Victory Portfolios II (Form: N-CSR, Received: 09/06/2019 14:50:43)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number			811-22696

Victory Portfolios II
(Exact name of registrant as specified in charter)

4900 Tiedeman Road, 4th Floor, Brooklyn, Ohio					44144
(Address of principal executive offices)					(Zip code)

Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219
(Name and address of agent for service)

Registrant’s telephone number, including area code:				800-539-3863

Date of fiscal year end:	June 30

Date of reporting period:		June 30, 2019

Item 1. Reports to Stockholders.

June 30, 2019

Annual Report

Victory US 500 Enhanced Volatility Wtd Index Fund

Victory Market Neutral Income Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Victory Funds' shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Victory Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.VictoryFunds.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change, and you need not take any action.

You may elect to receive shareholder reports and other communications from the Victory Funds or your financial intermediary electronically sooner than January 1, 2021 by notifying your financial intermediary directly or, if you are a direct investor, by calling 800-539-3863 or by sending an e-mail request to TA.Processing@FISGlobal.com.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your reports. If you invest directly with the Victory Funds, you can call 800-539-3863 or send an e-mail request to TA.Processing@FISGlobal.com. Your election to receive reports in paper will apply to all Victory Funds you hold directly or through your financial intermediary.

www.vcm.com

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

The Victory Funds site 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)					2
Fund Review and Commentary (Unaudited)					4
Financial Statements
Victory US 500 Enhanced Volatility Wtd Index Fund
Schedule of Investments					8-19
Statements of Assets and Liabilities					37
Statements of Operations					38
Statements of Changes in Net Assets					39-40
Financial Highlights					42-43
Victory Market Neutral Income Fund
Schedule of Investments					20-36
Statements of Assets and Liabilities					37
Statements of Operations					38
Statements of Changes in Net Assets					39-40
Financial Highlights					44-45
Notes to Financial Statements					46
Report of Independent Registered Public Accounting Firm					60
Supplemental Information					61
Trustee and Officer Information					61
Proxy Voting and Portfolio Holdings Information					65
Expense Examples					65
Additional Federal Income Tax Information					67
Privacy Policy (inside back cover)

The Victory Funds are distributed by Victory Capital Advisers, Inc. 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 www.vcm.com or call 800-539-3863. Read it carefully before you invest or send money.

The information in this annual 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

Victory Funds Letter to Shareholders

Dear Shareholder,

Although the bull market in equities has continued running, the annual period ended June 30, 2019, was not without its missteps and surprises. Chief among these was an abrupt pivot from the U.S. Federal Reserve ("Fed") in late 2018. Against the backdrop of rapidly falling equities in the fourth quarter of last year, the Federal Open Market Committee ("FOMC") signaled that its next policy move would be to lower — not increase — short-term interest rates. Naturally, stocks cheered this pivot in policy, which helped reverse their momentary stumble. The bulls were off and running again, and as of June 30, 2019, the S&P 500 Index^® was flirting with another all-time high.

The S&P 500 Index's¹ total annual return clocked in at 10.42% for the 12-month period ended June 30, 2019. The relatively strong, albeit sometimes bumpy, performance of domestic stocks was broad-based during the period, though large capitalization stocks as a category outperformed their small-cap counterparts. Despite the sometimes-dire headlines and concerns about the waning impact of fiscal stimulus, the market's performance generally illustrates strength in the underlying U.S. economy and labor market. Certainly there are ample concerns, including global growth rates, the inversion of the yield curve, and ongoing trade disputes, but these worries have been countered by rising expectations for a more accommodative Fed. In fact, recent pricing of Fed Funds futures are factoring additional rate cuts as a near certainty.

Although investors seem to be rejoicing over a continuing sustainable environment for stocks — one that includes an accommodative monetary policy, tepid inflation, robust job growth, and steady consumer spending — we think it's equally important to understand the reasons behind the Fed's pivot from a hawkish to neutral (or dovish) policy. Among other reasons, it was a tacit acknowledgment that risks to global growth were mounting.

On one hand it's easy to understand the economy's robust performance. The domestic economy is on solid ground, and there is room for some optimism regarding the direction of short-term interest rates. Then again, the recent trade turmoil is still a wildcard without a clear resolution in sight, and any prolonged uncertainty could impact economic growth domestically and globally. The trade turmoil might also upend global supply chains, which could be detrimental to large swaths of the market.

Given that the current run in stocks is more than a decade old, it's important for investors to keep in perspective that the bull cannot run forever. Investing is not without risks, and there are cross-currents that need to be monitored and navigated. Nevertheless, we continue to believe that Victory Capital's independent investment franchises can excel in this tricky environment thanks to their commitment to risk management, among many other reasons. Moreover, many of our investment managers welcome an environment that often creates short-term pricing dislocations that may benefit astute investors.

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial advisor. Or, if you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

¹The 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. The impact of transaction costs and the deduction of fees and expenses associated with a mutual fund, such as investment management and accounting fees, are not reflected in the index calculations. It is not possible to invest directly in an index.

Investing involves market risk, including the potential loss of principal. Past performance does not guarantee future performance results.

Victory Equity Long/Cash Funds

Victory US 500 Enhanced Volatility Wtd Index Fund

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned -0.01% (Class A Shares at net asset value) for the fiscal year ended June 30, 2019. The Index returned 1.07% and the S&P 500 Index, a market-cap based index against which the performance of the Fund is also measured, returned 10.42% during the same period. The difference in performance of the Fund and the Index was primarily due to the Fund's fees and expenses. Neither the Index nor the S&P 500 Index are investable products, therefore fees and expenses do not apply.

The Index moves from equities to Treasury bills ("T-Bills") during periods of significant market decline ("Long/Cash" feature). The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on January 2nd. The Index held that T-Bill position until February 1st, at which time the T-Bill position went back to zero. As of June 30, 2019, the Index, and thus the Fund, was 100% allocated to stocks. Due to the large market rally which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's underperformance versus the S&P 500 Index for the fiscal year.

Average Annual Return

Year Ended June 30, 2019

Class A

Class C

Class I

INCEPTION DATE

11/19/12

Net Asset
Value

Maximum
Offering
Price

Net Asset
Value

Contingent
Deferred
Charges

Net Asset
Value

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

S&P 500
Index²

One Year

–0.01

–5.78

–0.73

–1.59

0.24

1.07

10.42

Three Year

10.27

8.12

9.43

10.53

11.40

14.19

Five Year

7.72

6.46

6.89

7.98

8.92

10.71

Ten Year

N/A

Since Inception

11.76

10.77

10.92

12.03

N/A

Expense Ratios

Gross

1.19%

1.97%

0.95%

With Applicable
Waivers

0.99%

1.74%

0.74%

Victory Equity Long/Cash Funds

Victory US 500 Enhanced Volatility Wtd Index Fund (continued)

Past performance is not indicative of future results. 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.

The above expense ratios are from the Fund's prospectus dated November 1, 2018, as supplemented. Additional information pertaining to the Fund's expense ratios as of June 30, 2019 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2019.

The maximum offering price (MOP) reflects a maximum sales charge of 5.75% for Class A Shares. Class C Shares are not subject to an initial sales charge, but are subject to a deferred sales charge of 1.00% on shares redeemed within one year of purchase. NAV does not reflect sales charges. The total return figures set forth above include all waivers of fees for various periods since inception. Without such fee waivers, the total returns would have been lower. Some fee waivers are voluntary and may be modified or terminated at any time.

Comparison of the Change in Value of a $10,000 Investment

¹Nasdaq Victory US Large Cap 500 Long/Short Cash Volatility Weighted Index is an unmanaged index who's strategy involves equity oriented investing on both the long and short sides of the market. Index returns assume reinvestment of dividends. Investors may not invest in the index directly; unlike the Fund's returns, the index returns do not reflect any fees or expenses.

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 sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

Victory Bond Replacement Funds

Victory Market Neutral Income Fund

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

The Victory Market Neutral Income Fund ("Fund") seeks to provide investment results that achieve high current income.

The Fund returned 1.99% (Class A Shares at net asset value) for the fiscal year ended June 30, 2019, underperforming its benchmark, the FTSE 3-Month U.S. Treasury Bill Index ("Index"), which returned 2.30%.

The Fund pursues its investment objective by engaging in a multi-strategy approach utilizing several distinct strategies. Four of those strategies involve buying the stocks of the Nasdaq Victory High Dividend Indexes and shorting an equal dollar amount of high correlating equity futures against them. Together, these strategies are referred to as the "spread" strategies and cover the U.S. large cap, U.S. small cap, international developed, and emerging market asset classes in approximately equal dollar amounts.

The Fund's remaining strategies are designed to diversify its investments and its market risk exposure. During the period, these consisted of (1) holding a long or short futures contract in the CBOE Volatility Index, also known as the VIX (an index widely used as a measure of market risk) (the VIX strategy), (2) holding a long position in Nasdaq 100 Index futures and a short position in an equal dollar amount of S&P 500 Index futures (the Nasdaq/S&P strategy), and (3) selling an at-the-money put option on the S&P 500 Index once per month (the put option strategy).

The emerging market, international, and U.S. small cap spread strategies each contributed positively to the Fund's performance versus its Index over the last 12 months. The US large cap spread strategy contributed negatively to the Fund's performance during the period.

The Fund's use of derivative strategies to hedge market risk and produce a steady stream of income can produce offsetting gains or losses depending on the market environment. Of these strategies the VIX and Nasdaq/S&P long/short strategies contributed negatively to the Fund's performance while the put option strategy was a positive contributor.

Average Annual Return

Year Ended June 30, 2019

Class A

Class C

Class I

INCEPTION DATE

11/19/12

Net Asset
Value

Maximum
Offering
Price

Net Asset
Value

Contingent
Deferred
Charges

Net Asset
Value

FTSE
3-month
U.S. Treasury
Bill Index¹

One Year

1.99

–3.91

1.19

0.20

2.25

2.30

Three Year

4.03

2.01

3.27

4.32

1.36

Five Year

2.58

1.37

1.81

2.84

0.84

Ten Year

N/A

Since Inception

1.78

0.87

1.01

2.06

N/A

Expense Ratios

Gross

1.18%

2.51%

1.09%

With Applicable
Waivers

0.75%

1.50%

0.40%

Victory Bond Replacement Funds

Victory Market Neutral Income Fund (continued)

The above expense ratios are from the Fund's supplement dated June 1, 2019 to the prospectus dated November 1, 2018, as supplemented. Additional information pertaining to the Fund's expense ratios as of June 30, 2019 can be found in the financial highlights. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse certain expenses through October 31, 2019.

Comparison of the Change in Value of a $10,000 Investment

¹The FTSE 3-month U.S. Treasury Bill Index is an unmanaged index which includes U.S. Government-issued Treasury Bills representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. Index assumes reinvestment of dividends. Investors may not invest in the Index directly; unlike the Fund's returns, the index returns do not reflect any fees or expenses.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (99.1%)
Communication Services (3.9%):
Activision Blizzard, Inc.		2,425	$	114,460
Alphabet, Inc., Class A (a)		151		163,502
AT&T, Inc.		6,719		225,154
CBS Corp., Class B		3,706		184,929
Charter Communications, Inc., Class A (a)		427		168,742
Comcast Corp., Class A		4,929		208,398
DISH Network Corp. (a)		3,745		143,845
Electronic Arts, Inc. (a)		1,149		116,348
Facebook, Inc., Class A (a)		831		160,383
InterActive Corp. (a)		613		133,346
Match Group, Inc. (b)		1,699		114,292
Netflix, Inc. (a)		277		101,748
Omnicom Group, Inc.		2,889		236,754
Sirius XM Holdings, Inc. (b)		27,568		153,829
Take-Two Interactive Software, Inc. (a)		1,161		131,808
The Walt Disney Co.		2,099		293,104
T-Mobile US, Inc. (a)		2,925		216,860
TripAdvisor, Inc. (a) (b)		2,150		99,524
Twitter, Inc. (a)		3,051		106,480
Verizon Communications, Inc.		4,421		252,572
Viacom, Inc., Class B		5,708		170,498
World Wrestling Entertainment, Inc. (b)		1,419		102,466
Zayo Group Holdings, Inc. (a)		3,908		128,612
				3,727,654
Consumer Discretionary (11.6%):
Advance Auto Parts, Inc.		994		153,215
Amazon.com, Inc. (a)		70		132,554
Aramark		5,245		189,135
AutoZone, Inc. (a)		206		226,490
Best Buy Co., Inc.		1,850		129,001
Booking Holdings, Inc. (a)		97		181,847
BorgWarner, Inc.		3,695		155,116
Bright Horizons Family Solutions, Inc. (a)		2,008		302,947
Burlington Stores, Inc. (a)		891		151,604
CarMax, Inc. (a) (b)		2,896		251,459
Chipotle Mexican Grill, Inc. (a)		254		186,152
Columbia Sportswear Co.		1,498		150,040
D.R. Horton, Inc.		3,744		161,479
Darden Restaurants, Inc.		1,843		224,348
Dollar General Corp.		1,688		228,150
Domino's Pizza, Inc.		623		173,368
Dunkin' Brands Group, Inc.		2,804		223,367
eBay, Inc.		4,560		180,120
Etsy, Inc. (a)		1,045		64,132
Five Below, Inc. (a)		932		111,859
Foot Locker, Inc.		2,317		97,129
Garmin Ltd.		1,949		155,530

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
General Motors Co.		4,035	$	155,469
Genuine Parts Co.		2,551		264,233
Grand Canyon Education, Inc. (a)		1,185		138,669
Hanesbrands, Inc.		6,033		103,888
Harley-Davidson, Inc. (b)		4,679		167,648
Hilton Worldwide Holdings, Inc.		2,041		199,487
Hyatt Hotels Corp., Class A		2,677		203,800
Kohl's Corp.		2,057		97,810
Kontoor Brands, Inc. (a)		14		392
Lear Corp.		1,023		142,473
Leggett & Platt, Inc.		3,659		140,396
Lennar Corp., Class A		3,053		147,948
LKQ Corp. (a)		6,824		181,587
Macy's, Inc.		4,673		100,283
Marriott International, Inc., Class A		1,373		192,618
McDonald's Corp.		1,456		302,353
Mohawk Industries, Inc. (a)		846		124,760
Nordstrom, Inc. (b)		2,893		92,171
Norwegian Cruise Line Holdings Ltd. (a)		2,852		152,953
NVR, Inc. (a)		68		229,176
Ollie's Bargain Outlet Holdings, Inc. (a)		1,414		123,174
O'Reilly Automotive, Inc. (a)		524		193,524
Planet Fitness, Inc., Class A (a)		2,068		149,806
Pool Corp.		1,433		273,702
PulteGroup, Inc.		5,864		185,420
PVH Corp.		1,264		119,625
Qurate Retail, Inc. (a)		7,569		93,780
Ralph Lauren Corp.		1,094		124,267
Ross Stores, Inc.		1,940		192,293
Royal Caribbean Cruises Ltd.		1,262		152,967
Service Corp. International (b)		5,155		241,151
Starbucks Corp.		2,959		248,053
Tapestry, Inc.		3,865		122,636
Target Corp.		2,338		202,494
The Gap, Inc. (b)		6,510		116,985
The Home Depot, Inc.		1,132		235,421
The TJX Co., Inc.		4,234		223,894
Tiffany & Co.		1,482		138,774
Tractor Supply Co.		1,930		209,984
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		458		158,876
VF Corp.		1,825		159,415
Yum China Holdings, Inc.		3,132		144,698
Yum! Brands, Inc.		2,917		322,825
				11,100,920
Consumer Staples (7.3%):
Altria Group, Inc.		3,465		164,068
Archer-Daniels-Midland Co.		5,890		240,312
Brown-Forman Corp., Class B (b)		4,261		236,187
Church & Dwight Co., Inc.		2,751		200,988
Colgate-Palmolive Co.		3,510		251,562

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Conagra Brands, Inc.		5,656	$	149,997
Constellation Brands, Inc., Class A		969		190,835
Costco Wholesale Corp.		917		242,326
General Mills, Inc.		4,142		217,538
Herbalife Ltd. (a)		4,681		200,160
Hormel Foods Corp. (b)		5,773		234,037
Ingredion, Inc.		2,395		197,564
Keurig Dr Pepper, Inc. (b)		7,899		228,281
Kimberly-Clark Corp.		1,772		236,172
Lamb Weston Holdings, Inc.		2,856		180,956
McCormick & Co., Inc.		1,528		236,855
Molson Coors Brewing Co., Class B		2,644		148,064
Mondelez International, Inc., Class A		5,717		308,146
Monster Beverage Corp. (a)		2,642		168,639
PepsiCo, Inc.		2,329		305,402
Philip Morris International, Inc.		2,170		170,410
Sysco Corp.		3,517		248,723
The Clorox Co.		1,339		205,014
The Coca-Cola Co.		5,669		288,665
The Estee Lauder Cos., Inc., Class A		965		176,701
The Hershey Co.		2,533		339,498
The J.M. Smucker Co.		1,874		215,866
The Kroger Co.		5,740		124,615
The Procter & Gamble Co.		2,310		253,292
Tyson Foods, Inc., Class A		3,465		279,764
US Foods Holding Corp. (a)		5,153		184,271
Walgreens Boots Alliance, Inc.		2,971		162,425
				6,987,333
Energy (3.1%):
Anadarko Petroleum Corp.		3,009		212,315
Cabot Oil & Gas Corp.		6,064		139,229
Chevron Corp.		1,776		221,004
Cimarex Energy Co.		1,736		102,997
ConocoPhillips		2,425		147,925
Continental Resources, Inc.		2,500		105,225
Diamondback Energy, Inc.		1,306		142,315
EOG Resources, Inc.		1,522		141,790
Exxon Mobil Corp.		2,919		223,682
Halliburton Co.		4,860		110,516
HollyFrontier Corp.		2,427		112,322
Marathon Oil Corp.		7,099		100,877
Marathon Petroleum Corp.		2,452		137,018
Occidental Petroleum Corp.		2,734		137,466
ONEOK, Inc.		2,863		197,003
Parsley Energy, Inc., Class A (a)		6,424		122,120
Phillips 66		1,742		162,947
Pioneer Natural Resources Co.		995		153,091
Schlumberger Ltd.		3,853		153,119
Valero Energy Corp.		1,807		154,697
				2,977,658

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (17.4%):
Aflac, Inc.		5,043	$	276,407
Ally Financial, Inc.		7,057		218,696
American Express Co.		2,043		252,189
Ameriprise Financial, Inc.		1,170		169,837
Arch Capital Group Ltd. (a)		7,632		282,995
Arthur J. Gallagher & Co.		3,508		307,266
Assurant, Inc.		2,280		242,546
Bank of America Corp.		6,564		190,356
BB&T Corp.		4,761		233,908
BlackRock, Inc., Class A		423		198,514
BOK Financial Corp. (b)		2,318		174,963
Brown & Brown, Inc.		9,395		314,733
Capital One Financial Corp.		2,345		212,785
CBOE Holdings, Inc.		2,335		241,976
Chubb Ltd.		1,920		282,797
Citigroup, Inc.		2,991		209,460
Citizens Financial Group, Inc.		5,285		186,878
CME Group, Inc.		1,472		285,730
Comerica, Inc.		2,233		162,205
Commerce Bank, Inc.		4,156		247,947
Credit Acceptance Corp. (a)		378		182,888
Cullen/Frost Bankers, Inc.		2,137		200,151
Discover Financial Services		2,676		207,631
E*TRADE Financial Corp.		3,601		160,605
East West Bancorp, Inc.		3,357		157,007
Erie Indemnity Co., Class A (b)		1,304		331,580
FactSet Research Systems, Inc. (b)		1,011		289,711
Fifth Third BanCorp.		7,463		208,218
First American Financial Corp.		3,760		201,912
First Republic Bank		1,641		160,244
FNF Group		5,901		237,810
Franklin Resources, Inc. (b)		5,817		202,432
Hartford Financial Services Group, Inc.		5,166		287,850
Huntington Bancshares, Inc.		14,268		197,184
Intercontinental Exchange, Inc.		3,287		282,485
Invesco Ltd. (b)		8,822		180,498
JPMorgan Chase & Co.		2,328		260,269
KeyCorp		10,204		181,121
Lincoln National Corp.		2,836		182,780
LPL Financial Holdings, Inc.		2,132		173,907
M&T Bank Corp.		1,317		223,982
MarketAxess Holdings, Inc.		796		255,850
Marsh & McLennan Co., Inc.		2,549		254,263
MetLife, Inc.		4,326		214,872
Moody's Corp.		1,013		197,849
Morgan Stanley		4,218		184,791
MSCI, Inc.		904		215,866
New York Community Bancorp, Inc.		15,534		155,029
Northern Trust Corp.		2,239		201,510

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
People's United Financial, Inc.		12,995	$	218,056
Popular, Inc.		3,754		203,617
Principal Financial Group, Inc.		3,343		193,627
Prudential Financial, Inc.		2,040		206,040
Raymond James Financial, Inc.		2,203		186,264
Regions Financial Corp.		11,421		170,630
Reinsurance Group of America, Inc.		1,479		230,768
S&P Global, Inc.		1,019		232,118
Santander Consumer USA Holdings, Inc. (b)		8,992		215,448
SEI Investments Co.		3,779		212,002
Signature Bank		1,335		161,321
State Street Corp.		2,448		137,235
SVB Financial Group (a)		501		112,520
Synchrony Financial		4,754		164,821
Synovus Financial Corp.		4,640		162,400
T. Rowe Price Group, Inc.		1,783		195,613
TD Ameritrade Holding Corp.		3,577		178,564
The Bank of New York Mellon Corp.		4,567		201,633
The Charles Schwab Corp.		3,895		156,540
The Goldman Sachs Group, Inc.		841		172,069
The PNC Financial Services Group, Inc.		1,736		238,318
The Progressive Corp.		2,540		203,022
The Travelers Co., Inc.		1,952		291,863
Torchmark Corp.		2,823		252,546
U.S. Bancorp		5,390		282,435
W.R. Berkley Corp.		5,275		347,747
Wells Fargo & Co.		4,661		220,559
Zions BanCorp		4,123		189,576
				16,619,835
Health Care (10.4%):
Abbott Laboratories		2,516		211,596
ABIOMED, Inc. (a)		274		71,374
Agilent Technologies, Inc.		2,321		173,309
Align Technology, Inc. (a)		354		96,890
AmerisourceBergen Corp.		2,162		184,332
Amgen, Inc.		1,061		195,521
Anthem, Inc.		603		170,173
Baxter International, Inc.		2,760		226,044
Biogen, Inc. (a)		528		123,483
Bio-Techne Corp.		820		170,962
Boston Scientific Corp. (a)		4,206		180,774
Bristol-Myers Squibb Co.		2,928		132,785
Bruker Corp.		4,065		203,047
Centene Corp. (a)		2,615		137,131
Cerner Corp.		3,242		237,639
Charles River Laboratories International, Inc. (a)		1,020		144,738
Cigna Corp.		1,010		159,126
Danaher Corp.		1,572		224,670
Edwards Lifesciences Corp. (a)		809		149,455
Encompass Health Corp.		3,264		206,807

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Exelixis, Inc. (a)		4,170	$	89,113
Gilead Sciences, Inc.		2,909		196,532
HCA Holdings, Inc.		1,352		182,750
Henry Schein, Inc. (a)		3,239		226,406
Hill-Rom Holdings, Inc.		1,720		179,946
Humana, Inc.		635		168,466
IDEXX Laboratories, Inc. (a)		746		205,396
Illumina, Inc. (a)		396		145,787
Intuitive Surgical, Inc. (a)		239		125,367
IQVIA Holdings, Inc. (a)		1,254		201,769
Jazz Pharmaceuticals PLC (a)		983		140,136
Johnson & Johnson		1,675		233,294
Laboratory Corp. of America Holdings (a)		1,238		214,050
Masimo Corp. (a)		1,377		204,925
Medtronic PLC		2,604		253,605
Merck & Co., Inc.		3,195		267,901
Mettler-Toledo International, Inc. (a)		280		235,199
Molina Healthcare, Inc. (a)		836		119,665
Mylan NV (a)		4,357		82,957
PerkinElmer, Inc.		1,728		166,476
PRA Health Sciences, Inc. (a)		1,252		124,136
Quest Diagnostics, Inc.		2,326		236,809
Regeneron Pharmaceuticals, Inc. (a)		367		114,871
ResMed, Inc.		1,348		164,496
Stryker Corp.		969		199,207
The Cooper Co., Inc.		595		200,450
Thermo Fisher Scientific, Inc.		779		228,776
United Therapeutics Corp. (a)		1,271		99,214
UnitedHealth Group, Inc.		821		200,332
Universal Health Services, Inc., Class B		1,426		185,936
Varian Medical Systems, Inc. (a)		1,317		179,283
Veeva Systems, Inc., Class A (a)		986		159,840
Vertex Pharmaceuticals, Inc. (a)		831		152,389
Waters Corp. (a)		715		153,897
West Pharmaceutical Services, Inc.		1,811		226,647
Zoetis, Inc.		2,171		246,387
				9,912,266
Industrials (17.3%):
3M Co.		993		172,127
A.O. Smith Corp.		3,386		159,684
Alaska Air Group, Inc.		2,643		168,914
Allegion PLC		2,451		270,957
Allison Transmission Holdings, Inc.		3,842		178,077
AMERCO, Inc.		657		248,707
American Airlines Group, Inc.		3,035		98,971
AMETEK, Inc.		2,441		221,741
Arconic, Inc.		6,415		165,635
C.H. Robinson Worldwide, Inc.		2,472		208,513
Carlisle Cos., Inc.		1,621		227,605
Caterpillar, Inc.		980		133,564

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Cintas Corp.		951	$	225,663
Copart, Inc. (a)		2,369		177,059
Costar Group, Inc. (a)		326		180,624
CSX Corp.		2,738		211,839
Cummins, Inc.		1,306		223,770
Deere & Co.		987		163,556
Delta Air Lines, Inc.		3,350		190,113
Donaldson Co., Inc. (b)		3,296		167,635
Dover Corp.		2,259		226,351
Eaton Corp. PLC, ADR		2,654		221,025
Emerson Electric Co.		2,975		198,492
Equifax, Inc.		1,513		204,618
Expeditors International of Washington, Inc.		2,733		207,325
Fastenal Co.		5,920		192,933
FedEx Corp.		845		138,741
Flowserve Corp.		3,250		171,243
Fortive Corp.		2,541		207,142
Fortune Brands Home & Security, Inc.		3,189		182,188
General Dynamics Corp.		1,214		220,729
Graco, Inc.		4,258		213,666
Harris Corp.		918		173,621
HEICO Corp.		1,983		265,346
Hexcel Corp.		2,630		212,714
Honeywell International, Inc.		1,704		297,501
Hubbell, Inc.		1,405		183,212
Huntington Ingalls Industries, Inc.		821		184,512
IAA, Inc. (a)		3,616		140,228
IDEX Corp.		1,412		243,061
Illinois Tool Works, Inc.		1,395		210,380
Ingersoll-Rand PLC		2,074		262,713
J.B. Hunt Transport Services, Inc.		1,751		160,059
Johnson Controls International PLC		5,718		236,211
Kansas City Southern Industries, Inc.		1,806		220,007
KAR Auction Services, Inc.		3,616		90,400
Knight-Swift Transportation Holdings, Inc.		3,381		111,032
Lennox International, Inc.		874		240,350
Lincoln Electric Holdings, Inc.		2,146		176,659
Lockheed Martin Corp.		660		239,937
Masco Corp.		4,264		167,319
Nordson Corp.		1,308		184,833
Norfolk Southern Corp.		1,017		202,719
Northrop Grumman Corp.		615		198,713
Old Dominion Freight Line, Inc.		1,039		155,081
Owens Corning, Inc.		2,793		162,553
PACCAR, Inc.		2,864		205,234
Parker-Hannifin Corp.		1,040		176,810
Raytheon Co.		1,030		179,096
Republic Services, Inc., Class A		4,379		379,397
Robert Half International, Inc.		2,132		121,545
Rockwell Automation, Inc.		1,015		166,287

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Rollins, Inc.		5,347	$	191,797
Roper Technologies, Inc.		592		216,826
Snap-on, Inc.		1,137		188,333
Southwest Airlines Co.		2,913		147,922
Spirit Aerosystems Holdings, Inc., Class A		1,893		154,033
Teledyne Technologies, Inc. (a)		845		231,421
Textron, Inc.		3,116		165,273
The Boeing Co.		347		126,311
The Middleby Corp. (a)		1,518		205,993
Toro Co.		3,355		224,450
TransDigm Group, Inc. (a)		366		177,071
TransUnion		2,516		184,951
Union Pacific Corp.		1,045		176,720
United Continental Holdings, Inc. (a)		1,917		167,833
United Parcel Service, Inc., Class B		1,722		177,831
United Rentals, Inc. (a)		780		103,451
United Technologies Corp.		1,557		202,721
Verisk Analytics, Inc., Class A		1,840		269,487
W.W. Grainger, Inc.		535		143,503
Wabtec Corp. (b)		1,716		123,140
Waste Management, Inc.		3,027		349,225
Woodward, Inc.		1,547		175,059
XPO Logistics, Inc. (a) (b)		1,598		92,380
Xylem, Inc.		2,478		207,260
				16,529,728
Information Technology (15.2%):
Accenture PLC, Class A		1,341		247,777
Adobe Systems, Inc. (a)		465		137,012
Advanced Micro Devices, Inc. (a)		2,678		81,331
Akamai Technologies, Inc. (a)		2,033		162,925
Alliance Data Systems Corp.		865		121,212
Amphenol Corp., Class A		2,233		214,234
Analog Devices, Inc.		1,463		165,129
ANSYS, Inc. (a)		879		180,037
Apple, Inc.		804		159,128
Applied Materials, Inc.		3,095		138,996
Arrow Electronics, Inc. (a)		2,324		165,631
Aspen Technology, Inc. (a)		1,326		164,795
Automatic Data Processing, Inc.		1,328		219,558
Black Knight, Inc. (a)		3,474		208,961
Booz Allen Hamilton Holdings Corp.		3,978		263,383
Broadcom, Inc.		506		145,657
Broadridge Financial Solutions, Inc.		1,753		223,823
Cadence Design Systems, Inc. (a)		2,472		175,042
CDK Global, Inc.		3,323		164,289
CDW Corp. of Delaware		1,665		184,815
Ciena Corp. (a)		3,438		141,405
Cisco Systems, Inc.		3,537		193,580
Citrix Systems, Inc.		2,576		252,808
Cognex Corp.		2,095		100,518

