||||||||
Allianz SE, Registered Shares |
93 |
17,747 |
|||||||||
Commerzbank AG (c) |
1,364 |
9,556 |
|||||||||
Deutsche Bank AG, Registered Shares |
974 |
8,489 |
|||||||||
Deutsche Boerse AG |
155 |
25,920 |
|||||||||
Hannover Rueck SE |
106 |
15,383 |
|||||||||
Muenchener Rueckversicherungs-Gesellschaft AG, Class R |
72 |
16,914 |
|||||||||
Talanx AG |
533 |
20,284 |
|||||||||
114,293 |
|||||||||||
Health Care (0.2%): |
|||||||||||
Bayer AG, Registered Shares |
349 |
20,742 |
|||||||||
Carl Zeiss Meditec AG |
82 |
9,786 |
|||||||||
Fresenius Medical Care AG & Co. KGaA |
285 |
14,223 |
|||||||||
Fresenius SE & Co. KGaA |
541 |
16,382 |
|||||||||
Merck KGaA |
86 |
14,508 |
|||||||||
75,641 |
|||||||||||
Industrials (0.2%): |
|||||||||||
Brenntag SE |
261 |
16,983 |
|||||||||
Deutsche Post AG, Registered Shares |
368 |
13,781 |
See notes to financial statements.
166
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
KION Group AG |
209 |
$ |
8,670 |
||||||||
Knorr-Bremse AG |
178 |
10,150 |
|||||||||
MTU Aero Engines AG |
56 |
10,192 |
|||||||||
Siemens AG, Registered Shares |
114 |
11,597 |
|||||||||
71,373 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Infineon Technologies AG |
396 |
9,581 |
|||||||||
SAP SE |
172 |
15,667 |
|||||||||
25,248 |
|||||||||||
Materials (0.2%): |
|||||||||||
BASF SE |
306 |
13,314 |
|||||||||
Evonik Industries AG |
869 |
18,539 |
|||||||||
HeidelbergCement AG |
277 |
13,305 |
|||||||||
Symrise AG |
207 |
22,524 |
|||||||||
67,682 |
|||||||||||
Real Estate (0.1%): |
|||||||||||
Deutsche Wohnen SE |
580 |
13,334 |
|||||||||
Vonovia SE |
384 |
11,829 |
|||||||||
25,163 |
|||||||||||
Utilities (0.1%): |
|||||||||||
E.ON SE |
1,824 |
15,305 |
|||||||||
RWE AG |
372 |
13,673 |
|||||||||
28,978 |
|||||||||||
522,989 |
|||||||||||
Hong Kong (0.9%): |
|||||||||||
Consumer Discretionary (0.0%): (a) |
|||||||||||
Galaxy Entertainment Group Ltd. |
2,000 |
11,929 |
|||||||||
Financials (0.2%): |
|||||||||||
AIA Group Ltd. |
1,582 |
17,147 |
|||||||||
Hang Seng Bank Ltd. |
1,212 |
21,393 |
|||||||||
Hong Kong Exchanges & Clearing Ltd. |
277 |
13,627 |
|||||||||
52,167 |
|||||||||||
Industrials (0.2%): |
|||||||||||
CK Hutchison Holdings Ltd. |
3,577 |
24,184 |
|||||||||
Jardine Matheson Holdings Ltd. |
300 |
15,768 |
|||||||||
SITC International Holdings Co. Ltd. |
2,000 |
5,658 |
|||||||||
Techtronic Industries Co. Ltd. |
514 |
5,362 |
|||||||||
Xinyi Glass Holdings Ltd. |
3,239 |
7,769 |
|||||||||
58,741 |
|||||||||||
Real Estate (0.2%): |
|||||||||||
CK Asset Holdings Ltd. |
3,069 |
21,707 |
|||||||||
Henderson Land Development Co. Ltd. |
4,711 |
17,651 |
|||||||||
Sun Hung Kai Properties Ltd. |
2,035 |
24,042 |
|||||||||
The Wharf Holdings Ltd. |
4,000 |
14,580 |
|||||||||
77,980 |
See notes to financial statements.
167
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Utilities (0.3%): |
|||||||||||
China Common Rich Renewable Energy Investments Ltd. (c) (f) (g) |
26,000 |
$ |
663 |
||||||||
CK Infrastructure Holdings Ltd. |
4,492 |
27,536 |
|||||||||
CLP Holdings Ltd. |
4,330 |
35,924 |
|||||||||
Hong Kong & China Gas Co. Ltd. |
21,268 |
22,903 |
|||||||||
Power Assets Holdings Ltd. (b) |
5,622 |
35,359 |
|||||||||
122,385 |
|||||||||||
323,202 |
|||||||||||
Ireland (0.2%): |
|||||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Kerry Group PLC |
201 |
19,237 |
|||||||||
Industrials (0.1%): |
|||||||||||
Experian PLC |
489 |
14,320 |
|||||||||
Kingspan Group PLC |
135 |
8,119 |
|||||||||
22,439 |
|||||||||||
Materials (0.1%): |
|||||||||||
CRH PLC |
409 |
14,142 |
|||||||||
Smurfit Kappa Group PLC |
390 |
13,109 |
|||||||||
27,251 |
|||||||||||
68,927 |
|||||||||||
Israel (0.2%): |
|||||||||||
Financials (0.1%): |
|||||||||||
Bank Hapoalim BM |
1,959 |
16,366 |
|||||||||
Bank Leumi Le-Israel BM |
1,949 |
17,338 |
|||||||||
33,704 |
|||||||||||
Information Technology (0.0%): (a) |
|||||||||||
Nice Ltd. (c) |
61 |
11,718 |
|||||||||
Materials (0.1%): |
|||||||||||
ICL Group Ltd. |
1,350 |
12,257 |
|||||||||
57,679 |
|||||||||||
Italy (0.5%): |
|||||||||||
Consumer Discretionary (0.0%): (a) |
|||||||||||
Moncler SpA |
253 |
10,850 |
|||||||||
Energy (0.0%): (a) |
|||||||||||
Eni SpA |
1,288 |
15,288 |
|||||||||
Financials (0.2%): |
|||||||||||
Assicurazioni Generali SpA |
1,327 |
21,170 |
|||||||||
Intesa Sanpaolo SpA |
6,449 |
12,028 |
|||||||||
Poste Italiane SpA (e) |
1,779 |
16,612 |
|||||||||
UniCredit SpA |
933 |
8,862 |
|||||||||
58,672 |
|||||||||||
Industrials (0.1%): |
|||||||||||
Atlantia SpA |
1,117 |
26,193 |
See notes to financial statements.
168
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Information Technology (0.0%): (a) |
|||||||||||
Nexi SpA (c) (e) |
1,004 |
$ |
8,315 |
||||||||
Utilities (0.2%): |
|||||||||||
Enel SpA |
2,671 |
14,609 |
|||||||||
Snam SpA |
4,939 |
25,870 |
|||||||||
Terna ? Rete Elettrica Nazionale |
2,944 |
23,099 |
|||||||||
63,578 |
|||||||||||
182,896 |
|||||||||||
Japan (4.3%): |
|||||||||||
Communication Services (0.3%): |
|||||||||||
Dentsu Group, Inc. |
400 |
12,015 |
|||||||||
KDDI Corp. |
708 |
22,384 |
|||||||||
Nexon Co. Ltd. |
500 |
10,239 |
|||||||||
Nippon Telegraph & Telephone Corp. |
928 |
26,651 |
|||||||||
Softbank Corp. |
2,400 |
26,652 |
|||||||||
SoftBank Group Corp. |
200 |
7,718 |
|||||||||
Z Holdings Corp. |
2,430 |
7,101 |
|||||||||
112,760 |
|||||||||||
Consumer Discretionary (0.6%): |
|||||||||||
Aisin Corp. |
400 |
12,384 |
|||||||||
Bandai Namco Holdings, Inc. |
200 |
14,122 |
|||||||||
Bridgestone Corp. (d) |
400 |
14,595 |
|||||||||
Denso Corp. |
200 |
10,627 |
|||||||||
Honda Motor Co. Ltd. |
600 |
14,564 |
|||||||||
Isuzu Motors Ltd. |
1,100 |
12,171 |
|||||||||
Nissan Motor Co. Ltd. |
2,600 |
10,123 |
|||||||||
Nitori Holdings Co. Ltd. |
130 |
12,357 |
|||||||||
Panasonic Corp. |
1,500 |
12,124 |
|||||||||
Sekisui House Ltd. |
1,072 |
18,779 |
|||||||||
Shimano, Inc. |
40 |
6,758 |
|||||||||
Sony Group Corp. |
100 |
8,179 |
|||||||||
Subaru Corp. |
1,100 |
19,554 |
|||||||||
Sumitomo Electric Industries Ltd. |
1,200 |
13,260 |
|||||||||
Suzuki Motor Corp. |
400 |
12,573 |
|||||||||
Toyota Industries Corp. |
208 |
12,879 |
|||||||||
Toyota Motor Corp. |
920 |
14,241 |
|||||||||
219,290 |
|||||||||||
Consumer Staples (0.5%): |
|||||||||||
Ajinomoto Co., Inc. |
600 |
14,595 |
|||||||||
Asahi Group Holdings Ltd. |
460 |
15,072 |
|||||||||
Japan Tobacco, Inc. |
1,444 |
24,972 |
|||||||||
Kao Corp. (d) |
518 |
20,894 |
|||||||||
Kikkoman Corp. |
200 |
10,615 |
|||||||||
Kirin Holdings Co. Ltd. |
1,300 |
20,483 |
|||||||||
Seven & i Holdings Co. Ltd. |
400 |
15,530 |
|||||||||
Shiseido Co. Ltd. |
300 |
12,043 |
See notes to financial statements.
169
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Suntory Beverage & Food Ltd. |
500 |
$ |
18,908 |
||||||||
Unicharm Corp. |
494 |
16,532 |
|||||||||
169,644 |
|||||||||||
Energy (0.1%): |
|||||||||||
ENEOS Holdings, Inc. |
5,600 |
21,205 |
|||||||||
Inpex Corp. |
1,100 |
11,920 |
|||||||||
33,125 |
|||||||||||
Financials (0.6%): |
|||||||||||
Dai-ichi Life Holdings, Inc. |
788 |
14,580 |
|||||||||
Japan Post Bank Co. Ltd. |
2,212 |
17,202 |
|||||||||
Japan Post Holdings Co. Ltd. |
2,700 |
19,288 |
|||||||||
Mitsubishi UFJ Financial Group, Inc. |
3,300 |
17,743 |
|||||||||
Mizuho Financial Group, Inc. |
1,800 |
20,473 |
|||||||||
MS&AD Insurance Group Holdings, Inc. |
600 |
18,390 |
|||||||||
ORIX Corp. |
968 |
16,240 |
|||||||||
Resona Holdings, Inc. |
4,400 |
16,480 |
|||||||||
Sompo Holdings, Inc. |
400 |
17,641 |
|||||||||
Sumitomo Mitsui Financial Group, Inc. |
584 |
17,357 |
|||||||||
Sumitomo Mitsui Trust Holdings, Inc. |
600 |
18,488 |
|||||||||
Tokio Marine Holdings, Inc. |
400 |
23,302 |
|||||||||
217,184 |
|||||||||||
Health Care (0.6%): |
|||||||||||
Astellas Pharma, Inc. |
1,052 |
16,401 |
|||||||||
Chugai Pharmaceutical Co. Ltd. |
390 |
9,975 |
|||||||||
Daiichi Sankyo Co. Ltd. |
500 |
12,668 |
|||||||||
Eisai Co. Ltd. |
254 |
10,719 |
|||||||||
Hoya Corp. |
118 |
10,077 |
|||||||||
Kyowa Kirin Co. Ltd. |
700 |
15,738 |
|||||||||
M3, Inc. |
300 |
8,620 |
|||||||||
Olympus Corp. |
600 |
12,059 |
|||||||||
Ono Pharmaceutical Co. Ltd. |
884 |
22,690 |
|||||||||
Otsuka Holdings Co. Ltd. |
600 |
21,309 |
|||||||||
Shionogi & Co. Ltd. |
228 |
11,521 |
|||||||||
Sysmex Corp. |
174 |
10,474 |
|||||||||
Takeda Pharmaceutical Co. Ltd. |
800 |
22,515 |
|||||||||
Terumo Corp. |
500 |
15,067 |
|||||||||
199,833 |
|||||||||||
Industrials (0.7%): |
|||||||||||
Daikin Industries Ltd. |
66 |
10,582 |
|||||||||
FANUC Corp. |
30 |
4,697 |
|||||||||
Hitachi Ltd. |
300 |
14,237 |
|||||||||
ITOCHU Corp. |
600 |
16,218 |
|||||||||
Komatsu Ltd. |
688 |
15,255 |
|||||||||
Kubota Corp. (d) |
804 |
12,013 |
|||||||||
Marubeni Corp. |
1,500 |
13,534 |
|||||||||
Mitsubishi Corp. |
592 |
17,617 |
|||||||||
Mitsubishi Electric Corp. |
1,652 |
17,670 |
See notes to financial statements.
170
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Mitsui & Co. Ltd. |
586 |
$ |
12,935 |
||||||||
Nidec Corp. |
154 |
9,513 |
|||||||||
Nippon Yusen KK |
100 |
6,833 |
|||||||||
Recruit Holdings Co. Ltd. |
220 |
6,479 |
|||||||||
Secom Co. Ltd. |
310 |
19,156 |
|||||||||
SG Holdings Co. Ltd. |
800 |
13,498 |
|||||||||
SMC Corp. |
14 |
6,240 |
|||||||||
Sumitomo Corp. |
1,300 |
17,795 |
|||||||||
Toshiba Corp. |
500 |
20,327 |
|||||||||
Toyota Tsusho Corp. |
300 |
9,797 |
|||||||||
Yaskawa Electric Corp. |
400 |
12,885 |
|||||||||
257,281 |
|||||||||||
Information Technology (0.5%): |
|||||||||||
Advantest Corp. |
100 |
5,352 |
|||||||||
Canon, Inc. |
714 |
16,237 |
|||||||||
FUJIFILM Holdings Corp. |
260 |
13,949 |
|||||||||
Fujitsu Ltd. |
100 |
12,505 |
|||||||||
Keyence Corp. |
28 |
9,573 |
|||||||||
Kyocera Corp. |
300 |
16,046 |
|||||||||
Murata Manufacturing Co. Ltd. |
202 |
11,013 |
|||||||||
NEC Corp. |
300 |
11,654 |
|||||||||
Nomura Research Institute Ltd. |
374 |
9,952 |
|||||||||
NTT Data Corp. |
908 |
12,556 |
|||||||||
Obic Co. Ltd. |
100 |
14,146 |
|||||||||
Omron Corp. |
200 |
10,159 |
|||||||||
Renesas Electronics Corp. (c) |
1,000 |
9,089 |
|||||||||
Shimadzu Corp. |
400 |
12,649 |
|||||||||
TDK Corp. |
300 |
9,266 |
|||||||||
Tokyo Electron Ltd. |
26 |
8,490 |
|||||||||
182,636 |
|||||||||||
Materials (0.2%): |
|||||||||||
Asahi Kasei Corp. |
1,900 |
14,510 |
|||||||||
Mitsubishi Chemical Holdings Corp. |
2,300 |
12,495 |
|||||||||
Nippon Paint Holdings Co. Ltd. |
1,090 |
8,123 |
|||||||||
Nippon Steel Corp. |
700 |
9,799 |
|||||||||
Nitto Denko Corp. |
200 |
12,944 |
|||||||||
Shin-Etsu Chemical Co. Ltd. |
70 |
7,895 |
|||||||||
Sumitomo Metal Mining Co. Ltd. |
300 |
9,398 |
|||||||||
75,164 |
|||||||||||
Real Estate (0.2%): |
|||||||||||
Daiwa House Industry Co. Ltd. |
700 |
16,316 |
|||||||||
Mitsubishi Estate Co. Ltd. |
1,552 |
22,526 |
|||||||||
Mitsui Fudosan Co. Ltd. |
778 |
16,732 |
|||||||||
Sumitomo Realty & Development Co. Ltd. |
600 |
15,847 |
|||||||||
71,421 |
|||||||||||
1,538,338 |
See notes to financial statements.
171
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Korea, Republic Of (0.8%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Kakao Corp. |
152 |
$ |
8,185 |
||||||||
NAVER Corp. |
57 |
10,538 |
|||||||||
18,723 |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Hyundai Mobis Co. Ltd. |
95 |
14,563 |
|||||||||
Hyundai Motor Co. |
145 |
20,162 |
|||||||||
Kia Corp. |
279 |
16,614 |
|||||||||
LG Electronics, Inc. |
116 |
7,891 |
|||||||||
59,230 |
|||||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
LG Household & Health Care Ltd. |
18 |
9,429 |
|||||||||
Energy (0.0%): (a) |
|||||||||||
SK Innovation Co. Ltd. |
69 |
10,206 |
|||||||||
Financials (0.1%): |
|||||||||||
Hana Financial Group, Inc. |
413 |
12,520 |
|||||||||
KB Financial Group, Inc. |
345 |
12,797 |
|||||||||
Shinhan Financial Group Co. Ltd. |
647 |
18,466 |
|||||||||
43,783 |
|||||||||||
Health Care (0.1%): |
|||||||||||
Celltrion, Inc. |
76 |
10,451 |
|||||||||
Samsung Biologics Co. Ltd. (c) (e) |
22 |
13,389 |
|||||||||
23,840 |
|||||||||||
Industrials (0.1%): |
|||||||||||
HMM Co. Ltd. |
407 |
7,713 |
|||||||||
Samsung C&T Corp. |
205 |
19,425 |
|||||||||
SK, Inc. |
93 |
15,403 |
|||||||||
42,541 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Samsung Electro-Mechanics Co. Ltd. |
97 |
9,752 |
|||||||||
Samsung Electronics Co. Ltd. |
388 |
17,037 |
|||||||||
Samsung SDI Co. Ltd. |
32 |
13,114 |
|||||||||
SK Hynix, Inc. |
137 |
9,604 |
|||||||||
49,507 |
|||||||||||
Materials (0.1%): |
|||||||||||
LG Chem Ltd. |
22 |
8,745 |
|||||||||
POSCO Holdings, Inc. |
61 |
10,832 |
|||||||||
19,577 |
|||||||||||
276,836 |
|||||||||||
Luxembourg (0.1%): |
|||||||||||
Energy (0.1%): |
|||||||||||
Tenaris SA |
1,047 |
13,461 |
See notes to financial statements.
172
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Health Care (0.0%): (a) |
|||||||||||
Eurofins Scientific SE |
137 |
$ |
10,777 |
||||||||
Materials (0.0%): (a) |
|||||||||||
ArcelorMittal SA |
325 |
7,325 |
|||||||||
31,563 |
|||||||||||
Netherlands (0.8%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Koninklijke KPN NV |
8,138 |
29,000 |
|||||||||
Consumer Discretionary (0.0%): (a) |
|||||||||||
Prosus NV |
174 |
11,391 |
|||||||||
Consumer Staples (0.2%): |
|||||||||||
Davide Campari-Milano NV |
1,818 |
19,116 |
|||||||||
Heineken Holding NV |
265 |
19,284 |
|||||||||
Heineken NV |
200 |
18,232 |
|||||||||
Koninklijke Ahold Delhaize NV |
756 |
19,692 |
|||||||||
76,324 |
|||||||||||
Financials (0.2%): |
|||||||||||
ABN AMRO Bank NV (e) |
1,126 |
12,642 |
|||||||||
Aegon NV |
2,995 |
12,954 |
|||||||||
ING Groep NV |
1,352 |
13,360 |
|||||||||
NN Group NV |
438 |
19,890 |
|||||||||
58,846 |
|||||||||||
Health Care (0.0%): (a) |
|||||||||||
Koninklijke Philips NV |
413 |
8,895 |
|||||||||
Industrials (0.1%): |
|||||||||||
Randstad NV |
264 |
12,780 |
|||||||||
Wolters Kluwer NV |
263 |
25,507 |
|||||||||
38,287 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Adyen NV (c) (e) |
5 |
7,272 |
|||||||||
ASM International NV |
34 |
8,500 |
|||||||||
ASML Holding NV |
19 |
9,075 |
|||||||||
STMicroelectronics NV |
345 |
10,845 |
|||||||||
35,692 |
|||||||||||
Materials (0.1%): |
|||||||||||
Akzo Nobel NV |
223 |
14,632 |
|||||||||
Koninklijke DSM NV |
124 |
17,813 |
|||||||||
32,445 |
|||||||||||
290,880 |
|||||||||||
New Zealand (0.0%): (a) |
|||||||||||
Health Care (0.0%): |
|||||||||||
Fisher & Paykel Healthcare Corp. Ltd. |
838 |
10,453 |
See notes to financial statements.
173
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Norway (0.4%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Telenor ASA |
1,775 |
$ |
23,618 |
||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Mowi ASA |
749 |
17,049 |
|||||||||
Energy (0.1%): |
|||||||||||
Aker BP ASA |
294 |
10,210 |
|||||||||
Equinor ASA |
441 |
15,344 |
|||||||||
25,554 |
|||||||||||
Financials (0.1%): |
|||||||||||
DNB Bank ASA |
905 |
16,229 |
|||||||||
Gjensidige Forsikring ASA |
1,152 |
23,343 |
|||||||||
39,572 |
|||||||||||
Materials (0.1%): |
|||||||||||
Norsk Hydro ASA |
1,348 |
7,553 |
|||||||||
Yara International ASA |
310 |
12,960 |
|||||||||
20,513 |
|||||||||||
126,306 |
|||||||||||
Portugal (0.1%): |
|||||||||||
Consumer Staples (0.1%): |
|||||||||||
Jeronimo Martins SGPS SA |
879 |
19,102 |
|||||||||
Utilities (0.0%): (a) |
|||||||||||
EDP ? Energias de Portugal SA |
3,700 |
17,260 |
|||||||||
36,362 |
|||||||||||
Singapore (0.3%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Singapore Telecommunications Ltd. |
15,400 |
28,050 |
|||||||||
Consumer Staples (0.0%): (a) |
|||||||||||
Wilmar International Ltd. |
7,062 |
20,540 |
|||||||||
Financials (0.2%): |
|||||||||||
DBS Group Holdings Ltd. |
1,078 |
23,035 |
|||||||||
Oversea-Chinese Banking Corp. Ltd. |
3,138 |
25,732 |
|||||||||
United Overseas Bank Ltd. |
1,192 |
22,527 |
|||||||||
71,294 |
|||||||||||
119,884 |
|||||||||||
Spain (0.6%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Telefonica SA |
4,249 |
21,646 |
|||||||||
Consumer Discretionary (0.0%): (a) |
|||||||||||
Industria de Diseno Textil SA |
615 |
13,913 |
|||||||||
Energy (0.1%): |
|||||||||||
Repsol SA |
1,307 |
19,241 |
See notes to financial statements.
174
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Financials (0.1%): |
|||||||||||
Banco Bilbao Vizcaya Argentaria SA |
2,343 |
$ |
10,631 |
||||||||
Banco Santander SA |
4,350 |
12,252 |
|||||||||
CaixaBank SA |
4,527 |
15,734 |
|||||||||
38,617 |
|||||||||||
Health Care (0.0%): (a) |
|||||||||||
Grifols SA (c) |
792 |
14,967 |
|||||||||
Industrials (0.1%): |
|||||||||||
Ferrovial SA |
642 |
16,272 |
|||||||||
Utilities (0.2%): |
|||||||||||
Endesa SA |
835 |
15,749 |
|||||||||
Iberdrola SA |
1,691 |
17,534 |
|||||||||
Naturgy Energy Group SA |
690 |
19,860 |
|||||||||
Red Electrica Corp. SA |
1,266 |
23,910 |
|||||||||
77,053 |
|||||||||||
201,709 |
|||||||||||
Sweden (1.0%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Telia Co. AB |
7,758 |
29,729 |
|||||||||
Consumer Discretionary (0.0%): (a) |
|||||||||||
Evolution AB (e) |
69 |
6,277 |
|||||||||
H & M Hennes & Mauritz AB, Class B |
882 |
10,538 |
|||||||||
16,815 |
|||||||||||
Consumer Staples (0.1%): |
|||||||||||
Essity AB, Class B |
864 |
22,571 |
|||||||||
Swedish Match AB |
2,546 |
25,948 |
|||||||||
48,519 |
|||||||||||
Energy (0.0%): (a) |
|||||||||||
Orron Energy AB (d) |
309 |
211 |
|||||||||
Financials (0.3%): |
|||||||||||
EQT AB |
304 |
6,226 |
|||||||||
Industrivarden AB, Class C (d) |
803 |
17,868 |
|||||||||
Investor AB, Class B |
940 |
15,462 |
|||||||||
L E Lundbergforetagen AB, Class B |
389 |
15,824 |
|||||||||
Skandinaviska Enskilda Banken AB, Class A |
1,632 |
16,026 |
|||||||||
Svenska Handelsbanken AB, Class A |
2,366 |
20,230 |
|||||||||
Swedbank AB, Class A |
1,399 |
17,692 |
|||||||||
109,328 |
|||||||||||
Health Care (0.0%): (a) |
|||||||||||
Getinge AB, B Shares |
361 |
8,347 |
|||||||||
Industrials (0.3%): |
|||||||||||
Alfa Laval AB |
492 |
11,867 |
|||||||||
Assa Abloy AB, Class B |
682 |
14,495 |
|||||||||
Atlas Copco AB, Class A (c) |
1,248 |
11,666 |
|||||||||
Epiroc AB, Class A |
866 |
13,378 |
See notes to financial statements.
175
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Nibe Industrier AB, Class B |
1,309 |
$ |
9,833 |
||||||||
Sandvik AB |
768 |
12,458 |
|||||||||
Volvo AB, Class B |
1,003 |
15,537 |
|||||||||
89,234 |
|||||||||||
Information Technology (0.1%): |
|||||||||||
Hexagon AB, Class B |
1,186 |
12,325 |
|||||||||
Telefonaktiebolaget LM Ericsson, Class B |
1,512 |
11,279 |
|||||||||
23,604 |
|||||||||||
Materials (0.1%): |
|||||||||||
Boliden AB |
325 |
10,342 |
|||||||||
Svenska Cellulosa AB SCA, Class B |
1,171 |
17,501 |
|||||||||
27,843 |
|||||||||||
Real Estate (0.0%): (a) |
|||||||||||
Fastighets AB Balder, B Shares (c) |
1,428 |
6,845 |
|||||||||
360,475 |
|||||||||||
Switzerland (1.5%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
Swisscom AG, Registered Shares |
52 |
28,732 |
|||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Cie Financiere Richemont SA, Registered Shares |
97 |
10,330 |
|||||||||
The Swatch Group AG |
49 |
11,628 |
|||||||||
21,958 |
|||||||||||
Consumer Staples (0.2%): |
|||||||||||
Barry Callebaut AG, Registered Shares |
14 |
31,242 |
|||||||||
Chocoladefabriken Lindt & Spruengli AG |
2 |
20,346 |
|||||||||
Nestle SA, Registered Shares |
257 |
30,005 |
|||||||||
81,593 |
|||||||||||
Financials (0.3%): |
|||||||||||
Julius Baer Group Ltd. |
291 |
13,427 |
|||||||||
Partners Group Holding AG |
12 |
10,814 |
|||||||||
Swiss Life Holding AG |
39 |
18,999 |
|||||||||
Swiss Re AG |
255 |
19,764 |
|||||||||
UBS Group AG |
908 |
14,640 |
|||||||||
Zurich Insurance Group AG |
62 |
26,970 |
|||||||||
104,614 |
|||||||||||
Health Care (0.3%): |
|||||||||||
Alcon, Inc. |
226 |
15,788 |
|||||||||
Lonza Group AG, Registered Shares |
25 |
13,332 |
|||||||||
Novartis AG, Registered Shares |
336 |
28,460 |
|||||||||
Roche Holding AG |
68 |
22,694 |
|||||||||
Sonova Holding AG |
41 |
13,058 |
|||||||||
Straumann Holding AG, Class R |
86 |
10,330 |
|||||||||
103,662 |
See notes to financial statements.
176
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (0.3%): |
|||||||||||
ABB Ltd., Registered Shares |
583 |
$ |
15,551 |
||||||||
Geberit AG, Registered Shares |
36 |
17,304 |
|||||||||
Kuehne + Nagel International AG, Class R |
60 |
14,206 |
|||||||||
Schindler Holding AG |
87 |
15,869 |
|||||||||
SGS SA, Registered Shares |
10 |
22,892 |
|||||||||
VAT Group AG (e) |
32 |
7,630 |
|||||||||
93,452 |
|||||||||||
Information Technology (0.0%): (a) |
|||||||||||
Logitech International SA, Class R (d) |
180 |
9,405 |
|||||||||
Materials (0.2%): |
|||||||||||
EMS-Chemie Holding AG |
22 |
16,376 |
|||||||||
Givaudan SA, Registered Shares |
5 |
17,585 |
|||||||||
Glencore PLC |
2,580 |
13,976 |
|||||||||
Holcim AG |
441 |
18,874 |
|||||||||
Sika AG, Registered Shares |
51 |
11,755 |
|||||||||
78,566 |
|||||||||||
521,982 |
|||||||||||
United Kingdom (2.0%): |
|||||||||||
Communication Services (0.1%): |
|||||||||||
BT Group PLC |
5,551 |
12,587 |
|||||||||
WPP PLC |
1,171 |
11,752 |
|||||||||
24,339 |
|||||||||||
Consumer Discretionary (0.1%): |
|||||||||||
Compass Group PLC |
680 |
13,904 |
|||||||||
Entain PLC (c) |
545 |
8,258 |
|||||||||
InterContinental Hotels Group PLC |
231 |
12,230 |
|||||||||
Next PLC |
196 |
13,979 |
|||||||||
48,371 |
|||||||||||
Consumer Staples (0.3%): |
|||||||||||
Associated British Foods PLC |
652 |
12,522 |
|||||||||
British American Tobacco PLC |
555 |
23,774 |
|||||||||
Diageo PLC |
532 |
22,860 |
|||||||||
Imperial Brands PLC |
1,045 |
23,351 |
|||||||||
Tesco PLC |
6,718 |
20,891 |
|||||||||
Unilever PLC |
411 |
18,613 |
|||||||||
122,011 |
|||||||||||
Energy (0.1%): |
|||||||||||
BP PLC |
2,978 |
14,074 |
|||||||||
Shell PLC |
622 |
16,155 |
|||||||||
30,229 |
|||||||||||
Financials (0.5%): |
|||||||||||
3i Group PLC |
991 |
13,370 |
|||||||||
Admiral Group PLC |
535 |
14,612 |
|||||||||
Aviva PLC |
3,791 |
18,516 |
See notes to financial statements.
177
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Barclays PLC |
6,157 |
$ |
11,474 |
||||||||
HSBC Holdings PLC |
2,629 |
17,138 |
|||||||||
Legal & General Group PLC |
5,038 |
14,686 |
|||||||||
Lloyds Banking Group PLC |
22,053 |
11,356 |
|||||||||
London Stock Exchange Group PLC |
205 |
19,042 |
|||||||||
NatWest Group PLC |
5,330 |
14,161 |
|||||||||
Schroders PLC |
477 |
15,512 |
|||||||||
Standard Chartered PLC |
1,849 |
13,921 |
|||||||||
163,788 |
|||||||||||
Health Care (0.2%): |
|||||||||||
AstraZeneca PLC |
146 |
19,191 |
|||||||||
GSK PLC (b) |
1,265 |
27,184 |
|||||||||
Smith & Nephew PLC |
993 |
13,868 |
|||||||||
60,243 |
|||||||||||
Industrials (0.4%): |
|||||||||||
Ashtead Group PLC |
245 |
10,255 |
|||||||||
BAE Systems PLC |
2,397 |
24,220 |
|||||||||
Bunzl PLC |
578 |
19,128 |
|||||||||
Ferguson PLC |
147 |
16,438 |
|||||||||
Intertek Group PLC |
283 |
14,487 |
|||||||||
RELX PLC |
894 |
24,221 |
|||||||||
Rentokil Initial PLC |
2,537 |
14,654 |
|||||||||
Rolls-Royce Holdings PLC (c) |
7,508 |
7,580 |
|||||||||
Spirax-Sarco Engineering PLC |
115 |
13,826 |
|||||||||
144,809 |
|||||||||||
Information Technology (0.0%): (a) |
|||||||||||
Halma PLC |
583 |
14,255 |
|||||||||
Materials (0.2%): |
|||||||||||
Anglo American PLC |
224 |
8,007 |
|||||||||
Antofagasta PLC |
575 |
8,083 |
|||||||||
Croda International PLC |
193 |
15,203 |
|||||||||
Evraz PLC (b) (f) (g) (h) (i) |
12,158 |
10,802 |
|||||||||
Rio Tinto PLC |
189 |
11,310 |
|||||||||
53,405 |
|||||||||||
Utilities (0.1%): |
|||||||||||
National Grid PLC |
1,935 |
24,775 |
|||||||||
SSE PLC |
948 |
18,646 |
|||||||||
43,421 |
|||||||||||
704,871 |
|||||||||||
Total Common Stocks (Cost $7,731,346) |
8,031,960 |
||||||||||
Investment Companies (76.7%) |
|||||||||||
United States (76.7%): |
|||||||||||
BlackRock Liquidity Funds T-Fund, Institutional Shares, 1.34% (j) |
27,126,268 |
27,126,268 |
|||||||||
Total Investment Companies (Cost $27,126,268) |
27,126,268 |
See notes to financial statements.
178
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Collateral for Securities Loaned (0.5%)^ |
|||||||||||
United States (0.5%): |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (j) |
4,962 |
$ |
4,962 |
||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (j) |
2,476 |
2,476 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (j) |
30,885 |
30,885 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (j) |
19,746 |
19,746 |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (j) |
13,168 |
13,168 |
|||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (j) |
88,781 |
88,781 |
|||||||||
Total Collateral for Securities Loaned (Cost $160,018) |
160,018 |
||||||||||
Total Investments (Cost $35,017,632) ? 99.9% |
35,318,246 |
||||||||||
Other assets in excess of liabilities ? 0.1% |
30,865 |
||||||||||
NET ASSETS ? 100.00% |
$ |
35,349,111 |
^ Purchased with cash collateral from securities on loan.
(a) Amount represents less than 0.05% of net assets.
(b) All or a portion of this security has been segregated as collateral for derivative instruments.
(c) Non-income producing security.
(d) All or a portion of this security is on loan.
(e) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $150,999 and amounted to 0.4% of net assets.
(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents less than 0.05% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(g) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(h) Restricted security that is not registered under the Securities Act of 1933.
(i) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Evraz PLC |
3/19/2021 |
$ |
75,288 |
(j) Rate disclosed is the daily yield on June 30, 2022.
PLC ? Public Limited Company
See notes to financial statements.
179
Victory Portfolios
II VictoryShares Developed Enhanced Volatility Wtd ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
E-Mini MSCI EAFE Index Futures |
2 |
9/16/22 |
$ |
192,278 |
$ |
185,660 |
$ |
(6,618 |
) |
||||||||||||||
Total unrealized appreciation |
$ |
? |
|||||||||||||||||||||
Total unrealized depreciation |
(6,618 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
(6,618 |
) |
See notes to financial statements.
180
Victory Portfolios
II VictoryShares Nasdaq Next 50 ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (99.9%) |
|||||||||||
Communication Services (9.9%): |
|||||||||||
Fox Corp., Class A |
34,829 |
$ |
1,120,101 |
||||||||
Fox Corp., Class B |
27,384 |
813,305 |
|||||||||
Liberty Broadband Corp., Class A (a) |
2,521 |
286,260 |
|||||||||
Liberty Broadband Corp., Class C (a) |
15,384 |
1,779,006 |
|||||||||
Paramount Global, Class B |
67,984 |
1,677,845 |
|||||||||
Take-Two Interactive Software, Inc. (a) |
18,096 |
2,217,303 |
|||||||||
Yandex NV, Class A (a) (b) (e) (f) (g) |
45,921 |
8,697 |
|||||||||
ZoomInfo Technologies, Inc. (a) |
45,077 |
1,498,359 |
|||||||||
9,400,876 |
|||||||||||
Consumer Discretionary (13.5%): |
|||||||||||
Caesars Entertainment, Inc. (a) |
23,954 |
917,438 |
|||||||||
Expedia Group, Inc. (a) |
16,937 |
1,606,136 |
|||||||||
LKQ Corp. |
31,604 |
1,551,440 |
|||||||||
Pool Corp. |
4,478 |
1,572,808 |
|||||||||
Rivian Automotive, Inc., Class A (a) (c) |
99,689 |
2,565,995 |
|||||||||
Tractor Supply Co. |
12,502 |
2,423,513 |
|||||||||
Ulta Beauty, Inc. (a) |
5,790 |
2,231,929 |
|||||||||
12,869,259 |
|||||||||||
Consumer Staples (2.8%): |
|||||||||||
Coca-Cola Europacific Partners PLC |
51,042 |
2,634,277 |
|||||||||
Electronic Equipment, Instruments & Components (6.0%): |
|||||||||||
CDW Corp. |
15,097 |
2,378,683 |
|||||||||
Trimble, Inc. (a) |
27,952 |
1,627,645 |
|||||||||
Zebra Technologies Corp. (a) |
5,867 |
1,724,605 |
|||||||||
5,730,933 |
|||||||||||
Energy (5.8%): |
|||||||||||
Baker Hughes Co. |
110,019 |
3,176,248 |
|||||||||
Diamondback Energy, Inc. |
19,834 |
2,402,889 |
|||||||||
5,579,137 |
|||||||||||
Health Care (19.3%): |
|||||||||||
Alnylam Pharmaceuticals, Inc. (a) |
13,500 |
1,968,975 |
|||||||||
BioMarin Pharmaceutical, Inc. (a) |
20,672 |
1,713,089 |
|||||||||
Bio-Techne Corp. |
4,434 |
1,537,002 |
|||||||||
Hologic, Inc. (a) |
27,866 |
1,931,114 |
|||||||||
Horizon Therapeutics PLC (a) |
25,687 |
2,048,795 |
|||||||||
ICON PLC (a) |
9,084 |
1,968,503 |
|||||||||
Incyte Corp. (a) |
24,752 |
1,880,409 |
|||||||||
Insulet Corp. (a) |
7,748 |
1,688,599 |
|||||||||
Royalty Pharma PLC, Class A |
48,643 |
2,044,952 |
|||||||||
Sanofi, ADR |
31,786 |
1,590,253 |
|||||||||
18,371,691 |
See notes to financial statements.
181
Victory Portfolios
II VictoryShares Nasdaq Next 50 ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Industrials (8.0%): |
|||||||||||
CoStar Group, Inc. (a) (d) |
44,276 |
$ |
2,674,713 |
||||||||
Expeditors International of Washington, Inc. |
18,745 |
1,826,888 |
|||||||||
J.B. Hunt Transport Services, Inc. |
11,709 |
1,843,816 |
|||||||||
United Airlines Holdings, Inc. (a) |
36,481 |
1,292,157 |
|||||||||
7,637,574 |
|||||||||||
IT Services (3.8%): |
|||||||||||
Akamai Technologies, Inc. (a) |
17,912 |
1,635,903 |
|||||||||
MongoDB, Inc. (a) |
7,606 |
1,973,757 |
|||||||||
3,609,660 |
|||||||||||
Materials (1.5%): |
|||||||||||
Steel Dynamics, Inc. |
21,068 |
1,393,648 |
|||||||||
Semiconductors & Semiconductor Equipment (15.2%): |
|||||||||||
Enphase Energy, Inc. (a) |
15,089 |
2,945,976 |
|||||||||
Entegris, Inc. |
15,184 |
1,398,902 |
|||||||||
GLOBALFOUNDRIES, Inc. (a) (c) |
59,430 |
2,397,406 |
|||||||||
Monolithic Power Systems, Inc. |
5,211 |
2,001,233 |
|||||||||
ON Semiconductor Corp. (a) |
48,553 |
2,442,701 |
|||||||||
SolarEdge Technologies, Inc. (a) |
6,259 |
1,712,963 |
|||||||||
Teradyne, Inc. |
17,903 |
1,603,214 |
|||||||||
14,502,395 |
|||||||||||
Software (7.2%): |
|||||||||||
Check Point Software Technologies Ltd. (a) |
14,315 |
1,743,281 |
|||||||||
NortonLifeLock, Inc. |
64,818 |
1,423,403 |
|||||||||
SS&C Technologies Holdings, Inc. |
28,469 |
1,653,195 |
|||||||||
The Trade Desk, Inc., Class A (a) |
49,401 |
2,069,408 |
|||||||||
6,889,287 |
|||||||||||
Technology Hardware, Storage & Peripherals (5.2%): |
|||||||||||
NetApp, Inc. |
24,866 |
1,622,258 |
|||||||||
Seagate Technology Holdings PLC |
24,461 |
1,747,494 |
|||||||||
Western Digital Corp. (a) |
34,994 |
1,568,781 |
|||||||||
4,938,533 |
|||||||||||
Utilities (1.7%): |
|||||||||||
Alliant Energy Corp. |
28,026 |
1,642,604 |
|||||||||
Total Common Stocks (Cost $112,690,651) |
95,199,874 |
||||||||||
Collateral for Securities Loaned (2.8%)^ |
|||||||||||
BlackRock Liquidity Funds TempFund, Institutional Shares, 1.47% (h) |
84,257 |
84,257 |
|||||||||
Goldman
Sachs Financial Square Prime Obligations Fund, Institutional Shares, 1.42% (h) |
42,048 |
42,048 |
|||||||||
HSBC U.S. Government Money Market Fund, I Shares, 1.46% (h) |
524,429 |
524,429 |
|||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 1.50% (h) |
335,282 |
335,282 |
See notes to financial statements.
182
Victory Portfolios
II VictoryShares Nasdaq Next 50 ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Morgan
Stanley Institutional Liquidity Government Portfolio, Institutional
Shares, 1.39% (h) |
223,595 |
$ |
223,595 |
||||||||
Morgan
Stanley Institutional Liquidity Prime Portfolio, Institutional Shares, 1.53% (h) |
1,507,491 |
1,507,491 |
|||||||||
Total Collateral for Securities Loaned (Cost $2,717,102) |
2,717,102 |
||||||||||
Total Investments (Cost $115,407,753) ? 102.7% |
97,916,976 |
||||||||||
Liabilities in excess of other assets ? (2.7)% |
(2,553,342 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
95,363,634 |
^ Purchased with cash collateral from securities on loan.
(a) Non-income producing security.
(b) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of net assets as of June 30, 2022. This security is classified as Level 3 within the fair value hierarchy. (See Note 2 in the Notes to Financial Statements)
(c) All or a portion of this security is on loan.
(d) All or a portion of this security has been segregated as collateral for derivative instruments.
(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of June 30, 2022, illiquid securities were less than 0.05% of net assets.
(f) Restricted security that is not registered under the Securities Act of 1933.
(g) The following table details the acquisition date and cost of the Fund's restricted securities at June 30, 2022:
Security Name |
Acquisition Date |
Cost |
|||||||||
Yandex NV, Class A |
9/9/2020 |
$ |
2,892,222 |
(h) Rate disclosed is the daily yield on June 30, 2022.
ADR ? American Depositary Receipt
PLC ? Public Limited Company
Futures Contracts Purchased
Number
of Contracts |
Expiration Date |
Notional Amount |
Unrealized Value |
Appreciation (Depreciation) |
|||||||||||||||||||
NASDAQ 100 E-Mini Futures |
1 |
9/16/22 |
$ |
222,909 |
$ |
230,590 |
$ |
7,681 |
|||||||||||||||
Total unrealized appreciation |
$ |
7,681 |
|||||||||||||||||||||
Total unrealized depreciation |
? |
||||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
7,681 |
See notes to financial statements.
183
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Asset-Backed Securities (15.9%) |
|||||||||||
AmeriCredit
Automobile Receivables Trust, Series 2021-3, Class C, 1.41%, 8/18/27, Callable 3/18/25 @ 100 |
$ |
500,000 |
$ |
454,448 |
|||||||
Amur
Equipment Finance Receivables X LLC, Series 2022-1A, Class B, 2.20%, 1/20/28, Callable 9/20/25 @ 100 (a) |
676,000 |
632,063 |
|||||||||
ARI
Fleet Lease Trust, Series 2022-A, Class C, 4.17%, 1/15/31, Callable 3/15/25 @ 100 (a) |
250,000 |
244,142 |
|||||||||
ARI
Fleet Lease Trust, Series 2022-A, Class B, 3.79%, 1/15/31, Callable 3/15/25 @ 100 (a) |
116,000 |
114,908 |
|||||||||
ARI
Fleet Lease Trust, Series 2022-A, Class A3, 3.43%, 1/15/31, Callable 3/15/25 @ 100 (a) |
190,000 |
187,292 |
|||||||||
CARDS II Trust, Series 2021-1A, Class C, 1.20%, 4/15/27 (a) |
540,000 |
509,296 |
|||||||||
Carvana
Auto Receivables Trust, Series 2019-2A, Class D, 3.28%, 1/15/25,
Callable 10/15/24 @ 100 (a) |
250,000 |
248,975 |
|||||||||
Carvana
Auto Receivables Trust, Series 2021-P4, Class B, 1.98%, 2/10/28,
Callable 9/10/25 @ 100 |
500,000 |
426,355 |
|||||||||
Carvana
Auto Receivables Trust, Series 2021-N4, Class D, 2.30%, 9/11/28,
Callable 6/10/25 @ 100 |
875,000 |
820,037 |
|||||||||
CCG
Receivables Trust, Series 2021-2, Class C, 1.50%, 3/14/29, Callable 9/14/24 @ 100 (a) |
250,000 |
233,017 |
|||||||||
Credit
Acceptance Auto Loan Trust, Series 2021-4, Class B, 1.74%, 12/16/30,
Callable 4/15/25 @ 100 (a) |
320,000 |
295,665 |
|||||||||
DB
Master Finance LLC, Series 2021-1A, Class A2II, 2.49%, 11/20/51,
Callable 11/20/25 @ 100 (a) |
1,343,250 |
1,143,127 |
|||||||||
Diamond
Issuer, Series 2021-1A, Class B, 2.70%, 11/20/51, Callable 11/20/25 @ 100 (a) |
654,000 |
567,497 |
|||||||||
Drive
Auto Receivables Trust, Series 2020-2, Class C, 2.28%, 8/17/26,
Callable 12/15/23 @ 100 |
420,000 |
416,927 |
|||||||||
Drive
Auto Receivables Trust, Series 2021-3, Class C, 1.47%, 1/15/27,
Callable 3/15/24 @ 100 |
500,000 |
471,714 |
|||||||||
DT Auto
Owner Trust, Series 2020-2A, Class D, 4.73%, 3/16/26, Callable 3/15/24 @ 100 (a) |
500,000 |
500,378 |
|||||||||
Evergreen Credit Card Trust, Series 2021-1, Class B, 1.15%, 10/15/26 (a) |
391,000 |
369,094 |
|||||||||
Evergreen Credit Card Trust, Series 2021-1, Class C, 1.42%, 10/15/26 (a) |
319,000 |
301,014 |
|||||||||
Exeter
Automobile Receivables Trust, Series 2019-4A, Class D, 2.58%, 9/15/25,
Callable 3/15/24 @ 100 (a) |
250,000 |
247,311 |
|||||||||
First
Investors Auto Owner Trust, Series 2019-1A, Class D, 3.55%, 4/15/25,
Callable 2/15/23 @ 100 (a) |
250,000 |
248,690 |
|||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class A, 2.14%, 12/17/38 (a) |
748,981 |
684,279 |
|||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.44%, 12/17/38 (a) |
500,000 |
451,411 |
|||||||||
FirstKey Homes Trust, Series 2021-SFR3, Class D, 2.79%, 12/17/38 (a) |
750,000 |
673,307 |
|||||||||
Flagship
Credit Auto Trust, Series 2018-3, Class D, 4.15%, 12/16/24, Callable 1/15/24 @ 100 (a) |
350,000 |
349,333 |
|||||||||
Flagship
Credit Auto Trust, Series 2018-4, Class D, 4.33%, 12/16/24, Callable 11/15/23 @ 100 (a) |
500,000 |
499,734 |
|||||||||
Flagship
Credit Auto Trust, Series 4, Class C, 1.96%, 12/15/27, Callable 4/15/25 @ 100 (a) |
500,000 |
466,501 |
|||||||||
Flagship
Credit Auto Trust, Series 2019-4, Class E, 4.11%, 3/15/27, Callable 7/15/24 @ 100 (a) |
1,265,000 |
1,200,709 |
See notes to financial statements.
184
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Ford
Credit Auto Lease Trust, Series 2022-A, Class B, 3.81%, 8/15/25,
Callable 11/15/24 @ 100 |
$ |
321,000 |
$ |
320,401 |
|||||||
Ford
Credit Auto Owner Trust, Series 22-1, Class C, 4.67%, 11/15/34,
Callable 5/15/27 @ 100 (a) |
950,000 |
945,636 |
|||||||||
Ford
Credit Auto Owner Trust, Series 2021-2, Class C, 2.11%, 5/15/34,
Callable 11/15/26 @ 100 (a) |
500,000 |
460,894 |
|||||||||
Hertz
Vehicle Financing LLC, Series 2022-4A, Class B, 4.12%, 9/25/26,
Callable 9/25/25 @ 100 (a) |
500,000 |
490,776 |
|||||||||
Hertz
Vehicle Financing LLC, Series 2022-2A, Class B, 2.65%, 6/26/28,
Callable 6/25/27 @ 100 (a) |
1,000,000 |
907,650 |
|||||||||
Hpefs
Equipment Trust, Series 22-2A, Class D, 4.94%, 3/20/30, Callable 11/20/25 @ 100 (a) |
1,300,000 |
1,290,570 |
|||||||||
HPEFS
Equipment Trust, Series 2022-1A, Class D, 2.40%, 11/20/29, Callable 1/20/25 @ 100 (a) |
333,000 |
308,723 |
|||||||||
Hyundai
Auto Receivables Trust, Series 2021-C, Class C, 1.66%, 6/15/28,
Callable 12/15/25 @ 100 |
500,000 |
458,597 |
|||||||||
JPMorgan
Chase Bank NA, Series 2021-2, Class B, 0.89%, 12/26/28, Callable 3/25/25 @ 100 (a) |
154,873 |
150,606 |
|||||||||
JPMorgan
Chase Bank NA, Series 2020-2, Class C, 1.14%, 2/25/28, Callable 8/25/24 @ 100 (a) |
192,281 |
188,179 |
|||||||||
Kubota
Credit Owner Trust, Series 2022-1A, Class A3, 2.67%, 10/15/26,
Callable 1/15/26 @ 100 (a) |
500,000 |
484,807 |
|||||||||
Master Credit Card Trust, Series 2022-2A, Class B, 2.38%, 7/21/28 (a) |
500,000 |
469,931 |
|||||||||
Master Credit Card Trust, Series 2022-2A, Class C, 2.73%, 7/21/28 (a) |
312,000 |
293,455 |
|||||||||
Master Credit Card Trust, Series 2021-1A, Class C, 1.06%, 11/21/25 (a) |
1,000,000 |
936,194 |
|||||||||
New
Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.91%, 10/20/61, Callable 10/20/24 @ 100 (a) |
677,000 |
590,420 |
|||||||||
New
Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.41%, 10/20/61, Callable 10/20/24 @ 100 (a) |
366,000 |
316,802 |
|||||||||
Oscar
U.S. Funding XII LLC, Series 1A, Class A4, 1.00%, 4/10/28, Callable 2/10/25 @ 100 (a) |
250,000 |
229,935 |
|||||||||
Oscar
US Funding XIV LLC, Series 2022-1A, Class A4, 2.82%, 4/10/29, Callable 2/10/26 @ 100 (a) |
1,000,000 |
947,039 |
|||||||||
Pawnee
Equipment Receivables LLC, Series 2021-1, Class B, 1.82%, 7/15/27,
Callable 8/15/25 @ 100 (a) |
136,000 |
126,398 |
|||||||||
Santander
Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.28%, 5/15/32, Callable 4/15/25 @ 100 (a) |
952,583 |
939,722 |
|||||||||
Santander
Bank Auto Credit-Linked Notes, Series 2022-A, Class C, 7.38%, 5/15/32, Callable 4/15/25 @ 100 (a) |
952,583 |
939,581 |
|||||||||
Santander
Bank NA, Series 2021-1A, Class C, 3.27%, 12/15/31, Callable 2/15/25 @ 100 (a) |
548,932 |
535,048 |
|||||||||
Santander
Bank NA, Series 2021-1A, Class B, 1.83%, 12/15/31, Callable 2/15/25 @ 100 (a) |
585,527 |
570,574 |
|||||||||
Santander
Consumer Auto Receivables Trust, Series 2020-AA, Class D, 5.49%, 4/15/26, Callable 4/15/24 @ 100 (a) |
250,000 |
251,156 |
|||||||||
Santander
Drive Auto Receivables Trust, Series 2021-4, Class C, 1.26%, 2/16/27, Callable 6/15/24 @ 100 (b) |
250,000 |
239,232 |
|||||||||
SCF
Equipment Leasing LLC, Series 2021-1A, Class D, 1.93%, 9/20/30,
Callable 7/20/26 @ 100 (a) |
500,000 |
441,221 |
|||||||||
Synchrony Card Funding LLC, Series 2022-A1, Class A, 3.37%, 4/17/28 |
220,000 |
218,495 |
See notes to financial statements.
185
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Tesla
Auto Lease Trust, Series 2019-A, Class E, 5.48%, 5/22/23, Callable 11/20/22 @ 100 (a) |
$ |
500,000 |
$ |
502,302 |
|||||||
Tricon Residential Trust, Series 2022-SFR1, Class A, 3.86%, 4/17/39 (a) |
750,000 |
723,709 |
|||||||||
Tricon
Residential Trust, Series SFR2, Class B, 5.24%, 7/17/40, Callable 7/17/28 @ 100 (a) (c) |
200,000 |
199,992 |
|||||||||
Trillium Credit Card Trust II, Series 2021-1A, Class C, 2.42%, 10/26/29 (a) |
744,000 |
689,396 |
|||||||||
Trinity
Rail Leasing LLC, Series 2022-1, Class A, 4.55%, 5/20/52, Callable 10/19/24 @ 100 (a) |
500,000 |
494,122 |
|||||||||
United
Auto Credit Securitization Trust, Series 2022-1, Class C, 2.61%, 6/10/27, Callable 6/10/25 @ 100 (a) (b) |
250,000 |
241,495 |
|||||||||
Vantage
Data Centers LLC, Series 2020-2A, Class A2, 1.99%, 9/15/45, Callable 9/15/25 @ 100 (a) |
453,000 |
395,242 |
|||||||||
VB S1
Issuer LLC VBTEL, Series 2022-1A, Class C2II, 3.71%, 2/15/57, Callable 2/15/30 @ 100 (a) |
1,000,000 |
887,637 |
|||||||||
VB S1
Issuer LLC VBTEL, Series 2022-1A, Class F, 5.27%, 2/15/52, Callable 2/15/26 @ 100 (a) |
1,000,000 |
942,615 |
|||||||||
Verizon
Master Trust, Series 2021-2, Class C, 1.38%, 4/20/28, Callable 10/20/24 @ 100 |
500,000 |
470,010 |
|||||||||
Westlake
Automobile Receivables Trust, Series 2021-3A, Class C, 1.58%, 1/15/27, Callable 1/15/25 @ 100 (a) |
500,000 |
473,749 |
|||||||||
Westlake
Automobile Receivables Trust, Series 2019-2A, Class E, 4.02%, 4/15/25, Callable 5/15/23 @ 100 (a) |
1,250,000 |
1,245,848 |
|||||||||
Total Asset-Backed Securities (Cost $36,197,103) |
34,075,383 |
||||||||||
Collateralized Mortgage Obligations (17.7%) |
|||||||||||
37
Capital CLO I, Series 2021-1A, Class C, 3.10% (LIBOR03M+225bps),
10/15/34, Callable 10/15/23 @ 100 (a) (d) |
250,000 |
227,577 |
|||||||||
AB BSL
CLO 1 Ltd., Series 2020-1A, Class A2AR, 2.50% (TSFR3M+165bps),
1/15/35, Callable 1/15/24 @ 100 (a) (d) |
500,000 |
479,119 |
|||||||||
AB BSL
CLO 1 Ltd., Series 2020-1A, Class CR, 3.35% (TSFR3M+250bps), 1/15/35, Callable 1/15/24 @ 100 (a) (d) |
250,000 |
236,441 |
|||||||||
AIMCO CLO, Ltd., Series 17A, Class B, 4.27% (TSFR3M+210bps), 7/20/35 (a) (d) |
250,000 |
244,169 |
|||||||||
AOA
Mortgage Trust, Series 2021-1177, Class B, 2.50% (LIBOR01M+117bps),
10/15/38 (a) (d) |
250,000 |
236,606 |
|||||||||
AOA
Mortgage Trust, Series 2021-1177, Class D, 3.15% (LIBOR01M+182bps),
10/15/38 (a) (d) |
300,000 |
274,999 |
|||||||||
Arbor
Multifamily Mortgage Securities Trust, Series 2022-MF4, Class A5,
3.40%, 2/15/55, Callable 1/15/32 @ 100 (a) (e) |
500,000 |
459,605 |
|||||||||
Aventura Mall Trust, Series 2018-AVM, Class A, 4.25%, 7/5/40 (a) (e) |
500,000 |
491,739 |
|||||||||
Ballyrock
CLO 18 Ltd., Series 2021-18A, Class A2, 1.88% (LIBOR03M+165bps),
1/15/35, Callable 1/15/24 @ 100 (a) (d) |
750,000 |
701,392 |
|||||||||
BAMLL
Commercial Mortgage Securities Trust, Series 2015-200P, Class B,
3.49%, 4/14/33, Callable 4/14/25 @ 100 (a) |
750,000 |
711,938 |
|||||||||
BAMLL
Commercial Mortgage Securities Trust, Series 2015-200P, Class D, 3.72% (LIBOR01M+105bps), 4/14/33, Callable 4/14/25 @ 100 (a) (d) |
750,000 |
692,440 |
|||||||||
BBCMS
Mortgage Trust, Series 2020-BID, Class B, 3.86% (LIBOR01M+254bps),
10/15/37 (a) (d) |
500,000 |
490,117 |
|||||||||
BBCMS
Mortgage Trust, Series 2020-BID, Class C, 4.96% (LIBOR01M+364bps),
10/15/37 (a) (d) |
300,000 |
295,988 |
See notes to financial statements.
186
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
BBCMS
Mortgage Trust, Series 2022-C16, Class AS, 4.60%, 6/15/55, Callable 5/15/32 @ 100 (e) |
$ |
135,135 |
$ |
134,058 |
|||||||
Benchmark
Mortgage Trust, Series 2020-B19, Class AS, 2.15%, 9/15/53, Callable 9/15/30 @ 100 |
1,000,000 |
820,815 |
|||||||||
BPR Trust, Series 2022-OANA, Class A, 3.18% (TSFR1M+190bps), 4/15/37 (a) (d) |
1,000,000 |
978,422 |
|||||||||
BPR Trust, Series 2021-TY, Class D, 3.67% (LIBOR01M+235bps), 9/23/23 (a) (d) |
500,000 |
462,482 |
|||||||||
BPR Trust, Series 2022-OANA, Class D, 4.97% (TSFR1M+370bps), 4/15/37 (a) (d) |
500,000 |
481,738 |
|||||||||
BPR Trust, Series 2021-TY, Class A, 2.37% (LIBOR01M+105bps), 9/15/38 (a) (d) |
500,000 |
478,901 |
|||||||||
BX
Commercial Mortgage Trust, Series 2021-VOLT, Class B, 2.27% (LIBOR01M+85bps), 9/15/26 (a) (d) |
250,000 |
236,549 |
|||||||||
BX
Commercial Mortgage Trust, Series 22-CSMO, Class D, 5.09% (TSFR1M+434bps), 6/15/27 (a) (d) |
500,000 |
484,971 |
|||||||||
BX
Commercial Mortgage Trust, Series 2019-XL, Class D, 2.77% (LIBOR01M+145bps), 10/15/36 (a) (d) |
1,215,500 |
1,191,134 |
|||||||||
BX
Commercial Mortgage Trust, Series 2021-XL2, Class B, 2.32% (LIBOR01M+100bps), 10/15/38 (a) (d) |
233,366 |
220,437 |
|||||||||
BX
Commercial Mortgage Trust, Series 2021-SOAR, Class D, 2.72% (LIBOR01M+140bps), 6/15/38 (a) (d) |
248,120 |
232,662 |
|||||||||
BX
Commercial Mortgage Trust, Series 22-CSMO, Class C, 4.64% (TSFR1M+389bps), 6/15/27 (a) (d) |
1,000,000 |
979,962 |
|||||||||
BX
Mortgage Trust, Series 2021-PAC, Class B, 2.22% (LIBOR01M+90bps),
10/15/36 (a) (d) |
250,000 |
235,383 |
|||||||||
BX
Trust, Series 2021-ARIA, Class D, 3.22% (LIBOR01M+190bps), 10/15/36 (a) (d) |
250,000 |
233,104 |
|||||||||
BX
Trust, Series 2021-RISE, Class B, 2.57% (LIBOR01M+125bps), 11/15/36 (a) (d) |
500,000 |
477,900 |
|||||||||
BXP Trust, Series 2021-601L, Class D, 2.87%, 1/15/44 (a) (e) |
1,000,000 |
724,900 |
|||||||||
BXP Trust, Series 2021-601L, Class B, 2.87%, 1/15/44 (a) (e) |
500,000 |
417,152 |
|||||||||
BXP Trust, Series 2021-601L, Class C, 2.87%, 1/15/44 (a) (e) |
250,000 |
185,709 |
|||||||||
CAMB
Commercial Mortgage Trust, Series 2021-CX2, Class A, 2.70%, 11/10/46, Callable 11/10/31 @ 100 (a) |
1,000,000 |
838,401 |
|||||||||
Citigroup
Commercial Mortgage Trust, Series 2019-SMRT, Class D, 4.90%, 1/10/36 (a) (e) |
615,000 |
602,061 |
|||||||||
Columbia
Cent CLO Ltd., Series 2020-29A, Class BR, 2.76% (LIBOR03M+170bps),
10/20/34, Callable 10/20/23 @ 100 (a) (c) (d) |
500,000 |
469,925 |
|||||||||
Columbia Cent CLO, Ltd., Series 22-32A, Class BF, 5.20%, 7/24/34 (a) |
250,000 |
248,125 |
|||||||||
COMM
Mortgage Trust, Series 2014-277P, Class A, 3.73%, 8/10/49, Callable 8/10/24 @ 100 (a) (e) |
500,000 |
485,177 |
|||||||||
COMM
Mortgage Trust, Series 2020-CX, Class A, 2.17%, 11/10/46, Callable 11/10/30 @ 100 (a) |
825,000 |
679,811 |
|||||||||
Eaton
Vance CLO Ltd., Series 2020-2A, Class BR, 2.74% (LIBOR03M+170bps),
1/15/35, Callable 1/15/24 @ 100 (a) (d) |
500,000 |
471,963 |
|||||||||
Flatiron
CLO 20 Ltd., Series 2020-1A, Class B, 3.23% (LIBOR03M+175bps),
11/20/33, Callable 11/20/22 @ 100 (a) (d) |
750,000 |
711,209 |
|||||||||
Golub
Capital Partners CLO Ltd., Series 2020-52A, Class C, 3.86% (LIBOR03M+280bps), 1/20/34, Callable 1/20/23 @ 100 (a) (d) |
500,000 |
470,913 |
|||||||||
Hilton USA Trust, Series 2016-HHV, Class C, 4.33%, 11/5/38 (a) (e) |
200,000 |
187,126 |
|||||||||
Hilton USA Trust, Series 2016-HHV, Class B, 4.33%, 11/5/38 (a) (e) |
350,000 |
333,823 |
|||||||||
Hudson Yards Mortgage Trust, Series 2019-30HY, Class A, 3.23%, 7/10/39 (a) |
1,200,000 |
1,084,755 |
See notes to financial statements.
187
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Hudson
Yards Mortgage Trust, Series 2019-55HY, Class A, 3.04%, 12/10/41 (a) (e) |
$ |
1,000,000 |
$ |
893,443 |
|||||||
ILPT
Commercial Mortgage Trust, Series 2022-LPFX, Class A, 3.95%, 3/15/32 (a) (e) |
750,000 |
623,898 |
|||||||||
JP
Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10,
Class B, 3.67%, 12/15/47, Callable 2/15/23 @ 100 (e) |
449,000 |
445,342 |
|||||||||
JP
Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C13,
Class B, 4.21%, 1/15/46, Callable 6/15/23 @ 100 (b) (e) |
338,000 |
336,231 |
|||||||||
KNDL
Mortgage Trust, Series 2019-KNSQ, Class B, 2.27% (LIBOR01M+95bps),
5/15/36 (a) (d) |
250,000 |
245,378 |
|||||||||
LCM
Ltd., Series 36A, Class A2, 1.65% (LIBOR03M+140bps), 1/15/34, Callable 1/15/24 @ 100 (a) (d) |
750,000 |
706,514 |
|||||||||
Life
Mortgage Trust US, Series 22-BMR2, Class C, 3.37% (TSFR1M+209bps),
5/15/39, Callable 5/15/24 @ 100 (a) (d) |
250,000 |
241,248 |
|||||||||
Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.13%, 9/10/39 (a) |
500,000 |
441,663 |
|||||||||
MHC
Commercial Mortgage Trust, Series 2021-MHC, Class A, 2.12% (LIBOR01M+80bps), 4/15/38 (a) (d) |
250,000 |
241,756 |
|||||||||
MHC
Commercial Mortgage Trust, Series MHC, Class D, 2.92% (LIBOR01M+160bps), 4/15/26 (a) (d) |
500,000 |
471,433 |
|||||||||
MHP, Series 2022-MHIL, Class D, 2.89% (SOFR30A+161bps), 1/15/27 (a) (d) |
500,000 |
467,762 |
|||||||||
Morgan
Stanley Capital I Trust, Series 2017-CLS, Class F, 3.92% (LIBOR01M+260bps), 11/15/34 (a) (d) |
500,000 |
494,620 |
|||||||||
Morgan
Stanley Capital I Trust, Series 2021-PLZA, Class B, 2.90%, 11/9/43,
Callable 5/9/31 @ 100 (a) |
500,000 |
406,443 |
|||||||||
Morgan
Stanley Capital I Trust, Series 2021-PLZA, Class C, 2.81%, 11/9/43,
Callable 5/9/31 @ 100 (a) |
750,000 |
588,545 |
|||||||||
MTN
Commercial Mortgage Trust, Series 2022-LPFL, Class C, 3.67% (TSFR1M+239bps), 3/15/39 (a) (d) |
250,000 |
242,077 |
|||||||||
Oaktree
CLO Ltd., Series 2022-1A, Class B, 3.06% (TSFR3M+195bps), 5/15/33,
Callable 11/15/23 @ 100 (a) (d) |
333,000 |
316,204 |
|||||||||
Oaktree CLO, Ltd., Series 22-2A, Class B, 7/15/33 (a) (d) (f) |
500,000 |
492,894 |
|||||||||
Octagon
Investment Partners 48 Ltd., Series 2020-3A, Class BR, 2.66% (LIBOR03M+160bps), 10/20/34, Callable 10/20/23 @ 100 (a) (d) |
500,000 |
471,633 |
|||||||||
Palmer
Square Loan Funding Ltd., Series 2019-4A, Class B, 3.28% (LIBOR03M+210bps), 10/24/27, Callable 7/24/22 @ 100 (a) (d) |
1,000,000 |
968,054 |
|||||||||
SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 7/15/41 (a) (b) |
500,000 |
425,561 |
|||||||||
SLG Office Trust, Series 2021-OVA, Class C, 2.85%, 7/15/41 (a) |
500,000 |
410,095 |
|||||||||
SMRT, Series 2022-MINI, Class E, 3.98% (SOFR30A+270bps), 1/15/39 (a) (d) |
250,000 |
231,035 |
|||||||||
Sound
Point CLO XXXII Ltd., Series 2021-4A, Class B1, 2.93% (LIBOR03M+175bps), 10/25/34, Callable 10/25/23 @ 100 (a) (d) |
500,000 |
472,250 |
|||||||||
SREIT
Trust, Series 2021-MFP2, Class D, 2.89% (LIBOR01M+157bps), 11/15/36 (a) (d) |
760,000 |
707,573 |
|||||||||
SREIT
Trust, Series 2021-MFP2, Class B, 2.50% (LIBOR01M+117bps), 11/15/36 (a) (d) |
500,000 |
475,066 |
|||||||||
Stratus
CLO Ltd., Series 2021-3A, Class B, 1.77% (LIBOR03M+155bps), 12/29/29, Callable 1/20/23 @ 100 (a) (d) |
205,000 |
196,240 |
|||||||||
Stratus CLO, Ltd., Series 22-1A, Class B, 7/20/30 (a) (c) (d) (f) |
250,000 |
245,724 |
|||||||||
SUMIT
Mortgage Trust, Series 2022-BVUE, Class D, 2.99%, 2/12/41, Callable 2/12/29 @ 100 (a) (e) |
363,636 |
295,217 |
See notes to financial statements.
188
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Symphony
CLO XXII Ltd., Series 2020-22A, Class C, 3.19% (LIBOR03M+215bps),
4/18/33, Callable 7/18/22 @ 100 (a) (d) |
$ |
500,000 |
$ |
469,053 |
|||||||
Symphony
CLO XXIX Ltd., Series 2021-29A, Class B, 1.89% (LIBOR03M+165bps),
1/15/34, Callable 1/15/23 @ 100 (a) (d) |
500,000 |
474,605 |
|||||||||
TRESTLES
CLO III Ltd., Series 2020-3A, Class C, 3.31% (LIBOR03M+225bps),
1/20/33, Callable 7/20/22 @ 100 (a) (d) |
500,000 |
469,947 |
|||||||||
Trimaran
Cavu Ltd., Series 2021-3A, Class C1, 3.51% (LIBOR03M+247bps), 1/18/35, Callable 1/18/24 @ 100 (a) (d) |
750,000 |
692,207 |
|||||||||
Trimaran
Cavu Ltd., Series 2021-2A, Class B1, 2.93% (LIBOR03M+175bps),
10/25/34, Callable 10/25/23 @ 100 (a) (d) |
500,000 |
469,569 |
|||||||||
TTAN, Series 2021-MHC, Class C, 2.68% (LIBOR01M+140bps), 3/15/38 (a) (d) |
698,218 |
659,648 |
|||||||||
Venture CLO, Ltd., Series 46A, Class A2F, 5.02%, 7/20/35 (a) (c) |
475,000 |
475,000 |
|||||||||
Wells
Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class B, 2.77% (LIBOR01M+145bps), 2/15/40 (a) (d) |
227,255 |
216,880 |
|||||||||
Wells
Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class C, 3.12% (LIBOR01M+180bps), 2/15/40 (a) (d) |
227,255 |
210,573 |
|||||||||
Total Collateralized Mortgage Obligations (Cost $41,090,148) |
37,793,079 |
||||||||||
Senior Secured Loans (5.5%) |
|||||||||||
AAdvantage
Loyalty IP Ltd., Initial Term Loan, First Lien, 5.81% (LIBOR03M+475bps), 4/20/28 (d) |
250,000 |
238,035 |
|||||||||
Bausch Lomb, Initial Term Loan, 4.45% (SOFR01M+325bps), 5/5/27 (d) |
500,000 |
464,500 |
|||||||||
Bausch Lomb, Inc., Initial Term Loan, 5/10/27 (f) |
500,000 |
464,500 |
|||||||||
Central Parent, Inc., 6/9/29 (c) (f) |
250,000 |
235,658 |
|||||||||
Covanta
Holding Corp., Initial Term B Loans, 3.56% (LIBOR01M+250bps), 11/30/28 (d) |
463,994 |
437,546 |
|||||||||
Covanta
Holding Corp., Initial Term C Loan, 3.56% (LIBOR01M+250bps), 11/30/28 (d) |
34,843 |
32,857 |
|||||||||
Delta
Air Lines, Inc. and Skymiles IP Ltd., Initial Term Loan, First Lien,
4.75% (LIBOR03M+375bps), 10/20/27 (d) |
750,000 |
744,608 |
|||||||||
Directv
Financing LLC, Closing Date Term Loans, First Lien, 6.06% (LIBOR01M+500bps), 8/2/27 (d) |
932,500 |
855,960 |
|||||||||
Great
Outdoors Group LLC, Term B1, First Lien, 4.81% (LIBOR01M+375bps),
3/5/28 (d) |
496,250 |
451,091 |
|||||||||
Hub
International Ltd., B-3 Incremental Term Loans, First Lien, 4.35% (LIBOR03M+325bps), 4/25/25 (d) |
496,222 |
469,664 |
|||||||||
IRB
Holding Corp., Term Loan B, First Lien, 4.09% (SOFR01M+300bps),
12/15/27 (d) |
745,589 |
698,371 |
|||||||||
Mileage
Plus Holdings LLC, Initial Term Loan, First Lien, 7.31% (LIBOR03M+525bps), 6/20/27 (d) |
1,000,000 |
986,000 |
|||||||||
Oeg Borrower LLC, Initial Term Loan, 6.68% (SOFR03M+500bps), 5/20/29 (d) |
500,000 |
472,500 |
|||||||||
Reynolds Consumer Products LLC, 1.92% (LIBOR01M+175bps), 2/4/27 (c) (d) |
498,549 |
478,098 |
|||||||||
Scientific
Games International, Inc., Initial Term B Loans, First Lien, 4.36% (SOFR01M+300bps), 4/16/29 (d) |
1,000,000 |
947,500 |
|||||||||
Sotheby's,
2021 2nd Refin Term Loan, First Lien, 5.54% (LIBOR03M+450bps), 1/15/27 (d) |
496,250 |
473,919 |
|||||||||
UKG,
Inc., Incremental Term Loans, First Lien, 4.21% (LIBOR03M+325bps),
5/3/26 (c) (d) |
747,500 |
698,449 |
See notes to financial statements.
189
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Walker
& Dunlop, Inc., Term Loan B, First Lien, 2.75% (SOFR06M+225bps),
12/16/28 (d) |
$ |
1,492,500 |
$ |
1,425,337 |
|||||||
Whatabrands
LLC, Initial Term B Loans, First Lien, 4.31% (LIBOR01M+325bps), 8/3/28 (d) |
1,244,997 |
1,164,072 |
|||||||||
Total Senior Secured Loans (Cost $12,416,347) |
11,738,665 |
||||||||||
Corporate Bonds (31.9%) |
|||||||||||
Communication Services (1.7%): |
|||||||||||
AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 |
250,000 |
237,018 |
|||||||||
Charter
Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 |
500,000 |
447,924 |
|||||||||
Comcast Corp., 2.89%, 11/1/51, Callable 5/1/51 @ 100 (a) |
250,000 |
178,785 |
|||||||||
CSC Holdings LLC, 3.38%, 2/15/31, Callable 2/15/26 @ 101.69 (a) |
500,000 |
371,025 |
|||||||||
Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38 (a) |
250,000 |
195,698 |
|||||||||
Lamar Media Corp., 3.63%, 1/15/31, Callable 1/15/26 @ 101.81 |
232,000 |
189,869 |
|||||||||
Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100 (a) |
906,000 |
831,472 |
|||||||||
T-Mobile USA, Inc., 3.50%, 4/15/31, Callable 4/15/26 @ 101.75 (a) |
1,000,000 |
858,890 |
|||||||||
Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 |
500,000 |
427,605 |
|||||||||
3,738,286 |
|||||||||||
Consumer Discretionary (4.0%): |
|||||||||||
Asbury Automotive Group, Inc., 4.75%, 3/1/30, Callable 3/1/25 @ 102.38 |
500,000 |
411,345 |
|||||||||
AutoNation,
Inc. 2.40%, 8/1/31, Callable 5/1/31 @ 100 |
250,000 |
192,100 |
|||||||||
3.85%, 3/1/32, Callable 12/1/31 @ 100 |
750,000 |
647,077 |
|||||||||
Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31 (a) |
750,000 |
585,308 |
|||||||||
Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25 (a) |
250,000 |
206,175 |
|||||||||
Dollar Tree, Inc., 2.65%, 12/1/31, Callable 9/1/31 @ 100 |
500,000 |
411,195 |
|||||||||
Group 1 Automotive, Inc., 4.00%, 8/15/28, Callable 8/15/23 @ 102 (a) |
100,000 |
84,686 |
|||||||||
GSK
Consumer Healthcare Capital US LLC, 3.63%, 3/24/32, Callable 12/24/31 @ 100 (a) |
250,000 |
230,680 |
|||||||||
Hilton
Domestic Operating Co., Inc. 4.00%, 5/1/31, Callable 5/1/26 @ 102 (a) |
250,000 |
207,625 |
|||||||||
3.63%, 2/15/32, Callable 8/15/26 @ 101.81 (a) |
750,000 |
596,873 |
|||||||||
Kohl's Corp., 3.38%, 5/1/31, Callable 2/1/31 @ 100 |
200,000 |
173,110 |
|||||||||
Lithia Motors, Inc., 3.88%, 6/1/29, Callable 6/1/24 @ 101.94 (a) |
250,000 |
212,788 |
|||||||||
Magallanes,
Inc. 4.28%, 3/15/32, Callable 12/15/31 @ 100 (a) |
250,000 |
223,348 |
|||||||||
5.14%, 3/15/52, Callable 9/15/51 @ 100 (a) |
500,000 |
419,770 |
|||||||||
Marriott International, Inc., 3.50%, 10/15/32, Callable 7/15/32 @ 100 (b) |
1,000,000 |
862,069 |
|||||||||
Nordstrom, Inc., 4.25%, 8/1/31, Callable 5/1/31 @ 100 |
250,000 |
189,843 |
|||||||||
Resorts
World Las Vegas LLC/RWLV Capital, Inc., 4.63%, 4/6/31, Callable 1/6/31 @ 100 (a) |
500,000 |
402,075 |
|||||||||
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a) |
1,000,000 |
840,119 |
|||||||||
Sonic Automotive, Inc., 4.88%, 11/15/31, Callable 11/15/26 @ 102.44 (a) |
250,000 |
188,563 |
|||||||||
Sotheby's, 7.38%, 10/15/27, Callable 10/15/22 @ 103.69 (a) |
500,000 |
462,640 |
|||||||||
Toll Brothers Finance Corp., 3.80%, 11/1/29, Callable 8/1/29 @ 100 |
420,000 |
358,352 |
|||||||||
Tractor Supply Co., 1.75%, 11/1/30, Callable 8/1/30 @ 100 |
750,000 |
588,915 |
|||||||||
8,494,656 |
See notes to financial statements.