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Cognizant Technology Solutions Corp., Class A		2,736	$	173,435
Cypress Semiconductor Corp.		8,356		185,838
Dolby Laboratories, Inc., Class A		3,248		209,821
DXC Technology Co.		1,901		104,840
EPAM Systems, Inc. (a)		933		161,502
Euronet Worldwide, Inc. (a)		1,056		177,661
F5 Networks, Inc. (a)		1,046		152,329
Fair Isaac Corp. (a)		628		197,205
Fidelity National Information Services, Inc.		2,073		254,316
Fiserv, Inc. (a)		2,291		208,848
FleetCor Technologies, Inc. (a)		775		217,659
FLIR Systems, Inc. (b)		3,284		177,664
Fortinet, Inc. (a)		1,415		108,714
Genpact Ltd.		6,480		246,823
Global Payments, Inc.		1,324		212,012
GoDaddy, Inc., Class A (a)		1,704		119,536
HP, Inc.		6,935		144,179
Intel Corp.		2,867		137,243
International Business Machines Corp.		1,290		177,891
Intuit, Inc.		611		159,673
IPG Photonics Corp. (a) (b)		683		105,353
Jack Henry & Associates, Inc.		1,867		250,029
Juniper Networks, Inc.		6,889		183,454
KLA-Tencor Corp.		1,121		132,502
Lam Research Corp.		672		126,228
Leidos Holdings, Inc.		3,079		245,858
Mastercard, Inc., Class A		672		177,764
Maxim Integrated Products, Inc.		2,772		165,821
Microchip Technology, Inc. (b)		1,474		127,796
Micron Technology, Inc. (a)		2,448		94,468
Microsoft Corp.		1,437		192,501
Monolithic Power Systems, Inc.		933		126,683
Motorola Solutions, Inc.		1,125		187,571
National Instruments Corp. (b)		3,051		128,111
NetApp, Inc.		1,885		116,305
Nvidia Corp.		524		86,057
ON Semiconductor Corp. (a)		4,729		95,573
Paychex, Inc.		3,295		271,146
Paycom Software, Inc. (a)		660		149,635
PayPal Holdings, Inc. (a)		1,353		154,864
PTC, Inc. (a)		1,438		129,075
RealPage, Inc. (a) (b)		2,205		129,764
Sabre Corp.		7,516		166,855
Salesforce.com, Inc. (a)		738		111,977
Seagate Technology PLC		2,755		129,816
Skyworks Solutions, Inc.		1,554		120,078
Synopsys, Inc. (a)		1,750		225,208
TE Connectivity Ltd.		2,377		227,670
Teradyne, Inc.		3,054		146,317
Texas Instruments, Inc.		1,422		163,189

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
The Trade Desk, Inc., Class A (a)		346	$	78,812
The Western Union Co.		15,837		314,998
Total System Services, Inc.		2,059		264,108
Trimble Navigation Ltd. (a)		4,109		185,357
Tyler Technologies, Inc. (a)		895		193,338
Universal Display Corp.		485		91,209
VeriSign, Inc. (a)		768		160,635
Visa, Inc., Class A		1,172		203,401
WEX, Inc. (a)		922		191,868
Xerox Corp.		4,527		160,300
Xilinx, Inc.		845		99,642
Zebra Technologies Corp., Class A (a)		649		135,959
				14,486,530
Materials (6.1%):
Air Products & Chemicals, Inc.		1,343		304,014
Albemarle Corp. (b)		1,672		117,726
AptarGroup, Inc.		2,604		323,781
Avery Dennison Corp.		2,028		234,599
Ball Corp.		3,941		275,831
Berry Global Group, Inc. (a)		3,592		188,903
Celanese Corp., Series A		1,661		179,056
CF Industries Holdings, Inc.		2,957		138,121
Crown Holdings, Inc. (a)		3,270		199,797
DuPont de Nemours, Inc.		2,070		155,395
Eastman Chemical Co.		2,184		169,981
Ecolab, Inc.		1,583		312,547
FMC Corp.		1,958		162,416
Freeport-McMoRan, Inc.		7,928		92,044
International Flavors & Fragrances, Inc. (b)		1,577		228,807
International Paper Co.		3,424		148,328
Lyondellbasell Industries NV, Class A		2,290		197,238
Martin Marietta Materials, Inc.		868		199,736
Nucor Corp.		3,129		172,408
Packaging Corp. of America		1,619		154,323
PPG Industries, Inc.		1,689		197,123
Reliance Steel & Aluminum Co.		2,402		227,277
RPM International, Inc.		3,743		228,735
Sonoco Products Co.		4,571		298,669
Steel Dynamics, Inc.		4,329		130,736
The Chemours Co.		3,072		73,728
The Mosaic Co.		4,521		113,161
The Sherwin-Williams Co.		454		208,064
Vulcan Materials Co.		1,153		158,318
Westlake Chemical Corp. (b)		1,937		134,544
WestRock Co.		3,911		142,634
				5,868,040
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		3,670		188,271
Jones Lang LaSalle, Inc.		861		121,134
				309,405

See notes to financial statements.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Utilities (6.5%):
AES Corp.		11,614	$	194,651
Alliant Energy Corp.		6,087		298,750
Ameren Corp.		3,788		284,517
American Electric Power Co., Inc.		3,630		319,476
American Water Works Co., Inc.		2,598		301,368
Atmos Energy Corp.		2,585		272,872
CMS Energy Corp.		5,180		299,974
Consolidated Edison, Inc.		3,119		273,474
Dominion Resources, Inc.		3,780		292,270
DTE Energy Co.		2,263		289,392
Duke Energy Corp.		3,295		290,751
Evergy, Inc.		5,126		308,329
Eversource Energy		4,234		320,769
Exelon Corp.		6,193		296,892
NextEra Energy, Inc.		1,511		309,543
OGE Energy Corp.		6,605		281,109
Pinnacle West Capital Corp.		2,911		273,896
PPL Corp.		7,242		224,574
Public Service Enterprise Group, Inc.		4,630		272,337
UGI Corp.		4,185		223,521
WEC Energy Group, Inc.		3,730		310,969
Xcel Energy, Inc.		5,210		309,943
				6,249,377
Total Common Stocks (Cost $81,170,391)				94,768,746
Investment Companies (0.6%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 2.25% (c)571,561				571,561
Total Investment Companies (Cost $571,561)				571,561
Collateral for Securities Loaned^ (4.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (c)		834,782		834,782
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (c)		1,075,296		1,075,296
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (c)		27,925		27,925
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (c)		459,069		459,069
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (c)		625,989		625,989
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (c)		973,797		973,797
Total Collateral for Securities Loaned (Cost $3,996,858)				3,996,858
Total Investments (Cost $85,738,810) — 103.9%				99,337,165
Liabilities in excess of other assets — (3.9)%				(3,781,331	)
NET ASSETS — 100.00%			$	95,555,834

^ 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.

Victory Portfolios II
Victory US 500 Enhanced Volatility Wtd Index Fund

Schedule of Portfolio Investments — continued
June 30, 2019

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		6	9/20/19	$	877,849	$	883,260	$	5,411
	Total unrealized appreciation							$	5,411
	Total unrealized depreciation								—
	Total net unrealized appreciation (depreciation)							$	5,411

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (82.2%)
Australia (2.6%):
Communication Services (0.2%):
Telstra Corp. Ltd.		73,672	$	199,175
Consumer Staples (0.2%):
Wesfarmers Ltd.		7,813		198,566
Energy (0.2%):
Woodside Petroleum Ltd.		6,939		177,938
Financials (1.0%):
Australia & New Zealand Banking Group Ltd.		8,761		173,864
Commonwealth Bank of Australia		3,982		231,658
National Australia Bank Ltd.		13,162		247,184
Westpac Banking Corp.		9,559		190,473
				843,179
Materials (0.8%):
BHP Billiton Ltd.		6,480		188,325
BHP Group PLC		5,629		143,929
Fortescue Metals Group Ltd.		26,425		168,017
RIO Tinto Ltd.		2,441		178,705
				678,976
Utilities (0.2%):
AGL Energy Ltd.		13,618		191,476
				2,289,310
Belgium (0.2%):
Communication Services (0.2%):
Proximus SADP		6,261		184,994
Bermuda (0.7%):
Financials (0.5%):
Invesco Ltd.		7,831		160,222
James River Group Holdings Ltd.		5,899		276,663
				436,885
Industrials (0.2%):
Triton International Ltd.		4,873		159,640
				596,525
Brazil (1.1%):
Financials (0.2%):
BB Seguridade Participacoes SA		25,000		210,846
Health Care (0.2%):
Fleury SA		28,200		156,818
Industrials (0.2%):
EcoRodovias Infraestrutura e Logistica SA		44,400		124,435

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Information Technology (0.1%):
Cielo SA		34,600	$	60,561
Utilities (0.4%):
EDP — Energias do Brasil SA		38,300		188,542
Engie Brasil Energia SA		17,102		193,635
				382,177
				934,837
Canada (3.2%):
Communication Services (0.8%):
BCE, Inc.		6,826		310,595
TELUS Corp.		9,780		361,577
				672,172
Energy (0.5%):
Pembina Pipeline Corp.		6,104		227,257
TC Energy Corp.		4,937		244,776
				472,033
Financials (1.2%):
Great-West Lifeco, Inc.		9,906		228,094
Power Corp. of Canada		11,861		255,536
Power Financial Corp. (a)		11,996		275,943
The Bank of Nova Scotia (a)		5,271		283,154
				1,042,727
Utilities (0.7%):
Emera, Inc.		7,453		304,575
Hydro One Ltd. (a) (b)		16,324		284,741
				589,316
				2,776,248
Chile (0.7%):
Utilities (0.7%):
Aguas Andinas SA		633,132		373,855
Colbun SA		1,321,023		273,015
				646,870
China (3.3%):
Consumer Discretionary (0.2%):
Dongfeng Motor Group Co. Ltd. (a)		142,000		116,440
Guangzhou Automobile Group Co. Ltd.		82,000		87,618
				204,058
Energy (0.4%):
China Petroleum & Chemical Corp., Class H		198,000		134,887
China Shenhua Energy Co. Ltd.		67,000		140,341
Yanzhou Coal Mining Co. Ltd.		114,000		106,606
				381,834

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (1.6%):
Agricultural Bank of China Ltd.		497,000	$	208,016
Bank of China Ltd.		604,000		254,879
Bank of Communications Co. Ltd., Class H		343,000		260,459
China Cinda Asset Management Co.		567,000		130,672
China CITIC Bank Corp. Ltd.		418,000		238,056
China Everbright Bank Co. Ltd.		443,000		203,073
China Huarong Asset Management Co. Ltd., Class H (b)		523,000		91,095
				1,386,250
Industrials (0.3%):
Zoomlion Heavy Industry Science And Technology Co.		395,200		259,591
Materials (0.2%):
Sinopec Shanghai Petrochemical Co. Ltd.		296,000		117,882
Real Estate (0.4%):
Country Garden Holdings Co. Ltd.		81,000		123,145
Guangzhou R&F Properties Co. Ltd., Class H		65,200		125,481
Red Star Macalline Group Corp. Ltd., Class H (b)		149,400		130,961
				379,587
Utilities (0.2%):
China Power International Development Ltd.		694,000		169,606
				2,898,808
Curacao (0.1%):
Energy (0.1%):
Schlumberger Ltd.		3,419		135,871
Czech Republic (0.7%):
Financials (0.4%):
Komercni Banka AS		7,693		306,746
Utilities (0.3%):
CEZ AS		12,274		296,819
				603,565
Denmark (0.1%):
Financials (0.1%):
Danske Bank A/S		5,606		88,844
Egypt (0.1%):
Industrials (0.1%):
Elsewedy Electric Co.		135,411		116,197
Finland (0.8%):
Financials (0.5%):
Nordea Bank AB		20,242		147,047
Sampo Oyj, Class A		5,210		245,871
				392,918

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Materials (0.1%):
UPM-Kymmene Oyj		4,683	$	124,568
Utilities (0.2%):
Fortum Oyj		6,965		153,897
				671,383
France (2.3%):
Communication Services (0.5%):
Orange SA		17,878		281,918
Publicis Groupe SA		2,352		124,108
				406,026
Consumer Discretionary (0.2%):
Renault SA		2,116		132,992
Energy (0.2%):
Total SA		3,483		195,324
Financials (0.6%):
BNP Paribas SA		3,066		145,307
Credit Agricole SA		11,559		137,894
Natixis SA		25,848		104,052
Societe Generale SA		4,732		119,401
				506,654
Health Care (0.2%):
Sanofi		2,533		218,851
Industrials (0.1%):
Bouygues		3,410		126,250
Utilities (0.5%):
GDF Suez		11,904		180,459
Veolia Environnement SA		9,073		220,873
				401,332
				1,987,429
Germany (1.0%):
Consumer Discretionary (0.3%):
Bayerische Motoren Werke AG		2,154		159,177
Daimler AG, Registered Shares		2,409		134,319
				293,496
Industrials (0.2%):
Deutsche Post AG		5,813		191,179
Materials (0.5%):
BASF SE		2,174		158,116
Covestro AG (b)		1,604		81,638
Evonik Industries AG		5,631		164,032
				403,786
				888,461

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Hong Kong (1.0%):
Industrials (0.2%):
NWS Holdings Ltd.		59,000	$	121,354
Materials (0.1%):
China Resources Cement Holdings Ltd.		106,000		102,628
Real Estate (0.2%):
Franshion Properties China Ltd.		272,000		165,457
Utilities (0.5%):
China Resources Power Holdings Co. Ltd.		102,000		148,787
Power Assets Holdings Ltd.		44,500		320,148
				468,935
				858,374
Hungary (0.3%):
Communication Services (0.3%):
Magyar Telekom Telecommunications PLC		178,712		265,204
India (0.3%):
Communication Services (0.2%):
Bharti Infratel Ltd.		36,679		141,926
Materials (0.1%):
Vedanta Ltd.		45,462		114,879
				256,805
Indonesia (0.8%):
Communication Services (0.2%):
PT Telekomunikasi Indonesia Persero TBK		641,800		188,136
Consumer Staples (0.2%):
JAPFA Comfeed Indonesia TBK PT		619,800		68,043
PT Indofood Sukses Makmur TBK		313,100		155,723
				223,766
Energy (0.4%):
PT Adaro Energy TBK		1,222,600		117,882
PT Indo Tambangraya Megah TBK		82,900		103,070
Tambang Batubara Bukit Asam TBK PT		461,800		96,879
				317,831
				729,733
Ireland (0.5%):
Communication Services (0.2%):
WPP PLC		10,796		135,964
Industrials (0.2%):
Eaton Corp. PLC, ADR		2,356		196,208
Information Technology (0.1%):
Seagate Technology PLC		2,445		115,208
				447,380

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Italy (1.4%):
Energy (0.5%):
Eni SpA		11,934	$	198,379
Snam SpA		41,728		207,535
				405,914
Financials (0.4%):
Assicurazioni Generali SpA		14,475		272,458
Intesa Sanpaolo SpA		48,628		104,075
				376,533
Industrials (0.2%):
Atlantia SpA		7,433		193,775
Utilities (0.3%):
Enel SpA		39,165		273,134
				1,249,356
Japan (1.8%):
Consumer Discretionary (0.5%):
Nissan Motor Co. Ltd.		23,700		169,774
Sekisui House Ltd.		13,900		229,057
				398,831
Consumer Staples (0.2%):
Japan Tobacco, Inc.		8,300		182,988
Industrials (0.5%):
Marubeni Corp.		18,000		119,496
Mitsui & Co. Ltd.		10,200		166,517
Sumitomo Corp.		11,800		179,244
				465,257
Information Technology (0.3%):
Canon, Inc.		7,100		207,939
Tokyo Electron Ltd.		700		98,402
				306,341
Materials (0.3%):
JFE Holdings, Inc.		7,900		116,343
Mitsubishi Chem Holdings		19,300		135,144
				251,487
				1,604,904
Korea, Republic Of (0.1%):
Energy (0.1%):
SK Innovation Co. Ltd.		829		114,294
Macau (0.1%):
Consumer Discretionary (0.1%):
Sands China Ltd.		19,600		93,634

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Malaysia (1.1%):
Communication Services (0.1%):
Astro Malaysia Holdings Berhad		258,200	$	90,736
Consumer Staples (0.1%):
British American Tobacco Malaysia Berhad		19,000		132,348
Financials (0.5%):
Malayan Banking Berhad		185,800		399,705
Industrials (0.4%):
MISC Berhad		105,700		183,066
Sime Darby Berhad		309,900		169,724
				352,790
				975,579
Mexico (0.4%):
Consumer Staples (0.2%):
Kimberly-Clark de Mexico SAB de CV, Series A		114,812		213,532
Materials (0.2%):
Grupo Mexico SAB de CV, Series B		61,266		162,729
				376,261
Netherlands (0.8%):
Communication Services (0.2%):
Koninklijke KPN NV		55,100		169,157
Energy (0.1%):
Core Laboratories N.V. (a)		2,398		125,367
Financials (0.1%):
ING Groep NV		11,040		127,851
Industrials (0.2%):
Randstad Holding NV		2,511		137,775
Materials (0.2%):
Lyondellbasell Industries NV, Class A		2,031		174,930
				735,080
Norway (0.5%):
Communication Services (0.2%):
Telenor ASA		10,519		223,582
Consumer Staples (0.2%):
Marine Harvest ASA		6,599		154,473
Energy (0.1%):
Aker BP ASA		2,713		78,279
				456,334
Philippines (0.2%):
Communication Services (0.2%):
Globe Telecom, Inc.		3,835		169,340

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Poland (0.5%):
Financials (0.5%):
Bank Pekao SA		6,368	$	190,955
Powszechny Zaklad Ubezpieczen na Zycie SA		19,003		222,540
				413,495
Portugal (0.2%):
Consumer Staples (0.2%):
Jeronimo Martins SGPS SA		10,225		164,775
Russian Federation (2.2%):
Consumer Staples (0.5%):
Magnit PJSC		3,657		216,343
X5 Retail Group NV, Registered Shares, GDR		4,905		167,851
				384,194
Energy (0.2%):
Tatneft PAO		15,520		190,374
Materials (1.2%):
ALROSA AO		150,790		205,240
Evraz PLC		12,520		105,990
MMC Norilsk Nickel PJSC		1,222		276,607
Phosagro OAO-GDR, Registered Shares		15,523		203,723
Severstal PJSC		15,310		258,470
				1,050,030
Utilities (0.3%):
Federal Grid Co. Unified Energy System PJSC		85,310,000		273,351
				1,897,949
Singapore (0.4%):
Communication Services (0.4%):
Singapore Telecommunications Ltd.		127,200		329,307
South Africa (2.3%):
Communication Services (0.4%):
Telkom SA SOC Ltd.		32,026		209,562
Vodacom Group Ltd.		19,666		167,193
				376,755
Consumer Discretionary (0.7%):
The Foschini Group Ltd.		11,822		151,557
Truworths International Ltd.		24,818		123,247
Tsogo Sun Holdings Ltd.		155,661		168,583
Woolworths Holdings Ltd.		47,746		165,532
				608,919
Consumer Staples (0.2%):
Avi Ltd.		23,296		151,001

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (0.7%):
Absa Group Ltd.		12,507	$	156,485
Nedbank Group Ltd.		8,270		148,841
RMB Holdings Ltd.		29,274		175,692
Standard Bank Group Ltd.		12,603		176,155
				657,173
Materials (0.3%):
African Rainbow Minerals Ltd.		10,997		142,855
Assore Ltd.		4,382		114,514
				257,369
				2,051,217
Spain (0.7%):
Communication Services (0.2%):
Telefonica SA		23,300		191,553
Energy (0.2%):
Repsol SA		10,242		160,684
Utilities (0.3%):
Endesa SA		8,779		225,742
				577,979
Sweden (0.7%):
Communication Services (0.3%):
TeliaSonera AB		51,933		230,339
Consumer Discretionary (0.1%):
Hennes & Mauritz AB, B Shares		6,613		117,540
Financials (0.3%):
Skandinaviska Enskilda Banken AB, Class A		17,591		162,946
Swedbank AB, A Shares		7,071		106,497
				269,443
				617,322
Switzerland (0.9%):
Communication Services (0.3%):
Swisscom AG		518		260,293
Financials (0.3%):
Zurich Insurance Group AG (a)		754		262,462
Industrials (0.2%):
Kuehne + Nagel International AG		1,230		182,775
Materials (0.1%):
Glencore PLC		28,258		97,779
				803,309

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Taiwan (4.0%):
Consumer Staples (0.4%):
President Chain Store Corp.		18,000	$	174,221
Uni-President Enterprises Corp.		82,000		218,446
				392,667
Information Technology (2.8%):
Asustek Computer, Inc.		24,000		172,287
AU Optronics Corp.		475,000		142,322
Compal Electronics, Inc.		517,000		339,161
Foxconn Technology Co. Ltd.		102,000		207,428
Inventec Corp.		210,000		166,966
Lite-On Technology Corp.		139,000		203,744
Nanya Technology Corp.		48,000		99,805
Pegatron Corp.		87,000		150,846
Powertech Technology, Inc.		69,000		169,114
Quanta Computer, Inc.		156,000		303,684
Synnex Technology International Corp.		167,000		210,052
United Microelectronics Corp.		420,000		189,257
Winbond Electronics Corp.		215,000		105,396
				2,460,062
Materials (0.8%):
Formosa Chemicals & Fibre		57,000		189,431
Formosa Plastics Corp.		63,000		232,537
Nan Ya Plastics Corp.		111,000		281,105
				703,073
				3,555,802
Thailand (1.3%):
Communication Services (0.3%):
Intouch Holdings Public Co. Ltd.		125,300		256,505
Materials (0.2%):
PTT Global Chemical Public Co. Ltd.		85,100		177,783
Utilities (0.8%):
Ratch Group PCL (a)		209,100		455,340
TPI Polene Power PCL		1,168,900		232,593
				687,933
				1,122,221
Turkey (0.7%):
Communication Services (0.1%):
Turkcell Iletisim Hizmetleri AS		53,766		118,916
Consumer Discretionary (0.3%):
Ford Otomotiv Sanayi AS		11,275		121,833
Tofas Turk Otomobil Fabrikasi AS		27,674		92,277
				214,110

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Energy (0.1%):
Tupras Turkiye Petrol Rafinerileri AS		5,195	$	103,221
Financials (0.1%):
Akbank TAS (c)		85,017		100,793
Materials (0.1%):
Eregli Demir ve Celik Fabrikalari TAS		70,630		96,096
				633,136
United Kingdom (2.2%):
Consumer Discretionary (0.2%):
Barratt Developments PLC		14,605		106,259
Persimmon PLC		4,018		102,057
				208,316
Consumer Staples (0.2%):
British American Tobacco PLC		3,229		112,721
Imperial Tobacco Group PLC		4,580		107,449
				220,170
Energy (0.4%):
BP PLC		22,516		156,832
Royal Dutch Shell PLC, Class A		5,723		186,748
				343,580
Financials (0.6%):
Aviva PLC		33,458		177,177
HSBC Holdings PLC		22,406		186,969
Legal & General Group PLC		51,408		176,089
				540,235
Health Care (0.2%):
GlaxoSmithKline PLC		8,644		173,233
Industrials (0.2%):
BAE Systems PLC		24,837		156,067
Materials (0.2%):
Rio Tinto PLC		2,549		157,734
Utilities (0.2%):
National Grid PLC		15,113		160,693
				1,960,028
United States (39.9%):
Communication Services (1.7%):
AT&T, Inc. (d)		5,963		199,820
Cogent Communications Holdings, Inc. (a)		4,345		257,919
Omnicom Group, Inc.		2,563		210,038
TEGNA, Inc.		14,596		221,129
Verizon Communications, Inc.		3,923		224,121
Viacom, Inc., Class B		5,067		151,351
Wiley (John) & Sons, Class A (a)		3,961		181,652
				1,446,030

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Consumer Discretionary (4.3%):
Acushnet Holdings Corp. (a)		9,219	$	242,091
Bed Bath & Beyond, Inc. (a)		6,429		74,705
Brinker International, Inc. (a)		3,327		130,917
Dana, Inc.		6,366		126,938
Dineequity, Inc. (a)		1,368		130,603
Ethan Allen Interiors, Inc.		9,632		202,850
General Motors Co.		3,581		137,976
Hanesbrands, Inc.		5,356		92,230
Harley-Davidson, Inc. (a)		4,151		148,730
Haverty Furniture Cos., Inc. (a)		8,811		150,051
Hooker Furniture Corp.		4,802		99,017
Jack in the Box, Inc.		2,830		230,334
Kohl's Corp.		1,826		86,826
LCI Industries		1,753		157,770
Leggett & Platt, Inc.		3,247		124,587
Macy's, Inc.		4,147		88,995
MDC Holdings, Inc.		6,375		208,972
Nordstrom, Inc. (a)		2,567		81,785
PetMed Express, Inc. (a)		6,214		97,373
Sturm Ruger & Co. (a)		3,920		213,562
Tapestry, Inc.		3,430		108,834
Target Corp.		2,075		179,716
Tenneco, Inc. (a)		4,197		46,545
The Buckle, Inc. (a)		6,864		118,816
The Cheesecake Factory, Inc. (a)		4,878		213,266
The Children's Place, Inc. (a)		1,452		138,492
The Gap, Inc.		5,779		103,849
Tupperware Brands Corp. (a)		3,527		67,119
				3,802,949
Consumer Staples (3.9%):
Altria Group, Inc.		3,075		145,601
Archer-Daniels-Midland Co.		5,226		213,221
B&G Foods, Inc. (a)		7,401		153,941
Conagra Brands, Inc.		5,019		133,104
General Mills, Inc.		3,676		193,064
Ingles Markets, Inc., Class A		5,231		162,841
John B. Sanfilippo & Son, Inc.		2,883		229,746
Keurig Dr Pepper, Inc. (a)		7,011		202,618
Kimberly-Clark Corp.		1,573		209,649
Natural Health Trends Corp. (a)		9,099		73,247
PepsiCo, Inc.		2,067		271,046
Philip Morris International, Inc.		1,926		151,249
The Coca-Cola Co.		5,031		256,179
The J.M. Smucker Co.		1,663		191,561
The Procter & Gamble Co.		2,051		224,892
Universal Corp.		4,039		245,450
Vector Group Ltd. (a)		16,806		163,858
Weis Markets, Inc. (a)		4,593		167,231
				3,388,498

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Energy (1.7%):
Chevron Corp.		1,577	$	196,242
Evolution Petroleum Corp.		17,837		127,535
Exxon Mobil Corp. (d)		2,591		198,548
Falcon Minerals Corp.		18,731		157,340
Marathon Petroleum Corp.		2,176		121,595
Occidental Petroleum Corp.		2,426		121,979
ONEOK, Inc.		2,541		174,846
Phillips 66		1,546		144,613
RPC, Inc. (a)		12,532		90,356
Valero Energy Corp.		1,603		137,233
				1,470,287
Financials (9.1%):
Ameriprise Financial, Inc.		1,039		150,821
Artisan Partners Asset Management, Class A		8,062		221,866
BB&T Corp.		4,226		207,623
Berkshire Hills Bancorp, Inc.		6,928		217,470
BlackRock, Inc., Class A		375		175,988
Boston Private Financial Holdings, Inc. (a)		18,224		219,964
Citizens Financial Group, Inc.		4,689		165,803
Cohen & Steers, Inc.		5,662		291,253
Columbia Banking System, Inc.		6,051		218,925
Federated Investors, Inc., Class B (a)		7,422		241,215
First American Financial Corp.		3,336		179,143
First Busey Corp.		10,041		265,183
First Financial Bancorp		7,441		180,221
FNF Group		5,238		211,091
Franklin Resources, Inc. (a)		5,162		179,638
Hope Bancorp, Inc.		15,745		216,966
Huntington Bancshares, Inc.		12,663		175,003
KeyCorp		9,056		160,744
MetLife, Inc.		3,839		190,683
Moelis & Co., Class A		3,353		117,187
Morgan Stanley		3,743		163,981
Navient Corp.		13,637		186,145
New York Community Bancorp, Inc.		13,787		137,594
Northwest Bancshares, Inc.		16,099		283,503
Park National Corp.		2,160		214,682
People's United Financial, Inc.		11,534		193,541
Principal Financial Group, Inc.		2,966		171,791
Provident Financial Services, Inc.		8,735		211,824
Prudential Financial, Inc.		1,812		183,012
Regions Financial Corp.		10,137		151,447
Safety Insurance Group, Inc.		3,178		302,323
Sandy Spring BanCorp		7,023		244,962
Santander Consumer USA Holdings, Inc.		7,981		191,225
Southside Bancshares, Inc. (a)		6,479		209,790
T. Rowe Price Group, Inc.		1,583		173,671
The PNC Financial Services Group, Inc.		1,541		211,549
The Progressive Corp.		2,254		180,162

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Waddell & Reed Financial, Inc., Class A (a)		10,941	$	182,386
Washington Trust BanCorp, Inc.		5,082		265,179
Wells Fargo & Co. (d)		4,137		195,763
				8,041,317
Health Care (0.7%):
Amgen, Inc.		941		173,407
Bristol-Myers Squibb Co.		2,599		117,865
Gilead Sciences, Inc.		2,582		174,440
Meridian Bioscience, Inc.		10,498		124,716
				590,428
Industrials (6.3%):
ABM Industries, Inc. (a)		4,385		175,400
Acco Brands Corp.		15,248		120,002
Aircastle Ltd.		11,477		244,001
Allegiant Travel Co.		1,155		165,742
Applied Industrial Technologies, Inc.		3,444		211,909
Argan, Inc. (a)		2,993		121,396
Cummins, Inc.		1,158		198,412
Delta Air Lines, Inc.		2,973		168,718
Emerson Electric Co.		2,641		176,208
Ennis, Inc.		11,116		228,100
GATX Corp.		2,605		206,550
H&E Equipment Services, Inc.		3,569		103,822
Healthcare Services Group (a)		4,981		151,024
Herman Miller, Inc.		5,950		265,965
HNI Corp.		4,730		167,347
Hubbell, Inc.		1,247		162,609
IAA, Inc. (c)		3,209		124,445
Johnson Controls International PLC		5,075		209,648
KAR Auction Services, Inc.		3,209		80,225
Kimball International, Inc., Class B		13,435		234,172
Knoll, Inc.		10,880		250,022
Lockheed Martin Corp.		586		213,034
Matson, Inc.		4,454		173,038
Matthews International Corp., Class A (a)		3,912		136,333
McGrath RentCorp		2,924		181,727
National Presto Industries, Inc. (a)		1,808		168,668
Pitney Bowes, Inc.		16,427		70,308
Resources Connection, Inc.		8,873		142,057
Steelcase, Inc., Class A		9,544		163,202
Systemax, Inc.		4,467		98,989
The Greenbrier Cos., Inc.		3,707		112,693
United Parcel Service, Inc., Class B		1,528		157,797
Wabash National Corp. (a)		8,632		140,443
				5,524,006
Information Technology (3.0%):
American Software, Inc.		12,185		160,233
Broadcom, Inc.		449		129,249

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
CSG Systems International, Inc.		4,688	$	228,915
Cypress Semiconductor Corp.		7,416		164,932
HP, Inc.		6,156		127,983
InterDigital, Inc.		3,873		249,421
International Business Machines Corp.		1,144		157,758
ManTech International Corp., Class A		3,602		237,192
Maxim Integrated Products, Inc.		2,460		147,157
MTS Systems Corp.		4,200		245,826
NIC, Inc.		9,763		156,599
Paychex, Inc.		2,925		240,698
The Western Union Co.		14,056		279,574
Xerox Corp.		4,018		142,277
				2,667,814
Materials (3.1%):
CF Industries Holdings, Inc.		2,623		122,520
Commercial Metals Co.		9,547		170,414
Corteva, Inc.		286		8,467
DuPont de Nemours, Inc.		1,837		137,904
Eastman Chemical Co.		1,939		150,912
Greif, Inc., Class A		3,606		117,375
Innophos Holdings, Inc.		4,678		136,177
International Paper Co.		3,038		131,606
Kaiser Aluminum Corp.		1,637		159,788
Kronos Worldwide, Inc.		7,994		122,468
Packaging Corp. of America		1,437		136,975
PolyOne Corp.		5,612		176,161
Rayonier Advanced Materials, Inc. (a)		8,909		57,819
Schnitzer Steel Industries, Inc.		6,360		166,441
Schweitzer-Mauduit International, Inc.		4,268		141,612
Sensient Technologies Corp.		3,194		234,695
Sonoco Products Co.		4,058		265,150
WestRock Co.		3,471		126,587
Worthington Industries, Inc.		4,895		197,073
				2,760,144
Real Estate (0.3%):
Four Corners Property Trust, Inc.		10,822		295,765
Utilities (5.8%):
AES Corp.		10,309		172,779
Alliant Energy Corp.		5,401		265,081
American Electric Power Co., Inc.		3,223		283,656
Consolidated Edison, Inc.		2,768		242,698
Dominion Resources, Inc.		3,355		259,409
DTE Energy Co.		2,008		256,783
Duke Energy Corp.		2,925		258,102
Evergy, Inc.		4,549		273,622
Eversource Energy		3,758		284,706
Exelon Corp.		5,497		263,526
MGE Energy, Inc.		3,779		276,169
OGE Energy Corp.		5,862		249,487

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Otter Tail Corp.		5,173	$	273,186
Pinnacle West Capital Corp.		2,584		243,129
PPL Corp.		6,428		199,332
Public Service Enterprise Group, Inc.		4,110		241,750
SJW Corp.		3,724		226,308
Unitil Corp.		4,675		279,986
WEC Energy Group, Inc.		3,310		275,955
Xcel Energy, Inc.		4,624		275,081
				5,100,745
				35,087,983
Total Common Stocks (Cost $70,285,560)				72,366,143
Rights (0.0%) (e)
Spain (0.0%): (e)
Energy (0.0%): (e)
Repsol SA Expires 07/05/19 @ $0.49 (c)		10,242		5,680
United States (0.0%): (e)
Materials (0.0%): (e)
Schulman, Inc. (c) (f) (g)		1,513		3,026
Total Rights (Cost $8,827)				8,706
Collateral for Securities Loaned^ (6.2%)
United States (6.2%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (h)		1,125,964		1,125,964
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (h)		1,450,370		1,450,370
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (h)		37,666		37,666
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (h)		619,198		619,198
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (h)		844,342		844,342
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (h)		1,313,468		1,313,468
Total Collateral for Securities Loaned (Cost $5,391,008)				5,391,008
Total Investments (Cost $75,685,395) — 88.4%				77,765,857
Other assets in excess of liabilities — 11.6%				10,221,706
NET ASSETS — 100.00%			$	87,987,563

^ Purchased with cash collateral from securities on loan.

(a) All or a portion of this security is on loan.

(b) 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 based upon procedures approved by the Board of Trustees. As of June 30, 2019, the fair value of these securities was $588,435 and amounted to 0.7% of net assets.

(d) All or a portion of this security has been segregated as collateral for derivative instruments.

(e) Amount represents less than 0.05% of net assets.

See notes to financial statements.

Victory Portfolios II
Victory Market Neutral Income Fund

Schedule of Portfolio Investments — continued
June 30, 2019

(f) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2019.

(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, 2019, illiquid securities were 0.0% of the Fund's net assets.

(h) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

GDR — Global Depository Receipt

OAO — Russian Open Joint Stock Corporations

PCL — Public Company Limited

PLC — Public Limited Company

Written Options

Exchange-traded options

Description	Put/ Call	Strike Price		Expiration Date	Contracts		Fair Value
E-Mini S&P 500 Option	Put	USD	2,950.00	7/19/19		224	$	(445,760	)
Total (Premiums Received $405,236)							$	(445,760	)

Futures Contracts Purchased

				Number of Contracts				Expiration Date				Notional Amount				Value				Unrealized Appreciation (Depreciation)
NASDAQ 100 E-Mini Futures					147			9/20/19				$	22,048,975			$	22,619,625			$	570,650

Futures Contracts Sold

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
CBOE Volatility Index (VIX) Futures		178	7/17/19	$	2,959,259	$	2,763,450	$	195,809
E-Mini S&P 500 Futures		277	9/20/19		39,956,133		40,777,170		(821,037	)
Mini MSCI EAFE Index Futures		188	9/20/19		17,649,622		18,079,020		(429,398	)
Mini MSCI Emerging Markets Index Futures		340	9/20/19		17,211,130		17,907,800		(696,670	)
Russell 2000 Mini Index Futures		232	9/20/19		17,690,538		18,178,360		(487,822	)
								$	(2,239,118	)
	Total unrealized appreciation							$	766,459
	Total unrealized depreciation								(2,434,927	)
	Total net unrealized appreciation(depreciation)							$	(1,668,468	)

See notes to financial statements.

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
ASSETS:
Investments, at value (Cost $85,738,810 and $75,685,395)	$	99,337,165	(a)	$	77,765,857	(b)
Foreign currency, at value (Cost $— and $30,117)		—			30,133
Cash and cash equivalents		—			9,198,413
Deposits with brokers for futures contracts		112,396			6,763,424
Interest and dividends receivable		104,345			314,609
Receivable for capital shares issued		7,331			111,948
Receivable for investments sold		152,463			—
Variation margin receivable on open futures contracts		3,572			—
Reclaims receivable		—			24,106
Receivable from Adviser		70,990			83,939
Prepaid expenses		5,487			207
Total Assets		99,793,749			94,292,636
LIABILITIES:
Payables:
Written options, at value (Premiums Received $— and $405,236)		—			445,760
To Custodian		1,998			—
Collateral received on loaned securities		3,996,858			5,391,008
Capital shares redeemed		100,480			22,718
Variation margin on open futures contracts		—			321,770
Accrued foreign capital gains tax		—			19,177
Accrued expenses and other payables:
Investment advisory fees		54,993			43,051
Administration fees		4,783			4,467
Custodian fees		1,033			11,167
Transfer agent fees		21,921			7,220
Chief Compliance Officer fees		68			61
Trustees' fees		276			242
12b-1 fees		18,025			3,551
Other accrued expenses		37,480			34,881
Total Liabilities		4,237,915			6,305,073
NET ASSETS:
Capital		76,348,932			90,729,728
Total distributable earnings/(loss)		19,206,902			(2,742,165	)
Net Assets	$	95,555,834		$	87,987,563
Net Assets
Class A Shares	$	33,406,265		$	32,626,813
Class C Shares		35,648,895			440,624
Class I Shares		26,500,674			54,920,126
Total	$	95,555,834		$	87,987,563
Shares (unlimited number of shares authorized with no par value):
Class A Shares		2,342,940			3,432,303
Class C Shares		2,564,532			46,741
Class I Shares		1,858,339			5,749,450
Total		6,765,811			9,228,494
Net asset value, offering (except Class A Shares) and redemption price per share:
Class A Shares	$	14.26		$	9.51
Class C Shares (c)		13.90			9.43
Class I Shares		14.26			9.55
Maximum Sales Charge — Class A Shares		5.75	%		5.75	%
Maximum offering price (100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share — Class A Shares	$	15.13		$	10.09

(a) Includes $3,931,252 of securities on loan.

(b) Includes $5,278,570 of securities on loan.

See notes to financial statements.

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	Victory US 500 Enhanced Volatility Wtd Index Fund			Victory Market Neutral Income Fund
Investment Income:
Dividends	$	2,073,107		$	2,332,197
Interest		2,273			173,296
Securities lending (net of fees)		9,665			20,034
Foreign tax withholding		(217	)		(199,457	)
Total Income		2,084,828			2,326,070
Expenses:
Investment advisory fees		793,970			330,880
Administration fees		70,196			34,310
12b-1 fees — Class A Shares		101,888			13,898
12b-1 fees — Class C Shares		382,808			4,053
Custodian fees		5,126			60,550
Transfer agent fees — Class A Shares		44,583			2,516
Transfer agent fees — Class C Shares		39,781			437
Transfer agent fees — Class I Shares		28,199			19,360
Trustees' fees		10,985			5,148
Chief Compliance Officer fees		911			418
Legal and audit fees		26,231			23,677
State registration and filing fees		59,094			47,462
Interfund lending fees		31			—
Other expenses		56,377			37,554
Total Expenses		1,620,180			580,263
Expenses waived/reimbursed by Adviser		(292,081	)		(258,188	)
Net Expenses		1,328,099			322,075
Net Investment Income (Loss)		756,729			2,003,995
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		12,645,965			1,115,183
Foreign taxes on realized gains		—			(5,282	)
Net realized gains (losses) from futures contracts		7,488			(1,844,673	)
Net realized gains (losses) from written options		—			2,028,505
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		(15,047,350	)		589,273
Net change in unrealized appreciation/depreciation on futures contracts		15,360			(2,851,291	)
Net change in unrealized appreciation/depreciation on written options		—			162,285
Net change in accrued foreign taxes on unrealized gains		—			(14,981	)
Net realized/unrealized gains (losses) on investments		(2,378,537	)		(820,981	)
Change in net assets resulting from operations	$	(1,621,808	)	$	1,183,014

See notes to financial statements.

Victory Portfolios II

Statements of Changes in Net Assets

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	756,729		$	520,905		$	2,003,995		$	1,367,130
Net realized gains (losses) from investments		12,653,453			16,530,506			1,293,733			1,997,614
Net change in unrealized appreciation/depreciation on investments		(15,031,990	)		(1,974,167	)		(2,114,714	)		(579,923	)
Change in net assets resulting from operations		(1,621,808	)		15,077,244			1,183,014			2,784,821
Distributions to Shareholders: (a)
Class A Shares		(5,511,646	)		(3,474,874	)		(846,203	)		(729,949	)
Class C Shares		(4,685,954	)		(5,093,813	)		(9,801	)		(9,927	)
Class I Shares		(4,447,685	)		(3,082,938	)		(1,094,578	)		(837,655	)
Change in net assets resulting from distributions to shareholders		(14,645,285	)		(11,651,625	)		(1,950,582	)		(1,577,531	)
Change in net assets resulting from capital transactions		(17,658,385	)		(1,036,505	)		45,113,641			(14,222,605	)
Change in net assets		(33,925,478	)		2,389,114			44,346,073			(13,015,315	)
Net Assets:
Beginning of period		129,481,312			127,092,198			43,641,490			56,656,805
End of period	$	95,555,834		$	129,481,312		$	87,987,563		$	43,641,490

(a) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 9 in the Notes to Financial Statements).

(continues on next page)

See notes to financial statements.

Victory Portfolios II

Statements of Changes in Net Assets

(continued)

	Victory US 500 Enhanced Volatility Wtd Index Fund						Victory Market Neutral Income Fund
	Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
Capital Transactions:
Class A Shares
Proceeds from shares issued	$	3,179,765		$	26,139,052		$	18,863,042		$	2,828,020
Distributions reinvested		5,443,862			3,421,278			835,435			727,653
Cost of shares redeemed		(20,651,944	)		(15,975,579	)		(10,575,001	)		(5,260,176	)
Total Class A Shares	$	(12,028,317	)	$	13,584,751		$	9,123,476		$	(1,704,503	)
Class C Shares
Proceeds from shares issued	$	5,933,599		$	13,301,468		$	193,648		$	151,102
Distributions reinvested		4,654,559			5,056,077			9,801			9,927
Cost of shares redeemed		(11,177,965	)		(35,709,156	)		(68,456	)		(377,788	)
Total Class C Shares	$	(589,807	)	$	(17,351,611	)	$	134,993		$	(216,759	)
Class I Shares
Proceeds from shares issued	$	6,951,471		$	11,264,963		$	46,027,381		$	10,892,602
Distributions reinvested		4,229,419			2,880,716			1,066,302			831,102
Cost of shares redeemed		(16,221,151	)		(11,415,324	)		(11,238,511	)		(24,025,047	)
Total Class I Shares	$	(5,040,261	)	$	2,730,355		$	35,855,172		$	(12,301,343	)
Change in net assets resulting from capital transactions	$	(17,658,385	)	$	(1,036,505	)	$	45,113,641		$	(14,222,605	)
Share Transactions:
Class A Shares
Issued		208,203			1,598,096			1,959,809			295,657
Reinvested		421,510			208,990			87,585			76,073
Redeemed		(1,419,022	)		(963,489	)		(1,096,194	)		(549,478	)
Total Class A Shares		(789,309	)		843,597			951,200			(177,748	)
Class C Shares
Issued		409,244			814,121			20,286			15,890
Reinvested		371,350			315,413			1,035			1,047
Redeemed		(777,932	)		(2,219,795	)		(7,185	)		(39,902	)
Total Class C Shares		2,662			(1,090,261	)		14,136			(22,965	)
Class I Shares
Issued		456,414			680,103			4,782,813			1,131,635
Reinvested		326,714			175,785			111,472			86,613
Redeemed		(1,131,076	)		(690,384	)		(1,163,832	)		(2,499,198	)
Total Class I Shares		(347,948	)		165,504			3,730,453			(1,280,950	)
Change in Shares		(1,134,595	)		(81,160	)		4,695,789			(1,481,663	)

See notes to financial statements.

This page is intentionally left blank.

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities									Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)			Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended 6/30/19	$	16.50		0.13			(0.36	)		(0.23	)		(0.12	)		(1.89	)
Year Ended 6/30/18	$	16.04		0.11			1.91			2.02			(0.10	)		(1.46	)
Year Ended 6/30/17	$	13.80		0.11			2.48			2.59			(0.11	)		(0.24	)
Year Ended 6/30/16	$	14.15		0.13			0.16			0.29			(0.12	)		(0.52	)
Year Ended 6/30/15	$	14.16		0.05			0.74			0.79			(0.04	)		(0.76	)
Class C
Year Ended 6/30/19	$	16.16		0.02			(0.35	)		(0.33	)		(0.04	)		(1.89	)
Year Ended 6/30/18	$	15.78		(0.02	)		1.86			1.84			—	(d)		(1.46	)
Year Ended 6/30/17	$	13.59		—	(d)		2.44			2.44			(0.01	)		(0.24	)
Year Ended 6/30/16	$	13.95		0.02			0.17			0.19			(0.03	)		(0.52	)
Year Ended 6/30/15	$	14.05		(0.05	)		0.71			0.66			—			(0.76	)
Class I
Year Ended 6/30/19	$	16.50		0.17			(0.36	)		(0.19	)		(0.16	)		(1.89	)
Year Ended 6/30/18	$	16.05		0.15			1.90			2.05			(0.14	)		(1.46	)
Year Ended 6/30/17	$	13.80		0.15			2.48			2.63			(0.14	)		(0.24	)
Year Ended 6/30/16	$	14.15		0.16			0.16			0.32			(0.15	)		(0.52	)
Year Ended 6/30/15	$	14.16		0.08			0.74			0.82			(0.07	)		(0.76	)

(a) Per share net investment income (loss) has been calculated using the average daily shares method.

(b) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

(d) Amount is less than $0.005 per share.

(e) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)			Net Expenses			Net Investment Income (Loss)			Gross Expenses(b)			Net Assets, End of Period (000's)		Portfolio Turnover(c)
Victory US 500 Enhanced Volatility Wtd Index Fund
Class A
Year Ended 6/30/19		(2.01	)	$	14.26		(0.01	)%		0.99	%		0.84	%		1.25	%	$	33,406		120	%(e)
Year Ended 6/30/18		(1.56	)	$	16.50		12.79	%		0.99	%		0.67	%		1.19	%	$	51,671		45	%
Year Ended 6/30/17		(0.35	)	$	16.04		18.89	%		0.99	%		0.75	%		1.35	%	$	36,721		38	%
Year Ended 6/30/16		(0.64	)	$	13.80		2.17	%		0.99	%		0.92	%		1.28	%	$	62,700		46	%
Year Ended 6/30/15		(0.80	)	$	14.15		5.89	%		1.50	%		0.35	%		1.67	%	$	75,399		48	%
Class C
Year Ended 6/30/19		(1.93	)	$	13.90		(0.73	)%		1.74	%		0.10	%		2.00	%	$	35,649		120	%(e)
Year Ended 6/30/18		(1.46	)	$	16.16		11.78	%		1.74	%		(0.11	)%		1.97	%	$	41,410		45	%
Year Ended 6/30/17		(0.25	)	$	15.78		18.09	%		1.74	%		0.01	%		2.12	%	$	57,620		38	%
Year Ended 6/30/16		(0.55	)	$	13.59		1.42	%		1.74	%		0.16	%		2.11	%	$	58,249		46	%
Year Ended 6/30/15		(0.76	)	$	13.95		5.01	%		2.25	%		(0.37	)%		2.42	%	$	56,826		48	%
Class I
Year Ended 6/30/19		(2.05	)	$	14.26		0.24	%		0.74	%		1.10	%		1.00	%	$	26,501		120	%(e)
Year Ended 6/30/18		(1.60	)	$	16.50		12.97	%		0.74	%		0.91	%		0.95	%	$	36,400		45	%
Year Ended 6/30/17		(0.38	)	$	16.05		19.24	%		0.74	%		1.00	%		1.13	%	$	32,751		38	%
Year Ended 6/30/16		(0.67	)	$	13.80		2.42	%		0.74	%		1.14	%		1.11	%	$	44,170		46	%
Year Ended 6/30/15		(0.83	)	$	14.15		6.16	%		1.25	%		0.60	%		1.42	%	$	63,213		48	%

See notes to financial statements.

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
Victory Market Neutral Income Fund
Class A
Year Ended 6/30/19	$	9.61		0.32		(0.13	)		0.19			(0.27	)		(0.02	)
Year Ended 6/30/18	$	9.40		0.24		0.26			0.50			(0.29	)		—
Year Ended 6/30/17	$	9.21		0.24		0.20	(d)		0.44			(0.25	)		—
Year Ended 6/30/16	$	9.41		0.26		(0.02	)		0.24			(0.21	)		(0.23	)
Year Ended 6/30/15	$	9.84		0.22		(0.38	)		(0.16	)		(0.21	)		(0.06	)
Class C
Year Ended 6/30/19	$	9.54		0.25		(0.14	)		0.11			(0.20	)		(0.02	)
Year Ended 6/30/18	$	9.33		0.17		0.26			0.43			(0.22	)		—
Year Ended 6/30/17	$	9.15		0.17		0.20	(d)		0.37			(0.19	)		—
Year Ended 6/30/16	$	9.36		0.19		(0.02	)		0.17			(0.15	)		(0.23	)
Year Ended 6/30/15	$	9.74		0.14		(0.38	)		(0.24	)		(0.08	)		(0.06	)
Class I
Year Ended 6/30/19	$	9.65		0.38		(0.16	)		0.22			(0.30	)		(0.02	)
Year Ended 6/30/18	$	9.44		0.26		0.26			0.52			(0.31	)		—
Year Ended 6/30/17	$	9.24		0.27		0.20	(d)		0.47			(0.27	)		—
Year Ended 6/30/16	$	9.44		0.30		(0.04	)		0.26			(0.23	)		(0.23	)
Year Ended 6/30/15	$	9.89		0.23		(0.37	)		(0.14	)		(0.25	)		(0.06	)

(a) Per share net investment income (loss) has been calculated using the average daily shares method.

(b) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

(d) The amount of net realized and unrealized gains (losses) on investments per share for the year ended June 30, 2017 does not accord with the amounts in the Statement of Operations due to timing of purchases and sales of Fund Shares in relation to fluctuating market values.

See notes to financial statements.

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)			Net Expenses			Net Investment Income (Loss)			Gross Expenses(b)			Net Assets, End of Period (000's)		Portfolio Turnover(c)
Victory Market Neutral Income Fund
Class A
Year Ended 6/30/19		(0.29	)	$	9.51		1.99	%		0.75	%		3.36	%		1.03	%	$	32,627		82	%
Year Ended 6/30/18		(0.29	)	$	9.61		5.37	%		0.89	%		2.55	%		1.18	%	$	23,847		69	%
Year Ended 6/30/17		(0.25	)	$	9.40		4.77	%		0.90	%		2.59	%		1.25	%	$	24,998		63	%
Year Ended 6/30/16		(0.44	)	$	9.21		2.54	%		0.90	%		2.72	%		1.06	%	$	29,649		92	%
Year Ended 6/30/15		(0.27	)	$	9.41		(1.62	)%		1.13	%		2.23	%		1.27	%	$	31,313		135	%
Class C
Year Ended 6/30/19		(0.22	)	$	9.43		1.19	%		1.50	%		2.57	%		2.56	%	$	441		82	%
Year Ended 6/30/18		(0.22	)	$	9.54		4.64	%		1.64	%		1.79	%		2.51	%	$	311		69	%
Year Ended 6/30/17		(0.19	)	$	9.33		4.02	%		1.65	%		1.88	%		3.00	%	$	519		63	%
Year Ended 6/30/16		(0.38	)	$	9.15		1.75	%		1.65	%		2.00	%		2.48	%	$	518		92	%
Year Ended 6/30/15		(0.14	)	$	9.36		(2.42	)%		2.02	%		1.88	%		1.29	%	$	385		135	%
Class I
Year Ended 6/30/19		(0.32	)	$	9.55		2.25	%		0.40	%		3.91	%		1.05	%	$	54,920		82	%
Year Ended 6/30/18		(0.31	)	$	9.65		5.62	%		0.64	%		2.72	%		1.09	%	$	19,483		69	%
Year Ended 6/30/17		(0.27	)	$	9.44		5.11	%		0.65	%		2.83	%		1.13	%	$	31,140		63	%
Year Ended 6/30/16		(0.46	)	$	9.24		2.77	%		0.65	%		3.16	%		1.05	%	$	43,866		92	%
Year Ended 6/30/15		(0.31	)	$	9.44		(1.41	)%		1.02	%		0.88	%		2.25	%	$	25,310		135	%

See notes to financial statements.

Victory Portfolios II

Notes to Financial Statements
June 30, 2019

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust as a successor to a company named "Compass EMP Funds Trust". 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 20 funds, 18 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. Each Fund is classified as diversified under the 1940 Act.

The accompanying financial statements are those of the two following Funds (collectively, the "Funds" and individually, a "Fund").

Funds (Legal Name)	Funds (Short Name)	Investment Share Classes Offered
Victory US 500 Enhanced Volatility Wtd Index Fund	US 500 Enhanced Volatility Wtd Index Fund	Classes A, C and I
Victory Market Neutral Income Fund	Market Neutral Fund	Classes A, C and I

Each class of shares of a Fund has substantially identical rights and privileges except with respect to sales charges, fees paid under distribution plans, expenses allocable exclusively to each class of shares, voting rights on matters solely affecting a single class of shares, and the exchange privilege of each class of shares.

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 accounting principles generally accepted in the United States of America ("GAAP"). The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

Investment Valuation:

The Funds record investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds' investments are summarized in the three broad levels listed below:

• Level 1 — quoted prices in active markets for identical securities

• Level 2 — other significant observable inputs (including quoted prices for similar securities or interest rates applicable to those securities, etc.)

• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments)

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

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.

Portfolio securities listed or traded on securities exchanges, including American Depositary Receipts ("ADRs") and Rights, are valued at the closing price on the exchange or system where the security is principally traded, if available, or at the Nasdaq Official Closing Price. If there have been no sales for that day on the exchange or system, then a security is valued at the last available bid quotation on the exchange or system where the security is principally traded. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.

Investments in open-end investment companies are valued at net asset value. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or an exchange on which they are traded. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Options are generally valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. These valuations are typically categorized as Level 1 in the fair value hierarchy.

Investments for which there are no such quotations, or for which quotations do not appear reliable, are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Trust's Board of Trustees (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.

In accordance with procedures adopted by the Board, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time the exchange on which they are traded closes and the time the Funds' net asset values are calculated. The Market Neutral Income Fund uses a systematic valuation model, provided daily by an independent third party to fair value its international equity securities. These valuations are considered as Level 2 in the fair value hierarchy.

A summary of the valuations as of June 30, 2019, based upon the three levels defined above, is included in the table below while the breakdown, by category, of investments is disclosed in the Schedules of Portfolio Investments:

	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
US 500 Enhanced Volatility Wtd Index Fund
Common Stocks	$	94,768,746	$	—	$	—	$	—	$	94,768,746	$	—
Investment Companies		571,561		—		—		—		571,561		—
Collateral for Securities Loaned		3,996,858		—		—		—		3,996,858		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		5,411		—		—		—		5,411
Total		99,337,165		5,411		—		—		99,337,165		5,411

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

	LEVEL 1 — Quoted Prices					LEVEL 2 — Other Significant Observable Inputs				Total
	Investments in Securities		Other Financial Investments^			Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Market Neutral Income Fund
Common Stocks	$	41,166,309	$	—		$	31,199,834	$	—	$	72,366,143	$	—
Rights		5,680		—			3,026		—		8,706		—
Collateral for Securities Loaned		5,391,008		—			—		—		5,391,008		—
Derivative Financial Instruments
Assets:
Future Contracts		—		766,459			—		—		—		766,459
Liabilities:
Written Options		—		(445,760	)		—		—		—		(445,760	)
Futures Contracts		—		(2,434,927	)		—		—		—		(2,434,927	)
Total		46,562,997		(2,114,228	)		31,202,860		—		77,765,857		(2,114,228	)

^ Other Financial instruments include any derivative instruments not reflected in the Schedules of Portfolio Investments as Investment Securities, such as futures contracts and written options. These instruments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

For the year ended June 30, 2019, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

Investment Companies:

Open-End Funds:

The Funds may invest in portfolios of open-end investment companies. These investment companies value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the board of directors of the underlying funds.

Derivative Instruments:

Foreign Exchange Currency Contracts:

The Funds may enter into foreign exchange currency contracts to convert U.S. dollars to and from various foreign currencies. A foreign exchange currency contract is an obligation by a Fund to purchase or sell a specific currency at a future date at a price (in U.S. dollars) set at the time of the contract. The Funds do not engage in "cross-currency" foreign exchange contracts (i.e., contracts to purchase or sell one foreign currency in exchange for another foreign currency). The Funds' foreign exchange currency contracts might be considered spot contracts (typically a contract of one week or less) or forward contracts (typically a contract term over one week). A spot contract is entered into for purposes of hedging against foreign currency fluctuations relating to a specific portfolio transaction, such as the delay between a security transaction trade date and settlement date. Forward contracts are entered into for purposes of hedging portfolio holdings or concentrations of such holdings. 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 Fund records 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. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of June 30, 2019, 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. A Fund 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 Fund the right (but not the obligation), for a specified price, to sell or to purchase the underlying futures contract, upon exercise of the option, at any time during the option period. Futures transactions involve brokerage costs and require the Fund 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 Fund 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. A Fund 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 Fund had not entered into any futures transactions. In addition, the value of a Fund's futures positions may not prove to be perfectly or even highly correlated with the value of its portfolio securities or foreign currencies, limiting a Fund's 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 presented on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.

As of June 30, 2019, 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.

Options Transactions:

The Funds may purchase or sell options to aid in hedging against equity price risk incurred in the normal course of pursuing its investment objective. When a Fund writes a call option, an amount equal to the premium received is included as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As a writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

The Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Fund's portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange-traded. The collateral held by the Funds is presented on the Schedules of Portfolio Investments.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

Offsetting of Financial Assets and Derivatives Assets:

The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

The table below, as of June 30, 2019, discloses both gross information and net information about instruments and transactions eligible for offset in the Statements of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to collateral held at clearing brokers and counterparties.

	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset			Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
US 500 Enhanced Volatility Wtd Index Fund
Futures Contracts-Goldman Sachs & Co.	$	3,572	$	—		$	3,572	$	—		$	3,572
Market Neutral Income Fund
Futures Contracts-Goldman Sachs & Co.		153,355		(153,355	)		—		—			—
	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset			Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Pledged*			Net Amount
Market Neutral Income Fund
Futures Contracts-Goldman Sachs & Co.	$	475,125	$	(153,355	)	$	321,770	$	(321,770	)	$	—

* Cash collateral pledged may be in excess of the amounts shown in the table. The total cash collateral pledged by each Fund is disclosed in the Statements of Assets and Liabilities.

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, 2019:

	Assets		Liabilities
	Variation Margin Receivable on Open Futures Contracts*		Variation Margin Payable on Open Futures Contracts*		Written Options, at Value
Equity Risk Exposure:
US 500 Enhanced Volatility Wtd Index Fund	$	5,411	$	—	$	—
Market Neutral Income Fund		766,459		2,434,927		445,760

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Portfolio Investments. Only current day's variation margin is reported within the Statements of Assets and Liabilities.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2019:

	Net Realized Gains (Losses) on Derivatives Recognized as a Result from Operations					Net Change in Unrealized Appreciation/Depreciation on Derivatives Recognized as a Result of Operations
	Net Realized Gains (Losses) from Futures Contracts			Net Realized Gains (Losses) from Written Options		Net Change in Unrealized Appreciation/ Depreciation on Futures Contracts			Net Change in Unrealized Appreciation/ Depreciation on Written Options
Equity Risk Exposure:
US 500 Enhanced Volatility Wtd Index Fund	$	7,488		$	—	$	15,360		$	—
Market Neutral Income Fund		(1,844,673	)		2,028,505		(2,851,291	)		162,285

All open derivative positions at year end are reflected in 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 on 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 determined by comparing the identified cost of the security lot sold with the net sales proceeds.

Withholding taxes on interest, dividends and gains as a result of certain investments in ADRs by the Funds have been provided for in accordance with each investment's applicable country's tax rules and rates.

Securities Lending:

The Trust has entered into a Master Securities Lending Agreement ("MSLA") with Citibank, N.A. ("Citibank" or the "Agent"). Under the terms of the MSLA, the Funds may lend securities to certain broker-dealers and banks in exchange for collateral in the amount of at least 102% of the value of U.S. securities loaned or at least 105% of the value of non-U.S. securities loaned, marked-to-market daily. Any collateral shortfalls associated with increases in the valuation of the securities loaned are adjusted 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, letters of credit and certificates of deposit. The cash collateral is invested in short-term instruments or cash equivalents, primarily open-end investment companies, as noted in the Funds' Schedules of Portfolio Investments. The Trust does not have effective control of the non-cash collateral and therefore it is not disclosed in the Funds' Schedules of Portfolio Investments. 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 the Agent 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. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

Securities lending transactions are entered into by a Fund under the MSLA, which permits the Fund, under certain circumstances such as an event of default, to offset amounts payable by the Fund to the same counterparty against amounts receivable from the counterparty to create a net payment due to or from the Fund.

The following table is a summary of the Funds' securities lending transactions which are subject to offset under the MSLA as of June 30, 2019. These transactions are accounted for as secured borrowings with an overnight and continuous contractual maturity for cash collateral, and greater than overnight and continuous contractual maturity for non-cash collateral.

	Gross Amount of Recognized Assets (Value of		Value of Cash		Value of Non-cash Collateral Received by Maturity
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
US 500 Enhanced Volatility Wtd Index Fund	$	3,931,252	$	3,931,252	$	—	$	—	$	—	$	—
Market Neutral Income Fund		5,278,570		5,278,570		—		—		—		—

* Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Statements of Assets and Liabilities.

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 investments and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as net realized gains or losses from investment securities and foreign currency translations on the Statements of Operations.

Foreign Taxes:

The Funds may be subject to foreign taxes related to foreign income received (a portion of which may be reclaimable), capital gains on the sale of securities, and certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Funds invest.

Distributions to Shareholders:

Dividends from net investment income, if any, are declared and paid quarterly for each Fund. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund.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 a Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

As of June 30, 2019, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were as follows:

				Total Distributable Earnings/(Loss)				Capital
US 500 Enhanced Volatility Wtd Index Fund				$	(1,740,311	)		$	1,740,311

Federal Income Taxes:

It is the policy of each Fund 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.

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., all open tax years and the interim tax period since then). 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 the Fund, while expenses which 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 affiliated trust based upon net assets or another appropriate basis.

Income, expenses (other than class-specific expenses such as transfer agent fees, state registration fees, printing and 12b-1 fees), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred.