190
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Consumer Staples (1.4%): |
|||||||||||
7-Eleven, Inc., 2.80%, 2/10/51, Callable 8/2/50 @ 100 (a) |
$ |
750,000 |
$ |
489,795 |
|||||||
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42 (b) |
750,000 |
610,958 |
|||||||||
General Mills, Inc., 2.25%, 10/14/31, Callable 7/14/31 @ 100 |
250,000 |
205,140 |
|||||||||
JBS USA
LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32,
Callable 2/15/32 @ 100 (a) |
250,000 |
192,418 |
|||||||||
Kraft Heinz Foods Co., 5.00%, 6/4/42 |
500,000 |
457,365 |
|||||||||
Sysco Corp., 2.45%, 12/14/31, Callable 9/14/31 @ 100 |
333,000 |
276,806 |
|||||||||
Unilever Capital Corp., 2.63%, 8/12/51, Callable 2/12/51 @ 100 |
500,000 |
361,805 |
|||||||||
Walgreens Boots Alliance, Inc., 4.10%, 4/15/50, Callable 10/15/49 @ 100 |
250,000 |
197,275 |
|||||||||
2,791,562 |
|||||||||||
Energy (1.2%): |
|||||||||||
Boardwalk Pipelines LP, 3.40%, 2/15/31, Callable 11/15/30 @ 100 (b) |
250,000 |
213,480 |
|||||||||
Hilcorp
Energy I LP/Hilcorp Finance Co., 6.25%, 11/1/28, Callable 11/1/23 @ 103.13 (a) |
267,000 |
248,307 |
|||||||||
Magellan Midstream Partners LP, 5.15%, 10/15/43, Callable 4/15/43 @ 100 (b) |
500,000 |
462,235 |
|||||||||
Midwest Connector Capital Co. LLC, 4.63%, 4/1/29, Callable 1/1/29 @ 100 (a) (b) |
500,000 |
472,035 |
|||||||||
Plains
All American Pipeline LP/PAA Finance Corp., 3.80%, 9/15/30, Callable 6/15/30 @ 100 (b) |
750,000 |
663,607 |
|||||||||
Viper Energy Partners LP, 5.38%, 11/1/27, Callable 11/1/22 @ 102.69 (a) |
500,000 |
480,965 |
|||||||||
2,540,629 |
|||||||||||
Financials (8.0%): |
|||||||||||
Alleghany Corp., 3.63%, 5/15/30, Callable 2/15/30 @ 100 (b) |
500,000 |
467,895 |
|||||||||
Ares Finance Co. IV LLC, 3.65%, 2/1/52, Callable 8/1/51 @ 100 (a) |
500,000 |
349,050 |
|||||||||
Bank of
America Corp., 3.85% (H15T5Y+200bps), 3/8/37, Callable 3/8/32 @ 100 (d) |
750,000 |
649,553 |
|||||||||
Blackstone
Holdings Finance Co. LLC, 2.55%, 3/30/32, Callable 12/30/31 @ 100 (a) |
500,000 |
418,945 |
|||||||||
Blackstone Private Credit Fund, 3.25%, 3/15/27, Callable 2/15/27 @ 100 (a) |
750,000 |
636,577 |
|||||||||
Blue Owl Finance LLC, 3.13%, 6/10/31, Callable 3/10/31 @ 100 (a) (b) |
1,250,000 |
961,212 |
|||||||||
Brown & Brown, Inc., 4.20%, 3/17/32, Callable 12/17/31 @ 100 |
250,000 |
227,598 |
|||||||||
Charles
Schwab Corp. The, 5.38% (H15T5Y+497bps), Callable 6/1/25 @ 100 (d) (g) |
250,000 |
247,933 |
|||||||||
Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100 |
500,000 |
398,700 |
|||||||||
Cullen/Frost Bankers, Inc., 4.50%, 3/17/27, Callable 2/17/27 @ 100 (b) |
500,000 |
495,820 |
|||||||||
F&G Global Funding, 2.00%, 9/20/28 (a) |
500,000 |
422,750 |
|||||||||
Fells Point Funding Trust, 3.05%, 1/31/27, Callable 12/31/26 @ 100 (a) |
500,000 |
461,005 |
|||||||||
Fifth Third Bancorp, 4.34% (SOFR+268bps), 4/25/33, Callable 4/25/32 @ 100 (d) |
217,000 |
206,434 |
|||||||||
Global
Atlantic Fin Co. 4.40%, 10/15/29, Callable 7/15/29 @ 100 (a) |
1,000,000 |
912,299 |
|||||||||
3.13%, 6/15/31, Callable 3/15/31 @ 100 (a) |
250,000 |
199,298 |
|||||||||
HUB International Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81 (a) |
450,000 |
377,033 |
|||||||||
Huntington
Bancshares, Inc., 2.49% (H15T5Y+117bps), 8/15/36, Callable 8/15/31 @ 100 (d) |
1,000,000 |
775,449 |
|||||||||
JPMorgan
Chase & Co., 2.96% (SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 (b) (d) |
750,000 |
649,035 |
|||||||||
KeyCorp., 4.79% (SOFR+273bps), 6/1/33, Callable 6/1/32 @ 100, MTN (d) |
189,000 |
186,328 |
|||||||||
Metropolitan Life Global Funding I, 2.40%, 1/11/32 (a) |
500,000 |
420,775 |
See notes to financial statements.
191
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Morgan
Stanley 1.93% (SOFR+102bps), 4/28/32, Callable 4/28/31 @ 100, MTN (d) |
$ |
250,000 |
$ |
198,328 |
|||||||
2.48% (SOFR+136bps), 9/16/36, Callable 9/16/31 @ 100 (b) (d) |
500,000 |
384,465 |
|||||||||
New York Life Global Funding, 1.85%, 8/1/31 (a) |
1,600,000 |
1,299,583 |
|||||||||
OWL
Rock Core Income Corp. 5.50%, 3/21/25 (a) |
500,000 |
479,790 |
|||||||||
4.70%, 2/8/27, Callable 1/8/27 @ 100 (a) |
375,000 |
343,110 |
|||||||||
Regions Financial Corp., 5.75% (H15T5Y+543bps), Callable 6/15/25 @ 100 (d) (g) |
250,000 |
248,653 |
|||||||||
State Street Corp., 1.68% (SOFR+56bps), 11/18/27, Callable 11/18/26 @ 100 (d) |
750,000 |
672,967 |
|||||||||
Texas
Capital Bancshares, Inc., 4.00% (H15T5Y+315bps), 5/6/31, Callable 5/6/26 @ 100 (d) |
500,000 |
457,410 |
|||||||||
The
Bank of New York Mellon Corp., 3.75% (H15T5Y+263bps), Callable 12/20/26 @ 100 (d) (g) |
500,000 |
410,775 |
|||||||||
The
Huntington National Bank, 5.50% (LIBOR03M+509bps), 5/6/30, Callable 5/6/25 @ 100 (d) |
750,000 |
755,715 |
|||||||||
The PNC
Financial Services Group, Inc. 2.31% (SOFR+98bps), 4/23/32, Callable 4/23/31 @ 100 (d) |
250,000 |
209,130 |
|||||||||
4.63% (SOFR+278bps), 6/6/33, Callable 6/6/32 @ 100 (d) |
250,000 |
241,715 |
|||||||||
Truist
Financial Corp. 5.10% (H15T10Y+435bps), Callable 3/1/30 @ 100 (b) (d) (g) |
1,000,000 |
911,079 |
|||||||||
4.95% (H15T5Y+461bps), Callable 9/1/25 @ 100 (d) (g) |
500,000 |
492,115 |
|||||||||
United Financial Bancorp, Inc., 5.75%, 10/1/24 |
300,000 |
295,794 |
|||||||||
Willis North America, Inc., 2.95%, 9/15/29, Callable 6/15/29 @ 100 |
500,000 |
428,190 |
|||||||||
17,292,508 |
|||||||||||
Health Care (3.1%): |
|||||||||||
Amgen, Inc., 3.00%, 1/15/52, Callable 7/15/51 @ 100 |
250,000 |
177,858 |
|||||||||
Baxter
International, Inc. 2.27%, 12/1/28, Callable 10/1/28 @ 100 (a) |
250,000 |
218,875 |
|||||||||
2.54%, 2/1/32, Callable 11/1/31 @ 100 (a) (b) |
250,000 |
210,868 |
|||||||||
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 |
660,000 |
541,173 |
|||||||||
Bio-Rad Laboratories, Inc., 3.70%, 3/15/32, Callable 12/15/31 @ 100 |
500,000 |
444,260 |
|||||||||
Centene Corp., 2.50%, 3/1/31, Callable 12/1/30 @ 100 |
1,000,000 |
798,340 |
|||||||||
CHS/Community
Health System, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38 (a) |
250,000 |
183,903 |
|||||||||
CVS Health Corp., 1.88%, 2/28/31, Callable 11/28/30 @ 100 |
1,000,000 |
801,789 |
|||||||||
DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31 (a) |
250,000 |
194,883 |
|||||||||
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100 |
750,000 |
633,420 |
|||||||||
HCA,
Inc. 3.50%, 9/1/30, Callable 3/1/30 @ 100 |
1,000,000 |
852,739 |
|||||||||
3.63%, 3/15/32, Callable 12/15/31 @ 100 (a) |
250,000 |
211,005 |
|||||||||
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100 |
750,000 |
609,615 |
|||||||||
Prestige Brands, Inc., 3.75%, 4/1/31, Callable 4/1/26 @ 101.88 (a) |
309,000 |
256,130 |
|||||||||
Royalty Pharma PLC, 2.15%, 9/2/31, Callable 6/2/31 @ 100 |
250,000 |
195,183 |
|||||||||
Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19 (a) |
50,000 |
42,479 |
|||||||||
Universal Health Services, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 (a) |
500,000 |
387,105 |
|||||||||
6,759,625 |
|||||||||||
Industrials (3.7%): |
|||||||||||
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100 |
250,000 |
198,108 |
|||||||||
Air Lease Corp., 2.88%, 1/15/32, Callable 10/15/31 @ 100 |
1,000,000 |
780,250 |
See notes to financial statements.
192
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, 4/20/29 (a) |
$ |
1,000,000 |
$ |
853,800 |
|||||||
Ashtead Capital, Inc., 2.45%, 8/12/31, Callable 5/12/31 @ 100 (a) |
250,000 |
191,243 |
|||||||||
CoStar Group, Inc., 2.80%, 7/15/30, Callable 4/15/30 @ 100 (a) |
250,000 |
210,143 |
|||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (a) |
500,000 |
471,920 |
|||||||||
GXO Logistics, Inc., 2.65%, 7/15/31 (a) |
1,000,000 |
777,500 |
|||||||||
Mileage
Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.,
6.50%, 6/20/27, Callable 6/30/23 @ 103.25 (a) (b) |
1,250,000 |
1,227,637 |
|||||||||
Molex Electronic Technologies LLC, 3.90%, 4/15/25, Callable 1/15/25 @ 100 (a) |
500,000 |
490,955 |
|||||||||
Pentair Finance Sarl, 5.90%, 7/15/32, Callable 4/15/32 @ 100 (c) |
250,000 |
250,155 |
|||||||||
Spirit
Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 9/20/25, Callable 9/20/23 @ 104 (a) |
500,000 |
514,235 |
|||||||||
The
Boeing Co. 3.63%, 2/1/31, Callable 11/1/30 @ 100 (b) |
750,000 |
649,110 |
|||||||||
5.81%, 5/1/50, Callable 11/1/49 @ 100 |
1,250,000 |
1,151,038 |
|||||||||
United Rentals North America, Inc., 3.88%, 2/15/31, Callable 8/15/25 @ 101.94 |
250,000 |
211,165 |
|||||||||
7,977,259 |
|||||||||||
Information Technology (3.0%): |
|||||||||||
Autodesk, Inc., 2.40%, 12/15/31, Callable 9/15/31 @ 100 |
350,000 |
285,096 |
|||||||||
Broadcom,
Inc. 2.60%, 2/15/33, Callable 11/15/32 @ 100 (a) (b) |
500,000 |
385,580 |
|||||||||
3.42%, 4/15/33, Callable 1/15/33 @ 100 (a) |
250,000 |
206,668 |
|||||||||
Global
Payments, Inc. 2.90%, 11/15/31, Callable 8/15/31 @ 100 |
500,000 |
409,240 |
|||||||||
4.15%, 8/15/49, Callable 2/15/49 @ 100 |
750,000 |
586,328 |
|||||||||
Micron Technology, Inc., 2.70%, 4/15/32, Callable 1/15/32 @ 100 |
250,000 |
199,638 |
|||||||||
Microsoft Corp., 2.53%, 6/1/50, Callable 12/1/49 @ 100 |
1,250,000 |
920,262 |
|||||||||
Oracle Corp., 3.60%, 4/1/50, Callable 10/1/49 @ 100 |
1,250,000 |
872,400 |
|||||||||
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a) |
500,000 |
395,345 |
|||||||||
TSMC Arizona Corp., 2.50%, 10/25/31, Callable 7/25/31 @ 100 |
1,000,000 |
859,559 |
|||||||||
Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 |
250,000 |
210,030 |
|||||||||
VMware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 (b) |
500,000 |
393,300 |
|||||||||
Western Digital Corp., 3.10%, 2/1/32, Callable 11/1/31 @ 100 |
200,000 |
153,218 |
|||||||||
Workday, Inc., 3.80%, 4/1/32, Callable 1/1/32 @ 100 |
250,000 |
228,600 |
|||||||||
6,105,264 |
|||||||||||
Materials (1.4%): |
|||||||||||
Albemarle Corp., 5.05%, 6/1/32, Callable 3/1/32 @ 100 |
250,000 |
244,115 |
|||||||||
Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100 |
1,000,000 |
816,140 |
|||||||||
AptarGroup, Inc., 3.60%, 3/15/32, Callable 12/15/31 @ 100 |
507,000 |
450,140 |
|||||||||
Avery Dennison Corp., 2.25%, 2/15/32, Callable 11/15/31 @ 100 |
500,000 |
393,150 |
|||||||||
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (b) |
750,000 |
591,743 |
|||||||||
Reliance Steel & Aluminum Co., 2.15%, 8/15/30, Callable 5/15/30 @ 100 |
355,000 |
287,500 |
|||||||||
Vulcan Materials Co., 4.50%, 6/15/47, Callable 12/15/46 @ 100 |
250,000 |
222,490 |
|||||||||
3,005,278 |
|||||||||||
Real Estate (3.4%): |
|||||||||||
Alexandria Real Estate Equities, Inc., 1.88%, 2/1/33, Callable 11/1/32 @ 100 |
1,500,000 |
1,128,359 |
|||||||||
Boston
Properties LP 2.55%, 4/1/32, Callable 1/1/32 @ 100 (b) |
250,000 |
198,273 |
|||||||||
2.45%, 10/1/33, Callable 7/1/33 @ 100 |
500,000 |
382,830 |
See notes to financial statements.
193
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 |
$ |
250,000 |
$ |
201,563 |
|||||||
Crown Castle International Corp., 2.90%, 4/1/41, Callable 10/1/40 @ 100 |
750,000 |
543,113 |
|||||||||
Equinix, Inc., 3.90%, 4/15/32, Callable 1/15/32 @ 100 |
250,000 |
226,105 |
|||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/32, Callable 10/15/31 @ 100 |
733,000 |
588,554 |
|||||||||
Healthpeak Properties, Inc., 2.13%, 12/1/28, Callable 10/1/28 @ 100 |
500,000 |
431,925 |
|||||||||
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100 |
500,000 |
426,600 |
|||||||||
Invitation
Homes Operating Partnership LP, 2.70%, 1/15/34, Callable 10/15/33 @ 100 |
500,000 |
384,450 |
|||||||||
RHP
Hotel Properties LP/RHP Finance Corp., 4.50%, 2/15/29, Callable 2/15/24 @ 102.25 (a) |
500,000 |
423,790 |
|||||||||
RLJ Lodging Trust LP, 3.75%, 7/1/26, Callable 7/1/23 @ 101.88 (a) |
250,000 |
219,718 |
|||||||||
SBA Tower Trust, 2.59%, 10/15/31 (a) |
500,000 |
432,946 |
|||||||||
Simon Property Group LP, 2.25%, 1/15/32, Callable 10/15/31 @ 100 (b) |
1,000,000 |
796,249 |
|||||||||
VICI
Properties LP/VICI Note Co., Inc., 4.13%, 8/15/30, Callable 2/15/25 @ 102.06 (a) |
914,000 |
787,603 |
|||||||||
7,172,078 |
|||||||||||
Utilities (1.0%): |
|||||||||||
Duke Energy Corp., 2.55%, 6/15/31, Callable 3/15/31 @ 100 |
250,000 |
207,848 |
|||||||||
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) |
500,000 |
410,940 |
|||||||||
Entergy Corp., 2.40%, 6/15/31, Callable 3/5/31 @ 100 |
1,000,000 |
813,620 |
|||||||||
NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100 (a) (b) |
750,000 |
671,025 |
|||||||||
2,103,433 |
|||||||||||
Total Corporate Bonds (Cost $78,720,560) |
67,980,578 |
||||||||||
Yankee Dollars (5.9%) |
|||||||||||
Communication Services (0.7%): |
|||||||||||
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a) |
1,250,000 |
1,109,725 |
|||||||||
Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100 (a) |
500,000 |
457,910 |
|||||||||
1,567,635 |
|||||||||||
Consumer Discretionary (0.2%): |
|||||||||||
Royal Caribbean Cruises Ltd., 5.50%, 4/1/28, Callable 10/1/27 @ 100 (a) |
500,000 |
347,470 |
|||||||||
Consumer Staples (0.2%): |
|||||||||||
Becle SAB de CV, 2.50%, 10/14/31, Callable 7/14/31 @ 100 (a) |
500,000 |
411,585 |
|||||||||
Financials (3.3%): |
|||||||||||
Bank of Montreal, 3.09% (H15T5Y+140bps), 1/10/37, Callable 1/10/32 @ 100 (d) |
500,000 |
408,970 |
|||||||||
Barclays
PLC 2.28% (H15T1Y+105bps), 11/24/27, Callable 11/24/26 @ 100 (d) |
500,000 |
443,605 |
|||||||||
3.56% (H15T5Y+66bps), 9/23/35, Callable 9/23/30 @ 100 (d) |
250,000 |
198,500 |
|||||||||
BP
Capital Markets PLC, 4.38% (H15T5Y+404bps), Callable 6/22/25 @ 100 (b) (d) (g) |
500,000 |
472,125 |
|||||||||
Brookfield Finance I UK PLC, 2.34%, 1/30/32, Callable 10/30/31 @ 100 |
250,000 |
200,933 |
|||||||||
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100 |
600,000 |
508,500 |
|||||||||
Credit
Suisse Group AG, 3.09% (SOFR+173bps), 5/14/32, Callable 5/14/31 @ 100 (a) (d) |
500,000 |
399,870 |
|||||||||
Deutsche
Bank AG 2.31% (SOFR+122bps), 11/16/27, Callable 11/16/26 @ 100 (d) |
500,000 |
431,345 |
|||||||||
3.74% (SOFR+226bps), 1/7/33, Callable 10/7/31 @ 100 (d) |
1,000,000 |
739,330 |
See notes to financial statements.
194
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
JAB Holdings BV, 3.75%, 5/28/51, Callable 11/28/50 @ 100 (a) |
$ |
250,000 |
$ |
173,043 |
|||||||
Lloyds
Banking Group PLC, 3.75% (H15T1Y+180bps), 3/18/28, Callable 3/18/27 @ 100 (d) |
500,000 |
475,514 |
|||||||||
Macquarie
Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (d) |
500,000 |
401,200 |
|||||||||
Mizuho Financial Group, Inc., 2.56%, 9/13/31 |
500,000 |
400,000 |
|||||||||
NXP
BV/NXP Funding LLC/NXP USA, Inc., 2.65%, 2/15/32, Callable 11/15/31 @ 100 (a) (b) |
500,000 |
410,930 |
|||||||||
Societe
Generale SA 3.34% (H15T1Y+160bps), 1/21/33, Callable 1/21/32 @ 100 (a) (d) |
500,000 |
409,425 |
|||||||||
4.03% (H15T1Y+190bps), 1/21/43, Callable 1/21/42 @ 100 (a) (d) |
500,000 |
353,995 |
|||||||||
Westpac
Banking Corp., 3.02% (H15T5Y+153bps), 11/18/36, Callable 11/18/31 @ 100 (d) |
750,000 |
604,575 |
|||||||||
7,031,860 |
|||||||||||
Health Care (0.4%): |
|||||||||||
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100 |
250,000 |
198,175 |
|||||||||
STERIS Irish FinCo Unlimited Co., 2.70%, 3/15/31, Callable 12/15/30 @ 100 |
650,000 |
548,704 |
|||||||||
746,879 |
|||||||||||
Industrials (0.4%): |
|||||||||||
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100 (b) |
500,000 |
460,565 |
|||||||||
Ferguson Finance PLC, 4.65%, 4/20/32, Callable 1/20/32 @ 100 (a) |
500,000 |
470,320 |
|||||||||
930,885 |
|||||||||||
Real Estate (0.7%): |
|||||||||||
Ontario
Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31,
Callable 7/15/31 @ 100 (a) |
1,792,000 |
1,526,084 |
|||||||||
Total Yankee Dollars (Cost $14,958,013) |
12,562,398 |
||||||||||
Municipal Bonds (0.7%) |
|||||||||||
Alabama (0.1%): |
|||||||||||
Homewood Educational Building Authority Revenue, 2.25%, 12/1/29 |
250,000 |
214,233 |
|||||||||
Louisiana (0.1%): |
|||||||||||
Louisiana
Local Government Environmental Facilities & Community Development Authority Revenue, Series A, 4.48%, 8/1/39 |
145,000 |
148,176 |
|||||||||
Montana (0.1%): |
|||||||||||
Montana Facility Finance Authority Revenue, 2.44%, 8/15/31 |
250,000 |
210,033 |
|||||||||
New York (0.1%): |
|||||||||||
New York City Housing Development Corp. Revenue, 3.76%, 1/1/29 (c) |
250,000 |
242,152 |
|||||||||
South Carolina (0.1%): |
|||||||||||
County of Charleston SC Revenue, 1.92%, 12/1/29 |
250,000 |
220,339 |
|||||||||
Texas (0.2%): |
|||||||||||
Central Texas Regional Mobility Authority Revenue, 1.34%, 1/1/25 |
250,000 |
235,250 |
|||||||||
Dallas
Fort Worth International Airport Revenue, 2.44%, 11/1/32, Continuously Callable @ 100 |
350,000 |
298,122 |
|||||||||
533,372 |
|||||||||||
Total Municipal Bonds (Cost $1,743,305) |
1,568,305 |
See notes to financial statements.
195
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
U.S. Government Agency Mortgages (2.1%) |
|||||||||||
Federal
National Mortgage Association 4.00%, 5/1/52 |
$ |
1,983,754 |
$ |
1,957,472 |
|||||||
4.50%, 6/1/52 |
1,495,136 |
1,503,403 |
|||||||||
5.50%, 6/1/52 |
499,855 |
520,310 |
|||||||||
6.00%, 7/1/52 |
500,000 |
523,824 |
|||||||||
4,505,009 |
|||||||||||
Total U.S. Government Agency Mortgages (Cost $4,553,041) |
4,505,009 |
||||||||||
U.S. Treasury Obligations (19.2%) |
|||||||||||
U.S.
Treasury Bonds 1.38%, 11/15/40 |
2,500,000 |
1,800,000 |
|||||||||
1.75%, 8/15/41 (b) |
14,000,000 |
10,646,562 |
|||||||||
1.25%, 5/15/50 (b) |
1,000,000 |
636,094 |
|||||||||
2.00%, 8/15/51 |
700,000 |
541,078 |
|||||||||
U.S.
Treasury Notes 0.38%, 7/31/27 (b) |
1,200,000 |
1,048,688 |
|||||||||
1.25%, 9/30/28 |
10,500,000 |
9,404,883 |
|||||||||
2.38%, 3/31/29 |
8,500,000 |
8,138,750 |
|||||||||
0.63%, 8/15/30 (b) |
750,000 |
621,797 |
|||||||||
1.25%, 8/15/31 (b) |
3,750,000 |
3,227,930 |
|||||||||
1.88%, 2/15/32 |
5,500,000 |
4,982,656 |
|||||||||
Total U.S. Treasury Obligations (Cost $43,966,394) |
41,048,438 |
||||||||||
Total Investments (Cost $233,644,911) ? 98.9% |
211,271,855 |
||||||||||
Other assets in excess of liabilities ? 1.1% |
2,457,293 |
||||||||||
NET ASSETS ? 100.00% |
$ |
213,729,148 |
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $98,945,120 and amounted to 46.3% of net assets.
(b) All or a portion of this security has been segregated as collateral for derivative instruments, delayed delivered and/or when-issued securities.
(c) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(d) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(e) The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate disclosed is the rate in effect at June 30, 2022.
(f) The rates for this senior secured loan will be known on settlement date of the loan, subsequent to this report date. Senior secured loans have rates that will fluctuate over time in line with prevailing interest rates.
(g) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
bps ? Basis points
See notes to financial statements.
196
Victory Portfolios
II VictoryShares ESG Core Plus Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
H15T1Y ? 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T5Y ? 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T10Y ? 10 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
LIBOR ? London Interbank Offered Rate
LIBOR01M ? 1 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LIBOR03M ? 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC ? Limited Liability Company
LP ? Limited Partnership
MTN ? Medium Term Note
PLC ? Public Limited Company
SOFR ? Secured Overnight Financing Rate
SOFR01M ? 1 Month SOFR, rate disclosed as of June 30, 2022
SOFR03M ? 3 Month SOFR, rate disclosed as of June 30, 2022
SOFR06M ? 6 Month SOFR, rate disclosed as of June 30, 2022
TSFR1M ? 1 month Term SOFR, rate disclosed as of June 30, 2022.
TSFR3M ? 3 month Term SOFR, rate disclosed as of June 30, 2022.
Futures Contracts Purchased |
|||||||||||||||||||||||
Number
of Contracts |
Expiration Date |
Notional Amount |
Value |
Unrealized
Appreciation (Depreciation) |
|||||||||||||||||||
10-Year U.S. Treasury Note Futures |
10 |
9/21/22 |
$ |
1,193,291 |
$ |
1,185,313 |
$ |
(7,978 |
) |
||||||||||||||
30-Year U.S. Treasury Bond Futures |
30 |
9/21/22 |
4,071,452 |
4,158,750 |
87,298 |
||||||||||||||||||
$ |
79,320 |
||||||||||||||||||||||
Total unrealized appreciation |
$ |
87,298 |
|||||||||||||||||||||
Total unrealized depreciation |
(7,978 |
) |
|||||||||||||||||||||
Total net unrealized appreciation (depreciation) |
$ |
79,320 |
See notes to financial statements.
197
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Corporate Bonds (81.8%) |
|||||||||||
Communication Services (8.5%): |
|||||||||||
AT&T, Inc., 3.10%, 2/1/43, Callable 8/1/42 @ 100 |
$ |
2,000,000 |
$ |
1,488,160 |
|||||||
Charter
Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 |
750,000 |
671,888 |
|||||||||
Comcast Corp., 2.89%, 11/1/51, Callable 5/1/51 @ 100 (a) |
1,000,000 |
715,140 |
|||||||||
Discovery Communications LLC, 3.95%, 3/20/28, Callable 12/20/27 @ 100 |
500,000 |
467,595 |
|||||||||
Netflix, Inc., 4.88%, 6/15/30, Callable 3/15/30 @ 100 (a) |
78,000 |
71,584 |
|||||||||
Rogers Communications, Inc., 4.50%, 3/15/42, Callable 9/15/41 @ 100 (a) |
500,000 |
445,025 |
|||||||||
The Walt Disney Co., 2.20%, 1/13/28 |
1,000,000 |
906,350 |
|||||||||
T-Mobile
USA, Inc. 2.55%, 2/15/31, Callable 11/15/30 @ 100 |
1,500,000 |
1,261,875 |
|||||||||
2.25%, 11/15/31, Callable 8/15/31 @ 100 |
500,000 |
406,095 |
|||||||||
Verizon
Communications, Inc. 1.75%, 1/20/31, Callable 10/20/30 @ 100 |
1,000,000 |
803,130 |
|||||||||
2.88%, 11/20/50, Callable 5/20/50 @ 100 |
1,000,000 |
709,710 |
|||||||||
ViacomCBS, Inc., 3.38%, 2/15/28, Callable 11/15/27 @ 100 |
1,000,000 |
918,930 |
|||||||||
8,865,482 |
|||||||||||
Consumer Discretionary (6.4%): |
|||||||||||
Advance Auto Parts, Inc., 3.50%, 3/15/32, Callable 12/15/31 @ 100 |
250,000 |
214,510 |
|||||||||
Amazon.com, Inc., 2.88%, 5/12/41, Callable 11/12/40 @ 100 |
500,000 |
400,935 |
|||||||||
AutoNation, Inc., 3.85%, 3/1/32, Callable 12/1/31 @ 100 |
500,000 |
431,385 |
|||||||||
Daimler Trucks Finance North America LLC, 2.38%, 12/14/28 (a) |
350,000 |
301,431 |
|||||||||
General Motors Financial Co., Inc., 4.30%, 4/6/29, Callable 2/6/29 @ 100 |
500,000 |
460,685 |
|||||||||
Genuine Parts Co., 2.75%, 2/1/32, Callable 11/1/31 @ 100 |
167,000 |
138,289 |
|||||||||
GSK
Consumer Healthcare Capital US LLC, 3.38%, 3/24/29, Callable 1/24/29 @ 100 (a) |
500,000 |
467,395 |
|||||||||
Hasbro, Inc., 3.55%, 11/19/26, Callable 9/19/26 @ 100 |
500,000 |
477,775 |
|||||||||
Kohl's Corp., 3.38%, 5/1/31, Callable 2/1/31 @ 100 |
250,000 |
216,388 |
|||||||||
Lowe's Cos., Inc., 2.80%, 9/15/41, Callable 3/15/41 @ 100 |
1,000,000 |
724,390 |
|||||||||
Magallanes, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100 (a) |
389,000 |
330,821 |
|||||||||
Marriott International, Inc., 3.50%, 10/15/32, Callable 7/15/32 @ 100 (b) |
500,000 |
431,035 |
|||||||||
Sodexo, Inc., 2.72%, 4/16/31, Callable 1/16/31 @ 100 (a) |
500,000 |
420,060 |
|||||||||
The Home Depot, Inc., 2.38%, 3/15/51, Callable 9/15/50 @ 100 |
600,000 |
405,336 |
|||||||||
Tractor Supply Co., 1.75%, 11/1/30, Callable 8/1/30 @ 100 |
500,000 |
392,610 |
|||||||||
VF Corp., 2.95%, 4/23/30, Callable 1/23/30 @ 100 |
500,000 |
437,505 |
|||||||||
Volkswagen
Group of America Finance LLC, 4.60%, 6/8/29, Callable 4/8/29 @ 100 (a) |
500,000 |
486,855 |
|||||||||
6,737,405 |
|||||||||||
Consumer Staples (3.5%): |
|||||||||||
Anheuser-Busch
InBev Worldwide, Inc. 3.50%, 6/1/30, Callable 3/1/30 @ 100 |
750,000 |
702,809 |
|||||||||
3.75%, 7/15/42 (b) |
750,000 |
610,958 |
|||||||||
Bunge Ltd. Finance Corp., 2.75%, 5/14/31, Callable 2/14/31 @ 100 |
500,000 |
412,415 |
|||||||||
Church & Dwight Co., Inc., 2.30%, 12/15/31, Callable 9/15/31 @ 100 |
250,000 |
210,925 |
|||||||||
General Mills, Inc., 2.25%, 10/14/31, Callable 7/14/31 @ 100 |
750,000 |
615,420 |
See notes to financial statements.
198
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Keurig
Dr Pepper, Inc. 3.95%, 4/15/29, Callable 2/15/29 @ 100 |
$ |
250,000 |
$ |
238,688 |
|||||||
4.50%, 4/15/52, Callable 10/15/51 @ 100 |
75,000 |
66,052 |
|||||||||
McCormick & Co., Inc., 1.85%, 2/15/31, Callable 11/15/30 @ 100 |
500,000 |
397,305 |
|||||||||
Sysco Corp., 2.45%, 12/14/31, Callable 9/14/31 @ 100 |
500,000 |
415,625 |
|||||||||
3,670,197 |
|||||||||||
Energy (0.9%): |
|||||||||||
Boardwalk Pipelines LP, 4.95%, 12/15/24, Callable 9/15/24 @ 100 |
500,000 |
503,830 |
|||||||||
Plains
All American Pipeline LP/PAA Finance Corp., 3.80%, 9/15/30, Callable 6/15/30 @ 100 (b) |
500,000 |
442,405 |
|||||||||
946,235 |
|||||||||||
Financials (23.0%): |
|||||||||||
American
Express Co., 4.99% (SOFR+226bps), 5/26/33, Callable 2/26/32 @ 100 (c) |
500,000 |
499,785 |
|||||||||
AmFam Holdings, Inc., 2.81%, 3/11/31, Callable 12/11/30 @ 100 (a) |
500,000 |
417,455 |
|||||||||
Assurant, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100 |
250,000 |
195,130 |
|||||||||
Bank of
America Corp. 3.42% (LIBOR03M+104bps), 12/20/28, Callable 12/20/27 @ 100 (c) |
2,000,000 |
1,862,900 |
|||||||||
2.69% (SOFR+110bps), 4/22/32, Callable 4/22/31 @ 100 (b) (c) |
2,000,000 |
1,680,540 |
|||||||||
2.57% (SOFR+121bps), 10/20/32, Callable 10/20/31 @ 100 (b) (c) |
250,000 |
206,285 |
|||||||||
Blue Owl Finance LLC, 3.13%, 6/10/31, Callable 3/10/31 @ 100 (a) (b) |
250,000 |
192,243 |
|||||||||
BMW US Capital LLC, 3.70%, 4/1/32, Callable 1/1/32 @ 100 (a) |
500,000 |
470,205 |
|||||||||
Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100 (a) |
250,000 |
230,683 |
|||||||||
Cullen/Frost Bankers, Inc., 4.50%, 3/17/27, Callable 2/17/27 @ 100 (b) |
500,000 |
495,820 |
|||||||||
F&G Global Funding, 2.00%, 9/20/28 (a) |
250,000 |
211,375 |
|||||||||
Fells Point Funding Trust, 3.05%, 1/31/27, Callable 12/31/26 @ 100 (a) |
750,000 |
691,508 |
|||||||||
First American Financial Corp., 2.40%, 8/15/31, Callable 5/15/31 @ 100 |
500,000 |
382,810 |
|||||||||
GA Global Funding Trust, 1.63%, 1/15/26 (a) |
500,000 |
450,265 |
|||||||||
GlaxoSmithKline Capital, Inc., 4.20%, 3/18/43 |
500,000 |
471,125 |
|||||||||
Global Atlantic Fin Co., 3.13%, 6/15/31, Callable 3/15/31 @ 100 (a) |
250,000 |
199,298 |
|||||||||
Huntington
Bancshares, Inc., 2.49% (H15T5Y+117bps), 8/15/36, Callable 8/15/31 @ 100 (c) |
500,000 |
387,725 |
|||||||||
JPMorgan
Chase & Co. 2.96% (SOFR+252bps), 5/13/31, Callable 5/13/30 @ 100 (b) (c) |
250,000 |
216,345 |
|||||||||
1.95% (SOFR+107bps), 2/4/32, Callable 2/4/31 @ 100 (c) |
3,000,000 |
2,396,279 |
|||||||||
3.33% (SOFR+158bps), 4/22/52, Callable 4/22/51 @ 100 (c) |
1,000,000 |
764,570 |
|||||||||
JPMorgan
Chase Co., 2.95% (SOFR+117bps), 2/24/28, Callable 2/24/27 @ 100 (c) |
500,000 |
463,265 |
|||||||||
KeyBank NA, 3.90%, 4/13/29 |
500,000 |
471,320 |
|||||||||
Level 3 Financing, Inc., 3.88%, 11/15/29, Callable 8/15/29 @ 100 (a) |
500,000 |
416,980 |
|||||||||
MetLife, Inc., 4.13%, 8/13/42 |
500,000 |
449,294 |
|||||||||
Metropolitan Life Global Funding I, 3.30%, 3/21/29 (a) |
500,000 |
467,939 |
|||||||||
Morgan
Stanley 1.59% (SOFR+88bps), 5/4/27, Callable 5/4/26 @ 100 (b) (c) |
2,500,000 |
2,229,974 |
|||||||||
1.93% (SOFR+102bps), 4/28/32, Callable 4/28/31 @ 100, MTN (c) |
500,000 |
396,655 |
|||||||||
2.48% (SOFR+136bps), 9/16/36, Callable 9/16/31 @ 100 (b) (c) |
250,000 |
192,233 |
|||||||||
2.80% (SOFR+143bps), 1/25/52, Callable 1/25/51 @ 100 (c) |
1,000,000 |
692,049 |
|||||||||
New York Life Global Funding, 1.85%, 8/1/31 (a) |
500,000 |
406,120 |
|||||||||
OWL Rock Core Income Corp., 4.70%, 2/8/27, Callable 1/8/27 @ 100 (a) |
375,000 |
343,110 |
See notes to financial statements.
199
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Prudential Financial, Inc., 3.94%, 12/7/49, Callable 6/7/49 @ 100 |
$ |
500,000 |
$ |
430,785 |
|||||||
Regions Bank, 6.45%, 6/26/37 |
1,000,000 |
1,118,520 |
|||||||||
Stewart Information Services Corp., 3.60%, 11/15/31, Callable 8/15/31 @ 100 |
250,000 |
207,313 |
|||||||||
The
Allstate Corp., 5.75% (LIBOR03M+294bps), 8/15/53, Callable 8/15/23 @ 100 (c) |
500,000 |
443,989 |
|||||||||
The PNC
Financial Services Group, Inc., 2.55%, 1/22/30, Callable 10/24/29 @ 100 |
500,000 |
434,890 |
|||||||||
Truist
Financial Corp. 5.10% (H15T10Y+435bps), Callable 3/1/30 @ 100 (b) (c) (d) |
500,000 |
455,540 |
|||||||||
1.89% (SOFR+63bps), 6/7/29, Callable 6/7/28 @ 100, MTN (c) |
1,000,000 |
858,980 |
|||||||||
U.S. Bancorp, 3.10%, 4/27/26, Callable 3/27/26 @ 100, MTN |
500,000 |
482,300 |
|||||||||
W R Berkley Corp., 3.55%, 3/30/52, Callable 9/30/51 @ 100 |
250,000 |
192,513 |
|||||||||
Webster Financial Corp., 4.10%, 3/25/29, Callable 12/25/28 @ 100 |
500,000 |
473,675 |
|||||||||
24,049,790 |
|||||||||||
Health Care (7.3%): |
|||||||||||
AbbVie, Inc., 4.25%, 11/21/49, Callable 5/21/49 @ 100 (b) |
500,000 |
443,185 |
|||||||||
Amgen,
Inc. 1.65%, 8/15/28, Callable 6/15/28 @ 100 |
500,000 |
429,095 |
|||||||||
4.20%, 2/22/52, Callable 8/22/51 @ 100 |
250,000 |
219,340 |
|||||||||
Baxter International, Inc., 2.54%, 2/1/32, Callable 11/1/31 @ 100 (a) (b) |
250,000 |
210,868 |
|||||||||
Bio Rad Laboratories, Inc., 3.30%, 3/15/27, Callable 2/15/27 @ 100 |
250,000 |
236,253 |
|||||||||
Biogen, Inc., 2.25%, 5/1/30, Callable 2/1/30 @ 100 |
250,000 |
204,990 |
|||||||||
Bristol-Myers Squibb Co., 2.55%, 11/13/50, Callable 5/13/50 @ 100 |
500,000 |
353,535 |
|||||||||
Cigna Corp., 3.40%, 3/1/27, Callable 12/1/26 @ 100 |
500,000 |
480,785 |
|||||||||
CVS Health Corp., 3.25%, 8/15/29, Callable 5/15/29 @ 100 (b) |
2,000,000 |
1,826,600 |
|||||||||
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30, Callable 3/1/30 @ 100 |
1,000,000 |
844,560 |
|||||||||
Fresenius
Medical Care U.S. Finance III, Inc., 2.38%, 2/16/31, Callable 11/16/30 @ 100 (a) |
500,000 |
390,650 |
|||||||||
HCA,
Inc. 4.50%, 2/15/27, Callable 8/15/26 @ 100 |
250,000 |
240,563 |
|||||||||
4.38%, 3/15/42, Callable 9/15/41 @ 100 (a) |
94,000 |
74,597 |
|||||||||
Illumina, Inc., 2.55%, 3/23/31, Callable 12/23/30 @ 100 |
500,000 |
406,410 |
|||||||||
Mylan NV, 3.95%, 6/15/26, Callable 3/15/26 @ 100 |
500,000 |
471,420 |
|||||||||
PerkinElmer, Inc., 2.55%, 3/15/31, Callable 12/15/30 @ 100 |
500,000 |
407,205 |
|||||||||
Roche Holdings, Inc., 1.93%, 12/13/28, Callable 10/13/28 @ 100 (a) |
500,000 |
443,250 |
|||||||||
7,683,306 |
|||||||||||
Industrials (7.4%): |
|||||||||||
Acuity Brands Lighting, Inc., 2.15%, 12/15/30, Callable 9/15/30 @ 100 |
750,000 |
594,323 |
|||||||||
Air Lease Corp., 2.88%, 1/15/32, Callable 10/15/31 @ 100 |
250,000 |
195,063 |
|||||||||
Burlington
Northern Santa Fe LLC 3.65%, 9/1/25, Callable 6/1/25 @ 100 |
500,000 |
502,280 |
|||||||||
3.90%, 8/1/46, Callable 2/1/46 @ 100 |
500,000 |
443,800 |
|||||||||
Carlisle Cos., Inc., 2.75%, 3/1/30, Callable 12/1/29 @ 100 |
500,000 |
420,005 |
|||||||||
Carrier Global Corp., 3.38%, 4/5/40, Callable 10/5/39 @ 100 |
750,000 |
589,043 |
|||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (a) |
250,000 |
235,960 |
|||||||||
Fortune
Brands Home & Security, Inc., 4.00%, 3/25/32, Callable 12/25/31 @ 100 |
250,000 |
221,355 |
|||||||||
GXO Logistics, Inc., 2.65%, 7/15/31 (a) |
750,000 |
583,125 |
|||||||||
Hubbell, Inc., 2.30%, 3/15/31, Callable 12/15/30 @ 100 |
500,000 |
419,390 |
See notes to financial statements.