Affiliated Securities Transactions:

Pursuant to Rule 17a-7 under the 1940 Act, the Funds may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Adviser and any applicable sub-adviser. Any such purchase or sale transaction must be effected without brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security's last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. For the year ended June 30, 2019, the Funds did not engage in any Rule 17a-7 transactions under the 1940 Act.

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the year ended June 30, 2019 were as follows:

	Purchases		Sales
US 500 Enhanced Volatility Wtd Index Fund	$	127,896,827	$	159,597,530
Market Neutral Income Fund		72,360,062		37,668,540

For the year ended June 30, 2019, there were no purchases or sales of U.S. Government Securities.

4. Fees and Transactions with Affiliates and Related Parties:

Investment advisory services are provided to the Funds by Victory Capital Management Inc. ("VCM" or the "Adviser"), a New York corporation registered as an investment adviser with the Securities and Exchange Commission ("SEC"). The Adviser is a wholly-owned indirect subsidiary of Victory Capital Holdings, Inc., a publicly traded Delaware corporation, and a wholly-owned direct subsidiary of Victory Capital Operating, LLC.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

Under the terms of the Investment Advisory Agreements, 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. The Adviser may use its resources to assist with the Funds' distribution and marketing expenses.

	Adviser Fee Rate
US 500 Enhanced Volatility Wtd Index Fund		0.70	%
Market Neutral Income Fund		0.60	%

VCM also serves as the Funds' administrator and fund accountant. Under an Administration and Fund Accounting Agreement, VCM is paid for its services an annual fee at a rate of 0.08% of the first $15 billion in average daily net assets of the Trust, Victory Variable Insurance Funds and Victory Portfolios (collectively, the "Victory Funds Complex"), 0.05% of the average daily net assets above $15 billion to $30 billion of the Victory Funds Complex and 0.04% of the average daily net assets over $30 billion of the Victory Funds Complex.

Citi Fund Services Ohio, Inc. ("Citi"), an affiliate of Citibank, N.A., acts as sub-administrator and sub-fund accountant to the Funds pursuant to a 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 all of their reasonable out-of-pocket expenses incurred in providing these services.

FIS Investor Services, LLC ("FIS") serves as the Funds' transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.

The Chief Compliance Officer ("CCO") is an employee of the Adviser, which pays the compensation of the CCO and his support staff. The Trust has entered into an Agreement to provide compliance services with the Adviser, pursuant to which the Adviser furnishes its compliance personnel, including the services of the 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 funds in the Victory Funds Complex, in aggregate, compensate the Adviser for these services.

The Victory Funds Complex pays an annual retainer to each Independent Trustee, plus an additional annual retainer to the Chairman of the Board. The aggregate amount of the fees and expenses of the Independent Trustees are allocated amongst all the funds in the Victory Funds Complex and are presented in the Statements of Operations.

Shearman & Sterling LLP provides legal services to the Trust.

Victory Capital Advisers, Inc. (the "Distributor"), an affiliate of the Adviser, serves as distributor for the continuous offering of the shares of the Funds pursuant to a Distribution Agreement between the Distributor and the Trust.

Pursuant to the Distribution and Service Plans adopted in accordance with Rule 12b-1 under the 1940 Act, the Distributor may receive a monthly distributions and service fee, at an annual rate of up to 0.25% of the average daily net assets for Class A Shares, at an annual rate of up to 1.00% of the average daily net assets of Class C Shares of the Funds. The distribution and service fees paid to the Distributor may be used by the Distributor to pay for activities primarily intended to result in the sale of Class A or Class C Shares of the Funds.

In addition, the Distributor is entitled to receive commission on sales of Class A Shares of the Funds. For the year ended June 30, 2019, the Distributor received approximately $4,318 from commissions earned on sales of Class A Shares. A $15 fee may be charged for redemptions made by wire. The redemption fee is paid directly to and retained by the Funds, and is designed to deter excessive short-term trading and to offset brokerage commissions, market impact and other costs that may be associated with short-term money movement in and out of the Funds.

The Adviser has entered into expense limitation agreements with certain Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that ordinary operating expenses incurred by certain classes of a Fund in any fiscal year exceed the expense limit for such classes of the Fund. Such excess amounts will be the liability of the Adviser. Interest,

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

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. For the year ended June 30, 2019, the expense limits (excluding voluntary waivers) are as follows:

	In effect July 1, 2018 until October 31, 2019
	Class A Shares			Class C Shares			Class I Shares
US 500 Enhanced Volatility Wtd Index Fund		0.99	%		1.74	%		0.74	%
Market Neutral Income Fund		0.75	%		1.50	%		0.40	%

The Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period up to three fiscal years after such waiver or reimbursement was made to the extent such payments or repayments would not cause the expenses of a class to exceed the original expense limitation in place at time of the waiver or reimbursement or any expense limitation agreement in place at the time of repayment. Amounts repaid to the Adviser during the year, if any, are reflected on the Statements of Operations as "Recoupment of prior expenses waived/reimbursed by Adviser".

As of June 30, 2019, the following amounts are available to be repaid to the Adviser:

	Expires 6/30/20		Expires 6/30/21		Expires 6/30/22		Total
US 500 Enhanced Volatility Wtd Index Fund	$	534,407	$	283,259	$	292,081	$	1,109,747
Market Neutral Income Fund		256,668		197,955		258,188		712,811

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. There were no voluntary waivers or reimbursements for the year ended June 30, 2019.

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 and Legal Counsel.

5. Risks:

Each Fund may be subject to other risks in addition to these identified risks.

An investment in the Funds' shares represents an indirect investment in the securities owned by the Funds, some of which will be traded on a national securities exchange or in the over-the-counter markets. The value of the securities in which the Funds invest, like other market investments, may move up or down, sometimes rapidly and unpredictably. The value of the securities in which the Funds invest may affect the value of the Funds' shares. An investment in the Funds' shares at any point in time may be worth less than the original investment, even after taking into account the reinvestment of the Funds' distributions.

The Market Neutral Income Fund invests 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 the 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 re-investment, 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.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

The Funds will be subject to credit risk with respect to the amount each expects to receive from counterparties for financial instruments entered into by the Funds. The Funds may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. The Funds may experience significant delays in obtaining any recovery in bankruptcy or other reorganization proceeding and the Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit ratings are investment grade, as determined by a nationally recognized statistical rating organization or, if unrated, judged by the Adviser to be of comparable quality.

6. Borrowing and Interfund Lending:

Line of Credit:

For the year ended June 30, 2019, the Victory Funds Complex participated in a short-term, demand note "Line of Credit" agreement with Citibank. Under the agreement with Citibank, the Victory Funds Complex could borrow up to $250 million, of which $100 million was committed and $150 million was uncommitted. This agreement was in effect through July 26, 2019. Effective July 1, 2019, the current agreement was amended to include the USAA Mutual Funds Complex and has a new termination date of June 29, 2020. Under this amended agreement, the Victory Funds Complex and USAA Mutual Funds Complex, combined, 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 that Fund paying the related commitment fees for that amount. The purpose of the agreement is to meet temporary or emergency cash needs, including redemption requests that might otherwise require the untimely disposition of securities. With the agreement in affect for the year ended June 30, 2019, Citibank received an annual commitment fee of 0.15% on $100 million for providing the Line of Credit. For the year ended June 30, 2019, Citibank earned approximately $150 thousand in commitment fees from the Victory Funds Complex. Effective July 1, 2019, Citibank receives an annual commitment fee of 0.15% on $300 million for providing the Line of Credit. Each fund in the Victory Funds Complex pays a pro-rata portion of the commitment fees plus any interest (one month LIBOR plus one percent) on amounts borrowed, including the USAA Mutual Funds Complex, commencing July 1, 2019. Interest charged to the Funds during the period is presented on the Statement of Operations under line of credit fees.

The Funds did not utilize the Line of Credit during the year ended June 30, 2019.

Interfund Lending:

The Trust and Adviser rely on an exemptive order granted by the SEC in March 2017 (the "Order"), permitting the establishment and operation of an Interfund Lending Facility (the "Facility"). The Facility allows each Fund to directly borrow money to or from any other Victory Fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are allowed for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. As a Borrower, interest charged to each Fund during the period is presented on the Statements of Operations under interfund lending fees.

The average borrowing for the days outstanding and average interest rate for each Fund during the year ended June 30, 2019 were as follows:

				Borrower or Lender				Amount Outstanding at June 30, 2019				Average Borrowing				Days Borrowing Outstanding				Average Interest Rate*				Maximum Borrowing During the Period
US 500 Enhanced Volatility Wtd Index Fund				Borrower				$	—			$	191,500				2				2.95	%		$	254,000

* For the year ended June 30, 2019, based on the number of days borrowings were outstanding.

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

7. Federal Income Tax Information:

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, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	1,600,430	$	13,044,855	$	14,645,285	$	14,645,285
Market Neutral Income Fund		1,950,582		—		1,950,582		1,950,582
	Year Ended June 30, 2018
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Enhanced Volatility Wtd Index Fund	$	2,489,677	$	9,161,948	$	11,651,625	$	11,651,625
Market Neutral Income Fund		1,577,531		—		1,577,531		1,577,531

As of the tax year ended June 30, 2019, the components of distributable earnings/accumulated deficit 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 (Deficit)
US 500 Enhanced Volatility Wtd Index Fund	$	—	$	8,799,090	$	8,799,090	$	—		$	—	$	10,407,812	$	19,206,902
Market Neutral Income Fund		35,674		—		35,674		(4,538,859	)		—		1,761,020		(2,742,165	)

* Under the current tax law, net investment losses realized after October 31 or December 31 of a Fund's fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes.

** The difference between the book-basis and tax-basis of unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales.

As of the tax year ended June 30, 2019, the following Funds had net capital loss carryforwards ("CLCFs") not limited as a result of changes in Fund ownership during the year and in prior years as summarized in the tables below. CLCFs are applied as either short-term or long-term depending on the originating capital loss.

				Short-Term Amount				Long-Term Amount				Total
Market Neutral Income Fund				$	1,011,865			$	3,526,994			$	4,538,859

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

At June 30, 2019, 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		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Enhanced Volatility Wtd Index Fund	$	88,929,353	$	15,188,224	$	(4,780,412	)	$	10,407,812
Market Neutral Income Fund		75,971,649		4,954,405		(3,160,197	)		1,794,208

8. Fund Ownership:

Ownership of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2(a)(9) of the 1940 Act. As of June 30, 2019, the shareholders listed below held more than 25% of the shares outstanding of the Funds and may be deemed to control those Funds.

	Shareholder	Percent
US 500 Enhanced Volatility Wtd Index Fund	LPL Financial Corp.		32.6	%
Market Neutral Income Fund	Charles Schwab & Co., Inc.		76.8	%

9. Recent Accounting Pronouncements:

In August 2018, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2018-13, "Fair Value Measurements" ("ASU 2018-13"). This update makes certain removals from, changes to and additions to existing disclosure requirements for fair value measurements. ASU 2018-13 does not change fair value measurements already required or permitted by existing standards. ASU 2018-13 is effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. As permitted, the Funds have early adopted ASU 2018-13 with the financial statements prepared as of June 30, 2019.

In August 2018, the SEC adopted amendments to certain financial statement disclosure requirements to conform them to GAAP for investment companies. These amendments made certain disclosure requirements effective under Regulation S-X. The Funds' adoption of these amendments, effective with the financial statements prepared as of June 30, 2019 had no effect on the Funds' net assets or results of operations. As a result of adopting these amendments, the distributions to shareholders in the June 30, 2018 Statements of Changes in Net Assets presented herein have been reclassified to conform to the current year presentation, which includes all distributions to each class of shareholders, other than tax basis return of capital distributions, in one line item per share class. Distributions to shareholders from net investment income and net realized gains, and accumulated net investment income (loss) in the Funds for the year ended June 30, 2018 were as follows:

	US 500 Enhanced Volatility Wtd Index Fund			Market Neutral Income Fund
Accumulated Net investment Income (Loss):	$	—		$	(14,932	)
Distributions to Shareholders:
From net investment income:
Class A Shares		(261,664	)		(729,949	)
Class C Shares		(5,831	)		(9,927	)
Class I Shares		(301,423	)		(837,655	)
From net realized gains:
Class A Shares		(3,213,210	)		—
Class C Shares		(5,087,982	)		—
Class I Shares		(2,781,515	)		—

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

10. Subsequent Events:

The Funds have evaluated the need for additional disclosures or adjustments resulting from subsequent events through the date these financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have a material impact on the Funds' financial statements.

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 US 500 Enhanced Volatility Wtd Index Fund and Victory Market Neutral Income Fund (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the four years in the period then ended (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, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights for the year ended June 30, 2015, were audited by other auditors whose report dated August 28, 2015, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian and brokers. 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, 2019

Victory Portfolios II

Supplemental Information
June 30, 2019

(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 ten Trustees, nine 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 ages, 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 20 portfolios in the Trust, nine portfolios in Victory Variable Insurance Funds and 42 portfolios in Victory Portfolios, each a registered investment company that, together with the Trust, comprise the Victory Funds Complex. 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 Age

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, 67

Trustee

May 2015

Consultant (since 2006).

Chair and Trustee, Turner Funds (December 2016-December 2017).

Nigel D. T. Andrews, 72

Vice Chair and Trustee

May 2015

Retired.

Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012); Director, Old Mutual US Asset Management (2002-2014).

E. Lee Beard, 68*

Trustee

May 2015

Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).

None.

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Name and Age

Position
Held with
the Trust

Date
Commenced
Service

Principal Occupation
During Past 5 Years

Other
Directorships
Held During
Past 5 Years

Dennis M. Bushe, 75

Trustee

July 2016

Retired.

Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

Sally M. Dungan, 65

Trustee

May 2015

Chief Investment Officer, Tufts University (since 2002).

None.

John L. Kelly, 66

Trustee

May 2015

Partner, McCarvill Capital Partners (September 2016-September 2017); Advisor, Endgate Commodities LLC (January 2016-April 2016); Managing Partner, Endgate Commodities LLC (August 2014-January 2016), Chief Operating Officer, Liquidnet Holdings, Inc. (December 2011-July 2014).

Director, Caledonia Mining Corporation (since May 2012).

David L. Meyer, 62*

Trustee

May 2015

Retired.

None.

Gloria S. Nelund, 58

Trustee

July 2016

Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.

TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).

Leigh A. Wilson, 74

Chair and Trustee

May 2015

Private Investor.

Chair (since 2013), Caledonia Mining Corporation.

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Name and Age

Position
Held with
the Trust

Date
Commenced
Service

Principal Occupation
During Past 5 Years

Other
Directorships
Held During
Past 5 Years

Interested Trustee.

David C. Brown, 47**

Trustee

May 2015

Chairman and Chief Executive Officer (since 2013), Co-Chief Executive Officer (2011-2013), the Adviser; Chairman and Chief Executive Officer, Victory Capital Holdings, Inc. (since 2013).

None.

* The Board has designated Mr. Meyer and Ms. Beard as its Audit Committee Financial Experts.

** 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, on the SEC's website at www.sec.gov and/or by calling 800-539-3863.

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Officers:

The officers of the Trust, their ages, 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 Age

Position with
the Trust

Date
Commenced
Service

Principal Occupation During Past 5 Years

Christopher K. Dyer, 57

President

May 2015

Director of Fund Administration, the Adviser.

Scott A. Stahorsky, 50

Vice President

May 2015

Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).

Erin G. Wagner, 45

Secretary

May 2015

Associate General Counsel, the Adviser (since 2013).

Allan Shaer, 54

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, 35

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 Advisers, Inc. (since 2018).

Colin Kinney, 45

Chief Compliance Officer

July 2017

Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.

Chuck Booth, 59

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, 65

Assistant Secretary

May 2015

Partner, Shearman & Sterling LLP (since 2018); Partner, Morrison & Foerster LLP (2011-January 2018).

* On December 5, 2017, Mr. Ponte resigned as Treasurer and accepted the position of Assistant Treasurer of the Trust.

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(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 twelve 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. Prior to the implementation of Form N-PORT, the Trust filed a complete list of Schedules of Portfolio Investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-PORT and Forms N-Q are available on the SEC's website at www.sec.gov.

Expense Examples

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases; and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, 2019 through June 30, 2019.

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 each 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 are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is 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 1/1/19		Actual Ending Account Value 6/30/19		Hypothetical Ending Account Value 6/30/19		Actual Expenses Paid During Period 1/1/19- 6/30/19*		Hypothetical Expenses Paid During Period 1/1/19- 6/30/19*		Annualized Expense Ratio During Period 1/1/19- 6/30/19
US 500 Enhanced Volatility Wtd Index Fund
Class A Shares	$	1,000.00	$	1,117.50	$	1,019.89	$	5.20	$	4.96		0.99	%
Class C Shares		1,000.00		1,112.50		1,016.17		9.11		8.70		1.74	%
Class I Shares		1,000.00		1,118.00		1,021.12		3.89		3.71		0.74	%

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

	Beginning Account Value 1/1/19		Actual Ending Account Value 6/30/19		Hypothetical Ending Account Value 6/30/19		Actual Expenses Paid During Period 1/1/19- 6/30/19*		Hypothetical Expenses Paid During Period 1/1/19- 6/30/19*		Annualized Expense Ratio During Period 1/1/19- 6/30/19
Market Neutral Income Fund
Class A Shares	$	1,000.00	$	1,004.80	$	1,021.08	$	3.73	$	3.76		0.75	%
Class C Shares		1,000.00		1,001.30		1,017.36		7.44		7.50		1.50	%
Class I Shares		1,000.00		1,005.90		1,022.81		1.99		2.01		0.40	%

* 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).

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2019, the Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Amount
US 500 Enhanced Volatility Wtd Index Fund		97	%
Market Neutral Income Fund		100	%

Dividends qualified for corporate dividends received deductions of:

	Amount
US 500 Enhanced Volatility Wtd Index Fund		96	%
Market Neutral Income Fund		37	%

For the year ended June 30, 2019, the following Fund designated short-term capital gain distributions:

				Amount
US 500 Enhanced Volatility Wtd Index Fund				$	843,699

For the year ended June 30, 2019, the following Fund designated long-term capital gain distributions:

				Amount
US 500 Enhanced Volatility Wtd Index Fund				$	14,785,167

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.

Victory Funds
P.O. Box 182593
Columbus, Ohio 43218-2593

Visit our website at:				Call Victory at:
www.vcm.com				800-539-FUND (800-539-3863)

VP-COMPASS-AR (6/19)

June 30, 2019

Annual Report

VictoryShares US 500 Volatility Wtd ETF

VictoryShares US Small Cap Volatility Wtd ETF

VictoryShares International Volatility Wtd ETF

VictoryShares Emerging Market 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

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds' shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.VictorySharesLiterature.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change, and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds or your financial intermediary electronically sooner than January 1, 2021 by notifying your financial intermediary directly.

You may elect to receive all future reports in paper free of charge. You can inform the Fund or your financial intermediary that you wish to continue receiving paper copies of your reports. Your election to receive reports in paper will apply to all Victory Funds you hold directly or through your financial intermediary.

www.vcm.com

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

• 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

Victory Portfolios II

Table of Contents

Shareholder Letter (unaudited)					5-6
Fund Review and Commentary (unaudited)					7
Financial Statements
Victory Portfolios II Exchange Traded Funds
VictoryShares US 500 Volatility Wtd ETF
Schedule of Investments					35-46
Statements of Assets and Liabilities					169
Statements of Operations					174
Statements of Changes in Net Assets					179
Financial Highlights					184
VictoryShares US Small Cap Volatility Wtd ETF
Schedule of Investments					47-57
Statements of Assets and Liabilities					169
Statements of Operations					174
Statements of Changes in Net Assets					179
Financial Highlights					184
VictoryShares International Volatility Wtd ETF
Schedule of Investments					58-76
Statements of Assets and Liabilities					169
Statements of Operations					174
Statements of Changes in Net Assets					179
Financial Highlights					184
VictoryShares Emerging Market Volatility Wtd ETF
Schedule of Investments					77-94
Statements of Assets and Liabilities					170
Statements of Operations					175
Statements of Changes in Net Assets					180
Financial Highlights					186
VictoryShares US Large Cap High Div Volatility Wtd ETF
Schedule of Investments					95-98
Statements of Assets and Liabilities					170
Statements of Operations					175
Statements of Changes in Net Assets					180
Financial Highlights					186
VictoryShares US Small Cap High Div Volatility Wtd ETF
Schedule of Investments					99-102
Statements of Assets and Liabilities					170
Statements of Operations					175
Statements of Changes in Net Assets					180
Financial Highlights					186

Table of Contents (continued)

VictoryShares International High Div Volatility Wtd ETF
Schedule of Investments					103-109
Statements of Assets and Liabilities					171
Statements of Operations					176
Statements of Changes in Net Assets					181
Financial Highlights					188
VictoryShares Emerging Market High Div Volatility Wtd ETF
Schedule of Investments					110-115
Statements of Assets and Liabilities					171
Statements of Operations					176
Statements of Changes in Net Assets					181
Financial Highlights					188
VictoryShares Dividend Accelerator ETF
Schedule of Investments					116-118
Statements of Assets and Liabilities					171
Statements of Operations					176
Statements of Changes in Net Assets					181
Financial Highlights					188
VictoryShares US Multi-Factor Minimum Volatility ETF
Schedule of Investments					119-121
Statements of Assets and Liabilities					172
Statements of Operations					177
Statements of Changes in Net Assets					182
Financial Highlights					190
VictoryShares US 500 Enhanced Volatility Wtd ETF
Schedule of Investments					122-133
Statements of Assets and Liabilities					172
Statements of Operations					177
Statements of Changes in Net Assets					182
Financial Highlights					190
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Schedule of Investments					134-137
Statements of Assets and Liabilities					172
Statements of Operations					177
Statements of Changes in Net Assets					182
Financial Highlights					190
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Schedule of Investments					138-148
Statements of Assets and Liabilities					173
Statements of Operations					178
Statements of Changes in Net Assets					183
Financial Highlights					192

Table of Contents (continued)

VictoryShares Developed Enhanced Volatility Wtd ETF
Schedule of Investments					149-168
Statements of Assets and Liabilities					173
Statements of Operations					178
Statements of Changes in Net Assets					183
Financial Highlights					192
Notes to Financial Statements					194
Report of Independent Registered Public Accounting Firm					217
Supplemental Information
Trustee and Officer Information					218
Proxy Voting and Portfolio Holdings Information					221
Expense Examples					221
Additional Federal Income Tax Information					223
Privacy Policy (inside back cover)

The VictoryShares 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 VictoryShares.

For additional information about any VictoryShares, including fees, expenses, and risks, view our prospectus online at www.vcm.com or call 866-376-7890. Read it carefully before you invest or send money.

The information in this annual 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 ETFs, 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:

866-376-7890

Visit our website at:

www.vcm.com

This page is intentionally left blank.

Victory Funds Letter to Shareholders

Dear Shareholder,

On the following pages, you will find information relating to your Victory Funds investment. If you have any questions, we encourage you to contact your financial

advisor. Or, if you invest with us directly, you may call (800) 539-3863, or visit our website at www.vcm.com.

My colleagues and I sincerely appreciate the confidence you have placed in the Victory Funds, and we value the opportunity to help meet your investment goals.

Christopher K. Dyer, CFA

President,

Victory Funds

Investing involves market risk, including the potential loss of principal. Past performance does not guarantee future performance results.

VictoryShares

VictoryShares US 500 Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 7.86% for the fiscal year ended June 30, 2019, compared to the Index's return of 8.23%. The Fund underperformed the S&P 500 Index, a market-cap based index against which the performance of the Fund is measured, which returned 10.42% during the same period.

The Communication Services and Industrial sectors contributed positively to the Fund's performance relative to the S&P 500 Index over the fiscal year. The Technology and Consumer Discretionary sectors contributed negatively to the Fund's performance relative to the S&P 500 Index over that period. The Fund's underweight to Technology and overweight to the smaller stocks of the S&P 500 Index were the key drivers of the underperformance over the last 12 months.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US 500 Volatility
Wtd ETF

INCEPTION DATE

7/1/14

Net Asset Value

Market Price Value

Nasdaq Victory US
Large Cap
500 Volatility
Weighted Index

S&P 500 Index

One Year

7.86

7.81

8.23

10.42

Three Year

13.56

13.64

13.97

14.19

Five Year

N/A

Ten Year

N/A

Since Inception

9.88

9.87

N/A

Expense Ratios

Gross

0.41

With Applicable Waivers

0.35

VictoryShares

VictoryShares US 500 Volatility Wtd ETF (continued)

Comparison of the Change in Value of a $10,000 Investment

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). 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 sales charges and is not representative of the Fund. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned -4.07% for the fiscal year ended June 30, 2019 compared to the Index's return of -3.77%. The Russell 2000 Index, a market-cap based index against which the performance of the Fund is measured, returned -3.31% during the same period.

The Health Care and Communication Services sectors contributed positively to the Fund's performance relative to the Russell 2000 Index over the fiscal year. The Real Estate and Technology sectors contributed negatively to the Fund's performance relative to the Russell 2000 Index. The underweight to Technology was the key driver of the underperformance over the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. The shares of smaller capitalization companies may be more volatile than those of larger companies.

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US Small Cap
Volatility Wtd ETF

INCEPTION DATE

7/7/15

Net Asset Value

Market Price Value

Nasdaq Victory US
Small Cap
500 Volatility
Weighted Index

Russell 2000 Index

One Year

–4.07

–4.09

–3.77

–3.31

Three Year

11.51

11.82

11.88

12.30

Five Year

N/A

Ten Year

N/A

Since Inception

8.31

N/A

Expense Ratios

Gross

0.47

With Applicable Waivers

0.35

VictoryShares

VictoryShares US Small Cap Volatility Wtd ETF (continued)

Comparison of the Change in Value of a $10,000 Investment

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). It is not possible to invest directly in an index.

²The Russell 2000 Index measures the performance of the small-cap segement of the U.S. equity universe. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares International Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 0.36% for the fiscal year ended June 30, 2019, compared to the Index's return of 0.59%. The MSCI EAFE Index (Net), a market-cap based index against which the performance of the Fund is measured, returned 1.08% during the same period.

Fund exposure to Canadian and British companies contributed positively to the Fund's performance relative to the MSCI EAFE Index for the fiscal year. Companies based in Switzerland and France contributed negatively to the Fund's performance relative to the MSCI EAFE Index for the same period. The underweighting to Switzerland was the key driver of the underperformance over the last 12 months.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. Investments in non-U.S. companies may be subject to additional risks not associated with U.S. companies, including less liquidity, greater volatility, lack of publicly available information and less developed trading markets.

Average Annual Return

Year Ended June 30, 2019

VictoryShares
International Volatility
Wtd ETF

INCEPTION DATE

8/9/15

Net Asset Value

Market Price Value

Nasdaq Victory
International
500 Volatility
Weighted Index

MSCI EAFE Index

One Year

0.36

0.09

0.59

1.08

Three Year

8.55

8.77

8.86

9.11

Five Year

N/A

Ten Year

N/A

Since Inception

4.72

4.78

N/A

Expense Ratios

Gross

0.98

With Applicable Waivers

0.45

VictoryShares

VictoryShares International Volatility Wtd ETF (continued)

Comparison of the Change in Value of a $10,000 Investment

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). It is not possible to invest directly in an index.

²The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across Developed Markets countries around the world. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares Emerging Market Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 4.46% for the fiscal year ended June 30, 2019, compared to the Index's return of 5.18%. The MSCI Emerging Markets Index (Net), a market cap-based index against which the performance of the Fund is measured, returned 1.21% during the same period.

Chinese and South Korean holdings contributed positively to the Fund's performance relative to the MSCI Emerging Markets Index over the fiscal year. Holdings in India and Brazil contributed negatively to the Fund's performance relative to the MSCI Emerging Market Index over the same period. The underweighting to South Korea was the key driver of the outperformance over the last 12 months. South Korea is not a member of the Index tracked by the Fund.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. Investments in non-U.S. companies may be subject to additional risks not associated with U.S. companies, including less liquidity, greater volatility, lack of publicly available information and less developed trading markets. These risks may be more acute for companies located in emerging markets.

VictoryShares

VictoryShares Emerging Market Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
Emerging Market
Volatility Wtd ETF

INCEPTION DATE

3/22/16

Net Asset Value

Market Price Value

Nasdaq Victory Emerging
Market 500 Volatility
Weighted Index

MSCI Emerging
Markets (Net)
Index

One Year

4.46

4.06

5.18

1.21

Three Year

6.69

6.15

7.61

10.66

Five Year

N/A

Ten Year

N/A

Since Inception

6.61

6.31

N/A

Expense Ratios

Gross

1.23

With Applicable Waivers

0.50

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Emerging Market 500 Volatility Weighted Index consists of 500 of the largest Emerging Market country stocks with consistent positive earnings. These stocks are then weighted based on their standard deviation (volatility). It is not possible to invest directly in an index.

²MSCI Emerging Markets (Net) Index is a float-adjusted market cap index covering over 2,700 securities in 21 markets that are currently classified as Emerging Market countries. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 7.59% for the fiscal year ended June 30, 2019 compared to the Index's return of 8.04%. The Russell 1000 Value Index, a market-cap based index against which the performance of the Fund is measured, returned 8.46% during the same period.

The Utility and Communication Services sectors contributed positively to the Fund's performance relative to the S&P 500 Index over the last 12 months. The Technology and Consumer Discretionary sectors contributed negatively to the Fund's performance relative to the S&P 500 Index over the last 12 months. The underweight to Technology stocks and the largest stocks of the S&P 500 Index was the key driver of the underperformance over the last 12 months.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US Large Cap
High Div Volatility
Wtd ETF

INCEPTION DATE

7/7/15

Net Asset Value

Market Price Value

Nasdaq Victory
US Large Cap
High Dividend 100
Volatility Weighted
Index

Russell
1000 Value
Index

One Year

7.59

7.57

8.04

8.46

Three Year

11.01

11.04

11.45

10.19

Five Year

N/A

Ten Year

N/A

Since Inception

10.96

N/A

Expense Ratios

Gross

0.42

With Applicable Waivers

0.35

VictoryShares

VictoryShares US Large Cap High Div Volatility Wtd ETF (continued)

Comparison of the Change in Value of a $10,000 Investment

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). It is not possible to invest directly in an index.

²The Russell 1000 Value Index is made of about 1000 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. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned -0.70% for the fiscal year ended June 30, 2019, compared to the Index's return of -0.43%. The Russell 2000 Value Index, a market-cap based index against which the performance of the Fund is measured, returned -6.24% during the same period.

The Financial and Utility sectors contributed positively to the Fund's performance relative to the Russell 2000 Index over the fiscal year. The Materials and Technology sectors contributed negatively to the Fund's performance relative to the Russell 2000 Index for the fiscal year. Security selection within Financial stocks was the key driver of the outperformance over the last 12 months.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US Small Cap
High Div Volatility
Wtd ETF

INCEPTION DATE

7/7/15

Net Asset Value

Market Price Value

Nasdaq Victory
US Small Cap
High Dividend 100
Volatility Weighted
Index

Russell
2000 Value
Index

One Year

–0.70

–0.79

–0.43

–6.24

Three Year

11.31

11.48

11.70

9.81

Five Year

N/A

Ten Year

N/A

Since Inception

9.52

9.51

N/A

Expense Ratios

Gross

0.45

With Applicable Waivers

0.35

VictoryShares

VictoryShares US Small Cap High Div Volatility Wtd ETF (continued)

Comparison of the Change in Value of a $10,000 Investment

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). 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. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares International High Div Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 0.62% for the fiscal year ended June 30, 2019, compared to the Index's return of 1.05%. The MSCI EAFE Index (Net), a market-cap based index against which the performance of the Fund is measured, returned 1.08% during the same period.

The Fund's exposure to Spanish and Canadian companies contributed positively to its performance relative to the MSCI EAFE Index for the fiscal year. Companies based in France and Switzerland contributed negatively to the Fund's performance relative to the MSCI EAFE Index over the same period. The underweighting to Switzerland and security selection in France was the key driver of the underperformance over the last 12 months.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. Investments in non-U.S. companies may be subject to additional risks not associated with U.S. companies, including less liquidity, greater volatility, lack of publicly available information and less developed trading markets.

VictoryShares

VictoryShares International High Div Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
International High Div
Volatility Wtd ETF

INCEPTION DATE

8/9/15

Net Asset Value

Market Price Value

Nasdaq Victory
International
High Dividend 100
Volatility Weighted Index

MSCI EAFE Index
(Net)

One Year

0.62

0.79

1.05

1.08

Three Year

6.38

6.35

6.80

9.11

Five Year

N/A

Ten Year

N/A

Since Inception

2.21

2.35

N/A

Expense Ratios

Gross

0.60

With Applicable Waivers

0.45

Comparison of the Change in Value of a $10,000 Investment

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). 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 Market countries around the world. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 7.30% for the fiscal year ended June 30, 2019, compared to the Index's return of 8.48%. The MSCI Emerging Markets Index (Net), a market cap-based index against which the performance of the Fund is measured, returned 1.21% during the same period.

South Korean and South African names contributed positively to the Fund's performance relative to the MSCI Emerging Markets Index over the fiscal year. The underweighting to South Korea was the key driver of the outperformance over the last 12 months. South Korea is not a member of the Index tracked by the Fund. Companies based in India and Indonesia contributed negatively to the Fund's performance relative to the MSCI Emerging Market Index over the same period.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

The Fund is new and has a limited operating history. All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. Investments in non-U.S. companies may be subject to additional risks not associated with U.S. companies, including less liquidity, greater volatility, lack of publicly available information and less developed trading markets. These risks may be more acute for companies located in emerging markets.

VictoryShares

VictoryShares Emerging Market High Div Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
Emerging Market
High Div Volatility
Wtd ETF

INCEPTION DATE

10/25/17

Net Asset Value

Market Price Value

Nasdaq Victory
Em Mkt High Div. 100
Vol. Wtd Index

MSCI Emerging
Markets (Net)
Index

One Year

7.30

7.57

8.48

1.21

Three Year

N/A

Five Year

N/A

Ten Year

N/A

Since Inception

2.93

3.38

N/A

Expense Ratios

Gross

1.05

With Applicable Waivers

0.50

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Em Mkt High Div. 100 Vol. Wtd 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). It is not possible to invest directly in an index.

²MSCI Emerging Market (Net) Index is a float-adjusted market cap index covering over 2,700 securities in 21 markets that are currently classified as Emerging Market countries. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares Dividend Accelerator ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 17.60% for the fiscal year ended June 30, 2019, compared to the Index's return of 18.08%. The S&P 500 Index, a market-cap based index against which the performance of the Fund is measured, returned 10.42% during the same period.

The Financials and Consumer Staples sectors contributed positively to the Fund's performance relative to the S&P 500 Index over the fiscal year. Security selection within Financial and Consumer Staple stocks was the key driver of the outperformance over the fiscal year. The Real Estate and Health Care sectors contributed negatively to the Fund's performance relative to the S&P 500 Index over the same period.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

VictoryShares

VictoryShares Dividend Accelerator ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
Dividend Accelerator
ETF

INCEPTION DATE

4/18/17

Net Asset Value

Market Price Value

Nasdaq Victory Dividend
Accelerator Index

S&P 500 Index

One Year

17.60

17.66

18.08

10.42

Three Year

N/A

Five Year

N/A

Ten Year

N/A

Since Inception

14.57

14.60

N/A

Expense Ratios

Gross

0.67

With Applicable Waivers

0.35

Comparison of the Change in Value of a $10,000 Investment

¹The Nasdaq Victory Divdend Accelerator Index utilizes a rules-based approach designed to identify dividend paying stocks with a higher likelihood of future dividend growth. The Index is maintained exclusively by Nasdaq Inc. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 14.47% for the fiscal year ended June 30, 2019, compared to the Index's return of 14.89%. The S&P 500 Index, a market-cap based index against which the performance of the Fund is measured, returned 10.42% during the same period.

The Financial and Consumer Staples sectors contributed positively to the Fund's performance relative to the S&P 500 Index for the fiscal year. The Health Care and Consumer Discretionary sectors contributed negatively to the Fund's performance relative to the S&P 500 Index over the last same period. The overweight to Consumer Staples and Financial stocks was the key driver of the outperformance for the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

VictoryShares

VictoryShares US Multi-Factor Minimum Volatility ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US Multi-Factor
Minimum Volatility
ETF

INCEPTION DATE

6/22/17

Net Asset Value

Market Price Value

Nasdaq Victory US
Multi-Factor Minimum
Volatility Index

S&P 500 Index

One Year

14.47

14.29

14.89

10.42

Three Year

N/A

Five Year

N/A

Ten Year

N/A

Since Inception

13.45

13.34

N/A

Expense Ratios

Gross

0.74

With Applicable Waivers

0.35

Comparison of the Change in Value of a $10,000 Investment

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. The Index is maintained exclusively by Nasdaq Inc. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned 0.69% over the fiscal year ended June 30, 2019, compared to the Index's return of 1.07%. The Fund underperformed the S&P 500 Index, a market-cap based index against which the performance of the Fund is measured, which returned 10.42% during the same period.

The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on January 2^nd. The index held that T-Bill position until February 1^st at which time the T-Bill position went back to zero. As of June 30^th, the Index had zero T-Bill position. Due to the large market rally which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's underperformance versus the S&P 500 Index for the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

VictoryShares

VictoryShares US 500 Enhanced Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US 500 Enhanced
Volatility Wtd ETF

INCEPTION DATE

7/1/14

Net Asset Value

Market Price Value

Nasdaq Victory US
Large Cap 500 Long/Cash
Vol. Wtd. Index

S&P 500 Index

One Year

0.69

0.65

1.07

10.42

Three Year

10.99

11.03

11.40

14.19

Five Year

N/A

Ten Year

N/A

Since Inception

8.33

N/A

Expense Ratios

Gross

0.41

With Applicable Waivers

0.35

Comparison of the Change in Value of a $10,000 Investment

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. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

The VictoryShares US EQ Income Enhanced Volatility Wtd ETF ("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 ("Index") before fees and expenses.

The Fund returned 1.52% for the fiscal year ended June 30, 2019 compared to the Index's return of 1.98%. The Russell 1000 Value Index, a market-cap based index against which the performance of the Fund is measured, returned 8.46% during the same period.

The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on January 2^nd. The Index held that T-Bill position until February 1^st at which time the T-Bill position went back to zero. As of June 30^th, the Index had zero T-Bill position. Due to the large market rally which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's underperformance versus the S&P 500 Index for the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

VictoryShares

VictoryShares US EQ Income Enhanced Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US EQ Income
Enhanced Volatility
Wtd ETF

INCEPTION DATE

7/1/14

Net Asset Value

Market Price Value

Nasdaq Victory US
Large Cap High Div.
100 Long/Cash
Vol. Wtd Index

Russell
1000 Value
Index

One Year

1.52

1.46

1.98

8.46

Three Year

8.88

9.00

9.32

10.19

Five Year

N/A

Ten Year

N/A

Since Inception

8.63

8.62

N/A

Expense Ratios

Gross

0.41

With Applicable Waivers

0.35

Comparison of the Change in Value of a $10,000 Investment

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. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned -19.04% for the fiscal year ended June 30, 2019, compared to the Index's return of -18.72%. The Russell 2000 Index, a market-cap based index against which the performance of the Fund is measured, returned -3.31% during the same period.

The Long/Cash feature of the Index was triggered multiple times during the fiscal year: going to 75% T-Bills on November 1^st, January 2^nd, April 1^st, and June 3^rd, respectively. The Index reallocated back to a zero T-Bill position on December 3^rd, March 1^st, and May 1^st, respectively. As of June 30^th, the Index had a 75% T-Bill position. Due to the multiple market rallies which occurred while the Index held a T-Bill position, the Long/Cash trigger was the key driver of the Fund's underperformance versus the Russell 2000 Index for the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

VictoryShares

VictoryShares US Discovery Enhanced Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
US Discovery
Enhanced Volatility
Wtd ETF

INCEPTION DATE

7/31/14

Net Asset Value

Market Price Value

Nasdaq Victory US
Small Cap 500 Long/Cash
Vol. Wtd. Index

Russell 2000 Index

One Year

–19.04

–19.19

–18.72

–3.31

Three Year

5.39

5.46

5.76

12.30

Five Year

N/A

Ten Year

N/A

Since Inception

2.74

2.73

N/A

Expense Ratios

Gross

0.43

With Applicable Waivers

0.35

Comparison of the Change in Value of a $10,000 Investment

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. It is not possible to invest directly in an index.

²The Russell 2000 Index is a market-cap weighted index composed of 2000 U.S. small-cap common stocks. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF

Portfolio Review
June 30, 2019 (Unaudited)

Portfolio Holdings:

(As a Percentage of Total Investments)

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

The Fund returned -2.13% for the fiscal year ended June 30, 2019, compared to the Index's return of -1.59%. The MSCI EAFE Index (Net), a market-cap based index against which the performance of the Fund is measured, returned 1.08% during the same period.

The Long/Cash feature of the Index triggered and allocated to a 75% T-Bill position on November 1^st. The Index held that T-Bill position until March 1^st at which time the T-Bill position went back to zero. As of June 30^th, the Index had zero T-Bill position. Due to the large market rally which occurred while the Index held the T-Bill position, the Long/Cash trigger was the key driver of the Fund's underperformance versus the MSCI EAFE Index for the fiscal year.

Fund returns are shown at net asset value (NAV). More complete performance information, including returns at market price, is provided further below.

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its objective. The NAV of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings, as well as the relative supply of and demand for the shares on an exchange. The Fund is not actively managed and does not, therefore, seek returns in excess of the Index. The value of the equity securities in which the Fund invests may decline in response to developments impacting individual companies and/or general market conditions. Investments in non-U.S. companies may be subject to additional risks not associated with U.S. companies, including less liquidity, greater volatility, lack of publicly available information and less developed trading markets.

VictoryShares

VictoryShares Developed Enhanced Volatility Wtd ETF (continued)

Average Annual Return

Year Ended June 30, 2019

VictoryShares
Developed Enhanced
Volatility Wtd ETF

INCEPTION DATE

9/30/14

Net Asset Value

Market Price Value

Nasdaq Victory
International 500 Long/Cash
Volatility Wtd Index

MSCI EAFE Index
(Net)

One Year

–2.13

–2.73

–1.59

1.08

Three Year

5.84

5.48

6.36

9.11

Five Year

N/A

Ten Year

N/A

Since Inception

0.29

0.23

N/A

Expense Ratios

Gross

0.58

With Applicable Waivers

0.45

Comparison of the Change in Value of a $10,000 Investment

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. 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. It is not possible to invest directly in an index.

The graph reflects investment growth of a hypothetical $10,000 investment of the Fund. Past performance is no guarantee of future results.

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF

Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (99.3%)
Communication Services (3.8%):
Activision Blizzard, Inc.		18,598	$	877,826
Alphabet, Inc., Class A (a)		1,155		1,250,634
AT&T, Inc. (b)		51,526		1,726,636
CBS Corp., Class B		28,424		1,418,358
Charter Communications, Inc., Class A (a)		3,274		1,293,819
Comcast Corp., Class A		37,800		1,598,184
DISH Network Corp. (a)		28,719		1,103,097
Electronic Arts, Inc. (a)		8,811		892,202
Facebook, Inc., Class A (a)		6,372		1,229,796
InterActive Corp. (a)		4,699		1,022,173
Match Group, Inc.		13,029		876,461
Netflix, Inc. (a)		2,129		782,024
Omnicom Group, Inc.		22,162		1,816,175
Sirius XM Holdings, Inc. (c)		211,425		1,179,752
Take-Two Interactive Software, Inc. (a)		8,902		1,010,644
The Walt Disney Co.		16,095		2,247,506
T-Mobile US, Inc. (a)		22,437		1,663,479
TripAdvisor, Inc. (a) (c)		16,486		763,137
Twitter, Inc. (a)		23,402		816,730
Verizon Communications, Inc.		33,907		1,937,108
Viacom, Inc., Class B		43,776		1,307,589
World Wrestling Entertainment, Inc. (c)		10,883		785,861
Zayo Group Holdings, Inc. (a)		29,974		986,444
				28,585,635
Consumer Discretionary (11.6%):
Advance Auto Parts, Inc.		7,621		1,174,701
Amazon.com, Inc. (a)		534		1,011,198
Aramark		40,221		1,450,369
AutoZone, Inc. (a)		1,581		1,738,262
Best Buy Co., Inc.		14,190		989,469
Booking Holdings, Inc. (a)		745		1,396,660
BorgWarner, Inc.		28,341		1,189,755
Bright Horizons Family Solutions, Inc. (a)		15,399		2,323,247
Burlington Stores, Inc. (a)		6,841		1,163,996
CarMax, Inc. (a)		22,209		1,928,406
Chipotle Mexican Grill, Inc. (a)		1,951		1,429,849
Columbia Sportswear Co.		11,488		1,150,638
D.R. Horton, Inc.		28,712		1,238,349
Darden Restaurants, Inc.		14,132		1,720,288
Dollar General Corp.		12,944		1,749,511
Domino's Pizza, Inc.		4,774		1,328,509
Dunkin' Brands Group, Inc.		21,504		1,713,009
eBay, Inc.		34,978		1,381,631
Etsy, Inc. (a)		8,017		492,003
Five Below, Inc. (a)		7,152		858,383
Foot Locker, Inc.		17,767		744,793
Garmin Ltd.		14,946		1,192,691

See notes to financial statements.

Victory Portfolios II
VictoryShares US 500 Volatility Wtd ETF

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
General Motors Co.		30,945	$	1,192,311
Genuine Parts Co. (c)		19,566		2,026,646
Grand Canyon Education, Inc. (a)		9,091		1,063,829
Hanesbrands, Inc.		46,265		796,683
Harley-Davidson, Inc. (c)		35,882		1,285,652
Hilton Worldwide Holdings, Inc.		15,650		1,529,631
Hyatt Hotels Corp., Class A		20,528		1,562,797
Kohl's Corp. (c)		15,774		750,054
Lear Corp.		7,848		1,092,991
Leggett & Platt, Inc. (c)		28,064		1,076,816
Lennar Corp., Class A		23,417		1,134,788
LKQ Corp. (a)		52,331		1,392,528
Macy's, Inc.		35,840		769,126
Marriott International, Inc., Class A		10,531		1,477,394
McDonald's Corp.		11,165		2,318,524
Mohawk Industries, Inc. (a)		6,488		956,785
Nordstrom, Inc.		22,190		706,973
Norwegian Cruise Line Holdings Ltd. (a)		21,879		1,173,371
NVR, Inc. (a)		519		1,749,159
Ollie's Bargain Outlet Holdings, Inc. (a)		10,846		944,795
O'Reilly Automotive, Inc. (a)		4,021		1,485,036
Planet Fitness, Inc., Class A (a)		15,858		1,148,754
Pool Corp.		10,985		2,098,135
PulteGroup, Inc.		44,979		1,422,236
PVH Corp.		9,697		917,724
Qurate Retail, Inc. (a)		58,049		719,227
Ralph Lauren Corp.		8,388		952,793
Ross Stores, Inc.		14,877		1,474,608
Royal Caribbean Cruises Ltd.		9,676		1,172,828
Service Corp. International		39,538		1,849,588
Starbucks Corp.		22,692		1,902,270
Tapestry, Inc.		29,640		940,477
Target Corp.		17,932		1,553,091
The Gap, Inc. (c)		49,926		897,170
The Home Depot, Inc.		8,678		1,804,764
The TJX Co., Inc.		32,474		1,717,225
Tiffany & Co.		11,366		1,064,312
Tractor Supply Co.		14,797		1,609,914
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		3,512		1,218,278
VF Corp.		14,000		1,222,901
Yum China Holdings, Inc.		24,016		1,109,539
Yum! Brands, Inc.		22,367		2,475,355
				85,122,795
Consumer Staples (7.3%):
Altria Group, Inc.		26,571		1,258,137
Archer-Daniels-Midland Co.		45,168		1,842,854
Brown-Forman Corp., Class B		32,676		1,811,231
Church & Dwight Co., Inc.		21,099		1,541,493
Colgate-Palmolive Co.		26,928		1,929,930
Conagra Brands, Inc.		43,382		1,150,491

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Constellation Brands, Inc., Class A		7,429	$	1,463,067
Costco Wholesale Corp.		7,029		1,857,484
General Mills, Inc.		31,765		1,668,298
Herbalife Ltd. (a)		35,902		1,535,170
Hormel Foods Corp. (c)		44,273		1,794,827
Ingredion, Inc. (c)		18,368		1,515,176
Keurig Dr Pepper, Inc. (c)		60,585		1,750,907
Kimberly-Clark Corp.		13,594		1,811,808
Lamb Weston Holdings, Inc.		21,907		1,388,028
McCormick & Co., Inc.		11,721		1,816,872
Molson Coors Brewing Co., Class B		20,276		1,135,456
Mondelez International, Inc., Class A		43,840		2,362,976
Monster Beverage Corp. (a)		20,263		1,293,387
PepsiCo, Inc.		17,860		2,341,982
Philip Morris International, Inc.		16,644		1,307,053
Sysco Corp.		26,972		1,907,460
The Clorox Co.		10,267		1,571,980
The Coca-Cola Co.		43,474		2,213,696
The Estee Lauder Cos., Inc., Class A		7,401		1,355,197
The Hershey Co.		19,430		2,604,203
The J.M. Smucker Co.		14,366		1,654,820
The Kroger Co.		44,024		955,761
The Procter & Gamble Co.		17,713		1,942,231
Tyson Foods, Inc., Class A		26,572		2,145,423
US Foods Holding Corp. (a)		39,519		1,413,199
Walgreens Boots Alliance, Inc.		22,782		1,245,492
				53,586,089
Energy (3.1%):
Anadarko Petroleum Corp.		23,075		1,628,172
Cabot Oil & Gas Corp.		46,505		1,067,755
Chevron Corp.		13,618		1,694,624
Cimarex Energy Co.		13,316		790,038
ConocoPhillips		18,596		1,134,356
Continental Resources, Inc. (c)		19,176		807,118
Diamondback Energy, Inc.		10,015		1,091,335
EOG Resources, Inc.		11,676		1,087,736
Exxon Mobil Corp. (b)		22,385		1,715,362
Halliburton Co.		37,275		847,634
HollyFrontier Corp.		18,612		861,363
Marathon Oil Corp.		54,447		773,692
Marathon Petroleum Corp.		18,813		1,051,270
Occidental Petroleum Corp.		20,964		1,054,070
ONEOK, Inc.		21,957		1,510,861
Parsley Energy, Inc., Class A (a)		49,270		936,623
Phillips 66		13,357		1,249,414
Pioneer Natural Resources Co.		7,627		1,173,490
Schlumberger Ltd.		29,546		1,174,158
Valero Energy Corp.		13,855		1,186,127
				22,835,198

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Financials (17.5%):
Aflac, Inc.		38,673	$	2,119,667
Ally Financial, Inc.		54,121		1,677,210
American Express Co.		15,666		1,933,811
Ameriprise Financial, Inc.		8,972		1,302,376
Arch Capital Group Ltd. (a)		58,533		2,170,404
Arthur J. Gallagher & Co.		26,908		2,356,872
Assurant, Inc.		17,483		1,859,842
Bank of America Corp.		50,348		1,460,092
BB&T Corp.		36,515		1,793,982
BlackRock, Inc., Class A		3,246		1,523,348
BOK Financial Corp. (c)		17,780		1,342,034
Brown & Brown, Inc.		72,059		2,413,977
Capital One Financial Corp.		17,992		1,632,594
CBOE Holdings, Inc.		17,903		1,855,288
Chubb Ltd.		14,721		2,168,256
Citigroup, Inc.		22,940		1,606,488
Citizens Financial Group, Inc.		40,535		1,433,318
CME Group, Inc.		11,295		2,192,472
Comerica, Inc.		17,120		1,243,597
Commerce Bank, Inc.		31,875		1,901,663
Credit Acceptance Corp. (a)		2,898		1,402,139
Cullen/Frost Bankers, Inc.		16,393		1,535,368
Discover Financial Services		20,521		1,592,224
E*TRADE Financial Corp.		27,613		1,231,540
East West Bancorp, Inc.		25,744		1,204,047
Erie Indemnity Co., Class A (c)		10,003		2,543,563
FactSet Research Systems, Inc. (c)		7,755		2,222,274
Fifth Third BanCorp.		57,245		1,597,136
First American Financial Corp.		28,842		1,548,815
First Republic Bank		12,581		1,228,535
FNF Group		45,265		1,824,180
Franklin Resources, Inc. (c)		44,614		1,552,567
Hartford Financial Services Group, Inc.		39,618		2,207,515
Huntington Bancshares, Inc.		109,424		1,512,240
Intercontinental Exchange, Inc.		25,219		2,167,321
Invesco Ltd.		67,662		1,384,365
JPMorgan Chase & Co.		17,851		1,995,742
KeyCorp		78,263		1,389,168
Lincoln National Corp.		21,749		1,401,723
LPL Financial Holdings, Inc.		16,353		1,333,914
M&T Bank Corp.		10,101		1,717,877
MarketAxess Holdings, Inc.		6,107		1,962,912
Marsh & McLennan Co., Inc.		19,550		1,950,113
MetLife, Inc.		33,179		1,648,001
Moody's Corp.		7,770		1,517,559
Morgan Stanley		32,346		1,417,078
MSCI, Inc.		6,936		1,656,247
New York Community Bancorp, Inc.		119,138		1,188,997
Northern Trust Corp.		17,171		1,545,390

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
People's United Financial, Inc.		99,665	$	1,672,379
Popular, Inc.		28,788		1,561,461
Principal Financial Group, Inc.		25,638		1,484,953
Prudential Financial, Inc.		15,648		1,580,448
Raymond James Financial, Inc.		16,895		1,428,472
Regions Financial Corp.		87,596		1,308,684
Reinsurance Group of America, Inc.		11,346		1,770,316
S&P Global, Inc.		7,816		1,780,407
Santander Consumer USA Holdings, Inc. (c)		68,967		1,652,449
SEI Investments Co. (c)		28,982		1,625,890
Signature Bank		10,241		1,237,522
State Street Corp.		18,770		1,052,246
SVB Financial Group (a)		3,846		863,773
Synchrony Financial		36,456		1,263,930
Synovus Financial Corp.		35,584		1,245,440
T. Rowe Price Group, Inc.		13,675		1,500,284
TD Ameritrade Holding Corp.		27,443		1,369,955
The Bank of New York Mellon Corp.		35,023		1,546,265
The Charles Schwab Corp.		29,869		1,200,435
The Goldman Sachs Group, Inc.		6,449		1,319,465
The PNC Financial Services Group, Inc.		13,316		1,828,020
The Progressive Corp.		19,479		1,556,956
The Travelers Co., Inc.		14,972		2,238,613
Torchmark Corp.		21,652		1,936,988
U.S. Bancorp		41,332		2,165,797
W.R. Berkley Corp.		40,143		2,646,627
Wells Fargo & Co. (b)		35,747		1,691,548
Zions BanCorp		31,629		1,454,301
				127,449,465
Health Care (10.3%):
Abbott Laboratories (b)		19,294		1,622,625
ABIOMED, Inc. (a)		2,106		548,592
Agilent Technologies, Inc.		17,799		1,329,051
Align Technology, Inc. (a)		2,718		743,917
AmerisourceBergen Corp.		16,584		1,413,952
Amgen, Inc.		8,136		1,499,302
Anthem, Inc.		4,629		1,306,350
Baxter International, Inc. (c)		21,166		1,733,495
Biogen, Inc. (a)		4,051		947,407
Bio-Techne Corp.		6,292		1,311,819
Boston Scientific Corp. (a)		32,258		1,386,449
Bristol-Myers Squibb Co.		22,463		1,018,697
Bruker Corp.		31,178		1,557,341
Centene Corp. (a)		20,052		1,051,527
Cerner Corp.		24,864		1,822,531
Charles River Laboratories International, Inc. (a)		7,821		1,109,800
Cigna Corp.		7,745		1,220,225
Danaher Corp.		12,054		1,722,758
Edwards Lifesciences Corp. (a)		6,201		1,145,573
Encompass Health Corp.		25,032		1,586,028

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Exelixis, Inc. (a)		31,980	$	683,413
Gilead Sciences, Inc.		22,310		1,507,263
HCA Holdings, Inc.		10,364		1,400,902
Henry Schein, Inc. (a)		24,843		1,736,525
Hill-Rom Holdings, Inc.		13,191		1,380,042
Humana, Inc.		4,869		1,291,746
IDEXX Laboratories, Inc. (a)		5,722		1,575,438
Illumina, Inc. (a)		3,035		1,117,335
Intuitive Surgical, Inc. (a)		1,833		961,500
IQVIA Holdings, Inc. (a)		9,629		1,549,306
Jazz Pharmaceuticals PLC (a)		7,535		1,074,190
Johnson & Johnson (b)		12,844		1,788,912
Laboratory Corp. of America Holdings (a)		9,491		1,640,994
Masimo Corp. (a)		10,560		1,571,539
Medtronic PLC		19,968		1,944,684
Merck & Co., Inc.		24,503		2,054,576
Mettler-Toledo International, Inc. (a)		2,146		1,802,641
Molina Healthcare, Inc. (a)		6,412		917,814
Mylan NV (a)		33,416		636,241
PerkinElmer, Inc.		13,249		1,276,409
PRA Health Sciences, Inc. (a)		9,602		952,038
Quest Diagnostics, Inc.		17,835		1,815,780
Regeneron Pharmaceuticals, Inc. (a)		2,818		882,034
ResMed, Inc.		10,337		1,261,424
Stryker Corp.		7,435		1,528,487
The Cooper Co., Inc.		4,558		1,535,545
Thermo Fisher Scientific, Inc.		5,976		1,755,032
United Therapeutics Corp. (a) (c)		9,746		760,773
UnitedHealth Group, Inc.		6,298		1,536,775
Universal Health Services, Inc., Class B		10,935		1,425,815
Varian Medical Systems, Inc. (a)		10,099		1,374,777
Veeva Systems, Inc., Class A (a)		7,564		1,226,200
Vertex Pharmaceuticals, Inc. (a)		6,375		1,169,048
Waters Corp. (a)		5,481		1,179,730
West Pharmaceutical Services, Inc.		13,889		1,738,208
Zoetis, Inc.		16,648		1,889,382
				76,019,957
Industrials (17.4%):
3M Co. (b)		7,617		1,320,331
A.O. Smith Corp.		25,970		1,224,745
Alaska Air Group, Inc.		20,269		1,295,392
Allegion PLC		18,802		2,078,560
Allison Transmission Holdings, Inc.		29,468		1,365,842
AMERCO, Inc.		5,037		1,906,756
American Airlines Group, Inc. (c)		23,282		759,226
AMETEK, Inc.		18,720		1,700,524
Arconic, Inc.		49,205		1,270,473
C.H. Robinson Worldwide, Inc.		18,958		1,599,108
Carlisle Cos., Inc.		12,432		1,745,577
Caterpillar, Inc.		7,514		1,024,083

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Cintas Corp.		7,293	$	1,730,556
Copart, Inc. (a)		18,168		1,357,876
Costar Group, Inc. (a)		2,502		1,386,258
CSX Corp.		20,996		1,624,461
Cummins, Inc.		10,018		1,716,484
Deere & Co.		7,568		1,254,093
Delta Air Lines, Inc.		25,692		1,458,020
Donaldson Co., Inc. (c)		25,276		1,285,537
Dover Corp.		17,327		1,736,166
Eaton Corp. PLC, ADR		20,356		1,695,248
Emerson Electric Co.		22,819		1,522,484
Equifax, Inc.		11,603		1,569,190
Expeditors International of Washington, Inc.		20,962		1,590,177
Fastenal Co.		45,407		1,479,814
FedEx Corp.		6,480		1,063,951
Flowserve Corp.		24,934		1,313,772
Fortive Corp.		19,485		1,588,417
Fortune Brands Home & Security, Inc.		24,454		1,397,057
General Dynamics Corp.		9,310		1,692,744
Graco, Inc.		32,655		1,638,628
Harris Corp.		7,043		1,332,043
HEICO Corp.		15,202		2,034,179
Hexcel Corp.		20,166		1,631,026
Honeywell International, Inc.		13,066		2,281,193
Hubbell, Inc.		10,774		1,404,930
Huntington Ingalls Industries, Inc.		6,298		1,415,413
IAA, Inc. (a)		27,733		1,075,486
IDEX Corp.		10,831		1,864,449
Illinois Tool Works, Inc.		10,700		1,613,667
Ingersoll-Rand PLC		15,903		2,014,433
J.B. Hunt Transport Services, Inc.		13,428		1,227,453
Johnson Controls International PLC		43,850		1,811,444
Kansas City Southern Industries, Inc.		13,854		1,687,694
KAR Auction Services, Inc.		27,733		693,325
Knight-Swift Transportation Holdings, Inc.		25,928		851,476
Lennox International, Inc.		6,706		1,844,150
Lincoln Electric Holdings, Inc.		16,461		1,355,070
Lockheed Martin Corp.		5,061		1,839,875
Masco Corp.		32,697		1,283,030
Nordson Corp.		10,033		1,417,763
Norfolk Southern Corp.		7,800		1,554,774
Northrop Grumman Corp.		4,720		1,525,079
Old Dominion Freight Line, Inc.		7,967		1,189,154
Owens Corning, Inc.		21,419		1,246,586
PACCAR, Inc.		21,966		1,574,084
Parker-Hannifin Corp.		7,974		1,355,660
Raytheon Co.		7,895		1,372,783
Republic Services, Inc., Class A		33,587		2,909,978
Robert Half International, Inc.		16,353		932,285
Rockwell Automation, Inc. (c)		7,783		1,275,089

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Rollins, Inc.		41,009	$	1,470,993
Roper Technologies, Inc.		4,538		1,662,088
Snap-on, Inc.		8,715		1,443,553
Southwest Airlines Co.		22,343		1,134,578
Spirit Aerosystems Holdings, Inc., Class A		14,518		1,181,330
Teledyne Technologies, Inc. (a)		6,476		1,773,582
Textron, Inc.		23,897		1,267,497
The Boeing Co.		2,662		968,995
The Middleby Corp. (a)		11,642		1,579,819
Toro Co. (c)		25,727		1,721,136
TransDigm Group, Inc. (a)		2,810		1,359,478
TransUnion (c)		19,291		1,418,081
Union Pacific Corp.		8,016		1,355,586
United Continental Holdings, Inc. (a)		14,701		1,287,073
United Parcel Service, Inc., Class B		13,206		1,363,784
United Rentals, Inc. (a)		5,983		793,525
United Technologies Corp.		11,940		1,554,588
Verisk Analytics, Inc., Class A		14,114		2,067,136
W.W. Grainger, Inc.		4,100		1,099,743
Wabtec Corp. (c)		13,161		944,433
Waste Management, Inc.		23,211		2,677,853
Woodward, Inc.		11,865		1,342,643
XPO Logistics, Inc. (a) (c)		12,257		708,577
Xylem, Inc.		19,006		1,589,662
				126,770,854
Information Technology (15.2%):
Accenture PLC, Class A		10,285		1,900,359
Adobe Systems, Inc. (a)		3,564		1,050,133
Advanced Micro Devices, Inc. (a)		20,538		623,739
Akamai Technologies, Inc. (a)		15,591		1,249,463
Alliance Data Systems Corp.		6,632		929,342
Amphenol Corp., Class A		17,132		1,643,643
Analog Devices, Inc.		11,221		1,266,514
ANSYS, Inc. (a)		6,738		1,380,077
Apple, Inc. (b)		6,166		1,220,375
Applied Materials, Inc.		23,732		1,065,804
Arrow Electronics, Inc. (a)		17,824		1,270,316
Aspen Technology, Inc. (a)		10,178		1,264,922
Automatic Data Processing, Inc.		10,180		1,683,059
Black Knight, Inc. (a)		26,641		1,602,456
Booz Allen Hamilton Holdings Corp.		30,514		2,020,332
Broadcom, Inc.		3,878		1,116,321
Broadridge Financial Solutions, Inc.		13,443		1,716,402
Cadence Design Systems, Inc. (a)		18,960		1,342,558
CDK Global, Inc.		25,489		1,260,176
CDW Corp. of Delaware		12,773		1,417,803
Ciena Corp. (a)		26,369		1,084,557
Cisco Systems, Inc.		27,128		1,484,715
Citrix Systems, Inc.		19,752		1,938,462
Cognex Corp.		16,065		770,799

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Cognizant Technology Solutions Corp., Class A		20,980	$	1,329,922
Cypress Semiconductor Corp.		64,079		1,425,117
Dolby Laboratories, Inc., Class A (c)		24,905		1,608,863
DXC Technology Co. (c)		14,580		804,087
EPAM Systems, Inc. (a)		7,156		1,238,704
Euronet Worldwide, Inc. (a)		8,101		1,362,912
F5 Networks, Inc. (a)		8,019		1,167,807
Fair Isaac Corp. (a)		4,812		1,511,064
Fidelity National Information Services, Inc.		15,898		1,950,367
Fiserv, Inc. (a) (c)		17,571		1,601,772
FleetCor Technologies, Inc. (a)		5,942		1,668,811
FLIR Systems, Inc. (c)		25,185		1,362,509
Fortinet, Inc. (a)		10,852		833,759
Genpact Ltd.		49,691		1,892,730
Global Payments, Inc.		10,150		1,625,320
GoDaddy, Inc., Class A (a)		13,066		916,580
HP, Inc.		53,186		1,105,737
Intel Corp.		21,987		1,052,518
International Business Machines Corp.		9,900		1,365,210
Intuit, Inc.		4,683		1,223,808
IPG Photonics Corp. (a) (c)		5,242		808,579
Jack Henry & Associates, Inc.		14,314		1,916,931
Juniper Networks, Inc.		52,840		1,407,129
KLA-Tencor Corp.		8,596		1,016,047
Lam Research Corp.		5,149		967,188
Leidos Holdings, Inc.		23,615		1,885,658
Mastercard, Inc., Class A		5,164		1,366,033
Maxim Integrated Products, Inc.		21,261		1,271,833
Microchip Technology, Inc. (c)		11,307		980,317
Micron Technology, Inc. (a)		18,770		724,334
Microsoft Corp. (b)		11,018		1,475,971
Monolithic Power Systems, Inc. (c)		7,156		971,642
Motorola Solutions, Inc.		8,627		1,438,380
National Instruments Corp. (c)		23,397		982,440
NetApp, Inc.		14,453		891,750
Nvidia Corp.		4,019		660,040
ON Semiconductor Corp. (a)		36,270		733,017
Paychex, Inc.		25,267		2,079,221
Paycom Software, Inc. (a)		5,064		1,148,110
PayPal Holdings, Inc. (a)		10,378		1,187,866
PTC, Inc. (a)		11,030		990,053
RealPage, Inc. (a) (c)		16,908		995,036
Sabre Corp.		57,642		1,279,652
Salesforce.com, Inc. (a)		5,660		858,792
Seagate Technology PLC		21,131		995,693
Skyworks Solutions, Inc.		11,922		921,213
Synopsys, Inc. (a)		13,418		1,726,762
TE Connectivity Ltd.		18,229		1,745,974
Teradyne, Inc.		23,417		1,121,908
Texas Instruments, Inc.		10,905		1,251,458

See notes to financial statements.