200
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
IDEX Corp., 3.00%, 5/1/30, Callable 2/1/30 @ 100 |
$ |
500,000 |
$ |
434,905 |
|||||||
Otis Worldwide Corp., 3.11%, 2/15/40, Callable 8/15/39 @ 100 |
500,000 |
387,695 |
|||||||||
Pentair Finance Sarl, 5.90%, 7/15/32, Callable 4/15/32 @ 100 (e) |
500,000 |
500,310 |
|||||||||
Quanta
Services, Inc. 2.90%, 10/1/30, Callable 7/1/30 @ 100 |
500,000 |
411,700 |
|||||||||
2.35%, 1/15/32, Callable 10/15/31 @ 100 |
250,000 |
192,655 |
|||||||||
Ryder System, Inc., 2.85%, 3/1/27, Callable 2/1/27 @ 100, MTN |
500,000 |
463,870 |
|||||||||
The Boeing Co., 3.63%, 2/1/31, Callable 11/1/30 @ 100 (b) |
750,000 |
649,110 |
|||||||||
The Timken Co., 4.13%, 4/1/32, Callable 1/1/32 @ 100 |
400,000 |
362,412 |
|||||||||
7,607,001 |
|||||||||||
Information Technology (7.5%): |
|||||||||||
Autodesk, Inc., 2.40%, 12/15/31, Callable 9/15/31 @ 100 |
750,000 |
610,920 |
|||||||||
Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100 (a) (b) |
1,000,000 |
771,160 |
|||||||||
Dell, Inc., 5.40%, 9/10/40 (b) |
500,000 |
438,630 |
|||||||||
HP, Inc., 4.00%, 4/15/29, Callable 2/15/29 @ 100 |
500,000 |
467,970 |
|||||||||
Jabil, Inc., 3.00%, 1/15/31, Callable 10/15/30 @ 100 |
500,000 |
417,770 |
|||||||||
Micron Technology, Inc., 2.70%, 4/15/32, Callable 1/15/32 @ 100 |
500,000 |
399,275 |
|||||||||
Microsoft
Corp. 3.45%, 8/8/36, Callable 2/8/36 @ 100 |
500,000 |
472,150 |
|||||||||
2.53%, 6/1/50, Callable 12/1/49 @ 100 |
250,000 |
184,053 |
|||||||||
Oracle
Corp. 1.65%, 3/25/26, Callable 2/25/26 @ 100 |
1,000,000 |
895,690 |
|||||||||
2.95%, 4/1/30, Callable 1/1/30 @ 100 |
500,000 |
426,800 |
|||||||||
3.60%, 4/1/50, Callable 10/1/49 @ 100 |
250,000 |
174,480 |
|||||||||
Qorvo, Inc., 3.38%, 4/1/31, Callable 4/1/26 @ 101.69 (a) |
1,000,000 |
790,690 |
|||||||||
TSMC Arizona Corp., 2.50%, 10/25/31, Callable 7/25/31 @ 100 |
1,000,000 |
859,560 |
|||||||||
VMware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 (b) |
500,000 |
393,300 |
|||||||||
Western Digital Corp., 3.10%, 2/1/32, Callable 11/1/31 @ 100 |
100,000 |
76,609 |
|||||||||
Workday, Inc., 3.70%, 4/1/29, Callable 2/1/29 @ 100 |
500,000 |
468,640 |
|||||||||
7,847,697 |
|||||||||||
Materials (5.3%): |
|||||||||||
Albemarle Corp., 4.65%, 6/1/27, Callable 5/1/27 @ 100 |
500,000 |
492,215 |
|||||||||
AptarGroup, Inc., 3.60%, 3/15/32, Callable 12/15/31 @ 100 |
338,000 |
300,093 |
|||||||||
Avery Dennison Corp., 2.25%, 2/15/32, Callable 11/15/31 @ 100 |
500,000 |
393,150 |
|||||||||
Bayport Polymers LLC, 4.74%, 4/14/27, Callable 3/14/27 @ 100 (a) |
500,000 |
486,895 |
|||||||||
Eagle Materials, Inc., 2.50%, 7/1/31, Callable 4/1/31 @ 100 (b) |
250,000 |
197,248 |
|||||||||
Ecolab,
Inc. 1.65%, 2/1/27, Callable 1/1/27 @ 100 |
234,000 |
214,009 |
|||||||||
2.70%, 12/15/51, Callable 6/15/51 @ 100 |
250,000 |
178,610 |
|||||||||
LYB International Finance III LLC, 2.25%, 10/1/30, Callable 7/1/30 @ 100 |
500,000 |
412,285 |
|||||||||
Nucor Corp., 4.30%, 5/23/27, Callable 4/23/27 @ 100 |
500,000 |
498,060 |
|||||||||
Packaging Corp. of America, 3.05%, 10/1/51, Callable 4/1/51 @ 100 |
750,000 |
530,663 |
|||||||||
Reliance Steel & Aluminum Co., 2.15%, 8/15/30, Callable 5/15/30 @ 100 |
500,000 |
404,930 |
|||||||||
The Dow Chemical Co., 4.25%, 10/1/34, Callable 4/1/34 @ 100 |
500,000 |
473,945 |
|||||||||
WRKCo, Inc., 3.00%, 6/15/33, Callable 3/15/33 @ 100 (b) |
1,000,000 |
842,530 |
|||||||||
5,424,633 |
See notes to financial statements.
201
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Real Estate (5.1%): |
|||||||||||
Alexandria Real Estate Equities, Inc., 2.00%, 5/18/32, Callable 2/18/32 @ 100 |
$ |
1,000,000 |
$ |
789,829 |
|||||||
American Tower Corp., 1.50%, 1/31/28, Callable 11/30/27 @ 100 |
500,000 |
415,660 |
|||||||||
Boston Properties LP, 2.55%, 4/1/32, Callable 1/1/32 @ 100 (b) |
500,000 |
396,545 |
|||||||||
CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 |
250,000 |
201,563 |
|||||||||
Crown
Castle International Corp. 2.90%, 3/15/27, Callable 2/15/27 @ 100 |
250,000 |
231,325 |
|||||||||
2.25%, 1/15/31, Callable 10/15/30 @ 100 |
250,000 |
202,888 |
|||||||||
2.90%, 4/1/41, Callable 10/1/40 @ 100 |
250,000 |
181,038 |
|||||||||
ERP Operating LP, 2.85%, 11/1/26, Callable 8/1/26 @ 100 |
500,000 |
473,854 |
|||||||||
Essex Portfolio LP, 2.65%, 3/15/32, Callable 12/15/31 @ 100 |
1,000,000 |
827,419 |
|||||||||
GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/32, Callable 10/15/31 @ 100 |
117,000 |
93,944 |
|||||||||
Host Hotels & Resorts LP, 3.50%, 9/15/30, Callable 6/15/30 @ 100 |
500,000 |
426,600 |
|||||||||
Kilroy Realty LP, 2.65%, 11/15/33, Callable 8/15/33 @ 100 |
500,000 |
387,780 |
|||||||||
Physicians
Realty LP 4.30%, 3/15/27, Callable 12/15/26 @ 100 |
250,000 |
244,990 |
|||||||||
2.63%, 11/1/31, Callable 8/1/31 @ 100 |
250,000 |
201,660 |
|||||||||
Simon Property Group LP, 2.25%, 1/15/32, Callable 10/15/31 @ 100 (b) |
250,000 |
199,063 |
|||||||||
5,274,158 |
|||||||||||
Utilities (6.9%): |
|||||||||||
Alabama Power Co., 3.13%, 7/15/51, Callable 1/15/51 @ 100 |
500,000 |
374,870 |
|||||||||
Ameren Corp., 3.50%, 1/15/31, Callable 10/15/30 @ 100 |
250,000 |
229,095 |
|||||||||
DTE Electric Co., 3.65%, 3/1/52, Callable 9/1/51 @ 100 |
500,000 |
432,530 |
|||||||||
Duke Energy Carolinas LLC, 2.85%, 3/15/32, Callable 12/15/31 @ 100 |
250,000 |
221,808 |
|||||||||
Duke Energy Florida LLC, 2.40%, 12/15/31, Callable 9/15/31 @ 100 |
1,000,000 |
855,019 |
|||||||||
Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100 (a) |
250,000 |
205,470 |
|||||||||
Entergy Corp., 2.40%, 6/15/31, Callable 3/5/31 @ 100 |
500,000 |
406,810 |
|||||||||
Florida
Power & Light Co. 3.15%, 10/1/49, Callable 4/1/49 @ 100 |
250,000 |
199,080 |
|||||||||
2.88%, 12/4/51, Callable 6/4/51 @ 100 |
500,000 |
375,000 |
|||||||||
ITC Holdings Corp., 3.35%, 11/15/27, Callable 8/15/27 @ 100 |
500,000 |
477,405 |
|||||||||
MidAmerican Energy Co., 2.70%, 8/1/52, Callable 2/1/52 @ 100 |
500,000 |
361,470 |
|||||||||
NextEra
Energy Capital Holdings, Inc. 1.51% (SOFR+40bps), 11/3/23, Callable 8/8/22 @ 100 (c) |
250,000 |
246,870 |
|||||||||
2.44%, 1/15/32, Callable 10/15/31 @ 100 |
500,000 |
416,410 |
|||||||||
Oglethorpe Power Corp., 4.50%, 4/1/47, Callable 10/1/46 @ 100 (a) |
312,000 |
267,677 |
|||||||||
Oncor Electric Delivery Co. LLC, 3.75%, 4/1/45, Callable 10/1/44 @ 100 |
500,000 |
431,085 |
|||||||||
PECO Energy Co., 3.00%, 9/15/49, Callable 3/15/49 @ 100 |
500,000 |
379,170 |
|||||||||
Southwestern Electric Power Co., 3.25%, 11/1/51, Callable 5/1/51 @ 100 |
250,000 |
184,460 |
|||||||||
The Southern Co., 5.11%, 8/1/27 |
100,000 |
100,981 |
|||||||||
Union Electric Co., 2.15%, 3/15/32, Callable 12/15/31 @ 100 |
500,000 |
416,900 |
|||||||||
Wisconsin Public Service Corp., 2.85%, 12/1/51, Callable 6/1/51 @ 100 |
250,000 |
181,510 |
|||||||||
Xcel Energy, Inc., 2.35%, 11/15/31, Callable 5/15/31 @ 100 |
500,000 |
414,095 |
|||||||||
7,177,715 |
|||||||||||
Total Corporate Bonds (Cost $101,475,717) |
85,283,619 |
See notes to financial statements.
202
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Yankee Dollars (16.6%) |
|||||||||||
Communication Services (0.4%): |
|||||||||||
British Telecommunications PLC, 3.25%, 11/8/29, Callable 8/8/29 @ 100 (a) |
$ |
500,000 |
$ |
443,890 |
|||||||
Consumer Staples (1.1%): |
|||||||||||
Alimentation Couche-Tard, Inc., 2.95%, 1/25/30, Callable 10/25/29 @ 100 (a) |
500,000 |
430,595 |
|||||||||
Bacardi Ltd., 4.70%, 5/15/28, Callable 2/15/28 @ 100 (a) (b) |
500,000 |
494,350 |
|||||||||
Becle SAB de CV, 2.50%, 10/14/31, Callable 7/14/31 @ 100 (a) |
250,000 |
205,793 |
|||||||||
1,130,738 |
|||||||||||
Financials (11.8%): |
|||||||||||
Banco
Santander SA, 4.18% (H15T1Y+200bps), 3/24/28, Callable 3/24/27 @ 100 (c) |
500,000 |
477,830 |
|||||||||
Bank of New Zealand, 2.87%, 1/27/32 (a) |
250,000 |
220,710 |
|||||||||
Barclays PLC, 4.95%, 1/10/47 |
1,000,000 |
947,829 |
|||||||||
BNP Paribas SA, 4.38%, 5/12/26 (a) |
500,000 |
490,015 |
|||||||||
BP
Capital Markets PLC 4.38% (H15T5Y+404bps), Callable 6/22/25 @ 100 (b) (c) (d) |
500,000 |
472,125 |
|||||||||
4.88% (H15T5Y+440bps), Callable 3/22/30 @ 100 (c) (d) |
250,000 |
218,750 |
|||||||||
BPCE SA, 3.25%, 1/11/28 (a) |
500,000 |
464,330 |
|||||||||
Brookfield Finance, Inc., 2.72%, 4/15/31, Callable 1/15/31 @ 100 |
500,000 |
423,750 |
|||||||||
Canadian Imperial Bank of Commerce, 7.26%, 4/10/32 (a) |
239,583 |
283,340 |
|||||||||
Commonwealth Bank of Australia, 2.69%, 3/11/31 (a) |
500,000 |
407,600 |
|||||||||
Credit Agricole SA, 3.25%, 10/4/24 (a) |
500,000 |
487,390 |
|||||||||
Credit
Suisse Group AG, 3.09% (SOFR+173bps), 5/14/32, Callable 5/14/31 @ 100 (a) (c) |
500,000 |
399,870 |
|||||||||
Deutsche
Bank AG, 4.87% (USISDA05+255bps), 12/1/32, Callable 12/1/27 @ 100 (c) |
500,000 |
430,340 |
|||||||||
HSBC
Holdings PLC, 2.21% (SOFR+129bps), 8/17/29, Callable 8/17/28 @ 100 (c) |
1,000,000 |
839,890 |
|||||||||
JAB Holdings BV, 3.75%, 5/28/51, Callable 11/28/50 @ 100 (a) |
250,000 |
173,043 |
|||||||||
Lloyds
Banking Group PLC, 1.63% (H15T1Y+85bps), 5/11/27, Callable 5/11/26 @ 100 (c) |
1,000,000 |
889,400 |
|||||||||
Macquarie
Bank Ltd., 3.05% (H15T5Y+170bps), 3/3/36, Callable 3/3/31 @ 100 (a) (c) |
500,000 |
401,200 |
|||||||||
NatWest
Group PLC, 1.64% (H15T1Y+90bps), 6/14/27, Callable 6/14/26 @ 100 (c) |
1,000,000 |
878,220 |
|||||||||
Shell
International Finance BV 2.75%, 4/6/30, Callable 1/6/30 @ 100 |
500,000 |
451,480 |
|||||||||
2.88%, 11/26/41, Callable 5/26/41 @ 100 |
500,000 |
386,925 |
|||||||||
Siemens Financieringsmaatschappij NV, 3.40%, 3/16/27 (a) |
500,000 |
483,600 |
|||||||||
Societe
Generale SA, 1.49% (H15T1Y+1bps), 12/14/26, Callable 12/14/25 @ 100 (a) (c) |
500,000 |
441,020 |
|||||||||
Sumitomo Mitsui Financial Group, Inc., 2.47%, 1/14/29 |
250,000 |
217,903 |
|||||||||
The Bank of Nova Scotia, 4.50%, 12/16/25 |
500,000 |
500,615 |
|||||||||
The
Toronto-Dominion Bank, 3.62% (USSW5+221bps), 9/15/31, Callable 9/15/26 @ 100 (c) |
500,000 |
481,175 |
|||||||||
Westpac
Banking Corp., 4.32% (USISDA05+224bps), 11/23/31, Callable 11/23/26 @ 100 (c) |
500,000 |
481,560 |
|||||||||
12,349,910 |
See notes to financial statements.
203
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Principal Amount |
Value |
|||||||||
Health Care (0.5%): |
|||||||||||
Olympus Corp., 2.14%, 12/8/26, Callable 11/8/26 @ 100 (a) |
$ |
152,000 |
$ |
138,902 |
|||||||
Smith & Nephew PLC, 2.03%, 10/14/30, Callable 7/14/30 @ 100 |
500,000 |
396,350 |
|||||||||
535,252 |
|||||||||||
Industrials (1.5%): |
|||||||||||
Aircastle Ltd., 4.25%, 6/15/26, Callable 4/15/26 @ 100 (b) |
500,000 |
460,565 |
|||||||||
CNH Industrial NV, 3.85%, 11/15/27, Callable 8/15/27 @ 100, MTN |
500,000 |
471,245 |
|||||||||
Ferguson
Finance PLC 3.25%, 6/2/30, Callable 3/2/30 @ 100 (a) |
500,000 |
432,575 |
|||||||||
4.65%, 4/20/32, Callable 1/20/32 @ 100 (a) |
250,000 |
235,160 |
|||||||||
1,599,545 |
|||||||||||
Materials (0.7%): |
|||||||||||
CCL
Industries, Inc. 3.25%, 10/1/26, Callable 7/1/26 @ 100 (a) |
500,000 |
474,970 |
|||||||||
3.05%, 6/1/30, Callable 3/1/30 @ 100 (a) |
235,000 |
203,726 |
|||||||||
678,696 |
|||||||||||
Real Estate (0.4%): |
|||||||||||
Ontario
Teachers' Cadillac Fairview Properties Trust, 2.50%, 10/15/31,
Callable 7/15/31 @ 100 (a) |
504,000 |
429,211 |
|||||||||
Technology (0.2%): |
|||||||||||
NXP BV/NXP Funding LLC/NXP USA,Inc., 4.40%, 6/1/27, Callable 5/1/27 @ 100 |
167,000 |
165,121 |
|||||||||
Total Yankee Dollars (Cost $20,294,791) |
17,332,363 |
||||||||||
Commercial Papers (1.2%) (f) |
|||||||||||
Hannover Funding Co. LLC, 1.63%, 7/1/22 (a) |
1,000,000 |
999,955 |
|||||||||
Jabil, Inc., 2.25%, 7/5/22 (a) |
300,000 |
299,906 |
|||||||||
Total Commercial Papers (Cost $1,299,920) |
1,299,861 |
||||||||||
Total Investments (Cost $123,070,428) ? 99.6% |
103,915,843 |
||||||||||
Other assets in excess of liabilities ? 0.4% |
407,025 |
||||||||||
NET ASSETS ? 100.00% |
$ |
104,322,868 |
(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid (unless otherwise noted as illiquid) based upon procedures approved by the Board of Trustees. As of June 30, 2022, the fair value of these securities was $21,236,985 and amounted to 20.4% of net assets.
(b) All or a portion of the security has been segregated as collateral for securities purchased on a delayed-delivery and/or when-issued basis.
(c) Variable or Floating-Rate Security. Rate disclosed is as of June 30, 2022.
(d) Security is perpetual and has no final maturity date but may be subject to calls at various dates in the future.
(e) Security or a portion of the security purchased on a delayed-delivery and/or when-issued basis.
(f) Rate represents the effective yield at June 30, 2022.
See notes to financial statements.
204
Victory Portfolios
II VictoryShares ESG Corporate Bond ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
bps ? Basis points
H15T1Y ? 1 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T5Y ? 5 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
H15T10Y ? 10 Year Treasury Constant Maturity Rate, rate disclosed as of June 30, 2022.
LIBOR ? London Interbank Offered Rate
LIBOR03M ? 3 Month US Dollar LIBOR, rate disclosed as of June 30, 2022, based on the last reset date of the security
LLC ? Limited Liability Company
LP ? Limited Partnership
MTN ? Medium Term Note
PLC ? Public Limited Company
SOFR ? Secured Overnight Financing Rate
USISDA05 ? 5 Year ICE Swap Rate, rate disclosed as of June 30, 2022
USSW5 ? USD 5 Year Swap Rate, rate disclosed as of June 30, 2022.
See notes to financial statements.
205
Victory Portfolios
II VictoryShares THB Mid Cap ESG ETF |
Schedule
of Portfolio Investments June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Common Stocks (100.1%) |
|||||||||||
Aerospace & Defense (3.8%): |
|||||||||||
HEICO Corp. |
597 |
$ |
78,279 |
||||||||
Air Freight & Logistics (2.2%): |
|||||||||||
GXO Logistics, Inc. (a) |
1,033 |
44,698 |
|||||||||
Commercial Services & Supplies (10.9%): |
|||||||||||
Cintas Corp. |
192 |
71,718 |
|||||||||
Copart, Inc. (a) |
844 |
91,709 |
|||||||||
Rollins, Inc. |
1,744 |
60,900 |
|||||||||
224,327 |
|||||||||||
Consumer Discretionary (6.1%): |
|||||||||||
LKQ Corp. |
1,176 |
57,730 |
|||||||||
NVR, Inc. (a) |
17 |
68,070 |
|||||||||
125,800 |
|||||||||||
Consumer Staples (3.1%): |
|||||||||||
Darling Ingredients, Inc. (a) |
1,059 |
63,328 |
|||||||||
Electrical Equipment (2.8%): |
|||||||||||
Generac Holdings, Inc. (a) |
276 |
58,120 |
|||||||||
Health Care (17.7%): |
|||||||||||
Chemed Corp. |
158 |
74,164 |
|||||||||
DENTSPLY SIRONA, Inc. |
1,248 |
44,591 |
|||||||||
Laboratory Corp. of America Holdings |
304 |
71,245 |
|||||||||
STERIS PLC |
356 |
73,389 |
|||||||||
Waters Corp. (a) |
296 |
97,970 |
|||||||||
361,359 |
|||||||||||
Industrial Conglomerates (4.0%): |
|||||||||||
Carlisle Cos., Inc. |
340 |
81,127 |
|||||||||
Information Technology (19.8%): |
|||||||||||
Amphenol Corp., Class A |
1,400 |
90,133 |
|||||||||
Cadence Design Systems, Inc. (a) |
648 |
97,220 |
|||||||||
Keysight Technologies, Inc. (a) |
372 |
51,280 |
|||||||||
Teledyne Technologies, Inc. (a) |
148 |
55,516 |
|||||||||
Tyler Technologies, Inc. (a) |
192 |
63,836 |
|||||||||
Zebra Technologies Corp. (a) |
166 |
48,796 |
|||||||||
406,781 |
|||||||||||
Machinery (9.4%): |
|||||||||||
Graco, Inc. |
1,068 |
63,450 |
|||||||||
Parker-Hannifin Corp. |
276 |
67,910 |
|||||||||
The Toro Co. |
812 |
61,541 |
|||||||||
192,901 |
|||||||||||
Materials (2.2%): |
|||||||||||
Crown Holdings, Inc. |
500 |
46,085 |
See notes to financial statements.
206
Victory Portfolios
II VictoryShares THB Mid Cap ESG ETF |
Schedule
of Portfolio Investments ? continued June 30, 2022 |
Security Description |
Shares |
Value |
|||||||||
Professional Services (7.6%): |
|||||||||||
CACI International, Inc., Class A (a) |
257 |
$ |
72,417 |
||||||||
Verisk Analytics, Inc. |
484 |
83,776 |
|||||||||
156,193 |
|||||||||||
Road & Rail (6.9%): |
|||||||||||
J.B. Hunt Transport Services, Inc. |
512 |
80,625 |
|||||||||
Old Dominion Freight Line, Inc. |
240 |
61,507 |
|||||||||
142,132 |
|||||||||||
Trading Companies & Distributors (3.6%): |
|||||||||||
Fastenal Co. |
1,500 |
74,880 |
|||||||||
Total Common Stocks (Cost $2,373,428) |
2,056,010 |
||||||||||
Total Investments (Cost $2,373,428) ? 100.1% |
2,056,010 |
||||||||||
Liabilities in excess of other assets ? (0.1)% |
(2,371 |
) |
|||||||||
NET ASSETS ? 100.00% |
$ |
2,053,639 |
(a) Non-income producing security.
PLC ? Public Limited Company
See notes to financial statements.
207
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
US 500 Volatility Wtd ETF |
VictoryShares
US Small Cap Volatility Wtd ETF |
VictoryShares
International Volatility Wtd ETF |
|||||||||||||
Assets: |
|||||||||||||||
Affiliated
investments, at value (Cost $?, $32,778 and $?) |
$ |
? |
$ |
35,620 |
$ |
? |
|||||||||
Investments,
at value (Cost $488,717,794, $23,927,007 and $96,465,388) |
534,232,107 |
(a) |
22,759,779 |
(b) |
95,057,250 |
(c) |
|||||||||
Foreign
currency, at value (Cost $?, $? and $62,029) |
? |
? |
62,084 |
||||||||||||
Cash |
1,894,430 |
73,293 |
362,899 |
||||||||||||
Deposit with broker for futures contracts |
323,182 |
16,124 |
48,163 |
||||||||||||
Receivables: |
|||||||||||||||
Interest and dividends |
570,103 |
12,822 |
165,886 |
||||||||||||
Investments sold |
6,427,377 |
? |
143,401 |
||||||||||||
Reclaims |
? |
? |
203,983 |
||||||||||||
From Adviser |
? |
5,387 |
14,197 |
||||||||||||
Prepaid expenses |
3,727 |
151 |
649 |
||||||||||||
Total Assets |
543,450,926 |
22,903,176 |
96,058,512 |
||||||||||||
Liabilities: |
|||||||||||||||
Payables: |
|||||||||||||||
Collateral received on loaned securities |
3,378,841 |
264,405 |
3,149,309 |
||||||||||||
Investments purchased |
? |
? |
119,186 |
||||||||||||
Capital shares redeemed |
6,461,712 |
? |
? |
||||||||||||
Payable to Adviser |
2,514 |
? |
? |
||||||||||||
Variation
margin on open futures contracts |
16,379 |
670 |
879 |
||||||||||||
Accrued expenses and other payables: |
|||||||||||||||
Investment advisory fees |
137,116 |
5,734 |
31,726 |
||||||||||||
Administration fees |
6,023 |
374 |
1,053 |
||||||||||||
Custodian fees |
5,046 |
487 |
17,589 |
||||||||||||
Compliance fees |
349 |
15 |
60 |
||||||||||||
Trustees' fees |
971 |
49 |
? |
||||||||||||
Other accrued expenses |
39,409 |
14,679 |
25,947 |
||||||||||||
Total Liabilities |
10,048,360 |
286,413 |
3,345,749 |
||||||||||||
Net Assets: |
|||||||||||||||
Capital |
566,445,950 |
32,479,404 |
97,742,059 |
||||||||||||
Total accumulated earnings/(loss) |
(33,043,384 |
) |
(9,862,641 |
) |
(5,029,296 |
) |
|||||||||
Net Assets |
$ |
533,402,566 |
$ |
22,616,763 |
$ |
92,712,763 |
|||||||||
Shares
(unlimited shares authorized, with no par value): |
8,300,000 |
400,000 |
2,550,000 |
||||||||||||
Net asset value: |
$ |
64.27 |
$ |
56.54 |
$ |
36.36 |
(a) Includes $3,264,907 of securities on loan.
(b) Includes $258,713 of securities on loan.
(c) Includes $2,846,722 of securities on loan.
See notes to financial statements.
208
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
US Large Cap High Div Volatility Wtd ETF |
VictoryShares
US Small Cap High Div Volatility Wtd ETF |
||||||||||
Assets: |
|||||||||||
Investments, at value (Cost $277,667,437 and $305,108,829) |
$ |
282,119,700 |
$ |
275,721,147 |
(a) |
||||||
Cash |
1,573,792 |
1,437,945 |
|||||||||
Deposit with broker for futures contracts |
171,420 |
135,171 |
|||||||||
Receivables: |
|||||||||||
Interest and dividends |
557,824 |
396,507 |
|||||||||
Capital shares issued |
? |
2,620,247 |
|||||||||
From Adviser |
6,833 |
7,798 |
|||||||||
Prepaid expenses |
1,531 |
1,564 |
|||||||||
Total Assets |
284,431,100 |
280,320,379 |
|||||||||
Liabilities: |
|||||||||||
Payables: |
|||||||||||
Collateral received on loaned securities |
? |
7,579,061 |
|||||||||
Investments purchased |
? |
2,603,018 |
|||||||||
Variation margin on open futures contracts |
11,617 |
11,409 |
|||||||||
Accrued expenses and other payables: |
|||||||||||
Investment advisory fees |
70,948 |
67,169 |
|||||||||
Administration fees |
4,100 |
4,235 |
|||||||||
Custodian fees |
2,687 |
2,731 |
|||||||||
Compliance fees |
179 |
170 |
|||||||||
Trustees' fees |
500 |
474 |
|||||||||
Other accrued expenses |
34,021 |
33,180 |
|||||||||
Total Liabilities |
124,052 |
10,301,447 |
|||||||||
Net Assets: |
|||||||||||
Capital |
332,196,635 |
342,259,226 |
|||||||||
Total accumulated earnings/(loss) |
(47,889,587 |
) |
(72,240,294 |
) |
|||||||
Net Assets |
$ |
284,307,048 |
$ |
270,018,932 |
|||||||
Shares
(unlimited shares authorized, with no par value): |
4,900,000 |
5,150,000 |
|||||||||
Net asset value: |
$ |
58.02 |
$ |
52.43 |
(a) Includes $7,435,145 of securities on loan.
See notes to financial statements.
209
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
International High Div Volatility Wtd ETF |
VictoryShares
Emerging Market High Div Volatility Wtd ETF |
VictoryShares
Dividend Accelerator ETF |
|||||||||||||
Assets: |
|||||||||||||||
Investments,
at value (Cost $18,087,754, $14,059,832 and $284,063,261) |
$ |
16,197,518 |
(a) |
$ |
10,462,898 |
(b) |
$ |
277,068,451 |
(c) |
||||||
Foreign
currency, at value (Cost $14,904, $5,290 and $?) |
14,909 |
5,349 |
? |
||||||||||||
Cash |
56,134 |
56,234 |
717,975 |
||||||||||||
Deposit with broker for futures contracts |
9,528 |
28,403 |
111,841 |
||||||||||||
Receivables: |
|||||||||||||||
Interest and dividends |
60,327 |
116,715 |
478,402 |
||||||||||||
Investments sold |
100,734 |
? |
? |
||||||||||||
Reclaims |
75,795 |
2,092 |
? |
||||||||||||
From Adviser |
8,435 |
1,851 |
1,371 |
||||||||||||
Prepaid expenses |
109 |
99 |
1,901 |
||||||||||||
Total Assets |
16,523,489 |
10,673,641 |
278,379,941 |
||||||||||||
Liabilities: |
|||||||||||||||
Payables: |
|||||||||||||||
Collateral
received on loaned securities |
373,455 |
266,208 |
365,864 |
||||||||||||
Investments purchased |
83,634 |
? |
? |
||||||||||||
Variation
margin on open futures contracts |
465 |
470 |
6,350 |
||||||||||||
Accrued foreign capital gains taxes |
? |
753 |
? |
||||||||||||
Accrued expenses and other payables: |
|||||||||||||||
Investment advisory fees |
5,531 |
4,201 |
69,631 |
||||||||||||
Administration fees |
100 |
194 |
2,870 |
||||||||||||
Custodian fees |
4,758 |
12,374 |
2,835 |
||||||||||||
Compliance fees |
11 |
8 |
175 |
||||||||||||
Trustees' fees |
38 |
31 |
491 |
||||||||||||
Other accrued expenses |
17,480 |
38,549 |
22,344 |
||||||||||||
Total Liabilities |
485,472 |
322,788 |
470,560 |
||||||||||||
Net Assets: |
|||||||||||||||
Capital |
31,405,444 |
18,641,195 |
296,982,789 |
||||||||||||
Total accumulated earnings/(loss) |
(15,367,427 |
) |
(8,290,342 |
) |
(19,073,408 |
) |
|||||||||
Net Assets |
$ |
16,038,017 |
$ |
10,350,853 |
$ |
277,909,381 |
|||||||||
Shares
(unlimited shares authorized, with no par value): |
550,000 |
550,000 |
6,700,000 |
||||||||||||
Net asset value: |
$ |
29.16 |
$ |
18.82 |
$ |
41.48 |
(a) Includes $265,887 of securities on loan.
(b) Includes $239,063 of securities on loan.
(c) Includes $354,300 of securities on loan.
See notes to financial statements.
210
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
US Multi-Factor Minimum Volatility ETF |
VictoryShares
US 500 Enhanced Volatility Wtd ETF |
VictoryShares
US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||
Assets: |
|||||||||||||||
Investments,
at value (Cost $120,662,458, $906,007,294 and $1,933,809,110) |
$ |
118,947,780 |
$ |
891,751,081 |
(a) |
$ |
1,918,889,461 |
(b) |
|||||||
Cash |
368,548 |
? |
? |
||||||||||||
Deposit
with broker for futures contracts |
41,767 |
335,629 |
873,354 |
||||||||||||
Receivables: |
|||||||||||||||
Interest and dividends |
139,042 |
950,254 |
3,614,597 |
||||||||||||
Capital shares issued |
? |
4,855 |
9,917,137 |
||||||||||||
From Adviser |
2,518 |
? |
61,102 |
||||||||||||
Prepaid expenses |
908 |
5,918 |
7,327 |
||||||||||||
Total Assets |
119,500,563 |
893,047,737 |
1,933,362,978 |
||||||||||||
Liabilities: |
|||||||||||||||
Payables: |
|||||||||||||||
Collateral
received on loaned securities |
? |
1,272,943 |
15,352,137 |
||||||||||||
Investments purchased |
? |
86,240 |
9,846,792 |
||||||||||||
Payable to Adviser |
? |
3,376 |
? |
||||||||||||
Variation
margin on open futures contracts |
3,175 |
24,833 |
77,171 |
||||||||||||
Accrued expenses and other payables: |
|||||||||||||||
Investment advisory fees |
33,476 |
226,682 |
455,715 |
||||||||||||
Administration fees |
1,384 |
13,220 |
30,810 |
||||||||||||
Custodian fees |
1,605 |
5,369 |
13,750 |
||||||||||||
Compliance fees |
86 |
570 |
1,137 |
||||||||||||
Trustees' fees |
247 |
1,579 |
3,149 |
||||||||||||
Other accrued expenses |
19,878 |
59,544 |
186,472 |
||||||||||||
Total Liabilities |
59,851 |
1,694,356 |
25,967,133 |
||||||||||||
Net Assets: |
|||||||||||||||
Capital |
136,196,118 |
925,205,185 |
2,005,529,728 |
||||||||||||
Total accumulated earnings/(loss) |
(16,755,406 |
) |
(33,851,804 |
) |
(98,133,883 |
) |
|||||||||
Net Assets |
$ |
119,440,712 |
$ |
891,353,381 |
$ |
1,907,395,845 |
|||||||||
Shares
(unlimited shares authorized, with no par value): |
3,250,000 |
13,850,000 |
28,850,000 |
||||||||||||
Net asset value: |
$ |
36.75 |
$ |
64.36 |
$ |
66.11 |
(a) Includes $1,233,294 of securities on loan.
(b) Includes $14,783,444 of securities on loan.
See notes to financial statements.
211
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
US Discovery Enhanced Volatility Wtd ETF |
VictoryShares
Developed Enhanced Volatility Wtd ETF |
VictoryShares
Nasdaq Next 50 ETF |
|||||||||||||
Assets: |
|||||||||||||||
Affiliated
investments, at value (Cost $18,663, $? and $?) |
$ |
26,751 |
$ |
? |
$ |
? |
|||||||||
Investments,
at value (Cost $70,426,166, $35,017,632 and $115,407,753) |
71,544,785 |
(a) |
35,318,246 |
(b) |
97,916,976 |
(c) |
|||||||||
Foreign
currency, at value (Cost $?, $14,816 and $?) |
? |
14,828 |
? |
||||||||||||
Cash |
? |
? |
125,277 |
||||||||||||
Deposit
with broker for futures contracts |
56,253 |
32,134 |
54,383 |
||||||||||||
Receivables: |
|||||||||||||||
Interest and dividends |
51,786 |
35,171 |
46,566 |
||||||||||||
Investments sold |
? |
12,689 |
? |
||||||||||||
Reclaims |
? |
157,838 |
4,092 |
||||||||||||
From Adviser |
5,968 |
16,728 |
19,167 |
||||||||||||
Prepaid expenses |
457 |
233 |
775 |
||||||||||||
Total Assets |
71,686,000 |
35,587,867 |
98,167,236 |
||||||||||||
Liabilities: |
|||||||||||||||
Payables: |
|||||||||||||||
Collateral
received on loaned securities |
66,567 |
160,018 |
2,717,102 |
||||||||||||
Investments purchased |
? |
10,598 |
? |
||||||||||||
Variation
margin on open futures contracts |
1,364 |
930 |
3,230 |
||||||||||||
Accrued expenses and other payables: |
|||||||||||||||
Investment advisory fees |
18,239 |
11,727 |
12,620 |
||||||||||||
Administration fees |
1,264 |
666 |
1,781 |
||||||||||||
Custodian fees |
855 |
30,065 |
1,285 |
||||||||||||
Compliance fees |
45 |
21 |
65 |
||||||||||||
Trustees' fees |
132 |
68 |
195 |
||||||||||||
Other accrued expenses |
19,520 |
24,663 |
67,324 |
||||||||||||
Total Liabilities |
107,986 |
238,756 |
2,803,602 |
||||||||||||
Net Assets: |
|||||||||||||||
Capital |
107,562,233 |
60,455,880 |
141,257,307 |
||||||||||||
Total accumulated earnings/(loss) |
(35,984,219 |
) |
(25,106,769 |
) |
(45,893,673 |
) |
|||||||||
Net Assets |
$ |
71,578,014 |
$ |
35,349,111 |
$ |
95,363,634 |
|||||||||
Shares
(unlimited shares authorized, with no par value): |
1,300,000 |
1,200,000 |
4,125,000 |
||||||||||||
Net asset value: |
$ |
55.06 |
$ |
29.46 |
$ |
23.12 |
(a) Includes $65,265 of securities on loan.
(b) Includes $139,439 of securities on loan.
(c) Includes $2,512,144 of securities on loan.
See notes to financial statements.
212
Victory Portfolios II |
Statements
of Assets and Liabilities June 30, 2022 |
VictoryShares
ESG Core Plus Bond ETF |
VictoryShares
ESG Corporate Bond ETF |
VictoryShares
THB Mid Cap ESG ETF |
|||||||||||||
Assets: |
|||||||||||||||
Investments,
at value (Cost $233,644,911, $123,070,428 and $2,373,428) |
$ |
211,271,855 |
$ |
103,915,843 |
$ |
2,056,010 |
|||||||||
Cash |
1,538,787 |
294,736 |
7,679 |
||||||||||||
Deposit with broker for futures contracts |
1,222,795 |
? |
? |
||||||||||||
Receivables: |
|||||||||||||||
Interest and dividends |
1,345,506 |
903,575 |
733 |
||||||||||||
Investments sold |
2,693,793 |
? |
? |
||||||||||||
Variation
margin on open futures contracts |
73,568 |
? |
? |
||||||||||||
From Adviser |
19,606 |
11,362 |
3,654 |
||||||||||||
Prepaid expenses |
1,029 |
567 |
12 |
||||||||||||
Total Assets |
218,166,939 |
105,126,083 |
2,068,088 |
||||||||||||
Liabilities: |
|||||||||||||||
Payables: |
|||||||||||||||
Investments purchased |
4,322,572 |
728,595 |
? |
||||||||||||
Accrued expenses and other payables: |
|||||||||||||||
Investment advisory fees |
61,461 |
30,195 |
869 |
||||||||||||
Administration fees |
4,499 |
2,460 |
52 |
||||||||||||
Custodian fees |
1,440 |
7,619 |
500 |
||||||||||||
Compliance fees |
127 |
63 |
1 |
||||||||||||
Trustees' fees |
371 |
218 |
3 |
||||||||||||
Other accrued expenses |
47,321 |
34,065 |
13,024 |
||||||||||||
Total Liabilities |
4,437,791 |
803,215 |
14,449 |
||||||||||||
Net Assets: |
|||||||||||||||
Capital |
240,989,786 |
124,252,438 |
2,373,729 |
||||||||||||
Total accumulated earnings/(loss) |
(27,260,638 |
) |
(19,929,570 |
) |
(320,090 |
) |
|||||||||
Net Assets |
$ |
213,729,148 |
$ |
104,322,868 |
$ |
2,053,639 |
|||||||||
Shares
(unlimited shares authorized, with no par value): |
9,750,000 |
5,000,000 |
100,000 |
||||||||||||
Net asset value: |
$ |
21.92 |
$ |
20.86 |
$ |
20.54 |
See notes to financial statements.