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Security Description	Shares		Value
The Trade Desk, Inc., Class A (a)		2,658	$	605,439
The Western Union Co. (c)		121,458		2,415,800
Total System Services, Inc.		15,789		2,025,255
Trimble Navigation Ltd. (a)		31,514		1,421,597
Tyler Technologies, Inc. (a)		6,864		1,482,761
Universal Display Corp. (c)		3,716		698,831
VeriSign, Inc. (a)		5,890		1,231,952
Visa, Inc., Class A		8,985		1,559,347
WEX, Inc. (a)		7,073		1,471,891
Xerox Corp.		34,726		1,229,647
Xilinx, Inc.		6,480		764,122
Zebra Technologies Corp., Class A (a)		4,979		1,043,051
				111,098,644
Materials (6.3%):
Air Products & Chemicals, Inc.		10,297		2,330,932
Albemarle Corp. (c)		12,826		903,079
AptarGroup, Inc.		19,972		2,483,318
Avery Dennison Corp.		15,551		1,798,940
Ball Corp.		30,230		2,115,798
Berry Global Group, Inc. (a)		27,546		1,448,644
Celanese Corp., Series A		12,740		1,373,372
CF Industries Holdings, Inc.		22,678		1,059,289
Crown Holdings, Inc. (a)		25,080		1,532,388
DuPont de Nemours, Inc.		15,882		1,192,262
Eastman Chemical Co.		16,747		1,303,419
Ecolab, Inc.		12,141		2,397,119
FMC Corp.		15,013		1,245,328
Freeport-McMoRan, Inc.		60,799		705,876
International Flavors & Fragrances, Inc. (c)		12,096		1,755,009
International Paper Co.		26,259		1,137,540
Lyondellbasell Industries NV, Class A		17,559		1,512,357
Martin Marietta Materials, Inc.		6,659		1,532,302
Nucor Corp.		23,993		1,322,014
Packaging Corp. of America		12,412		1,183,112
PPG Industries, Inc.		12,963		1,512,912
Reliance Steel & Aluminum Co.		18,419		1,742,806
RPM International, Inc.		28,705		1,754,163
Sonoco Products Co.		35,059		2,290,755
Steel Dynamics, Inc.		33,195		1,002,489
The Chemours Co.		23,565		565,560
The Mosaic Co.		34,683		868,115
The Sherwin-Williams Co.		3,477		1,593,474
Vulcan Materials Co.		8,845		1,214,507
Westlake Chemical Corp. (c)		14,857		1,031,967
WestRock Co.		29,987		1,093,626
				45,002,472
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		28,145		1,443,838
Jones Lang LaSalle, Inc.		6,607		929,539
				2,373,377

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Utilities (6.5%):
AES Corp.		89,076	$	1,492,914
Alliant Energy Corp.		46,684		2,291,251
Ameren Corp.		29,052		2,182,096
American Electric Power Co., Inc.		27,841		2,450,286
American Water Works Co., Inc.		19,928		2,311,648
Atmos Energy Corp.		19,822		2,092,411
CMS Energy Corp.		39,728		2,300,648
Consolidated Edison, Inc.		23,919		2,097,218
Dominion Resources, Inc.		28,993		2,241,739
DTE Energy Co.		17,356		2,219,485
Duke Energy Corp.		25,271		2,229,913
Evergy, Inc.		39,313		2,364,677
Eversource Energy		32,479		2,460,609
Exelon Corp.		47,504		2,277,342
NextEra Energy, Inc.		11,588		2,373,918
OGE Energy Corp.		50,657		2,155,962
Pinnacle West Capital Corp.		22,323		2,100,371
PPL Corp. (c)		55,538		1,722,233
Public Service Enterprise Group, Inc.		35,516		2,089,051
UGI Corp.		32,096		1,714,247
WEC Energy Group, Inc.		28,610		2,385,216
Xcel Energy, Inc.		39,954		2,376,864
				47,930,099
Total Common Stocks (Cost $665,067,680)				726,774,585
Collateral for Securities Loaned^ (3.6%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		5,525,643		5,525,643
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		7,117,661		7,117,661
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		184,844		184,844
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		3,038,699		3,038,699
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		4,143,588		4,143,588
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		6,445,817		6,445,817
Total Collateral for Securities Loaned (Cost $26,456,252)				26,456,252
Total Investments (Cost $691,523,932) — 102.9%				753,230,837
Liabilities in excess of other assets — (2.9)%				(21,455,865	)
NET ASSETS — 100.00%			$	731,774,972

^ 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.

(d) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

See notes to financial statements.

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Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		31	9/20/19	$	4,531,062	$	4,563,510	$	32,448
	Total unrealized appreciation							$	32,448
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	32,448

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Common Stocks (99.8%)
Communication Services (2.3%):
Cars.com, Inc. (a)		2,711	$	53,461
Cogent Communications Holdings, Inc.		1,631		96,816
Gray Television, Inc. (a)		2,423		39,713
Loral Space & Communications, Inc. (a)		2,129		73,472
Marcus Corp.		1,862		61,372
MSG Networks, Inc., Class A (a)		2,517		52,203
QuinStreet, Inc. (a)		2,811		44,554
Shenandoah Telecommunications Co.		1,532		59,013
Techtarget, Inc. (a)		2,961		62,921
TEGNA, Inc.		5,482		83,052
Wiley (John) & Sons, Class A		1,488		68,240
				694,817
Consumer Discretionary (14.3%):
Acushnet Holdings Corp.		3,463		90,938
American Outdoor Brands Corp. (a)		2,508		22,597
American Public Education, Inc. (a)		2,225		65,816
America's Car-Mart, Inc. (a)		657		56,555
Asbury Automotive Group, Inc. (a)		1,004		84,677
Beazer Homes USA, Inc. (a)		2,917		28,032
Bed Bath & Beyond, Inc. (b)		2,414		28,051
BJ's Restaurants, Inc.		1,451		63,757
Bloomin' Brands, Inc.		3,327		62,914
Boot Barn Holdings, Inc. (a)		1,357		48,363
Brinker International, Inc.		1,250		49,188
Caleres, Inc.		2,039		40,617
Career Education Corp. (a)		3,518		67,088
Cavco Industries, Inc. (a)		292		46,002
Century Communities, Inc. (a)		2,571		68,337
Conn's, Inc. (a)		1,784		31,791
Dana, Inc.		2,391		47,677
Dave & Buster's Entertainment, Inc.		1,248		50,507
Del Taco Restaurants, Inc. (a)		6,641		85,138
Denny's Corp. (a)		3,232		66,353
Dineequity, Inc.		513		48,976
Dorman Products, Inc. (a)		835		72,761
Ethan Allen Interiors, Inc.		3,618		76,195
Express, Inc. (a)		9,231		25,201
Fox Factory Holding Corp. (a)		755		62,295
Funko, Inc. (a) (b)		1,547		37,468
Group 1 Automotive, Inc.		1,222		100,069
Haverty Furniture Cos., Inc.		3,308		56,335
Helen of Troy Ltd. (a)		685		89,454
Hooker Furniture Corp.		1,803		37,178
Installed Building Products, Inc. (a)		1,044		61,826
International Speedway Corp., Class A		1,632		73,260
J. Jill, Inc. (b)		8,938		17,787
Jack in the Box, Inc.		1,062		86,436

See notes to financial statements.

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Security Description	Shares		Value
La-Z-Boy, Inc.		1,941	$	59,511
LCI Industries		658		59,220
LGI Homes, Inc. (a)		729		52,072
Lithia Motors, Inc.		710		84,334
M/I Homes, Inc. (a)		2,222		63,416
Malibu Boats, Inc., Class A (a)		1,025		39,821
MarineMax, Inc. (a)		2,551		41,938
Mastercraft Boat Holdings, Inc. (a)		1,606		31,462
MDC Holdings, Inc.		2,395		78,508
Meritage Homes Corp. (a)		1,369		70,284
Michaels Cos., Inc. (a)		4,009		34,878
Modine Manufacturing Co. (a)		3,322		47,538
Monarch Casino & Resort, Inc. (a)		1,861		79,539
Monro Muffler Brake, Inc.		877		74,808
Murphy USA, Inc. (a)		1,170		98,315
Nautilus, Inc. (a)		4,658		10,294
Oxford Industries, Inc.		904		68,523
PetMed Express, Inc. (b)		2,333		36,559
Ruth's Hospitality Group, Inc.		3,658		83,073
Sally Beauty Holdings, Inc. (a)		2,738		36,525
Sleep Number Corp. (a)		981		39,623
Stamps.com, Inc. (a)		252		11,408
Standard Motor Products, Inc.		1,347		61,073
Steven Madden Ltd.		2,012		68,307
Stitch Fix, Inc. (a)		959		30,678
Stoneridge, Inc. (a)		2,210		69,726
Sturm Ruger & Co.		1,473		80,249
Taylor Morrison Home Corp., Class A (a)		4,219		88,431
Tenneco, Inc.		1,577		17,489
The Buckle, Inc. (b)		2,578		44,625
The Cheesecake Factory, Inc.		1,832		80,095
The Children's Place, Inc. (b)		545		51,982
Tilly's, Inc.		3,325		25,370
Topbuild Corp. (a)		946		78,291
TRI Pointe Group, Inc. (a)		4,820		57,695
Tupperware Brands Corp.		1,325		25,215
Unifi, Inc. (a)		2,222		40,374
Visteon Corp. (a)		547		32,043
Weight Watchers International, Inc. (a)		1,393		26,606
William Lyon Homes, Class A (a)		3,433		62,584
Wingstop, Inc.		931		88,212
Winnebago Industries, Inc.		1,406		54,342
Zagg, Inc. (a)		3,804		26,476
				4,261,151
Consumer Staples (5.4%):
B&G Foods, Inc. (b)		2,779		57,803
Cal-Maine Foods, Inc.		2,098		87,529
Central Garden & Pet Co., Class A (a)		1,983		48,861
Chefs' Warehouse, Inc. (a)		1,601		56,147
Craft Brew Alliance, Inc. (a)		3,986		55,764

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Elf Beauty, Inc. (a)		4,398	$	62,012
Hostess Brands, Inc. (a)		7,802		112,661
Ingles Markets, Inc., Class A		1,965		61,170
Inter Parfums, Inc.		1,059		70,413
J&J Snack Foods Corp.		544		87,557
John B. Sanfilippo & Son, Inc.		1,084		86,384
Medifast, Inc.		288		36,950
MGP Ingredients, Inc. (b)		814		53,976
Natural Grocers By Vitamin Cottage, Inc. (a)		2,411		24,231
Natural Health Trends Corp.		3,416		27,499
PriceSmart, Inc.		1,063		54,341
Sprouts Farmers Markets, Inc. (a)		2,746		51,872
The Simply Good Foods Co. (a)		3,191		76,839
Tootsie Roll Industries, Inc.		3,299		121,832
Turning Point Brands, Inc.		1,124		55,054
Universal Corp.		1,516		92,127
USANA Health Sciences, Inc. (a)		647		51,391
Vector Group Ltd.		6,312		61,542
WD-40 Co.		446		70,932
Weis Markets, Inc. (b)		1,724		62,770
				1,627,657
Energy (4.0%):
Arch Coal, Inc.		720		67,831
Bonanza Creek Energy, Inc. (a)		2,237		46,709
Cactus, Inc. (a)		1,554		51,469
Callon Petroleum Co. (a)		5,348		35,243
Carrizo Oil & Gas, Inc. (a)		3,481		34,880
Centennial Resource Development, Inc., Class A (a)		4,401		33,404
CNX Resources Corp. (a)		4,914		35,921
Core Laboratories N.V.		901		47,104
Denbury Resources, Inc. (a)		13,553		16,806
Earthstone Energy, Inc., Class A (a)		4,875		29,835
Evolution Petroleum Corp.		6,699		47,898
Exterran Corp. (a)		3,256		46,300
Falcon Minerals Corp.		7,034		59,086
Fts International, Inc. (a)		3,438		19,184
Gulfport Energy Corp. (a)		5,225		25,655
Laredo Petroleum, Inc. (a)		9,449		27,402
Liberty Oilfield Services, Inc.		2,697		43,637
Mammoth Energy Services, Inc.		2,068		14,228
Matador Resources Co. (a)		2,235		44,432
Newpark Resources, Inc. (a)		5,747		42,643
Propetro Holding Corp. (a)		2,404		49,764
Renewable Energy Group, Inc. (a)		1,891		29,991
Rex American Resources Corp. (a)		966		70,421
RPC, Inc. (b)		4,706		33,930
Smart Sand, Inc. (a)		10,337		25,222
Solaris Oilfield Infrastructure, Inc., Class A		2,686		40,236
SRC Energy, Inc. (a)		8,447		41,897
W&T Offshore, Inc. (a)		6,051		30,013

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Whiting Petroleum Corp. (a)		1,483	$	27,702
World Fuel Services Corp.		2,208		79,399
				1,198,242
Financials (24.0%):
1st Source Corp.		1,879		87,186
American Equity Investment Life Holding Co.		2,262		61,436
Ameris Bancorp		1,643		64,389
AMERISAFE, Inc.		1,541		98,270
Artisan Partners Asset Management, Class A		3,028		83,331
Atlantic Union Bankshares Corp.		2,351		83,061
Axos Financial, Inc. (a)		2,097		57,143
BancFirst Corp.		1,759		97,905
Banner Corp.		1,259		68,175
Berkshire Hills Bancorp, Inc.		2,602		81,677
Boston Private Financial Holdings, Inc.		6,845		82,619
Brookline BanCorp, Inc.		5,441		83,683
Capitol Federal Financial, Inc.		9,038		124,454
Centerstate Banks, Inc.		3,080		70,932
City Holding Co.		1,236		94,256
Cohen & Steers, Inc.		2,126		109,361
Columbia Banking System, Inc.		2,272		82,201
Eagle Bancorp, Inc.		1,330		71,993
Employers Holdings, Inc.		1,827		77,227
Encore Capital Group, Inc. (a)		1,694		57,376
Enterprise Financial Services Corp.		1,769		73,590
FB Financial Corp.		1,925		70,455
FBL Financial Group, Inc., Class A		1,502		95,828
Federated Investors, Inc., Class B		2,788		90,610
First BanCorp of Puerto Rico		6,964		76,883
First BanCorp		2,199		80,088
First Busey Corp.		3,772		99,618
First Commonwealth Financial Corp.		4,427		59,632
First Financial Bancorp		2,795		67,695
First Interstate BancSystem, Inc., Class A		2,501		99,064
First Merchants Corp. (b)		2,199		83,342
First Midwest Bancorp, Inc.		3,610		73,897
Flagstar BanCorp, Inc.		2,581		85,534
Fulton Financial Corp.		5,218		85,419
Great Western BanCorp, Inc.		2,269		81,049
Hamilton Lane, Inc.		1,182		67,445
Heartland Financial USA, Inc.		1,912		85,524
Heritage Financial Corp.		2,658		78,517
Hilltop Holdings, Inc.		4,151		88,292
Hope Bancorp, Inc.		5,913		81,481
Independent Bank Corp.		1,011		76,988
Independent Bank Group, Inc.		1,251		68,755
International Bancshares Corp.		2,360		88,996
James River Group Holdings Ltd.		2,217		103,977
Kearny Financial Corp.		7,068		93,934
Kinsale Capital Group, Inc.		1,189		108,770

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Lakeland Financial Corp.		2,101	$	98,389
LegacyTexas Financial Group, Inc.		1,776		72,301
Meta Financial Group, Inc.		3,170		88,919
Moelis & Co., Class A		1,259		44,002
National Bank Holdings Corp.		2,555		92,746
National General Holdings Corp.		2,590		59,415
National Western Life Group, Inc., Class A		331		85,067
Navient Corp.		5,121		69,902
NBT Bancorp, Inc.		2,393		89,761
Nelnet, Inc., Class A		1,670		98,897
NMI Holdings, Inc., Class A (a)		2,178		61,833
Northwest Bancshares, Inc.		6,046		106,470
Oceanfirst Financial Corp.		4,303		106,930
OFG BanCorp		3,089		73,426
Pacific Premier Bancorp, Inc.		2,126		65,651
Park National Corp.		812		80,705
Piper Jaffray		1,151		85,485
PJT Partners, Inc.		1,423		57,660
PRA Group, Inc. (a)		1,893		53,269
Provident Financial Services, Inc.		3,281		79,564
Renasant Corp.		1,982		71,233
S&T Bancorp, Inc.		2,221		83,243
Safety Insurance Group, Inc.		1,193		113,489
Sandy Spring BanCorp		2,638		92,013
Seacoast Banking Corp. of Florida (a)		2,576		65,533
ServisFirst Bancshares, Inc. (b)		2,447		83,834
Simmons First National Corp., Class A		2,964		68,943
South State Corp.		1,162		85,605
Southside Bancshares, Inc.		2,433		78,781
Tompkins Financial Corp.		891		72,706
Towne Bank		3,153		86,014
Trico Bancshares		2,374		89,737
Trustmark Corp.		2,735		90,939
United Community Banks, Inc.		2,914		83,224
Veritex Holdings, Inc.		2,267		58,829
Waddell & Reed Financial, Inc., Class A		4,109		68,497
Walker & Dunlop, Inc.		1,014		53,955
Washington Federal, Inc.		3,313		115,723
Washington Trust BanCorp, Inc.		1,912		99,767
WesBanco, Inc.		2,270		87,509
Westamerica BanCorp (b)		1,487		91,614
WSFS Financial Corp.		2,078		85,821
				7,199,459
Health Care (5.9%):
Addus HomeCare Corp. (a)		857		64,232
AMN Healthcare Services, Inc. (a)		1,057		57,342
Ani Pharmaceuticals, Inc. (a)		964		79,241
Atrion Corp.		126		107,444
Biospecifics Technologies Corp. (a)		803		47,947
Biotelemetry, Inc. (a)		532		25,616

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Cambrex Corp. (a)		1,345	$	62,960
Computer Programs & Systems		2,017		56,052
CONMED Corp.		1,008		86,255
Corcept Therapeutics, Inc. (a)		2,514		28,031
CorVel Corp. (a)		1,163		101,193
Eagle Pharmaceuticals, Inc. (a)		956		53,230
Enanta Pharmaceuticals, Inc. (a)		439		37,043
Innoviva, Inc. (a) (b)		3,686		53,668
Inogen, Inc. (a)		344		22,965
Integer Holdings Corp. (a)		693		58,157
Iradimed Corp. (a)		1,524		31,166
Lantheus Holdings, Inc. (a)		2,100		59,430
Lemaitre Vascular, Inc.		1,400		39,172
Mednax, Inc. (a)		2,748		69,332
Medpace Holdings, Inc. (a)		720		47,102
Meridian Bioscience, Inc.		3,944		46,855
Phibro Animal Health Corp., Class A		2,460		78,154
Repligen Corp. (a)		887		76,238
Select Medical Holdings Corp. (a)		3,334		52,911
Staar Surgical Co. (a)		1,099		32,289
Supernus Pharmaceuticals, Inc. (a)		1,118		36,995
The Ensign Group, Inc.		1,046		59,538
Tivity Health, Inc. (a)		2,020		33,209
US Physical Therapy, Inc.		671		82,244
Vanda Pharmaceuticals, Inc. (a)		1,587		22,361
Varex Imaging Corp. (a)		1,868		57,254
				1,765,626
Industrials (24.3%):
AAON, Inc.		1,593		79,937
AAR Corp.		1,673		61,550
ABM Industries, Inc.		1,646		65,840
Acco Brands Corp.		5,727		45,071
Aerojet Rocketdyne Holdings, Inc. (a)		1,532		68,588
Aerovironment, Inc. (a)		548		31,110
Aircastle Ltd.		4,310		91,631
Alamo Group, Inc.		893		89,237
Albany International Corp., Class A		1,019		84,485
Allegiant Travel Co.		435		62,423
Ameresco, Inc. (a)		3,187		46,945
American Woodmark Corp. (a)		709		59,996
Apogee Enterprises, Inc.		1,739		75,542
Applied Industrial Technologies, Inc.		1,294		79,620
ArcBest Corp.		1,399		39,326
Argan, Inc.		1,125		45,630
Astronics Corp.		1,822		73,281
Atkore International Group, Inc. (a)		2,192		56,707
AZZ, Inc.		1,609		74,046
Barnes Group, Inc.		1,477		83,214
BMC Stock Holdings, Inc. (a)		3,591		76,129
Brady Corp., Class A		1,839		90,699

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Builders FirstSource, Inc. (a)		3,456	$	58,268
Chart Industries, Inc. (a)		686		52,740
Comfort Systems USA, Inc.		1,461		74,496
Continental Building Products, Inc. (a)		2,497		66,345
Dmc Global, Inc.		726		45,992
DXP Enterprise, Inc. (a)		1,462		55,395
Echo Global Logistics, Inc. (a)		2,520		52,592
Encore Wire Corp.		1,305		76,447
Ennis, Inc.		4,175		85,671
ESCO Technologies, Inc.		1,313		108,479
Exponent, Inc.		1,508		88,278
Federal Signal Corp.		2,930		78,378
Forward Air Corp.		1,190		70,389
Franklin Electric Co., Inc.		1,425		67,688
FTI Consulting, Inc. (a)		907		76,043
GATX Corp.		979		77,625
Gibraltar Industries, Inc. (a)		1,897		76,563
Global Brass & Copper Holdings, Inc.		2,072		90,609
GMS, Inc. (a)		2,265		49,830
Gorman-Rupp Co.		1,837		60,309
H&E Equipment Services, Inc.		1,340		38,981
Harsco Corp. (a)		2,026		55,593
Hawaiian Holdings, Inc.		1,614		44,272
Healthcare Services Group (b)		1,870		56,698
Heartland Express, Inc.		4,359		78,767
Heidrick & Struggles International, Inc.		847		25,385
Helios Technologies, Inc.		810		37,592
Herman Miller, Inc.		2,234		99,860
HNI Corp.		1,775		62,800
Hub Group, Inc., Class A (a)		1,384		58,100
ICF International, Inc.		1,028		74,838
Interface, Inc.		4,028		61,749
Jeld-Wen Holding, Inc. (a)		2,204		46,791
John Bean Technologies Corp.		630		76,312
Kadant, Inc.		908		82,455
Kaman Corp., Class A		1,322		84,198
KBR, Inc.		2,896		72,226
Kforce, Inc.		1,798		63,092
Kimball International, Inc., Class B		5,046		87,952
Knoll, Inc.		4,087		93,919
Lindsay Corp.		640		52,614
Marten Transport Ltd.		4,001		72,618
Matson, Inc.		1,672		64,957
Matthews International Corp., Class A		1,469		51,195
McGrath RentCorp		1,099		68,303
Meritor, Inc. (a)		2,420		58,685
Milacron Holdings Corp. (a)		4,165		57,477
MRC Global, Inc. (a)		3,241		55,486
Mueller Industries, Inc.		1,792		52,452
MYR Group, Inc. (a)		2,239		83,627

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
National Presto Industries, Inc.		679	$	63,344
Now, Inc. (a)		3,221		47,542
NV5 Global, Inc. (a)		711		57,875
Patrick Industries, Inc. (a)		1,169		57,503
PGT, Inc. (a)		3,280		54,842
Pitney Bowes, Inc.		6,168		26,399
Primoris Services Corp.		3,204		67,060
Raven Industries, Inc.		1,962		70,397
Resources Connection, Inc.		3,333		53,361
Rush Enterprises, Inc., Class A		1,734		63,326
Saia, Inc. (a)		904		58,462
Simpson Manufacturing Co., Inc.		1,480		98,360
SkyWest, Inc.		1,066		64,674
SP Plus Corp. (a)		2,529		80,751
SPX Corp. (a)		1,819		60,063
Standex International Corp.		718		52,515
Steelcase, Inc., Class A		3,584		61,286
Systemax, Inc.		1,678		37,184
Tennant Co.		1,112		68,054
The Greenbrier Cos., Inc.		1,392		42,317
Thermon Group Holdings, Inc. (a)		2,878		73,821
TriMas Corp. (a)		2,582		79,965
Triton International Ltd.		1,830		59,951
TrueBlue, Inc. (a)		3,001		66,202
UniFirst Corp.		609		114,840
Universal Forest Products, Inc.		2,336		88,908
Universal Logistics Holdings, Inc.		2,605		58,534
US Ecology, Inc.		1,397		83,177
Valmont Industries, Inc.		580		73,550
Vectrus, Inc. (a)		2,535		102,819
Vicor Corp. (a)		1,100		34,155
Wabash National Corp.		3,243		52,764
Watts Water Technologies, Inc., Class A		891		83,023
Welbilt, Inc. (a)		2,938		49,065
Werner Enterprises, Inc.		2,311		71,826
Wesco Aircraft Holdings, Inc. (a)		5,862		65,068
WESCO International, Inc. (a)		1,396		70,707
				7,225,828
Information Technology (10.9%):
Advanced Energy Industries, Inc. (a)		996		56,045
American Software, Inc.		4,576		60,174
Amkor Technology, Inc. (a)		5,125		38,233
Anixter International, Inc. (a)		1,137		67,890
AppFolio, Inc. (a)		768		78,543
Axcelis Technologies, Inc. (a)		2,337		35,172
Badger Meter, Inc.		1,485		88,640
Brooks Automation, Inc.		1,477		57,234
Casa Systems, Inc. (a)		4,184		26,903
Cass Information Systems, Inc.		1,839		89,155
Cohu, Inc.		2,646		40,828

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Comtech Telecommunications Corp.		2,049	$	57,597
CoreLogic, Inc. (a)		2,250		94,118
CSG Systems International, Inc.		1,762		86,038
CTS Corp.		2,427		66,937
Diodes, Inc. (a)		1,248		45,390
Ebix, Inc.		818		41,080
ePlus, Inc. (a)		916		63,149
Evertec, Inc.		1,822		59,579
Exl Service Holdings, Inc. (a)		1,449		95,822
Fabrinet (a)		904		44,902
FormFactor, Inc. (a)		2,359		36,966
Ichor Holdings Ltd. (a)		1,948		46,051
II-VI, Inc. (a)		839		30,674
Insight Enterprises, Inc. (a)		1,087		63,263
InterDigital, Inc.		1,454		93,638
KEMET Corp.		1,805		33,952
ManTech International Corp., Class A		1,353		89,095
Mesa Laboratories, Inc.		461		112,641
MicroStrategy, Inc., Class A (a)		594		85,127
MTS Systems Corp.		1,578		92,360
Nanometrics, Inc. (a)		2,139		74,244
NIC, Inc.		3,667		58,819
OSI Systems, Inc. (a)		839		94,497
PC Connection, Inc.		968		33,861
PCM, Inc. (a)		1,217		42,644
Perficient, Inc. (a)		2,697		92,561
Photronics, Inc. (a)		6,480		53,136
Plexus Corp. (a)		1,311		76,523
Power Integrations, Inc.		763		61,177
Presidio, Inc.		3,775		51,604
Progress Software Corp.		1,776		77,469
Rogers Corp. (a)		317		54,708
Rudolph Technologies, Inc. (a)		2,629		72,638
Sanmina Corp. (a)		1,866		56,502
ScanSource, Inc. (a)		1,981		64,501
Smart Global Holdings, Inc. (a)		1,046		24,048
SPS Commerce, Inc. (a)		502		51,309
Sykes Enterprises, Inc. (a)		2,319		63,680
TTM Technologies, Inc. (a)		4,776		48,715
Unisys Corp. (a) (b)		3,776		36,703
Zix Corp. (a)		5,244		47,668
				3,214,203
Materials (5.4%):
Advansix, Inc. (a)		1,643		40,138
AK Steel Holding Corp. (a)		14,066		33,336
American Vanguard Corp.		3,510		54,089
Balchem Corp.		942		94,171
Carpenter Technology Corp.		1,124		53,930
Chase Corp.		656		70,612

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Clearwater Paper Corp. (a)		1,896	$	35,057
Commercial Metals Co.		3,585		63,992
Ferro Corp. (a)		3,173		50,133
Futurefuel Corp.		3,308		38,671
Greif, Inc., Class A		1,355		44,105
H.B. Fuller Co.		1,442		66,909
Innophos Holdings, Inc.		1,757		51,146
Innospec, Inc.		849		77,463
Kaiser Aluminum Corp.		616		60,128
Kronos Worldwide, Inc.		3,003		46,006
Minerals Technologies, Inc.		1,188		63,570
PolyOne Corp.		2,108		66,170
PQ Group Holdings, Inc. (a)		4,128		65,429
Rayonier Advanced Materials, Inc. (b)		3,347		21,722
Ryerson Holding Corp. (a)		5,375		44,774
Schnitzer Steel Industries, Inc.		2,388		62,494
Schweitzer-Mauduit International, Inc.		1,604		53,221
Sensient Technologies Corp.		1,200		88,176
Stepan Co.		961		88,326
SunCoke Energy, Inc. (a)		5,459		48,476
Warrior Met Coal, Inc.		2,109		55,087
Worthington Industries, Inc.		1,839		74,038
				1,611,369
Real Estate (1.0%):
Four Corners Property Trust, Inc.		4,063		111,042
HFF, Inc., Class A		1,501		68,265
Marcus & Millichap, Inc. (a)		2,301		70,986
The RMR Group, Inc.		715		33,591
				283,884
Utilities (2.3%):
American States Water Co.		1,462		110,001
Chesapeake Utilities Corp.		939		89,224
MGE Energy, Inc.		1,419		103,700
Middlesex Water Co.		1,078		63,872
Otter Tail Corp.		1,944		102,663
SJW Corp.		1,398		84,956
Unitil Corp.		1,756		105,167
				659,583
Total Common Stocks (Cost $31,460,569)				29,741,819
Rights (0.0%) (c)
Materials (0.0%): (c)
Schulman, Inc. (a) (d) (e) (f)		1,471		2,942
Total Right (Cost $2,942)				2,942

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Collateral for Securities Loaned^ (2.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (g)		131,498	$	131,498
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (g)		169,385		169,385
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (g)		4,399		4,399
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (g)		72,314		72,314
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (g)		98,608		98,608
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (g)		153,396		153,396
Total Collateral for Securities Loaned (Cost $629,600)				629,600
Total Investments (Cost $32,093,111) — 101.9%				30,374,361
Liabilities in excess of other assets — (1.9)%				(560,416	)
NET ASSETS — 100.00%			$	29,813,945

^ Purchased with cash collateral from securities on loan.