213
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares
US 500 Volatility Wtd ETF |
VictoryShares
US Small Cap Volatility Wtd ETF |
VictoryShares
International Volatility Wtd ETF |
|||||||||||||
Investment Income: |
|||||||||||||||
Dividends |
$ |
10,795,800 |
$ |
431,006 |
$ |
3,698,775 |
|||||||||
Non-cash dividends |
? |
? |
443,149 |
||||||||||||
Affiliated dividend income |
? |
1,431 |
? |
||||||||||||
Interest |
457 |
? |
35 |
||||||||||||
Securities lending (net of fees) |
47,095 |
2,093 |
42,677 |
||||||||||||
Foreign tax withholding |
(1,891 |
) |
(349 |
) |
(582,858 |
) |
|||||||||
Total Income |
10,841,461 |
434,181 |
3,601,778 |
||||||||||||
Expenses: |
|||||||||||||||
Investment advisory fees |
1,976,520 |
77,382 |
445,426 |
||||||||||||
Administration fees |
356,980 |
13,974 |
60,335 |
||||||||||||
Sub-Administration fees |
17,950 |
17,950 |
17,950 |
||||||||||||
Custodian fees |
33,871 |
3,697 |
75,061 |
||||||||||||
Servicing fees |
5,364 |
5,259 |
5,259 |
||||||||||||
Trustees' fees |
41,465 |
3,219 |
8,392 |
||||||||||||
Compliance fees |
4,752 |
184 |
801 |
||||||||||||
Legal and audit fees |
27,066 |
13,942 |
17,074 |
||||||||||||
Interest fees |
? |
36 |
? |
||||||||||||
Other expenses |
64,533 |
12,620 |
17,750 |
||||||||||||
Total Expenses |
2,528,501 |
148,263 |
648,048 |
||||||||||||
Expenses waived/reimbursed by Adviser |
(224,189 |
) |
(57,981 |
) |
(147,230 |
) |
|||||||||
Net Expenses |
2,304,312 |
90,282 |
500,818 |
||||||||||||
Net Investment Income (Loss) |
8,537,149 |
343,899 |
3,100,960 |
||||||||||||
Realized/Unrealized
Gains (Losses) from Investments: |
|||||||||||||||
Net
realized gains (losses) from unaffiliated investment securities and foreign currency transactions |
(5,995,805 |
) |
(387,778 |
) |
2,788,004 |
||||||||||
Net
realized gains (losses) from affiliated securities transactions |
? |
21,855 |
? |
||||||||||||
Net realized gains (losses) from futures contracts |
(50,828 |
) |
(13,052 |
) |
(126,506 |
) |
|||||||||
Net realized gains (losses) from in-kind redemptions |
91,319,107 |
2,036,548 |
635,621 |
||||||||||||
Net
change in unrealized appreciation/depreciation on unaffiliated investment securities and foreign currency translations |
(139,645,212 |
) |
(5,016,942 |
) |
(24,312,845 |
) |
|||||||||
Net
change in unrealized appreciation/depreciation on affiliated investments |
? |
(31,784 |
) |
? |
|||||||||||
Net
change in unrealized appreciation/depreciation on futures contracts |
(142,083 |
) |
(470 |
) |
2,017 |
||||||||||
Net realized/unrealized gains (losses) on investments |
(54,514,821 |
) |
(3,391,623 |
) |
(21,013,709 |
) |
|||||||||
Change in net assets resulting from operations |
$ |
(45,977,672 |
) |
$ |
(3,047,724 |
) |
$ |
(17,912,749 |
) |
See notes to financial statements.
214
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares
US Large Cap High Div Volatility Wtd ETF |
VictoryShares
US Small Cap High Div Volatility Wtd ETF |
||||||||||
Investment Income: |
|||||||||||
Dividends |
$ |
8,591,688 |
$ |
8,993,806 |
|||||||
Interest |
136 |
163 |
|||||||||
Securities lending (net of fees) |
5,277 |
76,361 |
|||||||||
Foreign tax withholding |
? |
(631 |
) |
||||||||
Total Income |
8,597,101 |
9,069,699 |
|||||||||
Expenses: |
|||||||||||
Investment advisory fees |
754,805 |
778,451 |
|||||||||
Administration fees |
136,274 |
140,567 |
|||||||||
Sub-Administration fees |
17,950 |
17,950 |
|||||||||
Custodian fees |
14,456 |
14,643 |
|||||||||
Servicing fees |
5,801 |
5,259 |
|||||||||
Trustees' fees |
15,434 |
16,277 |
|||||||||
Compliance fees |
1,749 |
1,818 |
|||||||||
Legal and audit fees |
23,914 |
21,652 |
|||||||||
Other expenses |
36,093 |
45,497 |
|||||||||
Total Expenses |
1,006,476 |
1,042,114 |
|||||||||
Expenses waived/reimbursed by Adviser |
(125,256 |
) |
(133,750 |
) |
|||||||
Net Expenses |
881,220 |
908,364 |
|||||||||
Net Investment Income (Loss) |
7,715,881 |
8,161,335 |
|||||||||
Realized/Unrealized Gains (Losses) from Investments: |
|||||||||||
Net realized gains (losses) from investment securities |
(4,311,656 |
) |
(18,667,826 |
) |
|||||||
Net realized gains (losses) from futures contracts |
17,960 |
(167,614 |
) |
||||||||
Net realized gains (losses) from in-kind redemptions |
29,721,304 |
23,321,495 |
|||||||||
Net
change in unrealized appreciation/depreciation on investment securities |
(24,311,885 |
) |
(41,790,557 |
) |
|||||||
Net
change in unrealized appreciation/depreciation on futures
contracts |
(83,381 |
) |
(82,552 |
) |
|||||||
Net realized/unrealized gains (losses) on investments |
1,032,342 |
(37,387,054 |
) |
||||||||
Change in net assets resulting from operations |
$ |
8,748,223 |
$ |
(29,225,719 |
) |
See notes to financial statements.
215
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares International High Div Volatility Wtd ETF |
VictoryShares
Emerging Market High Div Volatility Wtd ETF |
VictoryShares
Dividend Accelerator ETF |
|||||||||||||
Investment Income: |
|||||||||||||||
Dividends |
$ |
1,116,651 |
$ |
1,165,925 |
$ |
6,264,685 |
|||||||||
Non-cash dividends |
179,524 |
? |
? |
||||||||||||
Interest |
? |
? |
369 |
||||||||||||
Securities lending (net of fees) |
9,944 |
562 |
231 |
||||||||||||
Foreign tax withholding |
(152,222 |
) |
(152,363 |
) |
? |
||||||||||
Total Income |
1,153,897 |
1,014,124 |
6,265,285 |
||||||||||||
Expenses: |
|||||||||||||||
Investment advisory fees |
76,795 |
72,890 |
988,444 |
||||||||||||
Administration fees |
10,404 |
8,778 |
178,505 |
||||||||||||
Sub-Administration fees |
17,950 |
19,944 |
17,950 |
||||||||||||
Custodian fees |
22,646 |
58,425 |
18,240 |
||||||||||||
Servicing fees |
5,259 |
5,118 |
5,119 |
||||||||||||
Trustees' fees |
2,892 |
2,731 |
21,473 |
||||||||||||
Compliance fees |
140 |
119 |
2,373 |
||||||||||||
Legal and audit fees |
14,705 |
41,593 |
17,213 |
||||||||||||
Line of credit fees |
? |
118 |
? |
||||||||||||
Interest fees |
95 |
1,103 |
? |
||||||||||||
Other expenses |
12,027 |
15,471 |
33,667 |
||||||||||||
Total Expenses |
162,913 |
226,290 |
1,282,984 |
||||||||||||
Expenses waived/reimbursed by Adviser |
(76,507 |
) |
(144,206 |
) |
(130,427 |
) |
|||||||||
Net Expenses |
86,406 |
82,084 |
1,152,557 |
||||||||||||
Net Investment Income (Loss) |
1,067,491 |
932,040 |
5,112,728 |
||||||||||||
Realized/Unrealized
Gains (Losses) from Investments: |
|||||||||||||||
Net
realized gains (losses) from investment securities and foreign currency transactions |
725,293 |
694,244 |
(5,427,003 |
) |
|||||||||||
Foreign taxes on realized gains |
? |
(33,298 |
) |
? |
|||||||||||
Net realized gains (losses) from futures contracts |
(35,135 |
) |
(41,203 |
) |
(38,209 |
) |
|||||||||
Net
realized gains (losses) from in-kind redemptions |
469,742 |
182,316 |
47,315,548 |
||||||||||||
Net
change in unrealized appreciation/ depreciation on investment securities and foreign currency translations |
(3,118,740 |
) |
(4,552,282 |
) |
(59,202,189 |
) |
|||||||||
Net
change in unrealized appreciation/ depreciation on futures contracts |
2,369 |
(639 |
) |
(18,558 |
) |
||||||||||
Net
change in accrued foreign taxes on unrealized gains |
? |
9,083 |
? |
||||||||||||
Net
realized/unrealized gains (losses) on investments |
(1,956,471 |
) |
(3,741,779 |
) |
(17,370,411 |
) |
|||||||||
Change in net assets resulting from operations |
$ |
(888,980 |
) |
$ |
(2,809,739 |
) |
$ |
(12,257,683 |
) |
See notes to financial statements.
216
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares US Multi-Factor Minimum Volatility ETF |
VictoryShares
US 500 Enhanced Volatility Wtd ETF |
VictoryShares
US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||
Investment Income: |
|||||||||||||||
Dividends |
$ |
3,254,931 |
$ |
15,331,096 |
$ |
43,519,970 |
|||||||||
Interest |
264 |
? |
? |
||||||||||||
Securities lending (net of fees) |
? |
55,101 |
29,802 |
||||||||||||
Foreign tax withholding |
(2,154 |
) |
(2,951 |
) |
? |
||||||||||
Total Income |
3,253,041 |
15,383,246 |
43,549,772 |
||||||||||||
Expenses: |
|||||||||||||||
Investment advisory fees |
485,351 |
2,986,132 |
3,745,447 |
||||||||||||
Administration fees |
87,659 |
539,204 |
676,086 |
||||||||||||
Sub-Administration fees |
17,950 |
17,950 |
17,950 |
||||||||||||
Custodian fees |
10,232 |
47,731 |
61,645 |
||||||||||||
Servicing fees |
3,907 |
5,364 |
5,364 |
||||||||||||
Trustees' fees |
11,271 |
58,757 |
62,888 |
||||||||||||
Compliance fees |
1,158 |
7,043 |
8,367 |
||||||||||||
Legal and audit fees |
16,813 |
41,838 |
91,378 |
||||||||||||
Line of credit fees |
? |
? |
2,186 |
||||||||||||
Broker interest fees |
? |
1,172 |
6,561 |
||||||||||||
Other expenses |
23,419 |
98,582 |
185,723 |
||||||||||||
Total Expenses |
657,760 |
3,803,773 |
4,863,595 |
||||||||||||
Expenses
waived/reimbursed by Adviser |
(91,940 |
) |
(319,183 |
) |
(475,603 |
) |
|||||||||
Net Expenses |
565,820 |
3,484,590 |
4,387,992 |
||||||||||||
Net Investment Income (Loss) |
2,687,221 |
11,898,656 |
39,161,780 |
||||||||||||
Realized/Unrealized
Gains (Losses) from Investments: |
|||||||||||||||
Net
realized gains (losses) from investment securities |
(4,770,456 |
) |
42,568,196 |
(19,212,052 |
) |
||||||||||
Net
realized gains (losses) from futures contracts |
(31,366 |
) |
87,203 |
(274,957 |
) |
||||||||||
Net
realized gains (losses) from in-kind redemptions |
27,847,511 |
82,305,281 |
134,200,800 |
||||||||||||
Net
change in unrealized appreciation/ depreciation on investment securities |
(27,406,624 |
) |
(222,754,562 |
) |
(147,549,007 |
) |
|||||||||
Net
change in unrealized appreciation/ depreciation on futures contracts |
(22,971 |
) |
(248,810 |
) |
(429,346 |
) |
|||||||||
Net
realized/unrealized gains (losses) on investments |
(4,383,906 |
) |
(98,042,692 |
) |
(33,264,562 |
) |
|||||||||
Change
in net assets resulting from operations |
$ |
(1,696,685 |
) |
$ |
(86,144,036 |
) |
$ |
5,897,218 |
See notes to financial statements.
217
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares US Discovery Enhanced Volatility Wtd ETF |
VictoryShares
Developed Enhanced Volatility Wtd ETF |
VictoryShares
Nasdaq Next 50 ETF |
|||||||||||||
Investment Income: |
|||||||||||||||
Dividends |
$ |
1,065,062 |
$ |
1,081,930 |
$ |
720,543 |
|||||||||
Non-cash dividends |
? |
113,952 |
? |
||||||||||||
Affiliated dividend income |
3,259 |
? |
? |
||||||||||||
Interest |
? |
20 |
? |
||||||||||||
Securities lending (net of fees) |
3,430 |
11,602 |
72,159 |
||||||||||||
Foreign tax withholding |
(775 |
) |
(166,093 |
) |
(3,069 |
) |
|||||||||
Total Income |
1,070,976 |
1,041,411 |
789,633 |
||||||||||||
Expenses: |
|||||||||||||||
Investment advisory fees |
214,633 |
158,950 |
203,595 |
||||||||||||
Administration fees |
38,752 |
21,531 |
73,542 |
||||||||||||
Sub-Administration fees |
17,950 |
17,950 |
13,480 |
||||||||||||
Custodian fees |
5,848 |
80,662 |
7,250 |
||||||||||||
Servicing fees |
3,991 |
5,259 |
1,772 |
||||||||||||
Trustees' fees |
5,705 |
4,084 |
9,251 |
||||||||||||
Compliance fees |
500 |
285 |
975 |
||||||||||||
Legal and audit fees |
15,948 |
16,347 |
10,832 |
||||||||||||
Interest fees |
18 |
93 |
56 |
||||||||||||
Licensing fees |
? |
? |
43,658 |
||||||||||||
Other expenses |
20,146 |
16,202 |
55,197 |
||||||||||||
Total Expenses |
323,491 |
321,363 |
419,608 |
||||||||||||
Expenses waived/reimbursed by Adviser |
(72,992 |
) |
(142,542 |
) |
(175,496 |
) |
|||||||||
Net Expenses |
250,499 |
178,821 |
244,112 |
||||||||||||
Net Investment Income (Loss) |
820,477 |
862,590 |
545,521 |
||||||||||||
Realized/Unrealized
Gains (Losses) from Investments: |
|||||||||||||||
Net
realized gains (losses) from unaffiliated investment securities |
(3,624,959 |
) |
1,181,730 |
(21,641,692 |
) |
||||||||||
Net
realized gains (losses) from affiliated securities transactions |
50,503 |
? |
? |
||||||||||||
Net
realized gains (losses) from futures contracts |
(42,049 |
) |
(37,533 |
) |
128,723 |
||||||||||
Net
realized gains (losses) from in-kind redemptions |
5,706,850 |
447,202 |
10,742,832 |
||||||||||||
Net
change in unrealized appreciation/ depreciation on unaffiliated investment securities |
(9,534,916 |
) |
(6,883,907 |
) |
(38,836,077 |
) |
|||||||||
Net
change in unrealized appreciation/ depreciation on affiliated investments |
(70,169 |
) |
? |
? |
|||||||||||
Net
change in unrealized appreciation/ depreciation on futures contracts |
(20,923 |
) |
(780 |
) |
(2,285 |
) |
|||||||||
Net
realized/unrealized gains (losses) on investments |
(7,535,663 |
) |
(5,293,288 |
) |
(49,608,499 |
) |
|||||||||
Change
in net assets resulting from operations |
$ |
(6,715,186 |
) |
$ |
(4,430,698 |
) |
$ |
(49,062,978 |
) |
See notes to financial statements.
218
Victory Portfolios II |
Statements
of Operations For the Year Ended June 30, 2022 |
VictoryShares ESG Core Plus Bond ETF(a) |
VictoryShares
ESG Corporate Bond ETF(a) |
VictoryShares
THB Mid Cap ESG ETF(a) |
|||||||||||||
Investment Income: |
|||||||||||||||
Dividends |
$ |
? |
$ |
? |
$ |
10,776 |
|||||||||
Interest |
3,684,383 |
2,024,688 |
? |
||||||||||||
Total Income |
3,684,383 |
2,024,688 |
10,776 |
||||||||||||
Expenses: |
|||||||||||||||
Investment advisory fees |
493,664 |
274,535 |
8,872 |
||||||||||||
Administration fees |
76,218 |
42,396 |
959 |
||||||||||||
Sub-Administration fees |
13,777 |
13,777 |
10,629 |
||||||||||||
Custodian fees |
3,558 |
2,438 |
1,110 |
||||||||||||
Servicing fees |
1,339 |
739 |
784 |
||||||||||||
Trustees' fees |
5,459 |
3,202 |
73 |
||||||||||||
Compliance fees |
875 |
497 |
11 |
||||||||||||
Legal and audit fees |
54,885 |
43,037 |
7,437 |
||||||||||||
Printing fees |
? |
? |
4,458 |
||||||||||||
Interest fees |
? |
? |
1 |
||||||||||||
Listing fees |
9,000 |
9,000 |
9,000 |
||||||||||||
Other expenses |
45,751 |
28,630 |
877 |
||||||||||||
Total Expenses |
704,526 |
418,251 |
44,211 |
||||||||||||
Expenses waived/reimbursed by Adviser |
(138,029 |
) |
(103,382 |
) |
(34,457 |
) |
|||||||||
Net Expenses |
566,497 |
314,869 |
9,754 |
||||||||||||
Net Investment Income (Loss) |
3,117,886 |
1,709,819 |
1,022 |
||||||||||||
Realized/Unrealized
Gains (Losses) from Investments: |
|||||||||||||||
Net
realized gains (losses) from investment securities |
(5,429,683 |
) |
(991,577 |
) |
4,207 |
||||||||||
Net
realized gains (losses) from futures contracts |
(64,017 |
) |
? |
? |
|||||||||||
Net
change in unrealized appreciation/ depreciation on investment securities |
(22,373,056 |
) |
(19,154,585 |
) |
(317,418 |
) |
|||||||||
Net
change in unrealized appreciation/ depreciation on futures contracts |
79,320 |
? |
? |
||||||||||||
Net
realized/unrealized gains (losses) on investments |
(27,787,436 |
) |
(20,146,162 |
) |
(313,211 |
) |
|||||||||
Change in net assets resulting from operations |
$ |
(24,669,550 |
) |
$ |
(18,436,343 |
) |
$ |
(312,189 |
) |
(a) Commencement of operations on October 5, 2021.
See notes to financial statements.
219
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares US 500 Volatility Wtd ETF |
VictoryShares US Small Cap Volatility Wtd ETF |
VictoryShares
International Volatility Wtd ETF |
|||||||||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||||||||
From Investment Activities: |
|||||||||||||||||||||||||||
Operations: |
|||||||||||||||||||||||||||
Net
Investment Income (Loss) |
$ |
8,537,149 |
$ |
7,661,551 |
$ |
343,899 |
$ |
281,342 |
$ |
3,100,960 |
$ |
2,422,654 |
|||||||||||||||
Net
realized gains (losses) |
85,272,474 |
69,253,916 |
1,657,573 |
3,440,333 |
3,297,119 |
2,246,705 |
|||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(139,787,295 |
) |
160,491,386 |
(5,049,196 |
) |
6,333,917 |
(24,310,828 |
) |
23,696,788 |
||||||||||||||||||
Change
in net assets resulting from operations |
(45,977,672 |
) |
237,406,853 |
(3,047,724 |
) |
10,055,592 |
(17,912,749 |
) |
28,366,147 |
||||||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(8,500,286 |
) |
(7,561,107 |
) |
(334,788 |
) |
(287,612 |
) |
(3,855,525 |
) |
(2,408,306 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
(117,556,950 |
) |
(194,413,139 |
) |
13,588 |
128,296 |
(2,229,024 |
) |
7,632,260 |
||||||||||||||||||
Change in net assets |
(172,034,908 |
) |
35,432,607 |
(3,368,924 |
) |
9,896,276 |
(23,997,298 |
) |
33,590,101 |
||||||||||||||||||
Net Assets: |
|||||||||||||||||||||||||||
Beginning of period |
705,437,474 |
670,004,867 |
25,985,687 |
16,089,411 |
116,710,061 |
83,119,960 |
|||||||||||||||||||||
End of period |
$ |
533,402,566 |
$ |
705,437,474 |
$ |
22,616,763 |
$ |
25,985,687 |
$ |
92,712,763 |
$ |
116,710,061 |
|||||||||||||||
Capital Transactions: |
|||||||||||||||||||||||||||
Proceeds
from shares issued |
$ |
149,606,089 |
$ |
109,696,136 |
$ |
6,396,215 |
$ |
9,846,161 |
$ |
? |
$ |
11,872,178 |
|||||||||||||||
Cost of shares redeemed |
(267,163,039 |
) |
(304,109,275 |
) |
(6,382,627 |
) |
(9,717,865 |
) |
(2,229,024 |
) |
(4,239,918 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
$ |
(117,556,950 |
) |
$ |
(194,413,139 |
) |
$ |
13,588 |
$ |
128,296 |
$ |
(2,229,024 |
) |
$ |
7,632,260 |
||||||||||||
Share Transactions: |
|||||||||||||||||||||||||||
Issued |
2,050,000 |
1,650,000 |
100,000 |
150,000 |
? |
300,000 |
|||||||||||||||||||||
Redeemed |
(3,650,000 |
) |
(5,000,000 |
) |
(100,000 |
) |
(150,000 |
) |
(50,000 |
) |
(100,000 |
) |
|||||||||||||||
Change in Shares |
(1,600,000 |
) |
(3,350,000 |
) |
? |
? |
(50,000 |
) |
200,000 |
See notes to financial statements.
220
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares US Large Cap High Div Volatility Wtd ETF |
VictoryShares US Small Cap High Div Volatility Wtd ETF |
||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||
From Investment Activities: |
|||||||||||||||||||
Operations: |
|||||||||||||||||||
Net Investment Income (Loss) |
$ |
7,715,881 |
$ |
5,978,979 |
$ |
8,161,335 |
$ |
4,617,664 |
|||||||||||
Net realized gains (losses) |
25,427,608 |
13,598,702 |
4,486,055 |
24,892,624 |
|||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(24,395,266 |
) |
54,543,611 |
(41,873,109 |
) |
22,086,728 |
|||||||||||||
Change in net assets resulting from operations |
8,748,223 |
74,121,292 |
(29,225,719 |
) |
51,597,016 |
||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(7,496,456 |
) |
(5,707,683 |
) |
(8,027,701 |
) |
(4,510,283 |
) |
|||||||||||
Change in net assets resulting from capital transactions |
61,999,721 |
(40,993,350 |
) |
55,474,967 |
138,568,910 |
||||||||||||||
Change in net assets |
63,251,488 |
27,420,259 |
18,221,547 |
185,655,643 |
|||||||||||||||
Net Assets: |
|||||||||||||||||||
Beginning of period |
221,055,560 |
193,635,301 |
251,797,385 |
66,141,742 |
|||||||||||||||
End of period |
$ |
284,307,048 |
$ |
221,055,560 |
$ |
270,018,932 |
$ |
251,797,385 |
|||||||||||
Capital Transactions: |
|||||||||||||||||||
Proceeds from shares issued |
$ |
180,785,637 |
$ |
73,170,915 |
$ |
210,566,850 |
$ |
248,883,695 |
|||||||||||
Cost of shares redeemed |
(118,785,916 |
) |
(114,164,265 |
) |
(155,091,883 |
) |
(110,314,785 |
) |
|||||||||||
Change in net assets resulting from capital transactions |
$ |
61,999,721 |
$ |
(40,993,350 |
) |
$ |
55,474,967 |
$ |
138,568,910 |
||||||||||
Share Transactions: |
|||||||||||||||||||
Issued |
3,000,000 |
1,350,000 |
3,600,000 |
4,350,000 |
|||||||||||||||
Redeemed |
(2,000,000 |
) |
(2,350,000 |
) |
(2,650,000 |
) |
(1,950,000 |
) |
|||||||||||
Change in Shares |
1,000,000 |
(1,000,000 |
) |
950,000 |
2,400,000 |
See notes to financial statements.
221
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares International High Div Volatility Wtd ETF |
VictoryShares Emerging Market High Div Volatility Wtd ETF |
VictoryShares Dividend Accelerator ETF |
|||||||||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||||||||
From Investment Activities: |
|||||||||||||||||||||||||||
Operations: |
|||||||||||||||||||||||||||
Net
Investment Income (Loss) |
$ |
1,067,491 |
$ |
1,511,245 |
$ |
932,040 |
$ |
915,679 |
$ |
5,112,728 |
$ |
5,136,658 |
|||||||||||||||
Net realized gains (losses) |
1,159,900 |
744,698 |
802,059 |
(315,457 |
) |
41,850,336 |
38,451,332 |
||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(3,116,371 |
) |
10,014,311 |
(4,543,838 |
) |
4,615,926 |
(59,220,747 |
) |
47,590,115 |
||||||||||||||||||
Change
in net assets resulting from operations |
(888,980 |
) |
12,270,254 |
(2,809,739 |
) |
5,216,148 |
(12,257,683 |
) |
91,178,105 |
||||||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(1,097,626 |
) |
(1,705,787 |
) |
(1,055,027 |
) |
(809,574 |
) |
(5,149,858 |
) |
(4,931,587 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
(4,953,633 |
) |
(49,628,242 |
) |
(5,470,754 |
) |
(6,399,375 |
) |
(48,837,549 |
) |
22,631,344 |
||||||||||||||||
Change in net assets |
(6,940,239 |
) |
(39,063,775 |
) |
(9,335,520 |
) |
(1,992,801 |
) |
(66,245,090 |
) |
108,877,862 |
||||||||||||||||
Net Assets: |
|||||||||||||||||||||||||||
Beginning of period |
22,978,256 |
62,042,031 |
19,686,373 |
21,679,174 |
344,154,471 |
235,276,609 |
|||||||||||||||||||||
End of period |
$ |
16,038,017 |
$ |
22,978,256 |
$ |
10,350,853 |
$ |
19,686,373 |
$ |
277,909,381 |
$ |
344,154,471 |
|||||||||||||||
Capital Transactions: |
|||||||||||||||||||||||||||
Proceeds
from shares issued |
$ |
53 |
$ |
3,066,706 |
$ |
1,067 |
$ |
1,135,264 |
$ |
167,875,902 |
$ |
156,222,479 |
|||||||||||||||
Cost of shares redeemed |
(4,953,686 |
) |
(52,694,948 |
) |
(5,471,821 |
) |
(7,534,639 |
) |
(216,713,451 |
) |
(133,591,135 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
$ |
(4,953,633 |
) |
$ |
(49,628,242 |
) |
$ |
(5,470,754 |
) |
$ |
(6,399,375 |
) |
$ |
(48,837,549 |
) |
$ |
22,631,344 |
||||||||||
Share Transactions: |
|||||||||||||||||||||||||||
Issued |
? |
100,000 |
? |
50,000 |
3,650,000 |
3,850,000 |
|||||||||||||||||||||
Redeemed |
(150,000 |
) |
(1,850,000 |
) |
(250,000 |
) |
(350,000 |
) |
(4,750,000 |
) |
(3,150,000 |
) |
|||||||||||||||
Change in Shares |
(150,000 |
) |
(1,750,000 |
) |
(250,000 |
) |
(300,000 |
) |
(1,100,000 |
) |
700,000 |
See notes to financial statements.
222
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares US Multi-Factor Minimum Volatility ETF |
VictoryShares US 500 Enhanced Volatility Wtd ETF |
VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
||||||||||||||||||||||
From Investment Activities: |
|||||||||||||||||||||||||||
Operations: |
|||||||||||||||||||||||||||
Net
Investment Income (Loss) |
$ |
2,687,221 |
$ |
2,767,382 |
$ |
11,898,656 |
$ |
8,590,245 |
$ |
39,161,780 |
$ |
19,769,279 |
|||||||||||||||
Net
realized gains (losses) |
23,045,689 |
13,042,099 |
124,960,680 |
72,481,462 |
114,713,791 |
122,693,510 |
|||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(27,429,595 |
) |
20,081,016 |
(223,003,372 |
) |
162,743,239 |
(147,978,353 |
) |
97,533,008 |
||||||||||||||||||
Change
in net assets resulting from operations |
(1,696,685 |
) |
35,890,497 |
(86,144,036 |
) |
243,814,946 |
5,897,218 |
239,995,797 |
|||||||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(2,679,211 |
) |
(2,790,098 |
) |
(11,440,022 |
) |
(7,661,659 |
) |
(36,342,855 |
) |
(18,139,639 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
(40,248,349 |
) |
(24,217,756 |
) |
51,596,689 |
91,574,225 |
1,020,995,531 |
129,097,767 |
|||||||||||||||||||
Change in net assets |
(44,624,245 |
) |
8,882,643 |
(45,987,369 |
) |
327,727,512 |
990,549,894 |
350,953,925 |
|||||||||||||||||||
Net Assets: |
|||||||||||||||||||||||||||
Beginning of period |
164,064,957 |
155,182,314 |
937,340,750 |
609,613,238 |
916,845,951 |
565,892,026 |
|||||||||||||||||||||
End of period |
$ |
119,440,712 |
$ |
164,064,957 |
$ |
891,353,381 |
$ |
937,340,750 |
$ |
1,907,395,845 |
$ |
916,845,951 |
|||||||||||||||
Capital Transactions: |
|||||||||||||||||||||||||||
Proceeds
from shares issued |
$ |
96,773,697 |
$ |
52,363,615 |
$ |
280,873,318 |
$ |
281,258,675 |
$ |
1,582,185,104 |
$ |
465,006,422 |
|||||||||||||||
Cost of
shares redeemed |
(137,022,046 |
) |
(76,581,371 |
) |
(229,276,629 |
) |
(189,684,450 |
) |
(561,189,573 |
) |
(335,908,655 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
$ |
(40,248,349 |
) |
$ |
(24,217,756 |
) |
$ |
51,596,689 |
$ |
91,574,225 |
$ |
1,020,995,531 |
$ |
129,097,767 |
|||||||||||||
Share Transactions: |
|||||||||||||||||||||||||||
Issued |
2,400,000 |
1,450,000 |
3,850,000 |
4,250,000 |
22,950,000 |
7,600,000 |
|||||||||||||||||||||
Redeemed |
(3,450,000 |
) |
(2,200,000 |
) |
(3,150,000 |
) |
(2,850,000 |
) |
(8,300,000 |
) |
(5,550,000 |
) |
|||||||||||||||
Change in Shares |
(1,050,000 |
) |
(750,000 |
) |
700,000 |
1,400,000 |
14,650,000 |
2,050,000 |
See notes to financial statements.
223
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares US Discovery Enhanced Volatility Wtd ETF |
VictoryShares Developed Enhanced Volatility Wtd ETF |
VictoryShares Nasdaq Next 50 ETF |
|||||||||||||||||||||||||
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
Year Ended June 30, 2021 |
Year Ended June 30, 2022 |
For
the Period September 10, 2020(a) through June 30, 2021 |
||||||||||||||||||||||
From Investment Activities: |
|||||||||||||||||||||||||||
Operations: |
|||||||||||||||||||||||||||
Net
Investment Income (loss) |
$ |
820,477 |
$ |
612,754 |
$ |
862,590 |
$ |
943,772 |
$ |
545,521 |
$ |
428,808 |
|||||||||||||||
Net
realized gains (losses) |
2,090,345 |
13,619,143 |
1,591,399 |
2,593,353 |
(10,770,137 |
) |
6,489,508 |
||||||||||||||||||||
Net
change in unrealized appreciation/ depreciation |
(9,626,008 |
) |
6,795,969 |
(6,884,687 |
) |
7,824,474 |
(38,838,362 |
) |
21,355,266 |
||||||||||||||||||
Change
in net assets resulting from operations |
(6,715,186 |
) |
21,027,866 |
(4,430,698 |
) |
11,361,599 |
(49,062,978 |
) |
28,273,582 |
||||||||||||||||||
Change
in net assets resulting from distributions to shareholders |
(805,290 |
) |
(596,428 |
) |
(1,203,675 |
) |
(879,139 |
) |
(586,469 |
) |
(345,554 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
15,526,039 |
5,938,386 |
(1,758,974 |
) |
(16,195,189 |
) |
(3,453,861 |
) |
120,538,914 |
||||||||||||||||||
Change in net assets |
8,005,563 |
26,369,824 |
(7,393,347 |
) |
(5,712,729 |
) |
(53,103,308 |
) |
148,466,942 |
||||||||||||||||||
Net Assets: |
|||||||||||||||||||||||||||
Beginning of period |
63,572,451 |
37,202,627 |
42,742,458 |
48,455,187 |
148,466,942 |
? |
|||||||||||||||||||||
End of period |
$ |
71,578,014 |
$ |
63,572,451 |
$ |
35,349,111 |
$ |
42,742,458 |
$ |
95,363,634 |
$ |
148,466,942 |
|||||||||||||||
Capital Transactions: |
|||||||||||||||||||||||||||
Proceeds
from shares issued |
$ |
36,104,432 |
$ |
34,562,229 |
$ |
? |
$ |
? |
$ |
38,309,198 |
$ |
196,036,909 |
|||||||||||||||
Cost of shares redeemed |
(20,578,393 |
) |
(28,623,843 |
) |
(1,758,974 |
) |
(16,195,189 |
) |
(41,763,059 |
) |
(75,497,995 |
) |
|||||||||||||||
Change
in net assets resulting from capital transactions |
$ |
15,526,039 |
$ |
5,938,386 |
$ |
(1,758,974 |
) |
$ |
(16,195,189 |
) |
$ |
(3,453,861 |
) |
$ |
120,538,914 |
||||||||||||
Share Transactions: |
|||||||||||||||||||||||||||
Issued |
600,000 |
600,000 |
? |
? |
1,150,000 |
6,675,000 |
|||||||||||||||||||||
Redeemed |
(350,000 |
) |
(500,000 |
) |
(50,000 |
) |
(550,000 |
) |
(1,350,000 |
) |
(2,350,000 |
) |
|||||||||||||||
Change in Shares |
250,000 |
100,000 |
(50,000 |
) |
(550,000 |
) |
(200,000 |
) |
4,325,000 |
(a) Commencement of operations.
See notes to financial statements.
224
Victory Portfolios II |
Statements of Changes in Net Assets |
VictoryShares ESG Core Plus Bond ETF |
VictoryShares ESG Corporate Bond ETF |
VictoryShares THB Mid Cap ESG ETF |
|||||||||||||
For
the Period October 5, 2021(a) through June 30, 2022 |
For
the Period October 5, 2021(a) through June 30, 2022 |
For
the Period October 5, 2021(a) through June 30, 2022 |
|||||||||||||
From Investment Activities: |
|||||||||||||||
Operations: |
|||||||||||||||
Net Investment Income (Loss) |
$ |
3,117,886 |
$ |
1,709,819 |
$ |
1,022 |
|||||||||
Net realized gains (losses) |
(5,493,700 |
) |
(991,577 |
) |
4,207 |
||||||||||
Net
change in unrealized appreciation/ depreciation |
(22,293,736 |
) |
(19,154,585 |
) |
(317,418 |
) |
|||||||||
Change
in net assets resulting from operations |
(24,669,550 |
) |
(18,436,343 |
) |
(312,189 |
) |
|||||||||
Change
in net assets resulting from distributions to shareholders |
(2,591,088 |
) |
(1,493,227 |
) |
(7,901 |
) |
|||||||||
Change
in net assets resulting from capital transactions |
240,989,786 |
124,252,438 |
2,373,729 |
||||||||||||
Change in net assets |
213,729,148 |
104,322,868 |
2,053,639 |
||||||||||||
Net Assets: |
|||||||||||||||
Beginning of period |
? |
? |
? |
||||||||||||
End of period |
$ |
213,729,148 |
$ |
104,322,868 |
$ |
2,053,639 |
|||||||||
Capital Transactions: |
|||||||||||||||
Proceeds from shares issued |
$ |
240,989,786 |
$ |
124,252,438 |
$ |
2,373,729 |
|||||||||
Change
in net assets resulting from capital transactions |
$ |
240,989,786 |
$ |
124,252,438 |
$ |
2,373,729 |
|||||||||
Share Transactions: |
|||||||||||||||
Issued |
9,750,000 |
5,000,000 |
100,000 |
||||||||||||
Change in Shares |
9,750,000 |
5,000,000 |
100,000 |
(a) Commencement of operations.
See notes to financial statements.
225
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income (Loss)(a) |
Net Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net
Investment Income |
Total
Distributions |
Net
Asset Value, End of Period |
Total
Return |
||||||||||||||||||||||||||||
VictoryShares US 500 Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
71.26 |
0.94 |
(6.99 |
) |
(6.05 |
) |
(0.94 |
) |
(0.94 |
) |
$ |
64.27 |
(8.63 |
)% |
||||||||||||||||||||
2021 |
$ |
50.57 |
0.69 |
20.68 |
21.37 |
(0.68 |
) |
(0.68 |
) |
$ |
71.26 |
42.51 |
% |
||||||||||||||||||||||
2020 |
$ |
52.46 |
0.77 |
(1.88 |
) |
(1.11 |
) |
(0.78 |
) |
(0.78 |
) |
$ |
50.57 |
(2.12 |
)% |
||||||||||||||||||||
2019 |
$ |
49.34 |
0.73 |
3.09 |
3.82 |
(0.70 |
) |
(0.70 |
) |
$ |
52.46 |
7.86 |
% |
||||||||||||||||||||||
2018 |
$ |
44.05 |
0.63 |
5.26 |
5.89 |
(0.60 |
) |
(0.60 |
) |
$ |
49.34 |
13.42 |
% |
||||||||||||||||||||||
VictoryShares US Small Cap Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
64.96 |
0.86 |
(8.44 |
) |
(7.58 |
) |
(0.84 |
) |
(0.84 |
) |
$ |
56.54 |
(11.82 |
)% |
||||||||||||||||||||
2021 |
$ |
40.22 |
0.70 |
24.76 |
25.46 |
(0.72 |
) |
(0.72 |
) |
$ |
64.96 |
63.72 |
% |
||||||||||||||||||||||
2020 |
$ |
45.87 |
0.59 |
(5.62 |
) |
(5.03 |
) |
(0.62 |
) |
(0.62 |
) |
$ |
40.22 |
(11.00 |
)% |
||||||||||||||||||||
2019 |
$ |
48.54 |
0.63 |
(2.62 |
) |
(1.99 |
) |
(0.68 |
) |
(0.68 |
) |
$ |
45.87 |
(4.07 |
)% |
||||||||||||||||||||
2018 |
$ |
42.40 |
0.50 |
6.14 |
6.64 |
(0.50 |
) |
(0.50 |
) |
$ |
48.54 |
15.75 |
% |
||||||||||||||||||||||
VictoryShares International Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
44.89 |
1.20 |
(8.23 |
) |
(7.03 |
) |
(1.50 |
) |
(1.50 |
) |
$ |
36.36 |
(16.10 |
)% |
||||||||||||||||||||
2021 |
$ |
34.63 |
0.95 |
10.25 |
11.20 |
(0.94 |
) |
(0.94 |
) |
$ |
44.89 |
32.59 |
% |
||||||||||||||||||||||
2020 |
$ |
38.12 |
0.77 |
(3.51 |
) |
(2.74 |
) |
(0.75 |
) |
(0.75 |
) |
$ |
34.63 |
(7.23 |
)% |
||||||||||||||||||||
2019 |
$ |
39.09 |
1.17 |
(1.07 |
) |
0.10 |
(1.07 |
) |
(1.07 |
) |
$ |
38.12 |
0.33 |
% |
|||||||||||||||||||||
2018 |
$ |
37.20 |
1.04 |
1.81 |
2.85 |
(0.96 |
) |
(0.96 |
) |
$ |
39.09 |
7.62 |
% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
See notes to financial statements.
226
Victory Portfolios II |
Financial Highlights ? continued |
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net
Expenses(b) |
Net
Investment Income (Loss) |
Gross
Expenses(b) |
Net
Assets, End of Period (000's) |
Portfolio
Turnover(c) |
|||||||||||||||||||
VictoryShares US 500 Volatility Wtd ETF |
|||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||
2022 |
0.35 |
% |
1.30 |
% |
0.38 |
% |
$ |
533,403 |
21 |
% |
|||||||||||||
2021 |
0.35 |
% |
1.13 |
% |
0.39 |
% |
$ |
705,437 |
34 |
% |
|||||||||||||
2020 |
0.35 |
% |
1.49 |
% |
0.40 |
% |
$ |
670,005 |
28 |
% |
|||||||||||||
2019 |
0.35 |
% |
1.48 |
% |
0.40 |
% |
$ |
731,775 |
46 |
% |
|||||||||||||
2018 |
0.35 |
% |
1.32 |
% |
0.41 |
% |
$ |
567,370 |
36 |
% |
|||||||||||||
VictoryShares US Small Cap Volatility Wtd ETF |
|||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||
2022 |
0.35 |
% |
1.33 |
% |
0.58 |
% |
$ |
22,617 |
55 |
% |
|||||||||||||
2021 |
0.35 |
% |
1.30 |
% |
0.55 |
% |
$ |
25,986 |
71 |
% |
|||||||||||||
2020 |
0.35 |
% |
1.35 |
% |
0.55 |
% |
$ |
16,089 |
50 |
% |
|||||||||||||
2019 |
0.35 |
% |
1.36 |
% |
0.46 |
% |
$ |
29,814 |
62 |
% |
|||||||||||||
2018 |
0.35 |
% |
1.10 |
% |
0.47 |
% |
$ |
41,261 |
47 |
% |
|||||||||||||
VictoryShares International Volatility Wtd ETF |
|||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||
2022 |
0.45 |
% |
2.79 |
% |
0.58 |
% |
$ |
92,713 |
32 |
% |
|||||||||||||
2021 |
0.45 |
% |
2.34 |
% |
0.63 |
% |
$ |
116,710 |
45 |
% |
|||||||||||||
2020 |
0.45 |
% |
2.12 |
% |
0.64 |
% |
$ |
83,120 |
41 |
% |
|||||||||||||
2019 |
0.45 |
% |
3.14 |
% |
0.73 |
% |
$ |
36,215 |
53 |
% |
|||||||||||||
2018 |
0.45 |
% |
2.61 |
% |
0.98 |
% |
$ |
21,497 |
37 |
% |
See notes to financial statements.
227
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income (Loss)(a) |
Net Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net
Investment Income |
Net
Realized Gains from Investments |
||||||||||||||||||||||
VictoryShares US Large Cap High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||
2022 |
$ |
56.68 |
1.84 |
1.30 |
3.14 |
(1.80 |
) |
? |
|||||||||||||||||||
2021 |
$ |
39.52 |
1.45 |
17.10 |
18.55 |
(1.39 |
) |
? |
|||||||||||||||||||
2020 |
$ |
47.03 |
1.58 |
(7.44 |
) |
(5.86 |
) |
(1.65 |
) |
? |
|||||||||||||||||
2019 |
$ |
45.06 |
1.51 |
1.83 |
3.34 |
(1.37 |
) |
? |
|||||||||||||||||||
2018 |
$ |
42.17 |
1.34 |
2.92 |
4.26 |
(1.37 |
) |
? |
|||||||||||||||||||
VictoryShares US Small Cap High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||
2022 |
$ |
59.95 |
1.83 |
(7.52 |
) |
(5.69 |
) |
(1.83 |
) |
? |
|||||||||||||||||
2021 |
$ |
36.75 |
1.85 |
23.26 |
25.11 |
(1.91 |
) |
? |
|||||||||||||||||||
2020 |
$ |
44.28 |
1.53 |
(7.47 |
) |
(5.94 |
) |
(1.59 |
) |
? |
|||||||||||||||||
2019 |
$ |
45.96 |
1.38 |
(1.74 |
) |
(0.36 |
) |
(1.32 |
) |
? |
|||||||||||||||||
2018 |
$ |
40.41 |
1.39 |
5.61 |
7.00 |
(1.45 |
) |
? |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
See notes to financial statements.
228
Victory Portfolios II |
Financial Highlights ? continued |
|
Ratios to Average Net Assets |
Supplemental Data |
|||||||||||||||||||||||||||||||||
Total
Distributions |
Net
Asset Value, End of Period |
Total
Return |
Net
Expenses(b) |
Net
Investment Income (Loss) |
Gross
Expenses(b) |
Net
Assets, End of Period (000's) |
Portfolio
Turnover(c) |
||||||||||||||||||||||||||||
VictoryShares US Large Cap High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
(1.80 |
) |
$ |
58.02 |
5.50 |
% |
0.35 |
% |
3.06 |
% |
0.40 |
% |
$ |
284,307 |
43 |
% |
|||||||||||||||||||
2021 |
(1.39 |
) |
$ |
56.68 |
47.74 |
% |
0.35 |
% |
3.04 |
% |
0.41 |
% |
$ |
221,056 |
67 |
% |
|||||||||||||||||||
2020 |
(1.65 |
) |
$ |
39.52 |
(12.78 |
)% |
0.35 |
% |
3.47 |
% |
0.41 |
% |
$ |
193,635 |
56 |
% |
|||||||||||||||||||
2019 |
(1.37 |
) |
$ |
47.03 |
7.59 |
% |
0.35 |
% |
3.33 |
% |
0.42 |
% |
$ |
331,527 |
66 |
% |
|||||||||||||||||||
2018 |
(1.37 |
) |
$ |
45.06 |
10.23 |
% |
0.35 |
% |
3.04 |
% |
0.42 |
% |
$ |
144,187 |
52 |
% |
|||||||||||||||||||
VictoryShares US Small Cap High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
(1.83 |
) |
$ |
52.43 |
(9.76 |
)% |
0.35 |
% |
3.14 |
% |
0.40 |
% |
$ |
270,019 |
68 |
% |
|||||||||||||||||||
2021 |
(1.91 |
) |
$ |
59.95 |
69.75 |
% |
0.35 |
% |
3.51 |
% |
0.42 |
% |
$ |
251,797 |
104 |
% |
|||||||||||||||||||
2020 |
(1.59 |
) |
$ |
36.75 |
(13.61 |
)% |
0.35 |
% |
3.69 |
% |
0.44 |
% |
$ |
66,142 |
68 |
% |
|||||||||||||||||||
2019 |
(1.32 |
) |
$ |
44.28 |
(0.70 |
)% |
0.35 |
% |
3.10 |
% |
0.44 |
% |
$ |
75,277 |
83 |
% |
|||||||||||||||||||
2018 |
(1.45 |
) |
$ |
45.96 |
17.64 |
% |
0.35 |
% |
3.23 |
% |
0.45 |
% |
$ |
43,665 |
68 |
% |
See notes to financial statements.
229
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income (Loss)(a) |
Net Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net
Investment Income |
Net
Realized Gains from Investments |
||||||||||||||||||||||
VictoryShares International High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||
2022 |
$ |
32.83 |
1.80 |
(3.63 |
) |
(1.83 |
) |
(1.84 |
) |
? |
|||||||||||||||||
2021 |
$ |
25.32 |
1.11 |
7.73 |
8.84 |
(1.33 |
) |
? |
|||||||||||||||||||
2020 |
$ |
32.43 |
1.02 |
(7.13 |
) |
(6.11 |
) |
(1.00 |
) |
? |
|||||||||||||||||
2019 |
$ |
33.94 |
1.63 |
(1.48 |
) |
0.15 |
(1.66 |
) |
? |
||||||||||||||||||
2018 |
$ |
34.25 |
1.47 |
(0.41 |
) |
1.06 |
(1.37 |
) |
? |
||||||||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||
2022 |
$ |
24.61 |
1.32 |
(5.66 |
) |
(4.34 |
) |
(1.45 |
) |
? |
|||||||||||||||||
2021 |
$ |
19.71 |
0.99 |
4.73 |
5.72 |
(0.82 |
) |
? |
|||||||||||||||||||
2020 |
$ |
24.39 |
0.94 |
(4.63 |
) |
(3.69 |
) |
(0.99 |
) |
? |
|||||||||||||||||
2019 |
$ |
23.92 |
1.31 |
0.35 |
1.66 |
(1.05 |
) |
(0.14 |
) |
||||||||||||||||||
October
26, 2017(f) through June 30, 2018 |
$ |
24.95 |
0.78 |
(1.29 |
) |
(0.51 |
) |
(0.52 |
) |
? |
|||||||||||||||||
VictoryShares Dividend Accelerator ETF |
|||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||
2022 |
$ |
44.12 |
0.70 |
(2.63 |
) |
(1.93 |
) |
(0.71 |
) |
? |
|||||||||||||||||
2021 |
$ |
33.14 |
0.66 |
10.95 |
11.61 |
(0.63 |
) |
? |
|||||||||||||||||||
2020 |
$ |
32.90 |
0.55 |
0.19 |
0.74 |
(0.50 |
) |
? |
|||||||||||||||||||
2019 |
$ |
28.41 |
0.48 |
4.47 |
4.95 |
(0.46 |
) |
? |
|||||||||||||||||||
2018 |
$ |
25.95 |
0.48 |
2.45 |
2.93 |
(0.47 |
) |
? |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Does not include acquired fund fees and expenses, if any.
(d) Annualized for periods less than one year.
(e) Excludes impact of in-kind transactions.
(f) Commencement of operations.
(g) During the period, the Fund paid interest fees. Excluding these fees, the ratio of net expense to average net assets for the years ended June 30, 2022, and June 30, 2019, was 0.50%.
See notes to financial statements.
230
Victory Portfolios II |
Financial Highlights ? continued |
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||||||||||||||
Total
Distributions |
Net
Asset Value, End of Period |
Total Return(b) |
Net Expenses(c)(d) |
Net
Investment Income (Loss)(d) |
Gross Expenses(c)(d) |
Net
Assets, End of Period (000's) |
Portfolio Turnover(b)(e) |
||||||||||||||||||||||||||||
VictoryShares International High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
(1.84 |
) |
$ |
29.16 |
(5.92 |
)% |
0.45 |
% |
5.57 |
% |
0.85 |
% |
$ |
16,038 |
62 |
% |
|||||||||||||||||||
2021 |
(1.33 |
) |
$ |
32.83 |
35.49 |
% |
0.45 |
% |
3.95 |
% |
0.66 |
% |
$ |
22,978 |
111 |
% |
|||||||||||||||||||
2020 |
(1.00 |
) |
$ |
25.32 |
(19.22 |
)% |
0.45 |
% |
3.45 |
% |
0.57 |
% |
$ |
62,042 |
71 |
% |
|||||||||||||||||||
2019 |
(1.66 |
) |
$ |
32.43 |
0.58 |
% |
0.45 |
% |
5.06 |
% |
0.59 |
% |
$ |
40,540 |
76 |
% |
|||||||||||||||||||
2018 |
(1.37 |
) |
$ |
33.94 |
3.00 |
% |
0.45 |
% |
4.14 |
% |
0.60 |
% |
$ |
45,824 |
58 |
% |
|||||||||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
(1.45 |
) |
$ |
18.82 |
(18.55 |
)% |
0.51 |
%(g) |
5.76 |
% |
1.40 |
% |
$ |
10,351 |
86 |
% |
|||||||||||||||||||
2021 |
(0.82 |
) |
$ |
24.61 |
29.69 |
% |
0.50 |
% |
4.55 |
% |
1.19 |
% |
$ |
19,686 |
101 |
% |
|||||||||||||||||||
2020 |
(0.99 |
) |
$ |
19.71 |
(15.55 |
)% |
0.50 |
% |
4.24 |
% |
0.85 |
% |
$ |
21,679 |
86 |
% |
|||||||||||||||||||
2019 |
(1.19 |
) |
$ |
24.39 |
7.30 |
% |
0.51 |
%(g) |
5.52 |
% |
0.88 |
% |
$ |
40,251 |
103 |
% |
|||||||||||||||||||
October
26, 2017(f) through June 30, 2018 |
(0.52 |
) |
$ |
23.92 |
(2.17 |
)% |
0.50 |
% |
4.44 |
% |
1.05 |
% |
$ |
21,532 |
52 |
% |
|||||||||||||||||||
VictoryShares Dividend Accelerator ETF |
|||||||||||||||||||||||||||||||||||
Year Ended June 30: |
|||||||||||||||||||||||||||||||||||
2022 |
(0.71 |
) |
$ |
41.48 |
(4.49 |
)% |
0.35 |
% |
1.55 |
% |
0.39 |
% |
$ |
277,909 |
43 |
% |
|||||||||||||||||||
2021 |
(0.63 |
) |
$ |
44.12 |
35.33 |
% |
0.35 |
% |
1.67 |
% |
0.40 |
% |
$ |
344,154 |
41 |
% |
|||||||||||||||||||
2020 |
(0.50 |
) |
$ |
33.14 |
2.23 |
% |
0.35 |
% |
1.65 |
% |
0.42 |
% |
$ |
235,277 |
74 |
% |
|||||||||||||||||||
2019 |
(0.46 |
) |
$ |
32.90 |
17.60 |
% |
0.35 |
% |
1.57 |
% |
0.59 |
% |
$ |
16,450 |
62 |
% |
|||||||||||||||||||
2018 |
(0.47 |
) |
$ |
28.41 |
11.33 |
% |
0.35 |
% |
1.75 |
% |
0.67 |
% |
$ |
7,102 |
43 |
% |
See notes to financial statements.
231
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to |
||||||||||||||||||||||||||||||||||
Net
Asset |
Net
|
|
Total
from |
Net
|
Total
|
Net
Asset |
Total
|
||||||||||||||||||||||||||||
VictoryShares US Multi-Factor Minimum Volatility ETF |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
38.15 |
0.66 |
(1.39 |
) |
(0.73 |
) |
(0.67 |
) |
(0.67 |
) |
$ |
36.75 |
(2.04 |
)% |
||||||||||||||||||||
2021 |
$ |
30.73 |
0.62 |
7.43 |
8.05 |
(0.63 |
) |
(0.63 |
) |
$ |
38.15 |
26.47 |
% |
||||||||||||||||||||||
2020 |
$ |
30.87 |
0.70 |
|
(0.14 |
) |
0.56 |
(0.70 |
) |
(0.70 |
) |
$ |
30.73 |
1.82 |
% |
||||||||||||||||||||
2019 |
$ |
27.58 |
0.73 |
3.20 |
3.93 |
(0.64 |
) |
(0.64 |
) |
$ |
30.87 |
14.47 |
% |
||||||||||||||||||||||
2018 |
$ |
24.83 |
0.63 |
2.69 |
3.32 |
(0.57 |
) |
(0.57 |
) |
$ |
27.58 |
13.41 |
% |
||||||||||||||||||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
71.28 |
0.87 |
(6.95 |
) |
(6.08 |
) |
(0.84 |
) |
(0.84 |
) |
$ |
64.36 |
(8.67 |
)% |
||||||||||||||||||||
2021 |
$ |
51.88 |
0.70 |
19.32 |
20.02 |
(0.62 |
) |
(0.62 |
) |
$ |
71.28 |
38.78 |
% |
||||||||||||||||||||||
2020 |
$ |
48.89 |
0.60 |
3.04 |
3.64 |
(0.65 |
) |
(0.65 |
) |
$ |
51.88 |
7.49 |
% |
||||||||||||||||||||||
2019 |
$ |
49.30 |
0.73 |
(0.42 |
) |
0.31 |
(0.72 |
) |
(0.72 |
) |
$ |
48.89 |
0.69 |
% |
|||||||||||||||||||||
2018 |
$ |
44.00 |
0.64 |
5.25 |
5.89 |
(0.59 |
) |
(0.59 |
) |
$ |
49.30 |
13.42 |
% |
||||||||||||||||||||||
VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
64.57 |
2.14 |
|
1.42 |
(f) |
3.56 |
(2.02 |
) |
(2.02 |
) |
$ |
66.11 |
5.49 |
% |
||||||||||||||||||||
2021 |
$ |
46.58 |
1.56 |
17.87 |
19.43 |
(1.44 |
) |
(1.44 |
) |
$ |
64.57 |
42.31 |
% |
||||||||||||||||||||||
2020 |
$ |
45.54 |
1.39 |
1.09 |
2.48 |
(1.44 |
) |
(1.44 |
) |
$ |
46.58 |
5.49 |
% |
||||||||||||||||||||||
2019 |
$ |
46.29 |
1.46 |
(0.80 |
) |
0.66 |
(1.41 |
) |
(1.41 |
) |
$ |
45.54 |
1.52 |
% |
|||||||||||||||||||||
2018 |
$ |
43.30 |
1.39 |
2.99 |
4.38 |
(1.39 |
) |
(1.39 |
) |
$ |
46.29 |
10.23 |
% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Does not include acquired fund fees and expenses, if any.
(c) Excludes impact of in-kind transactions.
(d) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
(e) Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility
(f) The amount shown reflects a net realized and unrealized gain per share, whereas the Statement of Operations reflected a net realized and unrealized loss for the period for the Fund in total. The difference in realized and unrealized gains and losses for the Fund versus the class is due to the timing of sales and repurchases of the class in relation to fluctuating market values during the period.
See notes to financial statements.
232
Victory Portfolios II |
Financial Highlights ? continued |
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net
Expenses(b) |
Net
Investment Income (Loss) |
Gross
Expenses(b) |
Net
Assets, End of Period (000's) |
Portfolio
Turnover(c) |
|||||||||||||||||||
VictoryShares US Multi-Factor Minimum Volatility ETF |
|||||||||||||||||||||||
2022 |
0.35 |
% |
1.66 |
% |
0.41 |
% |
$ |
119,441 |
63 |
% |
|||||||||||||
2021 |
0.35 |
% |
1.80 |
% |
0.41 |
% |
$ |
164,065 |
56 |
% |
|||||||||||||
2020 |
0.35 |
% |
2.23 |
% |
0.42 |
% |
$ |
155,182 |
69 |
% |
|||||||||||||
2019 |
0.35 |
% |
2.50 |
% |
0.48 |
% |
$ |
43,213 |
34 |
% |
|||||||||||||
2018 |
0.35 |
% |
2.33 |
% |
0.74 |
% |
$ |
8,273 |
26 |
% |
|||||||||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||
2022 |
0.35 |
% |
1.20 |
% |
0.38 |
% |
$ |
891,353 |
101 |
%(d) |
|||||||||||||
2021 |
0.35 |
% |
1.13 |
% |
0.39 |
% |
$ |
937,341 |
34 |
% |
|||||||||||||
2020 |
0.35 |
% |
1.20 |
% |
0.40 |
% |
$ |
609,613 |
56 |
% |
|||||||||||||
2019 |
0.35 |
% |
1.51 |
% |
0.40 |
% |
$ |
828,729 |
116 |
%(d) |
|||||||||||||
2018 |
0.35 |
% |
1.32 |
% |
0.41 |
% |
$ |
951,411 |
37 |
% |
|||||||||||||
VictoryShares US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||
2022 |
0.35 |
% |
3.13 |
% |
0.39 |
% |
$ |
1,907,396 |
41 |
% |
|||||||||||||
2021 |
0.35 |
% |
2.80 |
% |
0.40 |
% |
$ |
916,846 |
65 |
%(e) |
|||||||||||||
2020 |
0.35 |
% |
3.02 |
% |
0.40 |
% |
$ |
565,892 |
116 |
% |
|||||||||||||
2019 |
0.35 |
% |
3.22 |
% |
0.40 |
% |
$ |
696,814 |
143 |
%(d) |
|||||||||||||
2018 |
0.35 |
% |
3.06 |
% |
0.41 |
% |
$ |
738,260 |
52 |
% |
See notes to financial statements.
233
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to |
||||||||||||||||||||||||||||||||||
Net
Asset |
Net
|
|
Total
from |
Net
|
Total
|
Net
Asset |
Total
|
||||||||||||||||||||||||||||
VictoryShares US Discovery Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
60.55 |
0.69 |
(5.48 |
) |
(4.79 |
) |
(0.70 |
) |
(0.70 |
) |
$ |
55.06 |
(8.00 |
)% |
||||||||||||||||||||
2021 |
$ |
39.16 |
0.62 |
21.38 |
22.00 |
(0.61 |
) |
(0.61 |
) |
$ |
60.55 |
56.47 |
% |
||||||||||||||||||||||
2020 |
$ |
37.80 |
0.44 |
|
1.42 |
1.86 |
(0.50 |
) |
(0.50 |
) |
$ |
39.16 |
5.00 |
% |
|||||||||||||||||||||
2019 |
$ |
47.41 |
0.64 |
(9.61 |
) |
(8.97 |
) |
(0.64 |
) |
(0.64 |
) |
$ |
37.80 |
(19.04 |
)% |
||||||||||||||||||||
2018 |
$ |
41.41 |
0.50 |
5.98 |
6.48 |
(0.48 |
) |
(0.48 |
) |
$ |
47.41 |
15.75 |
% |
||||||||||||||||||||||
VictoryShares Developed Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||||||||||||||
2022 |
$ |
34.19 |
0.72 |
(4.45 |
) |
(3.73 |
) |
(1.00 |
) |
(1.00 |
) |
$ |
29.46 |
(11.20 |
)% |
||||||||||||||||||||
2021 |
$ |
26.92 |
0.66 |
7.26 |
7.92 |
(0.65 |
) |
(0.65 |
) |
$ |
34.19 |
29.63 |
% |
||||||||||||||||||||||
2020 |
$ |
32.10 |
0.52 |
(5.14 |
) |
(4.62 |
) |
(0.56 |
) |
(0.56 |
) |
$ |
26.92 |
(14.55 |
)% |
||||||||||||||||||||
2019 |
$ |
33.79 |
0.85 |
(1.59 |
) |
(0.74 |
) |
(0.95 |
) |
(0.95 |
) |
$ |
32.10 |
(2.16 |
)% |
||||||||||||||||||||
2018 |
$ |
32.22 |
0.94 |
1.45 |
2.39 |
(0.82 |
) |
(0.82 |
) |
$ |
33.79 |
7.41 |
% |
||||||||||||||||||||||
VictoryShares Nasdaq Next 50 ETF |
|||||||||||||||||||||||||||||||||||
Year
Ended |
$ |
34.33 |
0.12 |
(11.20 |
) |
(11.08 |
) |
(0.13 |
) |
(0.13 |
) |
$ |
23.12 |
(32.34 |
)% |
||||||||||||||||||||
September
10, 2020(i) |
$ |
25.45 |
0.12 |
8.85 |
8.97 |
(0.09 |
) |
(0.09 |
) |
$ |
34.33 |
35.26 |
% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Does not include acquired fund fees and expenses, if any.
(d) Annualized for periods less than one year
(e) Excludes impact of in-kind transactions.
(f) Increased trading levels in a given year reflect additional portfolio transactions required to track the "enhanced volatility" methodology of the Fund's underlying index. The Fund expects trading levels to be lower during periods of lower market volatility.
(g) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.
(i) Commencement of operations.
See notes to financial statements.
234
Victory Portfolios II |
Financial Highlights ? continued |
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net
Expenses(c)(d) |
Net
Investment Income (Loss)(d) |
Gross
Expenses(c)(d) |
Net
Assets, End of Period (000's) |
Portfolio
Turnover(b)(e) |
|||||||||||||||||||
VictoryShares US Discovery Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||
2022 |
0.35 |
% |
1.15 |
% |
0.45 |
% |
$ |
71,578 |
64 |
% |
|||||||||||||
2021 |
0.35 |
% |
1.22 |
% |
0.46 |
% |
$ |
63,572 |
70 |
%(f) |
|||||||||||||
2020 |
0.35 |
% |
1.19 |
% |
0.47 |
% |
$ |
37,203 |
232 |
% |
|||||||||||||
2019 |
0.35 |
% |
1.48 |
% |
0.42 |
% |
$ |
92,614 |
398 |
%(g) |
|||||||||||||
2018 |
0.35 |
% |
1.13 |
% |
0.43 |
% |
$ |
116,157 |
47 |
% |
|||||||||||||
VictoryShares Developed Enhanced Volatility Wtd ETF |
|||||||||||||||||||||||
2022 |
0.45 |
% |
2.17 |
% |
0.81 |
% |
$ |
35,349 |
37 |
% |
|||||||||||||
2021 |
0.45 |
% |
2.16 |
% |
0.88 |
% |
$ |
42,742 |
55 |
% |
|||||||||||||
2020 |
0.45 |
% |
1.69 |
% |
0.65 |
% |
$ |
48,455 |
33 |
% |
|||||||||||||
2019 |
0.45 |
% |
2.63 |
% |
0.56 |
% |
$ |
110,746 |
154 |
%(g) |
|||||||||||||
2018 |
0.45 |
% |
2.73 |
% |
0.58 |
% |
$ |
179,103 |
38 |
% |
|||||||||||||
VictoryShares Nasdaq Next 50 ETF |
|||||||||||||||||||||||
Year
Ended June 30, 2022 |
0.18 |
% |
0.40 |
% |
0.31 |
% |
$ |
95,364 |
95 |
% |
|||||||||||||
September
10, 2020(i) through June 30, 2021 |
0.18 |
% |
0.46 |
% |
0.30 |
% |
$ |
148,467 |
68 |
% |
See notes to financial statements.
235
Victory Portfolios II |
Financial Highlights |
Investment Activities |
Distributions
to Shareholders From |
||||||||||||||||||||||||||||||||||
Net
Asset Value, Beginning of Period |
Net
Investment Income (Loss)(a) |
Net Realized and Unrealized Gains (Losses) |
Total
from Investment Activities |
Net
Investment Income |
Total
Distributions |
Net
Asset Value, End of Period |
Total
Return(b) |
||||||||||||||||||||||||||||
VictoryShares ESG Core Plus Bond ETF |
|||||||||||||||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
$ |
25.00 |
0.38 |
(3.17 |
) |
(2.79 |
) |
(0.29 |
) |
(0.29 |
) |
$ |
21.92 |
(11.20 |
)% |
||||||||||||||||||||
VictoryShares ESG Corporate Bond ETF |
|||||||||||||||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
$ |
25.00 |
0.37 |
(4.19 |
) |
(3.82 |
) |
(0.32 |
) |
(0.32 |
) |
$ |
20.86 |
(15.37 |
)% |
||||||||||||||||||||
VictoryShares THB Mid Cap ESG ETF |
|||||||||||||||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
$ |
23.74 |
0.01 |
(3.13 |
) |
(3.12 |
) |
(0.08 |
) |
(0.08 |
) |
$ |
20.54 |
(13.23 |
)% |
(a) Per share net investment income (loss) has been calculated using the average daily shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) Does not include acquired fund fees and expenses, if any.
(e) Excludes impact of in-kind transactions.
(f) Commencement of operations.
See notes to financial statements.
236
Victory Portfolios II |
Financial Highlights ? continued |
Ratios to Average Net Assets |
Supplemental Data |
||||||||||||||||||||||
Net
Expenses(c)(d) |
Net
Investment Income (Loss)(c) |
Gross
Expenses(c)(d) |
Net
Assets, End of Period (000's) |
Portfolio
Turnover(b)(e) |
|||||||||||||||||||
VictoryShares ESG Core Plus Bond ETF |
|||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
0.40 |
% |
2.20 |
% |
0.50 |
% |
$ |
213,729 |
56 |
% |
|||||||||||||
VictoryShares ESG Corporate Bond ETF |
|||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
0.40 |
% |
2.17 |
% |
0.53 |
% |
$ |
104,323 |
9 |
% |
|||||||||||||
VictoryShares THB Mid Cap ESG ETF |
|||||||||||||||||||||||
October
5, 2021(f) through June 30, 2022 |
0.55 |
% |
0.06 |
% |
2.49 |
% |
$ |
2,054 |
17 |
% |
See notes to financial statements.
237
Victory Portfolios II |
Notes
to Financial Statements June 30, 2022 |
1. Organization:
Victory Portfolios II (the "Trust") is organized as a Delaware statutory trust and the Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. The Trust is comprised of 25 funds, 23 of which are Exchange-Traded Funds ("ETFs"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value.
The accompanying financial statements are those of the following 17 Funds (collectively, the "Funds" and individually, a "Fund"). Each Fund is classified as diversified under the 1940 Act.
Funds (Legal Name) |
Funds (Short Name) |
||||||
VictoryShares US 500 Volatility Wtd ETF |
US 500 Volatility Wtd ETF |
||||||
VictoryShares US Small Cap Volatility Wtd ETF |
US Small Cap Volatility Wtd ETF |
||||||
VictoryShares International Volatility Wtd ETF |
International Volatility Wtd ETF |
||||||
VictoryShares
US Large Cap High Div Volatility Wtd ETF |
US
Large Cap High Div Volatility Wtd ETF |
||||||
VictoryShares
US Small Cap High Div Volatility Wtd ETF |
US
Small Cap High Div Volatility Wtd ETF |
||||||
VictoryShares
International High Div Volatility Wtd ETF |
International
High Div Volatility Wtd ETF |
||||||
VictoryShares
Emerging Market High Div Volatility Wtd ETF |
Emerging
Market High Div Volatility Wtd ETF |
||||||
VictoryShares Dividend Accelerator ETF |
Dividend Accelerator ETF |
||||||
VictoryShares
US Multi-Factor Minimum Volatility ETF |
US
Multi-Factor Minimum Volatility ETF |
||||||
VictoryShares US 500 Enhanced Volatility Wtd ETF |
US 500 Enhanced Volatility Wtd ETF |
||||||
VictoryShares
US EQ Income Enhanced Volatility Wtd ETF |
US EQ
Income Enhanced Volatility Wtd ETF |
||||||
VictoryShares
US Discovery Enhanced Volatility Wtd ETF |
US
Discovery Enhanced Volatility Wtd ETF |
||||||
VictoryShares
Developed Enhanced Volatility Wtd ETF |
Developed
Enhanced Volatility Wtd ETF |
||||||
VictoryShares Nasdaq Next 50 ETF |
Nasdaq Next 50 ETF |
||||||
VictoryShares ESG Core Plus Bond ETF |
ESG Core Plus Bond ETF* |
||||||
VictoryShares ESG Corporate Bond ETF |
ESG Corporate Bond ETF* |
||||||
VictoryShares THB Mid Cap ESG ETF |
THB Mid Cap ESG ETF* |
* Commenced operations on October 5, 2021.
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. Significant Accounting Policies:
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. Generally Accepted Accounting Principles ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies under Accounting Standards Codification Topic 946.
238
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Shares of the Funds are listed and traded on Nasdaq Stock Market, LLC. (the "Exchange"). The Funds issue and redeem shares at Net Asset Value ("NAV") only in aggregations of 50,000 shares, or 25,000 shares in the case of THB Mid Cap ESG ETF, ESG Core Plus Bond ETF, ESG Corporate Bond ETF, and Nasdaq Next 50 ETF (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the distributor. Only Authorized Participants may purchase or redeem the shares directly from a Fund. In addition, shares may be issued in advance of receipt of Deposit Securities subject to various conditions, including a requirement to maintain on deposit with the Trust cash equal to up to 105% of the market value of the missing Deposit Securities. In each instance of such cash creations or redemptions, transaction fees may be imposed and may be higher than the transaction fees associated with in-kind creations or redemptions.
Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. Shares of each Fund have equal rights and privileges. A purchase (i.e., creation) transaction fee is imposed for the transfer and other transactional costs associated with the purchase of Creation Units. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units. Variable fees received by each Fund are displayed in the Capital Transactions section of the Statements of Changes in Net Assets as an increase to Capital.
The transaction fees for each Fund are listed below:
Fee
for In-Kind and Cash Purchases and Redemptions |
Maximum
Additional Variable Charge for Cash Purchases and Redemptions* |
||||||||||
US 500 Volatility Wtd ETF |
$ |
750 |
2.00 |
% |
|||||||
US Small Cap Volatility Wtd ETF |
750 |
2.00 |
% |
||||||||
International Volatility Wtd ETF |
6,000 |
2.00 |
% |
||||||||
US Large Cap High Div Volatility Wtd ETF |
250 |
2.00 |
% |
||||||||
US Small Cap High Div Volatility Wtd ETF |
250 |
2.00 |
% |
||||||||
International High Div Volatility Wtd ETF |
1,500 |
2.00 |
% |
||||||||
Emerging Market High Div Volatility Wtd ETF |
3,400 |
2.00 |
% |
||||||||
Dividend Accelerator ETF |
250 |
2.00 |
% |
||||||||
US Multi-Factor Minimum Volatility ETF |
250 |
2.00 |
% |
||||||||
US 500 Enhanced Volatility Wtd ETF |
750 |
2.00 |
% |
||||||||
US EQ Income Enhanced Volatility Wtd ETF |
250 |
2.00 |
% |
||||||||
US Discovery Enhanced Volatility Wtd ETF |
750 |
2.00 |
% |
||||||||
Developed Enhanced Volatility Wtd ETF |
4,500 |
2.00 |
% |
||||||||
Nasdaq Next 50 ETF |
250 |
2.00 |
% |
||||||||
ESG Core Plus Bond ETF |
100 |
2.00 |
% |
||||||||
ESG Corporate Bond ETF |
100 |
2.00 |
% |
||||||||
THB Mid Cap ESG ETF |
250 |
2.00 |
% |
* As a percentage of the amount invested.
Investment Valuation:
The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
239
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:
? Level 1 ? quoted prices in active markets for identical securities
? Level 2 ? other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)
? Level 3 ? significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodologies used for valuation techniques are not necessarily an indication of the risk associated with entering into those investments.
Victory Capital Management Inc. ("VCM" or the "Adviser") has established the Pricing and Liquidity Committee (the "Committee"), and subject to the Trust's Board of Trustees' (the "Board") oversight, the Committee administers and oversees the Funds' valuation policies and procedures, which are approved by the Board.
Portfolio securities listed or traded on securities exchanges, including Exchange-Traded Funds ("ETFs"), and American Depositary Receipts ("ADRs"), are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Investments in open-end investment companies are valued at their NAV. These valuations are typically categorized as Level 1 in the fair value hierarchy.
Debt securities are valued each business day by a pricing service approved by the Board. The approved pricing service uses the evaluated bid or the last sale price to value securities. Debt obligations maturing within 60 days may be valued at amortized cost, provided that the amortized cost represents the fair value of such securities. These valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.
In the event that price quotations or valuations are not readily available, investments are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. These valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy, based on the observability of inputs used to determine the fair value. The effect of fair value pricing is that securities may not be priced on the basis of quotations from the primary market in which they are traded and the actual price realized from the sale of a security may differ materially from the fair value price. Valuing these securities at fair value is intended to cause the Fund's NAV to be more reliable than it otherwise would be.
A summary of the valuations as of June 30, 2022, is included in the table below while the breakdown, by category, of investments is disclosed on the Schedules of Portfolio Investments:
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
US 500 Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
530,853,266 |
$ |
? |
$ |
? |
$ |
530,853,266 |
|||||||||||
Collateral for Securities Loaned |
3,378,841 |
? |
? |
3,378,841 |
|||||||||||||||
Total |
$ |
534,232,107 |
$ |
? |
$ |
? |
$ |
534,232,107 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(88,322 |
) |
$ |
? |
$ |
? |
$ |
(88,322 |
) |
|||||||||
Total |
$ |
(88,322 |
) |
$ |
? |
$ |
? |
$ |
(88,322 |
) |
240
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
US Small Cap Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
22,530,994 |
$ |
? |
$ |
? |
$ |
22,530,994 |
|||||||||||
Collateral for Securities Loaned |
264,405 |
? |
? |
264,405 |
|||||||||||||||
Total |
$ |
22,795,399 |
$ |
? |
$ |
? |
$ |
22,795,399 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures Contracts |
$ |
2,666 |
$ |
? |
$ |
? |
$ |
2,666 |
|||||||||||
Total |
$ |
2,666 |
$ |
? |
$ |
? |
$ |
2,666 |
|||||||||||
International Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
91,877,707 |
$ |
? |
$ |
30,234 |
$ |
91,907,941 |
|||||||||||
Collateral for Securities Loaned |
3,149,309 |
? |
? |
3,149,309 |
|||||||||||||||
Total |
$ |
95,027,016 |
$ |
? |
$ |
30,234 |
$ |
95,057,250 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(3,840 |
) |
$ |
? |
$ |
? |
$ |
(3,840 |
) |
|||||||||
Total |
$ |
(3,840 |
) |
$ |
? |
$ |
? |
$ |
(3,840 |
) |
|||||||||
US Large Cap High Div Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
282,119,700 |
$ |
? |
$ |
? |
$ |
282,119,700 |
|||||||||||
Total |
$ |
282,119,700 |
$ |
? |
$ |
? |
$ |
282,119,700 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(71,199 |
) |
$ |
? |
$ |
? |
$ |
(71,199 |
) |
|||||||||
Total |
$ |
(71,199 |
) |
$ |
? |
$ |
? |
$ |
(71,199 |
) |
|||||||||
US Small Cap High Div Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
268,142,086 |
$ |
? |
$ |
? |
$ |
268,142,086 |
|||||||||||
Collateral for Securities Loaned |
7,579,061 |
? |
? |
7,579,061 |
|||||||||||||||
Total |
$ |
275,721,147 |
$ |
? |
$ |
? |
$ |
275,721,147 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(84,763 |
) |
$ |
? |
$ |
? |
$ |
(84,763 |
) |
|||||||||
Total |
(84,763 |
) |
$ |
? |
$ |
? |
$ |
(84,763 |
) |
||||||||||
International High Div Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
15,803,369 |
$ |
? |
$ |
20,694 |
$ |
15,824,063 |
|||||||||||
Collateral for Securities Loaned |
373,455 |
? |
? |
373,455 |
|||||||||||||||
Total |
$ |
16,176,824 |
$ |
? |
$ |
20,694 |
$ |
16,197,518 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(214 |
) |
$ |
? |
$ |
? |
$ |
(214 |
) |
|||||||||
Total |
$ |
(214 |
) |
$ |
? |
$ |
? |
$ |
(214 |
) |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
10,172,788 |
$ |
? |
$ |
23,902 |
$ |
10,196,690 |
|||||||||||
Collateral for Securities Loaned |
266,208 |
? |
? |
266,208 |
|||||||||||||||
Total |
$ |
10,438,996 |
$ |
? |
$ |
23,902 |
$ |
10,462,898 |
241
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(413 |
) |
$ |
? |
$ |
? |
$ |
(413 |
) |
|||||||||
Total |
$ |
(413 |
) |
$ |
? |
$ |
? |
$ |
(413 |
) |
|||||||||
Dividend Accelerator ETF |
|||||||||||||||||||
Common Stocks |
$ |
276,702,587 |
$ |
? |
$ |
? |
$ |
276,702,587 |
|||||||||||
Collateral for Securities Loaned |
365,864 |
? |
? |
365,864 |
|||||||||||||||
Total |
$ |
277,068,451 |
$ |
? |
$ |
? |
$ |
277,068,451 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(7,739 |
) |
$ |
? |
$ |
? |
$ |
(7,739 |
) |
|||||||||
Total |
$ |
(7,739 |
) |
$ |
? |
$ |
? |
$ |
(7,739 |
) |
|||||||||
US Multi-Factor Minimum Volatility ETF |
|||||||||||||||||||
Common Stocks |
$ |
118,947,780 |
$ |
? |
$ |
? |
$ |
118,947,780 |
|||||||||||
Total |
$ |
118,947,780 |
$ |
? |
$ |
? |
$ |
118,947,780 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(13,978 |
) |
$ |
? |
$ |
? |
$ |
(13,978 |
) |
|||||||||
Total |
$ |
(13,978 |
) |
$ |
? |
$ |
? |
$ |
(13,978 |
) |
|||||||||
US 500 Enhanced Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
887,233,092 |
$ |
? |
$ |
? |
$ |
887,233,092 |
|||||||||||
Investment Companies |
3,245,046 |
? |
? |
3,245,046 |
|||||||||||||||
Collateral for Securities Loaned |
1,272,943 |
? |
? |
1,272,943 |
|||||||||||||||
Total |
$ |
891,751,081 |
$ |
? |
$ |
? |
$ |
891,751,081 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(178,516 |
) |
$ |
? |
$ |
? |
$ |
(178,516 |
) |
|||||||||
Total |
$ |
(178,516 |
) |
$ |
? |
$ |
? |
$ |
(178,516 |
) |
|||||||||
US EQ Income Enhanced Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
1,893,657,402 |
$ |
? |
$ |
? |
$ |
1,893,657,402 |
|||||||||||
Investment Companies |
9,879,922 |
? |
? |
9,879,922 |
|||||||||||||||
Collateral for Securities Loaned |
15,352,137 |
? |
? |
15,352,137 |
|||||||||||||||
Total |
$ |
1,918,889,461 |
$ |
? |
$ |
? |
$ |
1,918,889,461 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(388,274 |
) |
$ |
? |
$ |
? |
$ |
(388,274 |
) |
|||||||||
Total |
$ |
(388,274 |
) |
$ |
? |
$ |
? |
$ |
(388,274 |
) |
|||||||||
US Discovery Enhanced Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
16,907,045 |
$ |
? |
$ |
? |
$ |
16,907,045 |
|||||||||||
Investment Companies |
54,597,924 |
? |
? |
54,597,924 |
|||||||||||||||
Collateral for Securities Loaned |
66,567 |
? |
? |
66,567 |
|||||||||||||||
Total |
$ |
71,571,536 |
$ |
? |
$ |
? |
$ |
71,571,536 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(19,906 |
) |
$ |
? |
$ |
? |
$ |
(19,906 |
) |
|||||||||
Total |
$ |
(19,906 |
) |
$ |
? |
$ |
? |
$ |
(19,906 |
) |
242
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||||||
Developed Enhanced Volatility Wtd ETF |
|||||||||||||||||||
Common Stocks |
$ |
8,020,495 |
$ |
? |
$ |
11,465 |
$ |
8,031,960 |
|||||||||||
Investment Companies |
27,126,268 |
? |
? |
27,126,268 |
|||||||||||||||
Collateral for Securities Loaned |
160,018 |
? |
? |
160,018 |
|||||||||||||||
Total |
$ |
35,306,781 |
$ |
? |
$ |
11,465 |
$ |
35,318,246 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(6,618 |
) |
$ |
? |
$ |
? |
$ |
(6,618 |
) |
|||||||||
Total |
$ |
(6,618 |
) |
$ |
? |
$ |
? |
$ |
(6,618 |
) |
|||||||||
Nasdaq Next 50 ETF |
|||||||||||||||||||
Common Stocks |
$ |
95,191,177 |
$ |
? |
$ |
8,697 |
$ |
95,199,874 |
|||||||||||
Collateral for Securities Loaned |
2,717,102 |
? |
? |
2,717,102 |
|||||||||||||||
Total |
$ |
97,908,279 |
$ |
? |
$ |
8,697 |
$ |
97,916,976 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures Contracts |
$ |
7,681 |
$ |
? |
$ |
? |
$ |
7,681 |
|||||||||||
Total |
$ |
7,681 |
$ |
? |
$ |
? |
$ |
7,681 |
|||||||||||
ESG Core Plus Bond ETF |
|||||||||||||||||||
Asset-Backed Securities |
$ |
? |
$ |
34,075,383 |
$ |
? |
$ |
34,075,383 |
|||||||||||
Collateralized Mortgage Obligations |
? |
37,793,079 |
? |
37,793,079 |
|||||||||||||||
Senior Secured Loans |
? |
11,738,665 |
? |
11,738,665 |
|||||||||||||||
Corporate Bonds |
? |
67,980,578 |
? |
67,980,578 |
|||||||||||||||
Yankee Dollars |
? |
12,562,398 |
? |
12,562,398 |
|||||||||||||||
Municipal Bonds |
? |
1,568,305 |
? |
1,568,305 |
|||||||||||||||
U.S. Government Agency Mortgages |
? |
4,505,009 |
? |
4,505,009 |
|||||||||||||||
U.S. Treasury Obligations |
? |
41,048,438 |
? |
41,048,438 |
|||||||||||||||
Total |
$ |
? |
$ |
211,271,855 |
$ |
? |
$ |
211,271,855 |
|||||||||||
Other Financial Investments* |
|||||||||||||||||||
Assets: |
|||||||||||||||||||
Futures Contracts |
$ |
87,298 |
$ |
? |
$ |
? |
$ |
87,298 |
|||||||||||
Liabilities: |
|||||||||||||||||||
Futures Contracts |
$ |
(7,978 |
) |
$ |
? |
$ |
? |
$ |
(7,978 |
) |
|||||||||
Total |
79,320 |
$ |
? |
$ |
? |
$ |
79,320 |
||||||||||||
ESG Corporate Bond ETF |
|||||||||||||||||||
Corporate Bonds |
$ |
? |
$ |
85,283,619 |
$ |
? |
$ |
85,283,619 |
|||||||||||
Yankee Dollars |
? |
17,332,363 |
? |
17,332,363 |
|||||||||||||||
Commercial Papers |
? |
1,299,861 |
? |
1,299,861 |
|||||||||||||||
Total |
$ |
? |
$ |
103,915,843 |
$ |
? |
$ |
103,915,843 |
|||||||||||
THB Mid Cap ESG ETF |
|||||||||||||||||||
Common Stocks |
$ |
2,056,010 |
$ |
? |
$ |
? |
$ |
2,056,010 |
|||||||||||
Total |
$ |
2,056,010 |
$ |
? |
$ |
? |
$ |
2,056,010 |
* Futures contracts are valued at the unrealized appreciation (depreciation) on the investment.