(a) Non-income producing security.

(b) All or a portion of this security is on loan.

(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2019.

(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, 2019, illiquid securities were 0.0% of the Fund's net assets.

(f) No explicit date, expiration is subject to contingencies. Rights entitle the Fund to cash based on approval and completion of the merger agreement between LyondellBasell Industries N.V. and A. Schulman.

(g) Rate disclosed is the daily yield on June 30, 2019.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		1	9/20/19	$	76,454	$	78,355	$	1,901
	Total unrealized appreciation							$	1,901
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	1,901

See notes to financial statements.

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Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (99.0%)
Australia (6.5%):
Communication Services (0.2%):
Telstra Corp. Ltd.		31,608	$	85,415
Consumer Discretionary (0.2%):
Aristocrat Leisure Ltd.		3,213		69,280
Consumer Staples (0.6%):
Wesfarmers Ltd.		3,352		85,076
Woolworths Ltd.		5,421		126,441
				211,517
Energy (0.7%):
Oil Search Ltd.		11,325		56,200
Origin Energy Ltd.		11,472		58,862
Santos Ltd.		11,281		56,061
Woodside Petroleum Ltd.		2,979		76,027
				247,150
Financials (2.2%):
Asx Ltd.		2,166		125,229
Australia & New Zealand Banking Group Ltd.		3,757		74,391
Commonwealth Bank of Australia		1,711		99,415
Insurance Australia Group Ltd.		15,060		87,313
Macquarie Group Ltd.		804		70,761
National Australia Bank Ltd.		5,651		105,983
QBE Insurance Group Ltd.		9,155		76,019
Suncorp Group Ltd.		8,976		84,865
Westpac Banking Corp.		4,105		81,714
				805,690
Health Care (0.7%):
CSL Ltd.		468		70,626
Ramsay Health Care Ltd.		1,778		90,154
Sonic Healthcare Ltd.		4,927		93,719
				254,499
Industrials (0.5%):
Brambles Ltd.		11,899		107,573
Cimic Group Ltd.		1,852		58,197
				165,770
Materials (1.2%):
BHP Billiton Ltd.		2,784		80,431
BHP Group PLC		2,412		61,710
Fortescue Metals Group Ltd.		11,439		72,422
Newcrest Mining Ltd.		4,520		101,364
RIO Tinto Ltd.		1,046		76,180
South32 Ltd.		19,403		43,308
				435,415

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Utilities (0.2%):
AGL Energy Ltd.		5,844	$	82,079
				2,356,815
Austria (0.3%):
Energy (0.2%):
OMV AG		1,156		56,311
Financials (0.1%):
Erste Group Bank AG		1,478		54,842
				111,153
Belgium (1.8%):
Communication Services (0.2%):
Proximus SADP		2,686		79,145
Consumer Staples (0.4%):
Anheuser-Busch InBev SA/NV		775		68,579
Colruyt SA		1,602		92,879
				161,458
Financials (0.7%):
Ageas		1,919		99,717
Groupe Bruxelles Lambert SA		977		95,827
KBC Groep NV		928		60,808
				256,352
Health Care (0.2%):
UCB SA		915		75,850
Materials (0.3%):
Solvay SA		512		53,024
Umicore SA		1,200		38,470
				91,494
				664,299
Bermuda (0.4%):
Industrials (0.2%):
Jardine Matheson Holdings Ltd.		900		56,718
Real Estate (0.2%):
Hongkong Land Holdings Ltd.		12,700		81,788
				138,506
Canada (10.7%):
Communication Services (1.1%):
BCE, Inc.		2,930		133,320
Rogers Communications, Inc.		2,175		116,441
TELUS Corp.		4,199		155,242
				405,003
Consumer Discretionary (0.5%):
Dollarama, Inc.		1,642		57,773
Magna International, Inc.		1,085		53,993

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Restaurant Brands International, Inc.		995	$	69,203
				180,969
Consumer Staples (1.4%):
Alimentation Couche-Tard, Inc., Class B		1,565		98,497
George Weston Ltd.		1,477		112,089
Loblaw Cos. Ltd.		1,975		101,133
Metro, Inc.		2,788		104,630
Saputo, Inc.		2,660		79,633
				495,982
Energy (1.0%):
Canadian Natural Resources Ltd.		1,817		48,998
Husky Energy, Inc.		3,956		37,493
Imperial Oil Ltd.		2,570		71,169
Pembina Pipeline Corp.		2,619		97,507
TC Energy Corp.		2,120		105,110
				360,277
Financials (4.2%):
Bank of Montreal		1,616		122,082
Brookfield Asset Management, Inc.		2,036		97,415
Canadian Imperial Bank of Commerce (a)		1,620		127,408
Great-West Lifeco, Inc.		4,255		97,975
Intact Financial Corp.		1,320		122,000
Manulife Financial Corp.		3,809		69,233
National Bank of Canada		3,282		155,929
Power Corp. of Canada		5,093		109,725
Power Financial Corp. (a)		5,148		118,419
Royal Bank of Canada (a)		1,657		131,697
Sun Life Financial, Inc.		2,384		98,735
The Bank of Nova Scotia (a)		2,263		121,567
The Toronto-Dominion Bank		2,382		139,201
				1,511,386
Industrials (0.5%):
Canadian National Railway Co.		942		87,193
Canadian Pacific Railway Ltd.		329		77,496
				164,689
Information Technology (0.6%):
CGI, Inc. (b)		1,304		100,265
Constellation Software, Inc.		53		49,958
Open Text Corp.		2,083		85,967
				236,190
Materials (0.3%):
Franco-Nevada Corp.		888		75,379
Teck Resources Ltd., Class B		1,878		43,343
				118,722
Utilities (1.1%):
Emera, Inc.		3,203		130,894

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Fortis, Inc.		3,646	$	143,986
Hydro One Ltd. (c)		7,008		122,241
				397,121
				3,870,339
Denmark (1.9%):
Consumer Staples (0.3%):
Carlsberg A/S, Class B		869		115,236
Financials (0.1%):
Danske Bank A/S		2,404		38,008
Health Care (0.7%):
Coloplast A/S		773		87,381
Genmab A/S (b)		269		49,478
H. Lundbeck A/S		782		30,900
Novo Nordisk A/S, Class B		1,490		75,951
				243,710
Industrials (0.5%):
A.P. Moeller-Maersk, Class B		35		43,426
DSV A/S		767		75,342
Vestas Wind Systems A/S		675		58,323
				177,091
Materials (0.3%):
Christian Hansen Holding A/S		636		59,740
Novozymes A/S, B Shares		1,379		64,325
				124,065
				698,110
Finland (1.5%):
Energy (0.2%):
Neste Oyj		1,803		61,162
Financials (0.4%):
Nordea Bank AB		8,686		63,091
Sampo Oyj, Class A		2,238		105,583
				168,674
Industrials (0.4%):
Kone Oyj, Class B		1,583		93,397
Wartsila Oyj ABP, Class B		3,489		50,590
				143,987
Materials (0.3%):
Stora ENSO Oyj, R Shares		3,671		43,130
UPM-Kymmene Oyj		2,009		53,373
				96,503
Utilities (0.2%):
Fortum Oyj		2,987		65,994
				536,320

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
France (9.2%):
Communication Services (0.5%):
Orange SA		7,672	$	120,924
Publicis Groupe SA		1,009		53,257
				174,181
Consumer Discretionary (1.6%):
Accor SA		1,861		79,864
Cie Generale des Etablissements Michelin		400		50,724
Hermes International		118		85,073
Kering		82		48,483
LVMH Moet Hennessy Louis Vuitton SA		163		69,357
PSA Peugeot Citroen		2,097		51,659
Renault SA		909		57,134
Seb SA		261		46,909
Sodexo SA		736		86,011
				575,214
Consumer Staples (0.8%):
Danone SA		1,339		113,402
L'Oreal SA		326		92,835
Pernod Ricard SA		510		93,952
				300,189
Energy (0.2%):
Total SA		1,496		83,800
Financials (0.9%):
BNP Paribas SA		1,319		62,624
CNP Assurances		4,025		91,330
Credit Agricole SA		4,961		59,470
Natixis SA (a)		11,194		45,035
Societe Generale SA		2,029		51,252
				309,711
Health Care (1.0%):
BioMerieux		642		53,168
Essilor International SA		813		106,055
Ipsen SA		389		53,066
Sanofi		1,090		94,061
Sartorius Stedim Biotech		378		59,601
				365,951
Industrials (3.0%):
Aeroports de Paris		397		70,043
Airbus Group SE		477		67,608
Alstom SA		1,638		75,973
Bollore SA (a)		14,753		65,073
Bouygues		1,462		54,132
Bureau Veritas SA		2,844		70,222
Edenred		1,305		66,551
Eiffage SA		848		83,811

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Groupe Eurotunnel SE		5,753	$	92,149
Legrand SA		1,169		85,450
Safran SA		460		67,379
Schneider Electric SA		836		75,801
Teleperformance		324		64,899
Thales SA		584		72,132
Vinci SA		886		90,709
				1,101,932
Information Technology (0.4%):
Atos SE		479		40,034
Cap Gemini SA		425		52,831
Dassault Systemes SA		334		53,271
				146,136
Materials (0.3%):
Air Liquide SA		801		112,047
Utilities (0.5%):
GDF Suez (a)		5,107		77,447
Veolia Environnement SA		3,895		94,845
				172,292
				3,341,453
Germany (5.4%):
Consumer Discretionary (0.5%):
Bayerische Motoren Werke AG		925		68,445
Continental AG		317		46,206
Daimler AG, Registered Shares		1,034		57,509
				172,160
Consumer Staples (0.3%):
Beiersdorf AG		904		108,471
Financials (1.6%):
Allianz SE		421		101,462
Commerzbank AG		5,022		36,075
Deutsche Boerse AG		700		98,993
Hannover Rueck SE		669		108,146
Muenchener Rueckversicherungs-Gesellschaft AG		454		113,905
Talanx AG		2,338		101,264
				559,845
Health Care (0.4%):
Fresenius Medical Care AG & Co. KGaA		554		43,481
Fresenius SE & Co. KGaA		683		37,020
Merck KGaA		747		78,092
				158,593
Industrials (0.8%):
Deutsche Post AG		2,497		82,035
Hochtief AG		465		56,615
MTU Aero Engines Holding AG		252		60,016

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Siemens AG		800	$	95,128
				293,794
Information Technology (0.4%):
Infineon Technologies AG		2,109		37,281
SAP SE		644		88,409
Wirecard AG		151		25,414
				151,104
Materials (0.7%):
BASF SE		932		67,723
Covestro AG (c)		687		34,918
Evonik Industries AG		2,418		70,396
Symrise AG		884		85,058
				258,095
Real Estate (0.5%):
Deutsche Wohnen AG		2,206		80,926
Vonovia SE		2,006		95,778
				176,704
Utilities (0.2%):
E.ON AG		7,946		86,274
				1,965,040
Hong Kong (5.5%):
Consumer Discretionary (0.2%):
Galaxy Entertainment Group Ltd.		6,000		40,441
Techtronic Industries Co. Ltd.		6,000		45,933
				86,374
Consumer Staples (0.2%):
Sun Art Retail Group Ltd.		44,500		42,156
WH Group Ltd. (c)		44,000		44,612
				86,768
Financials (0.8%):
AIA Group Ltd.		6,200		66,870
Hang Seng Bank		3,500		87,149
Hong Kong Exchanges and Clearing Ltd.		1,900		67,084
The Bank of East Asia Ltd.		22,000		61,538
				282,641
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		34,000		34,777
Industrials (0.8%):
CK Hutchison Holdings Ltd.		7,500		73,930
MTR Corp. Ltd.		21,500		144,776
NWS Holdings Ltd.		26,000		53,455
				272,161
Real Estate (1.9%):
CK Asset Holdings Ltd.		7,703		60,302

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Hang Lung Properties Ltd.		34,000	$	80,872
Henderson Land Development Co. Ltd.		16,840		92,808
New World Development Co. Ltd.		45,000		70,397
Sino Land Co. Ltd.		38,000		63,727
Sun Hung KAI Properties Ltd.		3,500		59,368
Swire Pacific Ltd., Class A		5,500		67,594
The Wharf Holdings Ltd.		23,000		60,949
Wharf Real Estate Investment		11,000		77,521
Wheelock & Co. Ltd.		9,000		64,521
				698,059
Utilities (1.5%):
China Gas Holdings Ltd.		13,400		49,834
CK Infrastructure Holdings Ltd.		11,500		93,780
CLP Holdings Ltd.		8,000		88,281
Hong Kong & China Gas Co. Ltd.		69,233		153,508
Power Assets Holdings Ltd.		19,000		136,698
				522,101
				1,982,881
Ireland (1.2%):
Communication Services (0.2%):
WPP PLC		4,632		58,236
Consumer Staples (0.2%):
Kerry Group PLC		744		88,807
Industrials (0.6%):
DCC PLC		706		62,928
Experian PLC		2,901		87,812
Kingspan Group PLC		1,077		58,474
				209,214
Materials (0.2%):
CRH PLC		1,903		62,066
				418,323
Israel (0.3%):
Financials (0.3%):
Bank Leumi Le-Israel B.M.		14,274		103,118
Italy (2.2%):
Consumer Discretionary (0.1%):
Moncler SpA		1,204		51,464
Consumer Staples (0.2%):
Davide Campari — Milano SpA		7,114		69,671
Energy (0.5%):
Eni SpA		5,124		85,080
Snam SpA		17,899		88,939
				174,019

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (0.6%):
Assicurazioni Generali SpA		6,214	$	116,981
Intesa Sanpaolo SpA		20,859		44,627
UniCredit SpA		3,452		42,484
				204,092
Industrials (0.2%):
Atlantia SpA		3,187		83,003
Utilities (0.6%):
Enel SpA		16,803		117,285
Terna Rete Elettrica Nazionale SpA		15,789		100,514
				217,799
				800,048
Japan (19.1%):
Communication Services (1.1%):
KDDI Corp.		2,500		63,625
Nexon Co. Ltd. (b)		2,300		33,327
Nintendo Co. Ltd.		200		73,265
Nippon Telegraph & Telephone Corp.		1,100		51,194
NTT DOCOMO, Inc.		2,800		65,260
SoftBank Group Corp.		800		38,330
Yahoo Japan Corp.		18,800		55,109
				380,110
Consumer Discretionary (3.9%):
Aisin Seiki Co. Ltd.		1,400		48,182
Bandai Namco Holdings, Inc.		1,100		53,367
Bridgestone Corp.		2,000		78,701
Denso Corp.		1,600		67,280
Fast Retailing Co. Ltd.		100		60,418
Hikari Tsushin, Inc.		400		87,161
Honda Motor Co. Ltd.		2,300		59,420
Isuzu Motors Ltd.		3,800		43,252
Koito Manufacturing Co. Ltd.		900		48,006
Mitsubishi Motors Corp.		10,600		50,738
Nissan Motor Co. Ltd.		10,300		73,724
Nitori Holdings Co. Ltd.		200		26,494
Oriental Land Co. Ltd.		400		49,499
Pan Pacific International Holdings Corp.		500		31,725
Panasonic Corp.		6,900		57,453
Rakuten, Inc.		7,000		83,117
Sekisui House Ltd.		6,000		98,822
Shimano, Inc.		500		74,351
Sumitomo Electric Industries Ltd.		5,000		65,608
Suzuki Motor Corp.		1,300		61,069
Toyota Industries Corp.		1,200		66,011
Toyota Motor Corp.		1,200		74,449
Yamaha Corp.		1,100		52,245
				1,411,092

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Consumer Staples (1.7%):
Asahi Group Holdings Ltd.		1,500	$	67,416
Japan Tobacco, Inc.		3,900		86,086
Kao Corp.		500		38,080
Kikkoman Corp.		1,200		52,208
Kirin Holdings Co. Ltd.		2,800		60,351
Kose Corp.		300		50,288
MEIJI Holdings Co. Ltd.		600		42,857
Seven & i Holdings Co. Ltd.		1,900		64,297
Suntory Beverage & Food Ltd.		1,400		60,844
Uni-Charm Corp.		1,900		57,176
Yakult Honsha Co. Ltd.		600		35,343
				614,946
Financials (2.2%):
Japan Post Bank Co. Ltd.		10,100		102,499
Japan Post Holdings Co. Ltd.		10,700		121,094
Mitsubishi UFJ Financial Group, Inc.		15,900		75,518
Mizuho Financial Group, Inc.		75,000		108,604
ORIX Corp.		5,500		82,041
Resona Holdings, Inc.		17,100		71,160
Sumitomo Mitsui Financial Group, Inc.		2,500		88,265
Sumitomo Mitsui Trust Holdings, Inc.		2,100		76,091
The Dai-ichi Life Insurance Co. Ltd.		4,000		60,297
				785,569
Health Care (1.5%):
Astellas Pharma, Inc.		3,700		52,685
Chugai Pharmaceutical Co. Ltd.		800		52,245
Eisai Co. Ltd.		800		45,202
Hoya Corp.		600		45,941
Kyowa Hakko Kirin Co. Ltd.		3,500		62,955
M3, Inc.		2,100		38,357
ONO Pharmaceutical Co. Ltd.		3,000		53,766
Otsuka Holdings Co. Ltd.		1,200		39,139
Shionogi & Co. Ltd.		800		46,078
Sysmex Corp.		800		52,148
Taisho Pharmaceutical Holdings		600		46,030
				534,546
Industrials (4.6%):
Central Japan Railway Co.		400		80,074
Daikin Industries Ltd.		100		13,047
East Japan Railway Co.		600		56,104
FANUC Corp.		400		73,952
Hankyu Hanshin Holdings, Inc.		2,000		71,614
ITOCHU Corp.		4,100		78,368
Japan Airlines Co. Ltd.		2,400		76,653
Komatsu Ltd.		1,900		45,826
Kubota Corp.		4,100		68,194
Makita Corp.		1,600		54,323

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Marubeni Corp.		7,700	$	50,929
Mitsubishi Corp.		2,800		73,766
Mitsubishi Electric Corp.		4,800		63,184
Mitsubishi Heavy Industries Ltd.		2,600		113,141
Mitsui & Co. Ltd.		4,600		74,846
Nidec Corp.		500		68,298
Recruit Holdings Co. Ltd.		1,800		60,011
Secom Co. Ltd.		800		68,824
SG Holdings Co. Ltd.		2,000		56,679
SMC Corp.		100		37,263
Sumitomo Corp.		5,400		81,776
Taisei Corp.		1,100		39,949
Tokyu Corp.		4,500		79,773
Toyota Tsusho Corp.		1,700		51,489
West Japan Railway Co.		1,000		80,853
Yamato Holdings Co. Ltd.		2,000		40,649
				1,659,585
Information Technology (1.7%):
Canon, Inc.		3,300		96,306
FUJIFILM Holdings Corp.		1,500		76,016
Keyence Corp.		100		61,345
Murata Manufacturing Co. Ltd.		900		40,408
Nomura Research Institute Ltd.		4,078		65,331
NTT Data Corp.		5,100		67,890
OBIC Co. Ltd.		200		22,635
Omron Corp.		900		46,920
Oracle Corp. Japan		600		43,803
TDK Corp.		600		46,419
Tokyo Electron Ltd.		400		56,104
				623,177
Materials (1.2%):
Asahi Kasei Corp.		4,800		51,139
JFE Holdings, Inc.		3,700		54,316
Mitsubishi Chem Holdings		8,400		58,644
Nippon Paint Co. Ltd.		1,300		50,408
Nippon Steel & Sumitomo Metal		4,200		72,039
Nitto Denko Corp.		1,000		49,323
Shin-Etsu Chemical Co. Ltd.		400		37,236
Toray Industries, Inc.		9,500		72,193
				445,298
Real Estate (1.0%):
Daito Trust Construction Co. Ltd.		400		50,965
Daiwa House Industry Co. Ltd.		2,000		58,275
Mitsubishi Estate Co. Ltd.		4,400		81,837
Mitsui Fudosan Co. Ltd.		3,100		75,127
Sumitomo Realty & Development		2,600		92,809
				359,013

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Utilities (0.2%):
Kansai Electric Power Co.		4,100	$	46,952
Tokyo Electric Power Co. Holdin (b)		8,300		43,271
				90,223
				6,903,559
Korea, Republic Of (3.8%):
Communication Services (0.5%):
NAVER Corp.		391		38,612
NCSoft Corp.		128		52,890
Netmarble Games Corp. (b) (c)		329		32,205
SK Telecom Co. Ltd.		317		71,122
				194,829
Consumer Discretionary (0.6%):
Hyundai Mobis Co. Ltd.		234		47,736
Hyundai Motor Co.		464		56,272
Kia Motors Corp.		1,667		63,538
LG Electronics, Inc.		825		56,672
				224,218
Consumer Staples (0.4%):
Amorepacific Corp.		186		26,505
KT&G Corp.		920		78,500
LG Household & Health Care Ltd.		37		42,083
				147,088
Energy (0.1%):
SK Innovation Co. Ltd.		356		49,033
Financials (0.8%):
Hana Financial Group, Inc.		1,965		63,662
KB Financial Group, Inc.		1,694		67,281
Samsung Fire & Marine Insurance Co. Ltd.		271		62,914
Shinhan Financial Group Co. Ltd.		1,927		74,950
				268,807
Health Care (0.1%):
Celltrion, Inc.		199		35,425
Industrials (0.5%):
LG Corp.		992		66,082
Samsung C&T Corp.		661		54,797
SK Holdings Co. Ltd.		288		57,879
				178,758
Information Technology (0.6%):
Samsung Electronics Co. Ltd.		1,626		66,201
Samsung SDI Co. Ltd.		204		41,793
Samsung SDS Co. Ltd.		278		51,776
SK Hynix, Inc.		730		43,949
				203,719

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Materials (0.2%):
LG Chem Ltd.		158	$	48,519
Lotte Chemical Corp.		145		31,716
				80,235
				1,382,112
Luxembourg (0.3%):
Energy (0.2%):
Tenaris SA		4,216		55,164
Materials (0.1%):
Arcelormittal		1,988		35,563
				90,727
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		8,400		40,164
Wynn Macau Ltd.		14,400		32,261
				72,425
Mexico (0.1%):
Materials (0.1%):
Fresnillo PLC		3,116		34,428
Netherlands (3.0%):
Communication Services (0.2%):
Koninklijke KPN NV		23,632		72,535
Consumer Staples (0.7%):
Heineken Holding A, Class A		886		92,965
Heineken NV		859		95,835
Koninklijke Ahold Delhaize NV		3,220		72,398
				261,198
Financials (0.6%):
Exor NV		1,034		72,408
ING Groep NV		4,734		54,871
NN Group NV		2,053		82,619
				209,898
Health Care (0.4%):
Koninklijke Philips NV		1,656		71,885
Qiagen NV (b)		2,157		87,515
				159,400
Industrials (0.4%):
Randstad Holding NV		1,078		59,191
Wolters Kluwer NV		1,329		96,722
				155,913
Information Technology (0.2%):
ASML Holding NV		304		63,498

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Materials (0.5%):
Akzo Nobel N.V.		941	$	88,402
Koninklijke DSM NV		580		71,671
				160,073
				1,082,515
Norway (0.9%):
Communication Services (0.3%):
Telenor ASA		4,516		95,914
Consumer Staples (0.2%):
Marine Harvest ASA		2,833		66,265
Energy (0.2%):
Aker BP ASA		1,164		33,390
Statoil ASA		3,011		59,483
				92,873
Financials (0.2%):
DNB ASA		4,597		85,558
				340,610
Portugal (0.4%):
Consumer Staples (0.2%):
Jeronimo Martins SGPS SA		4,387		70,643
Energy (0.2%):
Galp Energia SGPS SA		4,204		64,638
				135,281
Russian Federation (0.1%):
Materials (0.1%):
Evraz PLC		5,368		45,338
Singapore (2.9%):
Communication Services (0.4%):
Singapore Telecommunications Ltd.		54,900		142,049
Consumer Discretionary (0.3%):
Genting Singapore Ltd.		73,100		49,717
Jardine Cycle & Carriage Ltd.		2,700		72,315
				122,032
Consumer Staples (0.3%):
Wilmar International Ltd.		43,700		119,531
Financials (0.8%):
DBS Group Holdings Ltd.		5,000		95,956
Oversea-Chinese Banking Corp. Ltd.		12,000		101,131
United Overseas Bank Ltd.		5,300		102,380
				299,467
Industrials (0.8%):
Keppel Corp. Ltd.		17,200		84,684
Singapore Airlines Ltd.		14,400		98,683

See notes to financial statements.

Victory Portfolios II
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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Singapore Technologies Engineering Ltd.		30,700	$	93,959
				277,326
Real Estate (0.3%):
CapitaLand Ltd.		39,100		102,035
				1,062,440
Spain (3.1%):
Communication Services (0.2%):
Telefonica SA		9,996		82,056
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		2,239		67,323
Energy (0.2%):
Repsol SA		4,391		68,811
Financials (0.5%):
Banco Bilbao Vizcaya Argentaria SA		10,675		59,670
Banco Santander SA		14,965		69,418
CaixaBank SA		16,649		47,657
				176,745
Health Care (0.2%):
Grifols SA		2,295		67,833
Industrials (0.7%):
ACS, Actividades de Construccion y Servicios SA		1,627		64,939
Aena SA (c)		502		99,469
Ferrovial SA		3,901		99,824
				264,232
Information Technology (0.2%):
Amadeus IT Holding SA		866		68,578
Utilities (0.9%):
Endesa SA (a)		3,766		96,798
Iberdrola SA		12,955		129,099
Red Electrica Corp. SA		4,860		101,188
				327,085
				1,122,663
Sweden (2.5%):
Communication Services (0.3%):
TeliaSonera AB		22,285		99,012
Consumer Discretionary (0.3%):
Electrolux AB, B Shares		2,135		54,583
Hennes & Mauritz AB, B Shares (a)		2,835		50,506
				105,089
Consumer Staples (0.4%):
Essity AB, Class B		2,562		78,775
Swedish Match AB		1,247		52,664
				131,439

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (0.5%):
Skandinaviska Enskilda Banken AB, Class A		7,546	$	69,851
Svenska Handelsbanken AB		8,194		81,110
Swedbank AB, A Shares		3,030		45,522
				196,483
Industrials (0.9%):
Alfa Laval AB		2,753		60,090
Atlas Copco AB, A Shares		2,107		67,373
Epiroc AB, Class A		5,011		52,194
Sandvik AB		3,863		71,001
Volvo AB, Class B		4,344		68,960
				319,618
Information Technology (0.1%):
Hexagon AB, B Shares		1,040		57,770
				909,411
Switzerland (6.5%):
Communication Services (0.3%):
Swisscom AG (a)		226		113,510
Consumer Discretionary (0.4%):
CIE Financiere Richemont SA		826		70,123
The Swatch Group AG, B shares		192		54,995
				125,118
Consumer Staples (1.0%):
Barry Callebaut AG		40		80,262
Chocoladefabriken Lindt & Spruengli AG		10		72,812
Coca-Cola HBC AG		1,836		69,282
Nestle SA, Registered Shares		1,202		124,487
				346,843
Financials (1.4%):
Credit Suisse Group AG, Registered Shares		5,355		64,235
Julius Baer Group Ltd.		1,250		55,672
Partners Group Holding AG		106		83,318
Swiss Life Holding AG		226		112,051
UBS Group AG, Registered Shares		5,406		64,265
Zurich Insurance Group AG		325		113,207
				492,748
Health Care (1.3%):
Lonza Group AG, Registered Shares		188		63,463
Novartis AG		1,213		110,883
Roche Holding AG		337		94,852
Sonova Holding AG, Registered Shares		326		74,100
Straumann Holding AG		79		69,738
Vifor Pharma AG (a)		463		66,926
				479,962

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Industrials (1.1%):
ABB Ltd.		4,163	$	83,576
Geberit AG		189		88,321
Kuehne + Nagel International AG		528		78,404
Schindler Holding AG		267		59,458
SGS SA		38		96,850
				406,609
Information Technology (0.2%):
Stmicroelectronics NV		2,200		39,015
Temenos AG		275		49,220
				88,235
Materials (0.8%):
EMS-Chemie Holding AG		119		77,256
Givaudan SA, Registered Shares		39		110,150
Glencore PLC		12,123		42,076
Sika AG, Registered Shares		412		70,341
				299,823
				2,352,848
United Kingdom (8.8%):
Communication Services (0.4%):
Informa PLC		7,760		82,271
Pearson PLC		5,949		61,893
				144,164
Consumer Discretionary (1.2%):
Barratt Developments PLC		6,267		45,563
Burberry Group PLC		1,964		46,433
Compass Group PLC		3,901		93,465
Intercontinental Hotels Group PLC		1,261		82,808
Next PLC		846		59,358
Persimmon PLC		1,722		43,663
Whitbread PLC		991		58,245
				429,535
Consumer Staples (1.8%):
Associated British Foods PLC		2,197		68,706
British American Tobacco PLC		1,383		48,272
Diageo PLC		2,638		113,346
Imperial Tobacco Group PLC		1,963		46,030
Reckitt Benckiser Group PLC		939		74,086
Tesco PLC		23,027		66,281
Unilever NV		1,940		118,121
Unilever PLC		1,779		110,556
				645,398
Energy (0.4%):
BP PLC		9,684		67,454
Royal Dutch Shell PLC, Class A		2,457		80,253
				147,707

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (1.9%):
3I Group PLC		4,854	$	68,626
Aviva PLC		14,357		75,924
Hargreaves Lansdown PLC		2,448		59,647
HSBC Holdings PLC		9,618		80,220
Legal & General Group PLC		22,059		75,482
Lloyds Banking Group PLC		86,620		62,238
London Stock Exchange Group PLC		1,361		94,801
Prudential PLC		3,063		66,737
Royal Bank of Scotland Group		17,105		47,737
Schroders PLC		1,820		70,481
				701,893
Health Care (0.6%):
AstraZeneca PLC		852		69,645
GlaxoSmithKline PLC		3,710		74,267
Smith & Nephew PLC		4,247		91,940
				235,852
Industrials (1.3%):
Ashtead Group PLC		1,691		48,395
BAE Systems PLC		10,659		67,046
Bunzl PLC		2,692		70,992
Ferguson PLC		905		64,348
International Consolidated Airlines Group SA, ADR		4,244		50,079
Intertek Group PLC		958		66,925
RELX PLC		3,624		87,863
				455,648
Information Technology (0.2%):
The Sage Group PLC		6,814		69,421
Materials (0.8%):
Anglo American PLC		1,879		53,548
Antofagasta PLC		3,214		37,935
Croda International PLC		1,086		70,599
Mondi PLC		2,444		55,546
Rio Tinto PLC		1,094		67,793
				285,421
Utilities (0.2%):
National Grid PLC		6,485		68,820
				3,183,859
United States (0.4%):
Consumer Discretionary (0.1%):
Carnival PLC		1,147		50,666
Industrials (0.3%):
Waste Connections, Inc.		1,133		108,247
				158,913
Total Common Stocks (Cost $33,017,387)				35,863,534

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Rights (0.0%) (d)
Spain (0.0%): (d)
Energy (0.0%): (d)
Repsol SA Expires 07/05/19 @ $0.49 (b)		4,859	$	2,695
Industrials (0.0%): (d)
ACS Actividades de Construccion y Servicios SA Expires 07/09/19 @ $1.38 (b)		1,801		2,825
				5,520
Total Rights (Cost $5,728)				5,520
Collateral for Securities Loaned^ (2.2%)
United States (2.2%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (e)		161,009		161,009
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (e)		207,398		207,398
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (e)		5,386		5,386
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (e)		88,543		88,543
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (e)		120,738		120,738
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (e)		187,822		187,822
Total Collateral for Securities Loaned (Cost $770,896)				770,896
Total Investments (Cost $33,794,011) — 101.2%				36,639,950
Liabilities in excess of other assets — (1.2)%				(424,753	)
NET ASSETS — 100.00%			$	36,215,197

^ Purchased with cash collateral from securities on loan.