For the year ended June 30, 2022, the transfers into/out of Level 3 investments were immaterial for all Funds. For Emerging Market High Div Volatility Wtd ETF and Nasdaq Next 50 ETF, the change in unrealized appreciation/(depreciation) on these investments was $(2,619,945) and $(3,103,527), respectively.
243
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Real Estate Investment Trusts ("REITs"):
The Funds may invest in REITs, which report information on the source of their distributions annually. REITs are pooled investment vehicles that invest primarily in income-producing real estate or real-estate related loans or interests (such as mortgages). Certain distributions received from REITs during the year are recorded as realized gains or return of capital as estimated by the Funds or when such information becomes known.
Securities Purchased on a Delayed-Delivery or When-Issued Basis:
The Funds may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond normal settlement periods at a stated price and/or yield, thereby involving the risk that the price and/or yield obtained may be more or less than those available in the market when delivery takes place. At the time a Fund makes the commitment to purchase a security on a when-issued basis, the Fund records the transaction and reflects the value of the security in determining net asset value. No interest accrues to the Fund until the transaction settles and payment takes place. Normally, the settlement date occurs within one month of the purchase. A segregated account is established and the Fund maintains cash and/or marketable securities at least equal in value to commitments for when-issued securities. If a Fund owns when-issued securities, these values are included in Payable for investments purchased on the accompanying Statements of Assets and Liabilities and the segregated assets are identified on the Schedules of Portfolio Investments.
Municipal Obligations:
The values of municipal obligations can fluctuate and may be affected by adverse tax, legislative, or political changes, and by financial developments affecting municipal issuers. Payment of municipal obligations may depend on a relatively limited source of revenue, resulting in greater credit risk. Future changes in federal tax laws or the activity of an issuer may adversely affect the tax-exempt status of municipal obligations.
Investment Companies:
Open-End Funds:
The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.
Mortgage- and Asset-Backed Securities:
The values of some mortgage-related or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The values of mortgage- and asset-backed securities depend in part on the credit quality and adequacy of the underlying assets or collateral and may fluctuate in response to the market's perception of these factors as well as current and future repayment rates. Some mortgage-backed securities are backed by the full faith and credit of the U.S. government (e.g., mortgage-backed securities issued by the Government National Mortgage Association, commonly known as "Ginnie Mae"), while other mortgage-backed securities (e.g., mortgage-backed securities issued by the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation, commonly known as "Fannie Mae" and "Freddie Mac," respectively), are backed only by the credit of the government entity issuing them. In addition, some mortgage-backed securities are issued by private entities and, as such, are not guaranteed by the U.S. government or any agency or instrumentality of the U.S. government.
244
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Loans:
Floating rate loans in which a Fund invests are primarily "senior" loans. Senior floating rate loans typically hold a senior position in the capital structures of the borrower, are typically secured by specific collateral, and have a claim on the assets and/or stock of the borrower that is senior to that held by subordinated debtholders and stockholders of the borrower. While these protections may reduce risk, these investments still present significant credit risk. A significant portion of a Fund's floating rate investments may be issued in connection with highly leveraged transactions such as leveraged buyouts, leveraged recapitalization loans, and other types of acquisition financing. Obligations in these types of transactions are subject to greater credit risk (including default and bankruptcy) than many other investments and may be, or become, illiquid. See the note below regarding below investment grade securities.
The Funds may purchase second-lien loans (secured loans with a claim on collateral subordinate to a senior lender's claim on such collateral), fixed rate loans, unsecured loans, and other debt obligations.
Transactions in loans often settle on a delayed basis, and a Fund may not receive the proceeds from the sale of a loan or pay for a loan purchase for a substantial period of time after entering into the transactions.
Derivative Instruments:
Foreign Exchange Currency Contracts:
Certain Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. The Funds enter into foreign exchange currency contracts solely for spot or forward hedging purposes, and not for speculative purposes (i.e., the Funds do not enter into such contracts solely for the purpose of earning foreign currency gains). Each foreign exchange currency contract is adjusted daily by the prevailing spot or forward rate of the underlying currency, and any appreciation or depreciation is recorded for financial statement purposes as unrealized until the contract settlement date, at which time the Funds record realized gains or losses equal to the difference between the value of a contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. For the year ended June 30, 2022, the Funds had no open forward foreign exchange currency contracts.
Futures Contracts:
The Funds may enter into contracts for the future delivery of securities or foreign currencies and futures contracts based on a specific security, class of securities, foreign currency or an index, and purchase or sell options on any such futures contracts. A futures contract on a securities index is an agreement obligating either party to pay, and entitling the other party to receive, while the contract is outstanding, cash payments based on the level of a specified securities index. No physical delivery of the underlying asset is made. The Funds may enter into futures contracts in an effort to hedge against market risks. The acquisition of put and call options on futures contracts will give the Funds the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage
245
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
costs and require the Funds to segregate assets to cover contracts that would require it to purchase securities or currencies. A good faith margin deposit, known as initial margin, of cash or government securities with a broker or custodian is required to initiate and maintain open positions in futures contracts. Subsequent payments, known as variation margin, are made or received by the Funds based on the change in the market value of the position and are recorded as unrealized appreciation or depreciation until the contract is closed out, at which time the gain or loss is realized. The Funds may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if the Funds had not entered into any futures transactions. In addition, the value of the Funds' futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting the Funds' ability to hedge effectively against interest rate, exchange rate and/or market risk and giving rise to additional risks. There is no assurance of liquidity in the secondary market for purposes of closing out futures positions. The collateral held by the Funds is reflected on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.
Management has determined that no offsetting requirements exist as a result of their conclusion that the Funds are not subject to master netting agreements for futures contracts. As of June 30, 2022, the Funds entered into futures contracts primarily for the strategy of hedging or other purposes, including but not limited to, providing liquidity and equitizing cash.
Summary of Derivative Instruments:
The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset |
Liabilities |
||||||||||
Variation
Margin Receivable on Open Futures Contracts* |
Variation
Margin Payable on Open Futures Contracts* |
||||||||||
Equity Risk Exposure |
|||||||||||
US 500 Volatility Wtd ETF |
$ |
? |
$ |
88,322 |
|||||||
US Small Cap Volatility Wtd ETF |
2,666 |
? |
|||||||||
International Volatility Wtd ETF |
? |
3,840 |
|||||||||
US Large Cap High Div Volatility Wtd ETF |
? |
71,199 |
|||||||||
US Small Cap High Div Volatility Wtd ETF |
? |
84,763 |
|||||||||
International High Div Volatility Wtd ETF |
? |
214 |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
? |
413 |
|||||||||
Dividend Accelerator ETF |
? |
7,739 |
|||||||||
US Multi-Factor Minimum Volatility ETF |
? |
13,978 |
|||||||||
US 500 Enhanced Volatility Wtd ETF |
? |
178,516 |
|||||||||
US EQ Income Enhanced Volatility Wtd ETF |
? |
388,274 |
|||||||||
US Discovery Enhanced Volatility Wtd ETF |
? |
19,906 |
|||||||||
Developed Enhanced Volatility Wtd ETF |
? |
6,618 |
|||||||||
Nasdaq Next 50 ETF |
7,681 |
? |
|||||||||
Interest Rate Risk Exposure |
|||||||||||
ESG Core Plus Bond ETF |
87,298 |
7,978 |
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin for futures contracts is reported within the Statements of Assets and Liabilities.
246
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2022:
Net
Realized Gains (Losses) on Derivatives Recognized as a Result of Operations |
Net
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations |
||||||||||
Net
Realized Gains (Losses) from Futures Contracts |
Net
Change in Unrealized Appreciation/Depreciation on Futures Contracts |
||||||||||
Equity Risk Exposure |
|||||||||||
US 500 Volatility Wtd ETF |
$ |
(50,828 |
) |
$ |
(142,083 |
) |
|||||
US Small Cap Volatility Wtd ETF |
(13,052 |
) |
(470 |
) |
|||||||
International Volatility Wtd ETF |
(126,506 |
) |
2,017 |
||||||||
US Large Cap High Div Volatility Wtd ETF |
17,960 |
(83,381 |
) |
||||||||
US Small Cap High Div Volatility Wtd ETF |
(167,614 |
) |
(82,552 |
) |
|||||||
International High Div Volatility Wtd ETF |
(35,135 |
) |
2,369 |
||||||||
Emerging
Market High Div Volatility Wtd ETF |
(41,203 |
) |
(639 |
) |
|||||||
Dividend Accelerator ETF |
(38,209 |
) |
(18,558 |
) |
|||||||
US Multi-Factor Minimum Volatility ETF |
(31,366 |
) |
(22,971 |
) |
|||||||
US 500 Enhanced Volatility Wtd ETF |
87,203 |
(248,810 |
) |
||||||||
US EQ Income Enhanced Volatility Wtd ETF |
(274,957 |
) |
(429,346 |
) |
|||||||
US Discovery Enhanced Volatility Wtd ETF |
(42,049 |
) |
(20,923 |
) |
|||||||
Developed Enhanced Volatility Wtd ETF |
(37,533 |
) |
(780 |
) |
|||||||
Nasdaq Next 50 ETF |
128,723 |
(2,285 |
) |
||||||||
Interest Rate Risk Exposure |
|||||||||||
ESG Core Plus Bond ETF |
(64,017 |
) |
79,320 |
All open derivative positions at year end are reflected on each respective Fund's Schedule of Portfolio Investments. The underlying face value of open derivative positions relative to each Fund's net assets at year end is generally representative of the notional amount of open positions to net assets throughout the year.
Investment Transactions and Related Income:
Changes in holdings of investments are accounted for no later than one business day following the trade date. For financial reporting purposes, however, investment transactions are accounted for on trade date or the last business day of the reporting period. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date. Gains or losses realized on sales of securities are recorded on the identified cost basis. Paydown gains or losses on applicable securities, if any, are recorded as a component of Interest income on the Statements of Operations.
The Funds may receive other income from investments in loan assignments and/or unfunded commitments, including amendment fees, consent fees, and commitment fees. These fees are recorded as income when received. These amounts, if received, are included in Interest income on the Statements of Operations.
Withholding taxes on interest, dividends, and gains as a result of certain investments by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.
Securities Lending:
The Funds, through a Securities Lending Agreement with Citibank, N.A. ("Citibank"), may lend their securities to qualified financial institutions, such as certain broker-dealers and banks, to earn additional income, net of income retained by Citibank. Borrowers are required to initially secure their loans for
247
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are generally cured the next business day. The collateral can be received in the form of cash collateral and/or non-cash collateral. Non-cash collateral can include U.S. Government Securities and other securities as permitted by Securities and Exchange Commission ("SEC") guidelines. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted on the Funds' Schedules of Portfolio Investments. The Funds effectively do not have control of the non-cash collateral and therefore it is not disclosed on the Funds' Schedules of Portfolio Investments. Collateral requirements are determined daily based on the value of the Funds' securities on loan as of the end of the prior business day. During the time portfolio securities are on loan, the borrower will pay the Funds any dividends or interest paid on such securities plus any fee negotiated between the parties to the lending agreement. The Funds also earn a return from the collateral. The Funds pay Citibank various fees in connection with the investment of cash collateral and fees based on the investment income received from securities lending activities. Securities lending income (net of these fees) is disclosed on the Statements of Operations. Loans are terminable upon demand and the borrower must return the loaned securities within the lesser of one standard settlement period or five business days. Although risk is mitigated by the collateral, a Fund could experience a delay in recovering its securities and possible loss of income or value if the borrower fails to return them. In addition, there is a risk that the value of the short-term investments will be less than the amount of cash collateral required to be returned to the borrower.
The Funds' agreement with Citibank does not include master netting provisions. Non-cash collateral received by the Funds may not be sold or repledged, except to satisfy borrower default.
The following table is a summary of the Funds' securities lending transactions as of June 30, 2022.
Value
of Securities on Loan |
Non-Cash Collateral |
Cash Collateral |
|||||||||||||
US 500 Volatility Wtd ETF |
$ |
3,264,907 |
$ |
? |
$ |
3,378,841 |
|||||||||
US Small Cap Volatility Wtd ETF |
258,713 |
? |
264,405 |
||||||||||||
International Volatility Wtd ETF |
2,969,007 |
(a) |
? |
3,149,309 |
|||||||||||
US Small Cap High Div Volatility Wtd ETF |
7,435,145 |
? |
7,579,061 |
||||||||||||
International High Div Volatility Wtd ETF |
351,782 |
(b) |
? |
373,455 |
|||||||||||
Emerging Market High Div Volatility Wtd ETF |
239,063 |
? |
266,208 |
||||||||||||
Dividend Accelerator ETF |
354,300 |
? |
365,864 |
||||||||||||
US 500 Enhanced Volatility Wtd ETF |
1,233,294 |
? |
1,272,943 |
||||||||||||
US EQ Income Enhanced Volatility Wtd ETF |
14,783,444 |
? |
15,352,137 |
||||||||||||
US Discovery Enhanced Volatility Wtd ETF |
65,265 |
? |
66,567 |
||||||||||||
Developed Enhanced Volatility Wtd ETF |
150,259 |
(c) |
? |
160,018 |
|||||||||||
Nasdaq Next 50 ETF |
2,512,144 |
? |
2,717,102 |
(a) Includes $122,285 of securities on loan that were sold prior to June 30, 2022.
(b) Includes $85,895 of securities on loan that were sold prior to June 30, 2022.
(c) Includes $10,820 of securities on loan that were sold prior to June 30, 2022.
Foreign Currency Translations:
The accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as Net realized gains (losses) from investment securities and foreign currency transactions on the Statements of Operations.
248
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Foreign Taxes:
The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.
Federal Income Taxes:
Each Fund intends to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes is required in the financial statements. The Funds have a tax year end of June 30.
For the year ended June 30, 2022, the Funds did not incur any income tax, interest, or penalties, and have recorded no liability for net unrecognized tax benefits relating to uncertain tax positions.
Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax years, which includes the current fiscal tax year end). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Allocations:
Expenses directly attributable to a Fund are charged to that Fund, while expenses that are attributable to more than one fund in the Trust, or jointly with an affiliated trust, are allocated among the respective funds in the Trust and/or an affiliated trust based upon net assets or another appropriate basis.
3. Purchases and Sales:
Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and purchases and sales associated with in-kind transactions for the year ended June 30, 2022, are included in the table below. Any realized gains or losses from in-kind redemptions are reflected on the Statements of Operations as net realized gains (losses) from in kind redemptions.
Excluding U.S. Government Securities |
Associated
with In-Kind Transactions |
||||||||||||||||||
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
US 500 Volatility Wtd ETF |
$ |
140,804,663 |
$ |
139,578,762 |
$ |
148,897,209 |
$ |
266,346,232 |
|||||||||||
US Small Cap Volatility Wtd ETF |
13,983,521 |
13,928,508 |
6,363,119 |
6,356,550 |
|||||||||||||||
International Volatility Wtd ETF |
35,604,768 |
37,104,869 |
? |
2,182,596 |
|||||||||||||||
US
Large Cap High Div Volatility Wtd ETF |
106,791,675 |
106,098,462 |
179,889,826 |
118,822,567 |
|||||||||||||||
US
Small Cap High Div Volatility Wtd ETF |
173,224,399 |
173,268,594 |
209,546,524 |
153,763,517 |
|||||||||||||||
International
High Div Volatility Wtd ETF |
11,835,860 |
12,112,259 |
? |
4,829,699 |
|||||||||||||||
Emerging
Market High Div Volatility Wtd ETF |
13,808,283 |
16,584,131 |
? |
2,845,595 |
|||||||||||||||
Dividend Accelerator ETF |
138,830,309 |
138,326,637 |
166,867,050 |
216,330,158 |
|||||||||||||||
US
Multi-Factor Minimum Volatility ETF |
99,067,740 |
99,084,563 |
96,359,797 |
136,449,194 |
|||||||||||||||
US 500
Enhanced Volatility Wtd ETF |
936,647,605 |
931,174,350 |
274,217,506 |
226,571,836 |
249
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Excluding U.S. Government Securities |
Associated
with In-Kind Transactions |
||||||||||||||||||
Purchases |
Sales |
Purchases |
Sales |
||||||||||||||||
US EQ
Income Enhanced Volatility Wtd ETF |
$ |
518,588,784 |
$ |
515,408,132 |
$ |
1,573,956,566 |
$ |
561,100,815 |
|||||||||||
US
Discovery Enhanced Volatility Wtd ETF |
39,471,579 |
93,790,337 |
33,841,218 |
18,381,960 |
|||||||||||||||
Developed
Enhanced Volatility Wtd ETF |
13,049,928 |
40,420,062 |
? |
1,682,156 |
|||||||||||||||
Nasdaq Next 50 ETF |
128,140,398 |
127,620,782 |
38,213,829 |
41,897,085 |
|||||||||||||||
ESG Core Plus Bond ETF |
241,176,638 |
52,666,695 |
? |
? |
|||||||||||||||
ESG Corporate Bond ETF |
132,070,904 |
8,928,199 |
? |
? |
|||||||||||||||
THB Mid Cap ESG ETF |
450,152 |
414,413 |
2,333,480 |
? |
|
U.S. Government Securities |
||||||||||
|
Purchase |
Sales |
|||||||||
ESG Core Plus Bond ETF |
$ |
106,165,807 |
$ |
55,591,692 |
4. Affiliated Fund Ownership:
The Funds offer shares for investment by other funds. The fund-of-funds do not invest in the underlying funds for the purpose of exercising management or control, and the affiliated fund-of-funds annual and semi-annual reports may be viewed at www.vcm.com. As of June 30, 2022, certain fund-of-funds owned total outstanding shares of the Funds as follows:
VictoryShares International Volatility Wtd ETF |
Ownership % |
||||||
USAA Target Retirement Income Fund |
7.0 |
||||||
USAA Target Retirement 2030 Fund |
19.4 |
||||||
USAA Target Retirement 2040 Fund |
27.6 |
||||||
USAA Target Retirement 2050 Fund |
18.3 |
||||||
USAA Target Retirement 2060 Fund |
3.0 |
||||||
VictoryShares Dividend Accelerator ETF |
Ownership % |
||||||
USAA Target Retirement Income Fund |
2.3 |
||||||
USAA Target Retirement 2030 Fund |
8.6 |
||||||
USAA Target Retirement 2040 Fund |
13.3 |
||||||
USAA Target Retirement 2050 Fund |
9.4 |
||||||
USAA Target Retirement 2060 Fund |
1.3 |
||||||
VictoryShares US Multi-Factor Minimum Volatility ETF |
Ownership % |
||||||
Victory Strategic Allocation Fund |
1.5 |
||||||
USAA Target Retirement Income Fund |
4.4 |
||||||
USAA Target Retirement 2030 Fund |
8.1 |
||||||
USAA Target Retirement 2040 Fund |
13.2 |
||||||
USAA Target Retirement 2050 Fund |
9.5 |
||||||
USAA Target Retirement 2060 Fund |
1.3 |
||||||
VictoryShares Nasdaq Next 50 ETF |
Ownership % |
||||||
USAA Target Retirement Income Fund |
3.6 |
||||||
USAA Target Retirement 2030 Fund |
16.9 |
||||||
USAA Target Retirement 2040 Fund |
28.2 |
||||||
USAA Target Retirement 2050 Fund |
19.2 |
||||||
USAA Target Retirement 2060 Fund |
2.7 |
250
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
VictoryShares ESG Core Plus Bond ETF |
Ownership % |
||||||
USAA Cornerstone Moderately Conservative Fund |
6.9 |
||||||
USAA Cornerstone Aggressive Fund |
3.0 |
||||||
USAA Cornerstone Moderate Fund |
33.2 |
||||||
USAA Cornerstone Moderately Aggressive Fund |
57.3 |
||||||
VictoryShares ESG Corporate Bond ETF |
Ownership % |
||||||
USAA Target Retirement Income Fund |
38.0 |
||||||
USAA Target Retirement 2030 Fund |
35.4 |
||||||
USAA Target Retirement 2040 Fund |
17.5 |
||||||
USAA Target Retirement 2050 Fund |
8.4 |
||||||
USAA Target Retirement 2060 Fund |
0.9 |
5. Fees and Transactions with Affiliates and Related Parties:
Investment Advisory Fees:
Investment advisory services are provided to the Funds by the Adviser, which is a New York corporation registered as an investment adviser with the SEC. The Adviser is an indirect wholly owned subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly owned direct subsidiary of Victory Capital Operating, LLC.
Under the terms of the Investment Advisory Agreement, the Adviser is entitled to receive fees based on a percentage of the average daily net assets of each Fund. The rates at which the Adviser is paid by each Fund are included in the table below.
Flat Rate |
|||||||
US 500 Volatility Wtd ETF |
0.30 |
% |
|||||
US Small Cap Volatility Wtd ETF |
0.30 |
% |
|||||
International Volatility Wtd ETF |
0.40 |
% |
|||||
US Large Cap High Div Volatility Wtd ETF |
0.30 |
% |
|||||
US Small Cap High Div Volatility Wtd ETF |
0.30 |
% |
|||||
International High Div Volatility Wtd ETF |
0.40 |
% |
|||||
US 500 Enhanced Volatility Wtd ETF |
0.30 |
% |
|||||
US EQ Income Enhanced Volatility Wtd ETF |
0.30 |
% |
|||||
US Discovery Enhanced Volatility Wtd ETF |
0.30 |
% |
|||||
Developed Enhanced Volatility Wtd ETF |
0.40 |
% |
|||||
Emerging Market High Div Volatility Wtd ETF |
0.45 |
% |
|||||
US Multi-Factor Minimum Volatility ETF |
0.30 |
% |
|||||
Dividend Accelerator ETF |
0.30 |
% |
|||||
Nasdaq Next 50 ETF |
0.15 |
% |
|||||
ESG Core Plus Bond ETF |
0.35 |
% |
|||||
ESG Corporate Bond ETF |
0.35 |
% |
|||||
THB Mid Cap ESG ETF |
0.50 |
% |
Amounts incurred and paid to VCM for the year ended June 30, 2022, are reflected on the Statements of Operations as Investment advisory fees.
Administration and Servicing Fees:
VCM also serves as the Funds' administrator and fund accountant. Under the Administration and Fund Accounting Agreement, VCM is entitled to receive fees based on a percentage of the average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios. The tiered rates at which VCM is paid by the Funds are shown in the table below:
Net Assets |
|||||||||||
Up to $15 billion |
$15 billion ? $30 billion |
Over $30 billion |
|||||||||
0.08 |
%, plus |
0.05 |
%, plus |
0.04 |
% |
251
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Administration fees.
Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, acts as sub-administrator, sub-fund accountant, and transfer agent to the Funds pursuant to the Sub-Administration and Sub-Fund Accounting Services Agreement between VCM and Citi. VCM pays Citi a fee for providing these services. The Trust reimburses VCM and Citi for out-of-pocket expenses incurred in providing these services and certain other expenses specifically allocated to the Funds. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Sub-Administration fees.
The Funds (as part of the Trust) have entered into an agreement with the Adviser to provide compliance services, pursuant to which the Adviser furnishes its compliance personnel, including the services of the Chief Compliance Officer ("CCO"), and other resources reasonably necessary to provide the Trust with compliance oversight services related to the design, administration, and oversight of a compliance program for the Trust in accordance with Rule 38a-1 under the 1940 Act. The CCO is an employee of the Adviser, which pays the compensation of the CCO and support staff. The funds in the Trust, Victory Variable Insurance Funds, Victory Portfolios and USAA Mutual Funds (collectively, the "Victory Funds Complex"), in aggregate, compensate the Adviser for these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Compliance fees.
Distributor/Underwriting Services:
Foreside Fund Services, LLC serves as the Funds' distributor.
Other Fees:
Citibank serves as the Funds' custodian. The Funds pay Citibank a fee for providing these services. Amounts incurred for the year ended June 30, 2022, are reflected on the Statements of Operations as Custodian fees.
Sidley Austin LLP provides legal services to the Trust.
The Adviser has entered into expense limitation agreements with the Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain Funds in any fiscal year exceed the expense limit for such Fund. Such excess amounts will be the liability of the Adviser. Acquired fund fees and expenses, interest, taxes, brokerage commissions, other expenditures which are capitalized in accordance with GAAP, and other extraordinary expenses not incurred in the ordinary course of a Fund's business are excluded from the expense limits. As of June 30, 2022, the expense limits (excluding voluntary waivers) are as follows:
In
Effect Until October 31, 2022 |
|||||||
US 500 Volatility Wtd ETF |
0.35 |
% |
|||||
US Small Cap Volatility Wtd ETF |
0.35 |
% |
|||||
International Volatility Wtd ETF |
0.45 |
% |
|||||
US Large Cap High Div Volatility Wtd ETF |
0.35 |
% |
|||||
US Small Cap High Div Volatility Wtd ETF |
0.35 |
% |
|||||
International High Div Volatility Wtd ETF |
0.45 |
% |
|||||
Emerging Market High Div Volatility Wtd ETF |
0.50 |
% |
|||||
Dividend Accelerator ETF |
0.35 |
% |
|||||
US Multi-Factor Minimum Volatility ETF |
0.35 |
% |
|||||
US 500 Enhanced Volatility Wtd ETF |
0.35 |
% |
|||||
US EQ Income Enhanced Volatility Wtd ETF |
0.35 |
% |
|||||
US Discovery Enhanced Volatility Wtd ETF |
0.35 |
% |
|||||
Developed Enhanced Volatility Wtd ETF |
0.45 |
% |
252
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
In
Effect Until October 31, 2022 |
|||||||
Nasdaq Next 50 ETF |
0.18 |
% |
|||||
ESG Core Plus Bond ETF |
0.40 |
%(a) |
|||||
ESG Corporate Bond ETF |
0.40 |
%(a) |
|||||
THB Mid Cap ESG ETF |
0.55 |
%(a) |
(a) In effect from October 5, 2021, until at least October 31, 2022.
Under the terms of the expense limitation agreements, as amended May 1, 2022, the Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period of up to three years (thirty-six (36) months) after the waiver or reimbursement took place, subject to the lesser of any operating expense limits in effect at the time of: (a) the original waiver or expense reimbursement; or (b) the recoupment, after giving effect to the recoupment amount.
As of June 30, 2022, the following amounts are available to be repaid to the Adviser. The Funds have not recorded any amounts available to be repaid as a liability due to an assessment that such repayment is not probable at June 30, 2022.
Expires 2023 |
Expires 2024 |
Expires 2025 |
Total |
||||||||||||||||
US 500 Volatility Wtd ETF |
$ |
99,179 |
$ |
66,415 |
$ |
15,251 |
$ |
180,845 |
|||||||||||
US Small Cap Volatility Wtd ETF |
39,631 |
35,421 |
49,801 |
124,853 |
|||||||||||||||
International Volatility Wtd ETF |
121,119 |
150,668 |
111,915 |
383,702 |
|||||||||||||||
US Large Cap High Div Volatility Wtd ETF |
64,858 |
47,070 |
45,449 |
157,377 |
|||||||||||||||
US Small Cap High Div Volatility Wtd ETF |
45,375 |
47,951 |
51,444 |
144,770 |
|||||||||||||||
International High Div Volatility Wtd ETF |
63,200 |
65,624 |
70,418 |
199,242 |
|||||||||||||||
Emerging Market High Div Volatility Wtd ETF |
117,270 |
130,204 |
139,070 |
386,544 |
|||||||||||||||
Dividend Accelerator ETF |
51,403 |
46,360 |
25,944 |
123,707 |
|||||||||||||||
US Multi-Factor Minimum Volatility ETF |
47,372 |
40,209 |
40,631 |
128,212 |
|||||||||||||||
US 500 Enhanced Volatility Wtd ETF |
90,547 |
77,028 |
3,538 |
171,113 |
|||||||||||||||
US EQ Income Enhanced Volatility Wtd ETF |
75,542 |
89,656 |
79,459 |
244,657 |
|||||||||||||||
US Discovery Enhanced Volatility Wtd ETF |
45,253 |
38,554 |
50,302 |
134,109 |
|||||||||||||||
Developed Enhanced Volatility Wtd ETF |
132,700 |
172,550 |
129,939 |
435,189 |
|||||||||||||||
Nasdaq Next 50 ETF |
? |
74,147 |
132,460 |
206,607 |
|||||||||||||||
ESG Core Plus Bond ETF |
? |
? |
93,356 |
93,356 |
|||||||||||||||
ESG Corporate Bond ETF |
? |
? |
78,541 |
78,541 |
|||||||||||||||
THB Mid Cap ESG ETF |
? |
? |
33,895 |
33,895 |
The Adviser may voluntarily waive or reimburse additional fees to assist the Funds in maintaining competitive expense ratios. Voluntary waivers and reimbursements applicable to the Funds are not available to be recouped at a future time and are reflected on the Statements of Operations as Expenses waived/reimbursed by Adviser. For the year ended June 30, 2022, the Adviser voluntarily waived the following amounts:
US 500 Volatility Wtd ETF |
$ |
208,938 |
|||||
US Small Cap Volatility Wtd ETF |
8,180 |
||||||
International Volatility Wtd ETF |
35,315 |
||||||
US Large Cap High Div Volatility Wtd ETF |
79,807 |
||||||
US Small Cap High Div Volatility Wtd ETF |
82,306 |
||||||
International High Div Volatility Wtd ETF |
6,089 |
||||||
Emerging Market High Div Volatility Wtd ETF |
5,136 |
||||||
Dividend Accelerator ETF |
104,483 |
||||||
US Multi-Factor Minimum Volatility ETF |
51,309 |
||||||
US 500 Enhanced Volatility Wtd ETF |
315,645 |
||||||
US EQ Income Enhanced Volatility Wtd ETF |
396,144 |
253
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
US Discovery Enhanced Volatility Wtd ETF |
$ |
22,690 |
|||||
Developed Enhanced Volatility Wtd ETF |
12,603 |
||||||
Nasdaq Next 50 ETF |
43,036 |
||||||
ESG Core Plus Bond ETF |
44,673 |
||||||
ESG Corporate Bond ETF |
24,841 |
||||||
THB Mid Cap ESG ETF |
562 |
Certain officers and/or interested trustees of the Funds are also officers and/or employees of the Adviser, administrator, fund accountant, sub-administrator, sub-fund accountant, custodian, legal counsel, and distributor.
6. Risks:
The Funds may be subject to other risks in addition to these identified risks.
Equity Risk ? The value of the equity securities in which the Fund invests may decline in response to developments affecting individual companies and/or general economic conditions in the United States or abroad. A company's earnings or dividends may not increase as expected (or may decline) because of poor management, competitive pressures, reliance on particular suppliers or geographical regions, labor problems or shortages, corporate restructurings, fraudulent disclosures, man-made or natural disasters, military confrontations or wars, terrorism, public health crises, or other events, conditions and factors. Price changes may be temporary or last for extended periods.
Foreign Securities Risk ? The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, International High Div Volatility Wtd ETF and Emerging Market High Div Volatility Wtd ETF invest in securities of foreign issuers in various countries. Investing on an international basis involves certain risks not involved in domestic investments including the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and diplomatic developments, which could affect the value of a Fund's investments in certain foreign countries. Governments of many countries have exercised, and continue to exercise, substantial influence over many aspects of the private sector through the ownership or control of many companies, including some of the largest in these countries. As a result, government actions in the future could have a significant effect on economic conditions which may adversely affect prices of certain portfolio securities. There is also generally less government supervision and regulation of stock exchanges, brokers and listed companies than in the U.S. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to foreign withholding taxes, and special U.S. tax considerations may apply. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in such respects as growth of gross national product, rate of inflation, capital reinvestment, resource self-sufficiency and balance of payments position. The Schedule of Portfolio Investments includes information on each Fund's holdings, including industry and/or geographic composition, as relevant.
Passive Investment Risk ? Certain Funds are designed to track their indices and are not actively managed. is designed to track its index and is not actively managed. A Fund will not buy or sell shares of an equity security due to current or projected performance of a security, industry or sector, unless that security is added to or removed, respectively, from its index. A Fund does not, therefore, seek returns in excess of its index, and does not attempt to take defensive positions or hedge against potential risks unless such defensive positions are also taken by its index. Different types of investment styles, for example passively managed or actively managed, or growth or value, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund's performance may at times be worse than the performance of other mutual funds that invest more broadly or that have different investment styles.
LIBOR Discontinuations Risk ? The London Interbank Offered Rate ("LIBOR") discontinuation may adversely affect the financial markets generally and the Funds' operations, finances and investments specifically. LIBOR has been the principal floating-rate benchmark in the financial markets. However, LIBOR has been or will be discontinued as a floating rate benchmark. The date of discontinuation
254
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
depends on the LIBOR currency and tenor. With limited exceptions, no new LIBOR obligations will be entered into after December 31, 2021. Existing LIBOR obligations have transitioned or will transition to another benchmark, depending on the LIBOR currency and tenor. For some existing LIBOR-based obligations, the contractual consequences of the discontinuation of LIBOR may not be clear.
Non-LIBOR floating-rate obligations, including Secured Overnight Financing Rate ("SOFR")-based obligations, may have returns and values that fluctuate more than those of floating-rate debt obligations that are based on LIBOR or other rates. Also, because SOFR and some alternative floating rates are relatively new market indexes, markets for certain non-LIBOR obligations may never develop or may not be liquid. Market terms for non-LIBOR floating rate obligations, such as the spread over the index reflected in interest-rate provisions, may evolve over time, and prices of non-LIBOR floating rate obligations may be different depending on when they are issued and changing views about correct spread levels.
Various SOFR-based rates, including SOFR-based term rates, and various non-SOFR-based rates are expected to develop in response to the discontinuation of U.S. dollar LIBOR, which may create various risks for the Funds and the financial markets more generally. There are non-LIBOR forward-looking floating rates that are not based on SOFR and that may be considered by participants in the financial markets as LIBOR alternatives. Such rates include AMERIBOR (American Interbank Offered Rate), BSBY (Bloomberg Short-Term Bank Yield Index) and BYI (Bank Yield Index). Unlike forward-looking SOFR-based term rates, such rates are intended to reflect a bank credit spread component.
It is not clear how replacement rates for LIBOR ? including SOFR-based rates and non-SOFR-based rates ? will develop and to what extent they will be used. There is no assurance that these replacement rates will be suitable substitutes for LIBOR, and thus the substitution of such rates for LIBOR could have an adverse effect on the Funds and the financial markets more generally. Concerns about market depth and stability could affect the development of non-SOFR-based term rates, and such rates may create various risks, which may or may not be similar to the risks relating to SOFR.
Market Risk ? Overall market risks may affect the value of the Funds. Domestic and international factors such as political events, war, terrorism, trade disputes, inflation rates, interest rate levels and other fiscal and monetary policy changes, cybersecurity incidents, pandemics and other public health crises, sanctions against a particular foreign country, its nationals, businesses or industries and related geopolitical events, as well as environmental disasters such as earthquakes, fires, and floods or other catastrophes, may add to instability in global economies and markets generally, and may lead to increased market volatility. Global economies and financial markets are highly interconnected, which increases the possibility that conditions in one country or region might adversely affect issuers in another country or region. The impact of these and other factors may be short-term or may last for extended periods.
7. Borrowing:
Line of Credit:
The Victory Funds Complex participates in a short-term demand note "Line of Credit" agreement with Citibank. The Line of Credit agreement with Citibank was renewed on June 27, 2022, with a termination date of June 26, 2023. Under the agreement with Citibank, the Victory Funds Complex may borrow up to $600 million, of which $300 million is committed and $300 million is uncommitted. $40 million of the Line of Credit is reserved for use by the Victory Floating Rate Fund, another series of the Victory Funds Complex, with Victory Floating Rate Fund paying the related commitment fees for that amount. The purpose of the Line of Credit is to meet temporary or emergency cash needs. For the year ended June 30, 2022, Citibank received an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex paid a pro-rata portion of the commitment fees plus any interest on amounts borrowed. For the period from July 1, 2021, through June 27, 2022, interest was based on the one-month LIBOR plus one percent. Effective with the renewal, for the period June 28, 2022, through June 30, 2022, interest was based on the one-month SOFR plus 1.10 percent.
255
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees. Effective with the renewal, the interest rate was changed to the one-month SOFR plus 1.10 percent on amounts borrowed. Interest charged to each fund during the period, if applicable, is reflected on the Statements of Operations under Line of credit fees.
Amount Outstanding at June 30, 2022 |
Average Borrowing |
Days Borrowing Outstanding |
Average Interest Rate* |
Maximum Borrowing During the Period |
|||||||||||||||||||
Emerging
Market High Div Volatility Wtd ETF |
$ |
? |
$ |
3,956,000 |
5 |
2.16 |
% |
$ |
17,000,000 |
||||||||||||||
US EQ
Income Enhanced Volatility Wtd ETF |
? |
14,333,333 |
3 |
1.88 |
% |
15,000,000 |
* Based on the number of days the borrowings were outstanding for the year ended June 30, 2022.
8. Federal Income Tax Information:
Dividends from net investment income, if any, are declared and paid as noted in the table below. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.
Declared |
Paid |
||||||||||
US 500 Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
US Small Cap Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
International Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
US Large Cap High Div Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
US Small Cap High Div Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
International High Div Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
Dividend Accelerator ETF |
Monthly |
Monthly |
|||||||||
US Multi-Factor Minimum Volatility ETF |
Monthly |
Monthly |
|||||||||
US 500 Enhanced Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
US EQ Income Enhanced Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
US Discovery Enhanced Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
Developed Enhanced Volatility Wtd ETF |
Monthly |
Monthly |
|||||||||
Nasdaq Next 50 ETF |
Monthly |
Monthly |
|||||||||
ESG Core Plus Bond ETF |
Monthly |
Monthly |
|||||||||
ESG Corporate Bond ETF |
Monthly |
Monthly |
|||||||||
THB Mid Cap ESG ETF |
Monthly |
Monthly |
The amounts of dividends from net investment income and distributions from net realized gains (collectively, distributions to shareholders) are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these "book/tax" differences are permanent in nature (e.g., net operating loss and distribution reclassification), such amounts are reclassified within the components of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distributions of capital. Net investment losses incurred by the Funds may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.
256
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
As of June 30, 2022, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:
|
Total Accumulated Earnings/(Loss) |
Capital |
|||||||||
US 500 Volatility Wtd ETF |
$ |
(91,457,198 |
) |
$ |
91,457,198 |
||||||
US Small Cap Volatility Wtd ETF |
(2,045,443 |
) |
2,045,443 |
||||||||
International Volatility Wtd ETF |
(631,956 |
) |
631,956 |
||||||||
US Large Cap High Div Volatility Wtd ETF |
(29,897,967 |
) |
29,897,967 |
||||||||
US Small Cap High Div Volatility Wtd ETF |
(23,534,123 |
) |
23,534,123 |
||||||||
International High Div Volatility Wtd ETF |
(469,193 |
) |
469,193 |
||||||||
Emerging Market High Div Volatility Wtd ETF |
(175,705 |
) |
175,705 |
||||||||
Dividend Accelerator ETF |
(47,304,966 |
) |
47,304,966 |
||||||||
US Multi-Factor Minimum Volatility ETF |
(27,793,232 |
) |
27,793,232 |
||||||||
US 500 Enhanced Volatility Wtd ETF |
(79,669,283 |
) |
79,669,283 |
||||||||
US EQ Income Enhanced Volatility Wtd ETF |
(129,821,854 |
) |
129,821,854 |
||||||||
US Discovery Enhanced Volatility Wtd ETF |
(5,300,320 |
) |
5,300,320 |
||||||||
Developed Enhanced Volatility Wtd ETF |
(443,589 |
) |
443,589 |
||||||||
Nasdaq Next 50 ETF |
(10,371,089 |
) |
10,371,089 |
The tax character of distributions paid during the tax years ended, as noted below, were as follows (total distributions paid may differ from the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid).
Year Ended June 30, 2022 |
|||||||||||
|
Distributions
paid from: |
||||||||||
|
Ordinary Income |
Total
Distributions Paid |
|||||||||
US 500 Volatility Wtd ETF |
$ |
8,500,286 |
$ |
8,500,286 |
|||||||
US Small Cap Volatility Wtd ETF |
334,788 |
334,788 |
|||||||||
International Volatility Wtd ETF |
3,855,525 |
3,855,525 |
|||||||||
US Large Cap High Div Volatility Wtd ETF |
7,496,456 |
7,496,456 |
|||||||||
US Small Cap High Div Volatility Wtd ETF |
8,027,701 |
8,027,701 |
|||||||||
International High Div Volatility Wtd ETF |
1,097,626 |
1,097,626 |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
1,055,027 |
1,055,027 |
|||||||||
Dividend Accelerator ETF |
5,149,858 |
5,149,858 |
|||||||||
US Multi-Factor Minimum Volatility ETF |
2,679,211 |
2,679,211 |
|||||||||
US 500 Enhanced Volatility Wtd ETF |
11,440,022 |
11,440,022 |
|||||||||
US EQ Income Enhanced Volatility Wtd ETF |
36,342,855 |
36,342,855 |
|||||||||
US Discovery Enhanced Volatility Wtd ETF |
805,290 |
805,290 |
|||||||||
Developed Enhanced Volatility Wtd ETF |
1,203,675 |
1,203,675 |
|||||||||
Nasdaq Next 50 ETF |
586,469 |
586,469 |
|||||||||
ESG Core Plus Bond ETF |
2,591,088 |
2,591,088 |
|||||||||
ESG Corporate Bond ETF |
1,493,227 |
1,493,227 |
|||||||||
THB Mid Cap ESG ETF |
7,901 |
7,901 |
|||||||||
|
Year Ended June 30, 2021 |
||||||||||
|
Distributions
paid from: |
||||||||||
|
Ordinary Income |
Total
Distributions Paid |
|||||||||
US 500 Volatility Wtd ETF |
$ |
7,561,107 |
$ |
7,561,107 |
|||||||
US Small Cap Volatility Wtd ETF |
287,612 |
287,612 |
|||||||||
International Volatility Wtd ETF |
2,408,306 |
2,408,306 |
|||||||||
US Large Cap High Div Volatility Wtd ETF |
5,707,683 |
5,707,683 |
257
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
|
Year Ended June 30, 2021 |
||||||||||
|
Distributions
paid from: |
||||||||||
|
Ordinary Income |
Total
Distributions Paid |
|||||||||
US Small Cap High Div Volatility Wtd ETF |
$ |
4,510,283 |
$ |
4,510,283 |
|||||||
International High Div Volatility Wtd ETF |
1,705,787 |
1,705,787 |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
809,574 |
809,574 |
|||||||||
Dividend Accelerator ETF |
4,931,587 |
4,931,587 |
|||||||||
US Multi-Factor Minimum Volatility ETF |
2,790,098 |
2,790,098 |
|||||||||
US 500 Enhanced Volatility Wtd ETF |
7,661,659 |
7,661,659 |
|||||||||
US EQ Income Enhanced Volatility Wtd ETF |
18,139,639 |
18,139,639 |
|||||||||
US Discovery Enhanced Volatility Wtd ETF |
596,428 |
596,428 |
|||||||||
Developed Enhanced Volatility Wtd ETF |
879,139 |
879,139 |
|||||||||
Nasdaq Next 50 ETF |
345,554 |
345,554 |
As of June 30, 2022, the components of accumulated earnings/(loss) on a tax basis were as follows:
Undistributed
Ordinary Income |
Undistributed
Long-Term Capital Gains |
Accumulated
Earnings |
Accumulated
Capital and Other Losses |
Qualified
Late-Year Losses* |
Unrealized
Appreciation (Depreciation)** |
Total
Accumulated Earnings (Loss) |
|||||||||||||||||||||||||
US 500
Volatility Wtd ETF |
$ |
799,443 |
$ |
? |
$ |
799,443 |
$ |
(79,312,540 |
) |
$ |
? |
$ |
45,469,713 |
$ |
(33,043,384 |
) |
|||||||||||||||
US
Small Cap Volatility Wtd ETF |
27,152 |
? |
27,152 |
(8,715,756 |
) |
? |
(1,174,037 |
) |
(9,862,641 |
) |
|||||||||||||||||||||
International
Volatility Wtd ETF |
? |
? |
? |
(3,162,002 |
) |
(141,945 |
) |
(1,725,349 |
) |
(5,029,296 |
) |
||||||||||||||||||||
US
Large Cap High Div Volatility Wtd ETF |
808,907 |
? |
808,907 |
(53,140,050 |
) |
? |
4,441,556 |
(47,889,587 |
) |
||||||||||||||||||||||
US
Small Cap High Div Volatility Wtd ETF |
745,610 |
? |
745,610 |
(43,291,719 |
) |
? |
(29,694,185 |
) |
(72,240,294 |
) |
|||||||||||||||||||||
International
High Div Volatility Wtd ETF |
178,697 |
? |
178,697 |
(13,645,461 |
) |
? |
(1,900,663 |
) |
(15,367,427 |
) |
|||||||||||||||||||||
Emerging
Market High Div Volatility Wtd ETF |
98,524 |
? |
98,524 |
(4,757,696 |
) |
? |
(3,631,170 |
) |
(8,290,342 |
) |
|||||||||||||||||||||
Dividend
Accelerator ETF |
484,682 |
? |
484,682 |
(12,551,085 |
) |
? |
(7,007,005 |
) |
(19,073,408 |
) |
|||||||||||||||||||||
US
Multi-Factor Minimum Volatility ETF |
151,157 |
? |
151,157 |
(15,185,680 |
) |
? |
(1,720,883 |
) |
(16,755,406 |
) |
|||||||||||||||||||||
US 500
Enhanced Volatility Wtd ETF |
1,573,167 |
18,459,782 |
20,032,949 |
? |
? |
(53,884,753 |
) |
(33,851,804 |
) |
258
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
|
Undistributed
Ordinary Income |
Undistributed
Long-Term Capital Gains |
Accumulated
Earnings |
Accumulated
Capital and Other Losses |
Qualified
Late-Year Losses* |
Unrealized
Appreciation (Depreciation)** |
Total
Accumulated Earnings (Loss) |
||||||||||||||||||||||||
US EQ
Income Enhanced Volatility Wtd ETF |
$ |
5,231,276 |
$ |
? |
$ |
5,231,2776 |
$ |
(82,801,448 |
) |
$ |
? |
$ |
(20,563,711 |
) |
$ |
(98,133,883 |
) |
||||||||||||||
US
Discovery Enhanced Volatility Wtd ETF |
71,837 |
? |
71,837 |
(36,519,033 |
) |
? |
462,977 |
(35,984,219 |
) |
||||||||||||||||||||||
Developed
Enhanced Volatility Wtd ETF |
? |
? |
? |
(25,267,555 |
) |
(62,671 |
) |
223,457 |
(25,106,769 |
) |
|||||||||||||||||||||
Nasdaq
Next 50 ETF |
173,976 |
? |
173,976 |
(28,193,513 |
) |
? |
(17,874,136 |
) |
(45,893,673 |
) |
|||||||||||||||||||||
ESG
Core Plus Bond ETF |
526,797 |
526,797 |
(5,176,406 |
) |
? |
(22,611,029 |
) |
(27,260,638 |
) |
||||||||||||||||||||||
ESG
Corporate Bond ETF |
223,306 |
? |
223,306 |
(998,291 |
) |
? |
(19,154,585 |
) |
(19,929,570 |
) |
|||||||||||||||||||||
THB Mid
Cap ESG ETF |
? |
? |
? |
? |
(2,672 |
) |
(317,418 |
) |
(320,090 |
) |
* Qualified late-year losses are comprised of post-October capital losses incurred after October 31 and certain late-year ordinary losses. Late-year ordinary losses represent ordinary losses incurred after December 31 and specified losses incurred after October 31. These losses are deemed to arise on the first day of the Fund's next taxable year.
** The difference between the book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales.
As of June 30, 2022, the Funds had net capital loss carryforwards as shown in the table below. It is unlikely that the Board will authorize a distribution of capital gains realized in the future until the capital loss carryforwards have been used.
|
Short-Term Amount |
Long-Term Amount |
Total |
||||||||||||
US 500 Volatility Wtd ETF |
$ |
38,312,708 |
$ |
40,999,832 |
$ |
79,312,540 |
|||||||||
US Small Cap Volatility Wtd ETF |
5,192,078 |
3,523,678 |
8,715,756 |
||||||||||||
International Volatility Wtd ETF |
1,338,567 |
1,823,435 |
3,162,002 |
||||||||||||
US Large Cap High Div Volatility Wtd ETF |
27,791,522 |
25,348,528 |
53,140,050 |
||||||||||||
US Small Cap High Div Volatility Wtd ETF |
34,727,680 |
8,564,039 |
43,291,719 |
||||||||||||
International High Div Volatility Wtd ETF |
6,034,546 |
7,610,915 |
13,645,461 |
||||||||||||
Emerging Market High Div Volatility Wtd ETF |
1,371,659 |
3,386,037 |
4,757,696 |
||||||||||||
Dividend Accelerator ETF |
9,031,729 |
3,519,356 |
12,551,085 |
||||||||||||
US Multi-Factor Minimum Volatility ETF |
12,688,394 |
2,497,286 |
15,185,680 |
||||||||||||
US EQ Income Enhanced Volatility Wtd ETF |
43,234,925 |
39,566,523 |
82,801,448 |
||||||||||||
US Discovery Enhanced Volatility Wtd ETF |
34,846,891 |
1,672,142 |
36,519,033 |
||||||||||||
Developed Enhanced Volatility Wtd ETF |
16,259,710 |
9,007,845 |
25,267,555 |
||||||||||||
Nasdaq Next 50 ETF |
25,621,923 |
2,571,590 |
28,193,513 |
||||||||||||
ESG Core Plus Bond ETF |
5,176,406 |
? |
5,176,406 |
||||||||||||
ESG Corporate Bond ETF |
998,291 |
? |
998,291 |
259
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
During the tax year ended June 30, 2022, the following Funds utilized capital loss carryforwards as shown in the table below:
|
Short-Term Amount |
||||||
International Volatility Wtd ETF |
$ |
2,599,387 |
|||||
International High Div Volatility Wtd ETF |
690,291 |
||||||
Emerging Market High Div Volatility Wtd ETF |
623,835 |
||||||
US 500 Enhanced Volatility Wtd ETF |
58,934,247 |
||||||
Developed Enhanced Volatility Wtd ETF |
1,003,849 |
As of June 30, 2022, the cost basis for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation (depreciation) for investments were as follows:
|
Cost
of Investments for Federal Tax Purposes |
Net
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
|||||||||||||||
US 500 Volatility Wtd ETF |
$ |
488,762,394 |
$ |
77,547,203 |
$ |
(32,077,490 |
) |
$ |
45,469,713 |
||||||||||
US Small Cap Volatility Wtd ETF |
23,969,436 |
2,048,419 |
(3,222,456 |
) |
(1,174,037 |
) |
|||||||||||||
International Volatility Wtd ETF |
96,772,892 |
8,816,211 |
(10,531,853 |
) |
(1,715,642 |
) |
|||||||||||||
US
Large Cap High Div Volatility Wtd ETF |
277,678,144 |
20,181,836 |
(15,740,280 |
) |
4,441,556 |
||||||||||||||
US
Small Cap High Div Volatility Wtd ETF |
305,415,332 |
7,829,148 |
(37,523,333 |
) |
(29,694,185 |
) |
|||||||||||||
International
High Div Volatility Wtd ETF |
18,093,207 |
577,603 |
(2,473,292 |
) |
(1,895,689 |
) |
|||||||||||||
Emerging
Market High Div Volatility Wtd ETF |
14,092,026 |
561,482 |
(4,190,610 |
) |
(3,629,128 |
) |
|||||||||||||
Dividend Accelerator ETF |
284,075,456 |
13,496,617 |
(20,503,622 |
) |
(7,007,005 |
) |
|||||||||||||
US
Multi-Factor Minimum Volatility ETF |
120,668,663 |
9,025,225 |
(10,746,108 |
) |
(1,720,883 |
) |
|||||||||||||
US 500 Enhanced Volatility Wtd ETF |
945,635,834 |
24,179,987 |
(78,064,740 |
) |
(53,884,753 |
) |
|||||||||||||
US EQ
Income Enhanced Volatility Wtd ETF |
1,939,453,172 |
84,940,280 |
(105,503,991 |
) |
(20,563,711 |
) |
|||||||||||||
US
Discovery Enhanced Volatility Wtd ETF |
7,108,559 |
2,665,562 |
(2,202,585 |
) |
462,977 |
||||||||||||||
Developed
Enhanced Volatility Wtd ETF |
35,086,397 |
1,012,304 |
(780,455 |
) |
231,849 |
||||||||||||||
Nasdaq Next 50 ETF |
115,791,112 |
2,682,830 |
(20,556,966 |
) |
(17,874,136 |
) |
|||||||||||||
ESG Core Plus Bond ETF |
233,882,884 |
21,098 |
(22,632,127 |
) |
(22,611,029 |
) |
|||||||||||||
ESG Corporate Bond ETF |
123,070,428 |
11,784 |
(19,166,369 |
) |
(19,154,585 |
) |
|||||||||||||
THB Mid Cap ESG ETF |
2,373,428 |
18,871 |
(336,289 |
) |
(317,418 |
) |
9. Affiliated Securities:
An affiliated security is a security in which a Fund has ownership of at least 5% of the security's outstanding voting shares, an investment company managed by VCM, or an issuer under common control with a Fund or VCM. The Funds do not invest in affiliated securities for the purpose of exercising management or control. These securities are noted as affiliated on a Fund's Schedule of Portfolio Investments.
Section 12(d)(3) of the 1940 Act, and Rule 12d3-1(c) under the 1940 Act, generally prohibit a fund from purchasing the securities issued by, among other entities, a fund's investment adviser. When a fund's investment objective is to track the performance of an unaffiliated index by investing in the stocks that comprise that index, the staff of the SEC has taken the position that, subject to certain conditions, the
260
Victory Portfolios II |
Notes
to Financial Statements ? continued June 30, 2022 |
fund may establish and maintain a position in the common stock of an affiliate of the fund's investment adviser in an amount approximately in proportion to the percentage that the stock is represented in the index. In seeking to provide investment results that closely correspond to its respective unaffiliated index, one or more Funds may hold the securities of Victory Capital Holdings, Inc., the parent company of VCM and other Fund service providers.
Transactions in affiliated securities during the year ended June 30, 2022, were as follows:
US
Small Cap Volatility Wtd ETF |
Fair
Value 6/30/21 |
Purchases at Cost |
Proceeds from Sales |
Realized Gains (Losses) |
Capital Gain Distribution |
Net
Change in Unrealized Appreciation/ Depreciation |
Fair
Value 6/30/22 |
Dividend Income |
|||||||||||||||||||||||||||
Victory
Capital Holdings Inc. |
$ |
74,558 |
$ |
21,786 |
$ |
(50,795 |
) |
$ |
21,855 |
$ |
? |
$ |
(31,784 |
) |
$ |
35,620 |
$ |
1,431 |
|||||||||||||||||
US
Discovery Enhanced Volatility Wtd ETF |
Fair
Value 6/30/21 |
Purchases at Cost |
Proceeds from Sales |
Realized Gains (Losses) |
Capital Gain Distribution |
Net
Change in Unrealized Appreciation/ Depreciation |
Fair
Value 6/30/22 |
Dividend Income |
|||||||||||||||||||||||||||
Victory
Capital Holdings Inc. |
$ |
182,471 |
$ |
93,532 |
$ |
(229,586 |
) |
$ |
50,503 |
$ |
? |
$ |
(70,169 |
) |
$ |
26,751 |
$ |
3,259 |
261
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Victory Portfolios II
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Victory Portfolios II, comprising the Funds listed below (the "Funds"), as of June 30, 2022, and the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below, in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements
of Operations |
Statements
of Changes in Net Assets |
Financial Highlights |
||||||||||||
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 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, and VictoryShares Developed Enhanced Volatility Wtd ETF |
For the year ended June 30, 2022 |
For the years ended June 30, 2022, and 2021 |
For the years ended June 30, 2022, 2021, 2020, 2019, and 2018 |
||||||||||||
VictoryShares Emerging Market High Div Volatility Wtd ETF |
For the year ended June 30, 2022 |
For the years ended June 30, 2022 and 2021 |
For the years ended June 30, 2022, 2021, 2020, 2019 and for the period from October 26, 2017 (commencement of operations) through June 30, 2018 |
262
Fund Name | Statements
of Operations |
Statements
of Changes in Net Assets |
Financial Highlights |
||||||||||||
VictoryShares Nasdaq Next 50 ETF |
For the year ended June 30, 2022 |
For the year ended June 30, 2022, and for the period from September 10, 2020 (commencement of operations) through June 30, 2021 |
|||||||||||||
VictoryShares ESG Corporate Bond ETF, VictoryShares ESG Core Plus Bond ETF, and VictoryShares THB Mid Cap ESG ETF |
For the period from October 5, 2021 (commencement of operations) through June 30, 2022 |
Basis for Opinion
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more investment companies advised by Victory Capital Management, Inc. since 2015.
COHEN &
COMPANY, LTD.
Cleveland, Ohio
August 26, 2022
263
Victory Portfolios II |
Supplemental
Information June 30, 2022 |
(Unaudited)
Trustee and Officer Information
Board of Trustees:
Overall responsibility for management of the Trust rests with the Board. The Trust is managed by the Board in accordance with the laws of the State of Delaware. There are currently nine Trustees, eight of whom are not "interested persons" of the Trust within the meaning of that term under the 1940 Act ("Independent Trustees") and one of whom is an "interested person" of the Trust within the meaning of that term under the 1940 Act ("Interested Trustee"). The Trustees, in turn, elect the officers of the Trust to actively supervise its day-to-day operations.
The following tables list the Trustees, their date of birth, position with the Trust, commencement of service, principal occupations during the past five years and any directorships of other investment companies or companies whose securities are registered under the Securities Exchange Act of 1934, as amended, or who file reports under that Act. Each Trustee oversees 25 portfolios in the Trust, six portfolios in Victory Variable Insurance Funds, and 40 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Fund Complex. David C. Brown is a Trustee of USAA Mutual Funds Trust and oversees 45 portfolios of the USAA Mutual Funds Trust. Each Trustee's address is c/o Victory Portfolios II, 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. Each Trustee has an indefinite term.
Name and Date of Birth |
Position Held with the Trust |
Date Commenced Service |
Principal
Occupation During Past 5 Years |
Other Directorships Held During Past 5 Years |
|||||||||||||||
Independent Trustees. |
|||||||||||||||||||
David
Brooks Adcock, Born October 1951 |
Trustee |
May 2015 |
Consultant (since 2006). |
Chair and Trustee, Turner Funds (December 2016-December 2017). |
|||||||||||||||
Nigel
D. T. Andrews, Born April 1947 |
Trustee |
May 2015 |
Retired. |
Director, Carlyle Secured Lending, Inc. (formerly TCG BDC I, Inc.) (since 2012); Director, Carlyle Credit Solutions, Inc. (formerly TCG BDC II, Inc.) (since 2017); Trustee, Carlyle Secured Lending III (since 2021). |
|||||||||||||||
E. Lee
Beard,* Born August 1951 |
Trustee |
May 2015 |
Retired. |
None. |
|||||||||||||||
Dennis
M. Bushe, Born January 1944 |
Trustee |
July 2016 |
Retired. |
None. |
264
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Name and Date of Birth |
Position Held with the Trust |
Date Commenced Service |
Principal
Occupation During Past 5 Years |
Other Directorships Held During Past 5 Years |
|||||||||||||||
John L.
Kelly, Born April 1953 |
Chair and Trustee |
May 2015 |
Partner, McCarvill Capital Partners (September 2016- September 2017). |
Director, Caledonia Mining Corporation (since May 2012). |
|||||||||||||||
David
L. Meyer, Born April 1957 |
Trustee |
May 2015 |
Retired. |
None. |
|||||||||||||||
Gloria
S. Nelund, Born May 1961 |
Trustee |
July 2016 |
Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm. |
TriLinc Global Impact Fund, LLC (since 2012). |
|||||||||||||||
Leigh
A. Wilson, Born December 1944 |
Trustee |
May 2015 |
Private Investor. |
Chair (since 2013), Caledonia Mining Corporation. |
|||||||||||||||
Interested Trustee. |
|||||||||||||||||||
David
C. Brown,** Born May 1972 |
Trustee |
May 2015 |
Chairman and Chief Executive Officer (since 2013), the Adviser; Chairman and Chief Executive Officer (since 2013), Victory Capital Holdings, Inc. |
Trustee, USAA Mutual Funds Trust. |
* The Board has designated Ms. Beard as its Audit Committee Financial Expert.
** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.
The Statement of Additional Information includes additional information about the Trustees of the Trust and is available, without charge, by calling 800-539-3863.
265
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Officers:
The officers of the Trust, their date of birth, commencement of service and their principal occupations during the past five years, are detailed in the following table. Each officer serves until the earlier of his or her resignation, removal, retirement, death, or the election of a successor. The mailing address of each officer of the Trust is 4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio 44144. The officers of the Trust receive no compensation directly from the Trust for performing the duties of their offices.
Name and Date of Birth |
Position
with the Trust |
Date Commenced Service |
Principal Occupation During Past 5 Years |
||||||||||||
Christopher
K. Dyer, Born February 1962 |
President |
May 2015 |
Director of Mutual Fund Administration, the Adviser (since 2004); Chief Operating Officer, Victory Capital Services, Inc. (since 2020); Vice President, Victory Capital Transfer Agency, Inc. (since 2019). |
||||||||||||
Scott
A. Stahorsky, Born July 1969 |
Vice President |
May 2015 |
Manager, Fund Administration, the Adviser (since 2015). |
||||||||||||
Erin G.
Wagner, Born February 1974 |
Secretary* |
May
2015- April 2022 |
Associate General Counsel, the Adviser (2013-2022). |
||||||||||||
Thomas
Dusenberry, Born July 1977 |
Secretary |
May 2022 |
Manager, Fund Administration, the Adviser (since 2022); Treasurer and Principal Financial Officer (2020-2022), Assistant Treasurer (2019), Salient MF Trust, Salient Midstream, MLP Fund and Forward Funds; Principal Financial Officer (2018-2021) and Treasurer (2020-2021), Salient Private Access Funds and Endowment PMF Funds; Senior Vice President of Fund Accounting and Operations, Salient Partners (2020-2022); Director of Fund Operations, Salient Partners (2016-2019). |
||||||||||||
Allan
Shaer, Born March 1965 |
Treasurer |
December 2017 |
Senior Vice President, Financial Administration, Citi Fund Services Ohio, Inc. (since 2016); Vice President, Mutual Fund Administration, JP Morgan Chase (2011-2016). |
||||||||||||
Christopher
A. Ponte, Born March 1984 |
Assistant Treasurer |
May 2015 |
Manager, Fund Administration, the Adviser (since 2017); Senior Analyst, Fund Administration, the Adviser (prior to 2017); Chief Financial Officer, Victory Capital Services, Inc. (since 2018). |
||||||||||||
Colin
Kinney, Born October 1973 |
Chief Compliance Officer** |
July
2017- June 2022 |
Chief Compliance Officer (2013-2022) and Chief Risk Officer (2009-2017), the Adviser. |
||||||||||||
Sean
Fox, Born September 1976 |
Chief
Compliance Officer |
June 2022 |
Sr. Compliance Officer, the Adviser (since 2019); Compliance Officer, the Adviser (2015-2019). |
266
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Name and Date of Birth |
Position
with the Trust |
Date Commenced Service |
Principal Occupation During Past 5 Years |
||||||||||||
Chuck
Booth, Born April 1960 |
Anti-Money Laundering Compliance Officer and Identity Theft Officer |
May 2015 |
Director, Regulatory Administration and CCO Support Services, Citi Fund Services Ohio, Inc. |
||||||||||||
Jay G.
Baris, Born January 1954 |
Assistant Secretary |
May 2015 |
Partner,
Sidley Austin LLP (since 2020); Partner, Shearman & Sterling LLP
(2018-2020); Partner, Morrison & Foerster LLP (2011-2018). |
* On April 27, 2022, Ms. Wagner resigned her position with the Trust.
** On June 10, 2022, Mr. Kinney resigned his position with the Trust.
267
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Proxy Voting and Portfolio Holdings Information
Proxy Voting:
Information regarding the policies and procedures each Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 800-539-3863. The information is also included in the Funds' Statement of Additional Information, which is available on the SEC's website at www.sec.gov.
Information relating to how the Funds voted proxies relating to portfolio securities held during the most recent 12 months ended June 30 is available on the SEC's website at www.sec.gov.
Availability of Schedules of Portfolio Investments:
The Trust files a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarter of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's website at www.sec.gov.
Expense Examples
As a shareholder of a Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022, through June 30, 2022.
The Actual Expense figures in the table below provide information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Hypothetical Expense figures in the table below provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.
Please note the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical expenses in the table are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 1/1/22 |
Actual Ending Account Value 6/30/22 |
Hypothetical Ending Account Value 6/30/22 |
Actual Expenses Paid During Period 1/1/22- 6/30/22* |
Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* |
Annualized Expense Ratio During Period 1/1/22- 6/30/22 |
||||||||||||||||||||||
US 500 Volatility Wtd ETF |
$ |
1,000.00 |
$ |
832.20 |
$ |
1,023.06 |
$ |
1.59 |
$ |
1.76 |
0.35 |
% |
|||||||||||||||
US
Small Cap Volatility Wtd ETF |
1,000.00 |
824.10 |
1,023.06 |
1.58 |
1.76 |
0.35 |
% |
||||||||||||||||||||
International
Volatility Wtd ETF |
1,000.00 |
817.70 |
1,022.56 |
2.03 |
2.26 |
0.45 |
% |
||||||||||||||||||||
US
Large Cap High Div Volatility Wtd ETF |
1,000.00 |
962.30 |
1,023.06 |
1.70 |
1.76 |
0.35 |
% |
||||||||||||||||||||
US
Small Cap High Div Volatility Wtd ETF |
1,000.00 |
864.40 |
1,023.06 |
1.62 |
1.76 |
0.35 |
% |
268
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Beginning Account Value 1/1/22 |
Actual Ending Account Value 6/30/22 |
Hypothetical Ending Account Value 6/30/22 |
Actual Expenses Paid During Period 1/1/22- 6/30/22* |
Hypothetical Expenses Paid During Period 1/1/22- 6/30/22* |
Annualized Expense Ratio During Period 1/1/22- 6/30/22 |
||||||||||||||||||||||
International
High Div Volatility Wtd ETF |
$ |
1,000.00 |
$ |
920.70 |
$ |
1,022.56 |
$ |
2.14 |
$ |
2.26 |
0.45 |
% |
|||||||||||||||
Emerging
Market High Div Volatility Wtd ETF |
1,000.00 |
816.90 |
1,022.32 |
2.25 |
2.51 |
0.50 |
% |
||||||||||||||||||||
Dividend Accelerator ETF |
1,000.00 |
877.10 |
1,023.06 |
1.63 |
1.76 |
0.35 |
% |
||||||||||||||||||||
US
Multi-Factor Minimum Volatility ETF |
1,000.00 |
881.10 |
1,023.06 |
1.63 |
1.76 |
0.35 |
% |
||||||||||||||||||||
US 500
Enhanced Volatility Wtd ETF |
1,000.00 |
831.90 |
1,023.06 |
1.59 |
1.76 |
0.35 |
% |
||||||||||||||||||||
US EQ
Income Enhanced Volatility Wtd ETF |
1,000.00 |
962.20 |
1,023.06 |
1.70 |
1.76 |
0.35 |
% |
||||||||||||||||||||
US
Discovery Enhanced Volatility Wtd ETF |
1,000.00 |
859.50 |
1,023.06 |
1.61 |
1.76 |
0.35 |
% |
||||||||||||||||||||
Developed
Enhanced Volatility Wtd ETF |
1,000.00 |
865.90 |
1,022.56 |
2.08 |
2.26 |
0.45 |
% |
||||||||||||||||||||
Nasdaq Next 50 ETF |
1,000.00 |
679.50 |
1,023.90 |
0.75 |
0.90 |
0.18 |
% |
||||||||||||||||||||
ESG Core Plus Bond ETF |
1,000.00 |
889.30 |
1,022.81 |
1.87 |
2.01 |
0.40 |
% |
||||||||||||||||||||
ESG Corporate Bond ETF |
1,000.00 |
848.40 |
1,022.81 |
1.83 |
2.01 |
0.40 |
% |
||||||||||||||||||||
THB Mid Cap ESG ETF |
1,000.00 |
755.50 |
1,022.07 |
2.39 |
2.76 |
0.55 |
% |
* Expenses are equal to the average account value multiplied by the Fund's annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year).
269
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Additional Federal Income Tax Information
For the year ended June 30, 2022, the following Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:
|
Percent |
||||||
US 500 Volatility Wtd ETF |
100 |
% |
|||||
US Small Cap Volatility Wtd ETF |
100 |
% |
|||||
International Volatility Wtd ETF |
88 |
% |
|||||
US Large Cap High Div Volatility Wtd ETF |
100 |
% |
|||||
US Small Cap High Div Volatility Wtd ETF |
100 |
% |
|||||
International High Div Volatility Wtd ETF |
72 |
% |
|||||
Emerging Market High Div Volatility Wtd ETF |
71 |
% |
|||||
Dividend Accelerator ETF |
100 |
% |
|||||
US Multi-Factor Minimum Volatility ETF |
100 |
% |
|||||
US 500 Enhanced Volatility Wtd ETF |
100 |
% |
|||||
US EQ Income Enhanced Volatility Wtd ETF |
100 |
% |
|||||
US Discovery Enhanced Volatility Wtd ETF |
100 |
% |
|||||
Developed Enhanced Volatility Wtd ETF |
89 |
% |
|||||
Nasdaq Next 50 ETF |
98 |
% |
|||||
THB Mid Cap ESG ETF |
100 |
% |
Dividends qualified for corporate dividends received deductions of:
|
Percent |
||||||
US 500 Volatility Wtd ETF |
100 |
% |
|||||
US Small Cap Volatility Wtd ETF |
100 |
% |
|||||
US Large Cap High Div Volatility Wtd ETF |
100 |
% |
|||||
US Small Cap High Div Volatility Wtd ETF |
100 |
% |
|||||
Dividend Accelerator ETF |
100 |
% |
|||||
US Multi-Factor Minimum Volatility ETF |
100 |
% |
|||||
US 500 Enhanced Volatility Wtd ETF |
100 |
% |
|||||
US EQ Income Enhanced Volatility Wtd ETF |
100 |
% |
|||||
US Discovery Enhanced Volatility Wtd ETF |
100 |
% |
|||||
Nasdaq Next 50 ETF |
69 |
% |
|||||
THB Mid Cap ESG ETF |
100 |
% |
For the year ended June 30, 2022, the following Funds designated short-term capital gain distributions:
|
Amount |
||||||
THB Mid Cap ESG ETF |
$ |
6,879 |
The following Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on June 30, 2022, were as follows:
|
Foreign
Source Income |
Foreign Tax Expense |
|||||||||
International Volatility Wtd ETF |
1.42 |
0.19 |
|||||||||
International High Div Volatility Wtd ETF |
2.09 |
0.23 |
|||||||||
Emerging Market High Div Volatility Wtd ETF |
2.18 |
0.34 |
270
Victory Portfolios II |
Supplemental
Information ? continued June 30, 2022 |
(Unaudited)
Liquidity Risk Management Program:
The Victory Funds have adopted and implemented a written liquidity risk management program (the "LRMP") as required by Rule 22e-4 under the Investment Company Act of 1940, as amended. The LRMP is reasonably designed to assess and manage each Fund's liquidity risk, taking into consideration each Fund's investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed market conditions; its short- and long-term cash flow projections; and its cash holdings and access to other liquidity management tools such as available funding sources including the Victory Funds Complex Interfund Lending Facility and Line of Credit (discussed in the Notes to Financial Statements). The Victory Funds' Board of Trustees approved the appointment of the Funds' investment adviser, Victory Capital Management Inc. ("Victory Capital"), as the administrator of the LRMP.
Victory Capital manages liquidity risks associated with the Funds' investments by monitoring, among other things, cash and cash equivalents, any use of derivatives, the concentration of investments, the appropriateness of each Fund's investment strategy, and by classifying every Fund investment as either highly liquid, moderately liquid, less liquid, or illiquid on at least a monthly basis. To assist with the classification of Fund investments, Victory Capital has retained a third-party provider of liquidity evaluation services. This provider determines preliminary liquidity classifications for all portfolio holdings based upon portfolio-level data and certain assumptions provided by Victory Capital. Victory Capital reviews the preliminary liquidity classifications and, when appropriate, considers other information including input from the Funds' portfolio managers (including the portfolio managers employed by any investment sub-advisers) in determining final liquidity classifications.
At a meeting held on February 24, 2022, Victory Capital provided an oral and written report to the Trustees on the operation and effectiveness of the LRMP during the previous year. The report from Victory Capital concluded that the Funds did not experience any significant liquidity challenges during the covered period, and the Funds' LRMP is reasonably designed to assess and manage its liquidity risk. The report also concluded that the LRMP continues to operate adequately and effectively to enable Victory Capital to oversee and manage liquidity risk and ensure each Fund is able to meet redemption requests without significant dilution to the remaining investors' interest in each Fund. During the review period, each Fund's portfolio consisted primarily of highly liquid investments, which are defined as cash and any investments that each Fund reasonably expects to be converted to cash in current market conditions in three business days or less without significantly changing the market value of the investment. Therefore, the Funds have not adopted a highly liquid investment minimum. The Funds' investments were below the limitation on illiquid investments during the review period. Additionally, Victory Capital indicated that no events occurred that would require the filing of Form N-LIQUID and recommended no material changes to the LRMP.
271
Privacy Policy
Protecting the Privacy of Information
The Trust respects your right to privacy. We also know that you expect us to conduct and process your business in an accurate and efficient manner. To do so, we must collect and maintain certain personal information about you. This is the information we collect from you on applications or other forms, and from the transactions you make with us or third parties. It may include your name, address, social security number, account transactions and balances, and information about investment goals and risk tolerance.
We do not disclose any information about you or about former customers to anyone except as permitted or required by law. Specifically, we may disclose the information we collect to companies that perform services on our behalf, such as the transfer agent that processes shareholder accounts and printers and mailers that assist us in the distribution of investor materials. We may also disclose this information to companies that perform marketing services on our behalf. This allows us to continue to offer you Victory investment products and services that meet your investing needs, and to effect transactions that you request or authorize. These companies will use this information only in connection with the services for which we hired them. They are not permitted to use or share this information for any other purpose.
To protect your personal information internally, we permit access only by authorized employees and maintain physical, electronic, and procedural safeguards to guard your personal information.*
* You may have received communications regarding information about privacy policies from other financial institutions which gave you the opportunity to "opt-out" of certain information sharing with companies which are not affiliated with that financial institution. The Trust does not share information with other companies for purposes of marketing solicitations for products other than the Trust. Therefore, the Trust does not provide opt-out options to their shareholders.
The Victory Funds
P.O.
Box 182593
Columbus, Ohio 43218-2593
Visit our website at: |
Call Victory at: |
||||||
www.vcm.com |
866-376-7890 |
VPII-VICTORYSHARESETF-AR (6/22)