(a) All or a portion of this security is on loan.

(b) Non-income producing security.

(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 based upon procedures approved by the Board of Trustees. As of June 30, 2019, the fair value of these securities was $333,445 and amounted to 0.9% of net assets.

(d) Amount represents less than 0.05% of net assets.

(e) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		2	9/20/19	$	187,348	$	192,330	$	4,982
	Total unrealized appreciation							$	4,982
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	4,982

See notes to financial statements.

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Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (98.8%)
Brazil (5.9%):
Communication Services (0.2%):
TIM Participacoes SA		10,100	$	30,595
Consumer Discretionary (0.9%):
CVC Brasil Operadora E Agencia de Viagens SA		1,700		22,051
Grendene SA		15,800		32,099
Guararapes Confeccoes SA		6,400		26,971
Kroton Educacional S.A.		7,500		21,430
Lojas Renner SA		2,662		32,699
Magazine Luiza SA		500		27,495
				162,745
Consumer Staples (1.1%):
Ambev SA		7,400		34,482
Atacadao Distribuicao Comercio E Industria Ltd.		6,800		38,965
M Dias Branco SA		2,700		27,399
Natura Cosmeticos SA		2,400		35,313
Raia Drogasil SA		1,700		33,696
Sao Martinho SA		7,200		37,769
				207,624
Energy (0.2%):
Petroleo Brasileiro SA		3,400		24,274
Ultrapar Participacoes SA		3,600		18,847
				43,121
Financials (0.8%):
B3 SA — Brasil Bolsa Balcao		3,558		34,715
Banco do Brasil SA		1,800		25,289
BB Seguridade Participacoes SA		5,100		43,013
IRB Brasil Resseguros S/A		1,500		38,484
				141,501
Health Care (0.8%):
Fleury SA		5,800		32,253
Hypermarcas S.A.		5,400		42,181
Notre Dame Intermedica Participacoes SA		3,500		36,757
Odontoprev SA		8,300		39,476
				150,667
Industrials (0.7%):
CCR SA		5,900		20,992
EcoRodovias Infraestrutura e Logistica SA		9,100		25,503
Localiza Rent a Car SA		3,160		33,729
WEG SA		7,820		43,507
				123,731
Information Technology (0.1%):
Cielo SA		7,092		12,413

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Materials (0.1%):
Cia Siderurgica Nacional SA		6,500	$	28,290
Utilities (1.0%):
Cia de Saneamento Basico do Estado de Sao Paulo		2,400		29,549
Companhia de Saneamento de Minas Gerais		1,600		27,938
EDP — Energias do Brasil SA		7,900		38,890
Engie Brasil Energia SA		3,575		40,478
Equatorial Energia SA — ORD		2,200		52,603
				189,458
				1,090,145
Chile (3.3%):
Consumer Discretionary (0.3%):
SACI Falabella		7,520		49,121
Energy (0.2%):
Empresas COPEC SA		3,985		43,673
Financials (1.1%):
Banco de Chile		515,854		76,075
Banco de Credito e Inversiones		936		64,596
Banco Santander Chile		920,395		68,614
				209,285
Materials (0.2%):
Empresas CMPC SA		10,521		28,888
Utilities (1.5%):
AES Gener SA		176,552		48,545
Aguas Andinas SA		129,445		76,435
Colbun SA		269,395		55,676
Enersis Chile		596,024		56,663
Enersis SA		223,159		39,370
				276,689
				607,656
China (15.2%):
Communication Services (0.5%):
China Communications Services Corp. Ltd.		20,000		15,516
China Literature Ltd. (a) (b)		4,000		18,844
China Telecom Corp. Ltd.		68,000		34,212
Tencent Holdings Ltd.		600		27,083
				95,655
Consumer Discretionary (1.3%):
ANTA Sports Products Ltd.		4,000		27,473
BAIC Motor Corp. Ltd., Class H (b)		30,000		18,819
Brilliance China Automotive Holdings Ltd.		16,000		17,697
BYD Co. Ltd. (c)		3,500		21,126
Dongfeng Motor Group Co. Ltd.		30,000		24,579
Fuyao Glass Industry Group Co. Ltd. (b)		7,600		23,594
Great Wall Motor Co. Ltd., Class H		26,000		18,606

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Guangzhou Automobile Group Co. Ltd.		16,800	$	17,937
Minth Group Ltd.		6,000		16,169
Shenzhou International Group Holdings Ltd.		2,000		27,498
Zhongsheng Group Holdings Ltd.		7,500		20,883
				234,381
Consumer Staples (0.5%):
China Mengniu Dairy Co. Ltd.		9,000		34,853
China Resources Beer Holdings Co. Ltd.		6,000		28,497
Want Want China Holdings Ltd.		41,000		33,329
				96,679
Energy (0.6%):
China Petroleum & Chemical Corp., Class H		40,000		27,191
China Shenhua Energy Co. Ltd.		13,500		28,274
PetroChina Co. Ltd.		56,000		30,898
Yanzhou Coal Mining Co. Ltd.		24,000		22,429
				108,792
Financials (4.5%):
Agricultural Bank of China Ltd.		101,000		42,281
Bank of China Ltd.		123,000		51,963
Bank of Communications Co. Ltd., Class H		70,000		53,140
China Cinda Asset Management Co.		114,000		26,269
China CITIC Bank Corp. Ltd.		85,000		48,423
China Construction Bank Corp.		53,000		45,663
China Everbright Bank Co. Ltd.		90,000		41,247
China Galaxy Securities Co. Ltd.		31,000		18,374
China Huarong Asset Management Co. Ltd., Class H (b)		103,000		17,933
China International Capital Corp. Ltd., Class H (b)		10,800		21,790
China Life Insurance Co. Ltd.		11,000		27,094
China Merchants Bank Co. Ltd., Class H		7,000		34,904
China Pacific Insurance Group Co. Ltd.		9,200		35,981
China Reinsurance Group Corp.		158,000		28,115
Citic Securities Co. Ltd.		10,500		21,883
GF Securities Co. Ltd.		13,800		16,412
Guotai Junan Securities Co. Ltd. (a) (b)		12,600		22,453
Haitong Securities Co. Ltd.		17,200		19,289
Huatai Securities Co. Ltd. (b)		11,800		20,303
Industrial & Commercial Bank of China Ltd.		61,000		44,512
New China Life Insurance Co. Ltd., Class H		5,300		25,783
Orient Securities Co. Ltd. (b)		25,600		16,714
People's Insurance Co. Group of China Ltd.		71,000		27,722
PICC Property & Casualty Co. Ltd., Class H		25,000		26,980
Ping An Insurance Group Co. of China Ltd.		4,500		54,036
Postal Savings Bank of China Co. Ltd., Class H (b)		65,000		38,610
				827,874
Health Care (1.0%):
China Resources Pharmaceutical Group Ltd. (b)		26,000		29,324
Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd.		6,000		27,076
Luye Pharma Group Ltd. (b)		30,000		21,737

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Shanghai Fosun Pharmaceutical Group Co. Ltd.		6,000	$	18,166
Shanghai Pharmaceuticals Holding Co. Ltd.		16,200		31,855
Sinopharm Group Co. Ltd.		7,600		26,756
Wuxi Biologics Cayman, Inc. (a) (b)		2,000		17,961
				172,875
Industrials (2.6%):
China Communications Construction Co. Ltd.		37,000		33,109
China Conch Venture Holdings Ltd.		9,000		31,800
China Railway Construction Corp. Ltd.		23,000		28,207
China Railway Group Ltd.		33,000		25,094
China State Construction Int		22,000		22,588
CRRC Corp. Ltd., Class H		41,000		34,274
Fosun International Ltd.		17,000		22,590
Jiangsu Expressway Co. Ltd.		28,000		39,860
Metallurgical Corp. of China Ltd.		135,000		36,120
Shanghai Electric Group Co. Ltd.		120,000		43,475
Sinotrans Ltd.		55,000		19,996
Weichai Power Co. Ltd.		19,000		32,107
Xinjiang Goldwind Science & Technology Co. Ltd.		15,200		16,618
Zhuzhou CSR Times Electric Co. Ltd.		6,900		36,349
Zoomlion Heavy Industry Science And Technology Co.		80,600		52,933
				475,120
Information Technology (0.8%):
AAC Technologies Holdings, Inc.		3,000		17,033
China Railway Signal & Communication Corp. Ltd. (b)		39,000		28,359
Legend Holdings Corp. (b)		11,200		26,353
Lenovo Group Ltd.		24,000		18,588
Semiconductor Manufacturing International Corp. (a)		23,000		25,616
Sunny Optical Technology Group Co. Ltd.		1,400		14,463
TravelSky Technology Ltd.		11,000		22,109
				152,521
Materials (1.3%):
Aluminum Corp. of China Ltd. (a)		60,000		21,277
Angang Steel Co. Ltd.		41,600		18,959
Anhui Conch Cement Co. Ltd.		5,000		31,332
China Hongqiao Group Ltd.		33,000		23,277
China Molybdenum Co. Ltd. (c)		42,000		13,281
China National Building Material Co. Ltd.		32,000		28,062
Jiangxi Copper Co. Ltd.		33,000		43,936
Sinopec Shanghai Petrochemical Co. Ltd.		60,000		23,811
Zijin Mining Group Co. Ltd.		80,000		32,465
				236,400
Real Estate (1.0%):
China Vanke Co. Ltd.		6,700		25,131
Country Garden Holdings Co. Ltd.		16,000		24,334
Guangzhou R&f Properties Co. Ltd., Class H		13,200		25,381
Logan Property Holdings Co. Ltd.		18,000		29,127
Longfor Properties Co. Ltd.		9,500		35,816

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Red Star Macalline Group Corp. Ltd., Class H (b)		30,600	$	26,795
Sunac China Holdings Ltd.		5,000		24,579
				191,163
Utilities (1.1%):
CGN Power Co. Ltd., Class D (b)		215,000		59,176
China Longyuan Power Group Corp. Ltd.		41,000		26,296
China Power International Development Ltd.		138,000		33,743
China Resources Gas Group Ltd.		6,000		29,764
ENN Energy Holdings Ltd.		2,400		23,351
Huadian Power International Corp. Ltd.		60,000		23,735
				196,065
				2,787,525
Colombia (0.8%):
Financials (0.3%):
Grupo de INV Suramericana		4,798		50,954
Materials (0.2%):
Grupo Argos SA		7,932		42,735
Utilities (0.3%):
Interconexion Electrica SA ESP		8,642		48,068
				141,757
Czech Republic (0.7%):
Financials (0.4%):
Komercni Banka AS		1,575		62,801
Utilities (0.3%):
CEZ AS		2,507		60,583
				123,384
Egypt (0.4%):
Financials (0.3%):
Commercial International Bank		10,821		47,928
Industrials (0.1%):
Elsewedy Electric Co.		27,644		23,712
				71,640
Hong Kong (3.2%):
Communication Services (0.2%):
China Mobile Ltd.		4,500		40,988
Consumer Discretionary (0.3%):
Bosideng International Holdings Ltd.		98,000		27,224
Geely Automobile Holdings Ltd.		9,000		15,393
Haier Electronics Group Co. Ltd.		8,000		22,122
				64,739
Consumer Staples (0.2%):
Hengan International Group Co. Ltd.		4,500		33,096

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Energy (0.3%):
CNOOC Ltd.		17,000	$	29,075
Kunlun Energy Co. Ltd.		28,000		24,411
				53,486
Financials (0.3%):
BOC Hong Kong Holdings Ltd.		10,000		39,366
China Taiping Insurance Holdings Co. Ltd.		7,800		20,869
				60,235
Health Care (0.1%):
CSPC Pharmaceutical Group Ltd.		10,000		16,130
Industrials (0.4%):
China Everbright International Ltd.		32,000		29,536
China Merchants Holdings International		18,000		30,602
Sinotruk Hong Kong Ltd.		7,000		12,116
				72,254
Materials (0.1%):
China Resources Cement Holdings Ltd.		22,000		21,320
Real Estate (0.5%):
China Overseas Land & Investment Ltd., Class H		8,000		29,495
China Resources Land Ltd.		6,000		26,423
Franshion Properties China Ltd.		56,000		34,053
				89,971
Utilities (0.8%):
Beijing Enterprises Holdings Ltd.		6,500		33,035
Beijing Enterprises Water Group Ltd.		56,000		33,264
China Resources Power Holdings Co. Ltd.		20,000		29,188
Guangdong Investment Ltd.		24,000		47,500
				142,987
				595,206
Hungary (0.8%):
Communication Services (0.3%):
Magyar Telekom Telecommunications PLC		37,026		54,915
Energy (0.2%):
MOL Hungarian Oil & Gas PLC		4,028		44,727
Financials (0.3%):
OTP Bank Public Co. Ltd.		1,152		45,860
				145,502
India (10.8%):
Communication Services (0.4%):
Bharti Airtel Ltd.		5,997		30,120
Bharti Infratel Ltd.		7,475		28,922
Zee Entertainment Enterprises Ltd.		2,674		13,120
				72,162

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Consumer Discretionary (1.9%):
Aditya Birla Fashion and Retail Ltd. (a)		11,160	$	34,821
Apollo Tyres Ltd.		9,821		28,551
Bajaj Auto Ltd.		969		39,690
Eicher Motors Ltd.		91		25,234
Mahindra & Mahindra Ltd.		3,380		32,093
Motherson Sumi Systems Ltd.		9,642		17,036
Page Industries Ltd.		81		24,154
Rajesh Exports Ltd.		5,138		53,777
Titan Co. Ltd.		2,573		49,756
Whirlpool of India Ltd.		1,651		38,035
				343,147
Consumer Staples (1.6%):
Britannia Industries Ltd.		900		35,777
Colgate-Palmolive (India) Ltd.		2,584		42,219
Dabur India Ltd.		5,217		30,273
Emami Ltd.		4,969		21,533
Godrej Consumer Products Ltd.		3,160		30,359
Marico Ltd.		8,237		44,222
Nestle India Ltd.		262		45,220
Tata Global Beverages Ltd.		12,491		48,810
				298,413
Energy (0.2%):
Reliance Industries Ltd. (a)		1,953		35,458
Financials (0.7%):
Bajaj Finserv Ltd.		320		39,523
ICICI Bank Ltd.		6,863		43,463
Kotak Mahindra Bank Ltd.		2,020		43,230
				126,216
Health Care (1.2%):
Aurobindo Pharma Ltd.		2,771		24,412
Biocon Ltd.		6,964		25,280
Cadila Healthcare Ltd.		8,223		28,796
Cipla Ltd.		4,936		39,580
Dr. Reddy's Laboratories Ltd.		932		34,440
Glenmark Pharmaceuticals Ltd.		4,117		26,445
Torrent Pharmaceuticals Ltd.		1,504		33,717
				212,670
Industrials (1.2%):
Adani Enterprises Ltd.		11,481		25,035
Adani Ports And Special Economic Zone		5,443		32,349
Amara Raja Batteries Ltd.		3,984		35,785
Godrej Industries Ltd.		4,780		33,523
Larsen & Toubro Ltd.		2,694		60,625
Voltas Ltd.		4,043		37,688
				225,005

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Information Technology (1.4%):
HCL Technologies Ltd.		2,415	$	37,252
Infosys Ltd.		3,822		40,535
Mindtree Ltd.		2,018		27,115
Mphasis Ltd.		2,021		29,402
Tata Consultancy Services Ltd.		1,335		43,079
Tech Mahindra Ltd.		2,800		28,665
Wipro Ltd.		10,186		41,396
				247,444
Materials (2.1%):
ACC Ltd.		1,769		40,038
Ambuja Cements Ltd.		11,249		34,691
Asian Paints Ltd.		1,945		38,273
Berger Paints India Ltd.		7,834		36,037
Castrol India Ltd.		16,784		32,233
JSW Steel Ltd.		8,197		32,850
Pidilite Industries Ltd.		2,113		37,180
Tata Steel Ltd.		4,801		35,086
Ultra Tech Cement Ltd.		627		41,387
UPL Ltd.		2,554		34,689
Vedanta Ltd.		9,320		23,543
				386,007
Utilities (0.1%):
Tata Power Co. Ltd.		26,511		26,503
				1,973,025
Indonesia (3.9%):
Communication Services (0.3%):
PT Surya Citra Media TBK		210,800		24,027
PT Telekomunikasi Indonesia Persero TBK		128,500		37,663
				61,690
Consumer Discretionary (0.4%):
PT ACE Hardware Indonesia TBK		216,000		27,679
PT Astra International TBK		67,000		35,338
				63,017
Consumer Staples (0.5%):
JAPFA Comfeed Indonesia TBK PT		132,700		14,562
PT Charoen Pokphand Indonesia TBK		41,800		13,997
PT Gudang Garam TBK		6,200		33,743
PT Indofood Sukses Makmur TBK		64,200		31,930
				94,232
Energy (0.5%):
PT Adaro Energy TBK		254,600		24,514
PT Indo Tambangraya Megah TBK		17,000		21,122
PT United Tractors TBK		14,800		29,547
Tambang Batubara Bukit Asam TBK PT		92,900		19,468
				94,651

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Financials (1.0%):
Bank Danamon Indonesia TBK PT		62,700	$	21,307
PT Bank Central Asia TBK		25,800		54,751
PT Bank Mandiri Persero TBK		61,200		34,770
PT Bank Negara Indonesia Persero TBK		55,700		36,279
PT Bank Rakyat Indonesia Persero TBK		139,200		42,967
				190,074
Health Care (0.2%):
PT Kalbe Farma TBK		286,300		29,593
Industrials (0.3%):
PT Jasa Marga Persero TBK		86,100		34,897
PT Waskita Karya Persero TBK		161,300		22,953
				57,850
Materials (0.6%):
Aneka Tambang TBK		277,200		16,583
Pabrik Kertas Tjiwi Kimia TBK PT		21,500		19,141
PT Indah Kiat Pulp & Paper Corp. TBK		18,600		12,345
PT Indocement Tunggal Prakarsa TBK		16,600		23,504
PT Semen Indonesia Persero TBK		27,800		22,781
Vale Indonesia TBK PT (a)		77,400		17,097
				111,451
Utilities (0.1%):
PT Perusahaan Gas Negara Persero TBK		128,300		19,166
				721,724
Malaysia (6.8%):
Communication Services (0.1%):
Astro Malaysia Holdings Berhad		52,000		18,257
Consumer Discretionary (0.1%):
UMW Holdings Berhad		20,300		26,542
Consumer Staples (2.3%):
British American Tobacco Malaysia Berhad		3,900		27,196
Fraser & Neave Holdings Berhad		5,000		41,840
Genting Plantations Berhad		25,700		62,228
IOI Corp. Berhad		48,800		50,218
Kuala Lumpur Kepong Berhad		17,300		102,878
PPB Group Berhad		15,960		72,264
Ql Resources Berhad		24,300		40,245
Sime Darby Plantation Berhad		26,200		31,212
				428,081
Energy (0.2%):
Dialog Group Berhad		42,800		33,784
Financials (1.8%):
CIMB Group Holdings Berhad		33,300		43,379
Hong Leong Bank Berhad		20,000		92,010
Malayan Banking Berhad		38,000		81,704

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Public Bank Berhad		21,400	$	119,177
				336,270
Health Care (0.4%):
Hartalega Holdings Berhad		31,000		39,332
Top Glove Corp.		31,000		36,854
				76,186
Industrials (1.1%):
HAP Seng Consolidated Berhad		51,700		124,556
MISC Berhad		21,600		37,394
Sime Darby Berhad		63,300		34,639
				196,589
Materials (0.5%):
Petronas Chemicals Group Berhad		25,400		51,661
Press Metal Aluminium Holdings Berhad		34,200		36,436
				88,097
Utilities (0.3%):
Petronas Gas Berhad		12,300		51,702
				1,255,508
Mexico (3.8%):
Communication Services (0.3%):
America Movil SAB de CV		48,517		35,320
Grupo Televisa SAB		13,015		22,009
				57,329
Consumer Discretionary (0.1%):
Alsea SAB de CV (a)		13,757		27,084
Consumer Staples (1.5%):
Arca Continental SAB de CV		7,893		42,715
Coca-Cola Femsa SAB de CV		7,550		46,862
Gruma SAB de CV, Class B		4,143		38,891
Grupo Bimbo SAB		17,607		36,728
Grupo Lala SAB de CV		27,063		33,269
Kimberly-Clark de Mexico SAB de CV, Series A		23,461		43,634
Wal-Mart de Mexico SAB de CV		12,972		35,422
				277,521
Financials (0.3%):
Grupo Financiero Banorte SAB de CV		4,340		25,185
Grupo Financiero Inbursa SAB de CV		21,152		30,599
				55,784
Industrials (1.1%):
ALFA SAB de CV		31,388		30,848
Grupo Aeroportuario del Centro Norte SAB de CV		4,658		28,453
Grupo Aeroportuario del Pacifico SAB de CV		3,539		36,862
Grupo Aeroportuario del Sureste SAB de CV		1,890		30,639
Grupo Carso SAB de CV		8,103		30,217

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Promotora y Operadora de Infraestructura SAB de CV		4,113	$	40,880
				197,899
Materials (0.3%):
Grupo Mexico SAB de CV, Series B		12,518		33,249
Mexichem SA de CV		11,252		23,624
				56,873
Utilities (0.2%):
Infraestructura Energetica, Class N		7,836		30,785
				703,275
Morocco (0.4%):
Financials (0.4%):
Attijariwafa Bank		1,374		66,870
Philippines (3.4%):
Communication Services (0.2%):
Globe Telecom, Inc.		790		34,882
Consumer Discretionary (0.3%):
Bloomberry Resorts Corp.		103,600		22,852
Jollibee Foods Corp.		5,980		32,894
				55,746
Consumer Staples (0.4%):
Puregold Price Club, Inc.		40,500		35,535
Universal Robina Corp.		10,410		33,732
				69,267
Financials (1.0%):
Ayala Corp.		2,135		37,257
Bank of the Philippine Islands		21,966		33,659
BDO Unibank, Inc.		12,510		34,187
Metro Pacific Investments Co.		369,300		34,602
Metropolitan Bank & Trust Co.		24,290		33,782
				173,487
Industrials (0.9%):
Aboitiz Equity Ventures, Inc.		19,160		20,570
Alliance Global Group, Inc.		117,700		35,473
International Container Terminal Services, Inc.		18,640		53,268
JG Summit Holdings, Inc.		19,780		26,023
SM Investments Corp.		1,907		36,070
				171,404
Real Estate (0.4%):
Ayala Land, Inc.		40,500		40,160
SM Prime Holdings, Inc.		45,000		32,588
				72,748
Utilities (0.2%):
Manila Electric Co.		5,250		39,659
				617,193

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Poland (2.0%):
Communication Services (0.3%):
CD Projekt SA		374	$	21,582
Cyfrowy Polsat SA		5,827		46,477
				68,059
Consumer Staples (0.2%):
Dino Polska SA (a) (b)		937		32,873
Energy (0.5%):
Grupa Lotos SA		1,495		33,938
Polski Koncern Naftowy Orlen SA		1,176		28,361
Polskie Gornictwo Naftowe i Gazownictwo SA		18,648		26,539
				88,838
Financials (0.9%):
Bank Pekao SA		1,302		39,014
Bank Zachodni WBK SA		360		35,777
Powszechna Kasa Oszczednosci Bank Polski SA		3,744		42,968
Powszechny Zaklad Ubezpieczen na Zycie SA		3,883		45,437
				163,196
Materials (0.1%):
Jastrzebska Spolka Weglowa SA		1,724		21,810
				374,776
Russian Federation (2.9%):
Communication Services (0.6%):
Rostelecom PJSC		80,830		103,744
Consumer Staples (0.4%):
Magnit PJSC		742		43,832
X5 Retail Group NV, Registered Shares, GDR		1,003		34,393
				78,225
Energy (0.2%):
Tatneft PAO		3,180		38,974
Materials (1.1%):
ALROSA AO		30,800		41,914
MMC Norilsk Nickel PJSC		251		56,801
Phosagro OAO-GDR, Registered Shares		3,173		41,630
Severstal PJSC		3,130		52,851
				193,196
Utilities (0.6%):
Federal Grid Co. Unified Energy System PJSC		17,440,000		55,857
Inter RAO UES PJSC		746,000		53,437
				109,294
				523,433

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Singapore (0.2%):
Industrials (0.2%):
BOC Aviation Ltd. (b)		4,200	$	35,272
South Africa (6.3%):
Communication Services (0.6%):
Naspers Ltd.		109		26,477
Telkom SA SOC Ltd.		6,545		42,861
Vodacom Group Ltd.		4,019		34,165
				103,503
Consumer Discretionary (0.8%):
Mr. Price Group Ltd.		1,553		21,899
The Foschini Group Ltd.		2,416		30,943
Truworths International Ltd.		5,072		25,221
Tsogo Sun Holdings Ltd.		31,783		34,385
Woolworths Holdings Ltd.		9,748		33,847
				146,295
Consumer Staples (1.3%):
Avi Ltd.		4,762		30,904
Bid Corp. Ltd.		1,853		40,409
Clicks Group Ltd.		2,243		32,709
Pick n Pay Stores Ltd.		7,987		39,148
Shoprite Holdings Ltd.		2,179		24,404
The SPAR Group Ltd.		2,549		33,829
Tiger Brands Ltd.		2,127		33,799
				235,202
Financials (1.9%):
Absa Group Ltd.		2,556		31,956
Capitec Bank Holdings Ltd.		492		45,390
Discovery Ltd.		3,630		38,449
FirstRand Ltd.		6,826		33,239
Investec Ltd.		5,418		35,354
Nedbank Group Ltd.		1,691		30,415
Remgro Ltd.		2,788		37,213
RMB Holdings Ltd.		5,983		35,870
Sanlam Ltd.		6,120		33,979
Standard Bank Group Ltd.		2,576		35,988
				357,853
Health Care (0.2%):
Aspen Pharmacare Holdings Ltd.		2,027		14,464
Life Healthcare Group Holdings Ltd.		16,681		26,590
				41,054
Industrials (0.4%):
Barloword Ltd.		3,732		33,933
The Bidvest Group Ltd.		2,307		31,031
				64,964

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Materials (1.1%):
African Rainbow Minerals Ltd.		2,248	$	29,090
Anglo American Platinum Ltd.		530		31,509
AngloGold Ashanti Ltd.		1,775		32,028
Assore Ltd.		896		23,345
Mondi Ltd.		1,611		36,272
Sappi Ltd.		6,413		25,005
Sasol Ltd.		992		24,678
				201,927
				1,150,798
Taiwan (17.0%):
Communication Services (1.5%):
Chunghwa Telecom Co. Ltd.		20,000		72,772
Far EasTone Telecommunications Co. Ltd.		28,000		70,595
Taiwan Mobile Co. Ltd.		32,000		126,223
				269,590
Consumer Discretionary (1.6%):
Cheng Shin Rubber Industry Co. Ltd.		29,000		37,445
Eclat Textile Co. Ltd.		3,000		38,447
Feng TAY Enterprise Co. Ltd.		4,000		31,169
Formosa Taffeta Co. Ltd.		36,000		45,325
Giant Manufacturing Co. Ltd.		5,000		39,123
Hotai Motor Co. Ltd.		3,000		49,073
Nien Made Enterprise Co. Ltd.		2,000		15,037
Pou Chen Corp.		33,000		40,910
				296,529
Consumer Staples (0.5%):
President Chain Store Corp.		4,000		38,704
Uni-President Enterprises Corp.		17,000		45,270
				83,974
Financials (4.7%):
Cathay Financial Holding Co. Ltd.		43,000		59,538
Chang Hwa Commercial Bank Ltd.		112,035		75,578
CTBC Financial Holding Co. Ltd.		77,800		53,485
E.Sun Financial Holding Co. Ltd.		98,013		82,056
First Financial Holding Co. Ltd.		149,040		109,419
Fubon Financial Holding Co. Ltd.		45,000		66,436
Hua Nan Financial Holdings Co. Ltd.		156,606		105,140
Mega Financial Holding Co. Ltd.		81,000		80,593
Taishin Financial Holding Co. Ltd.		175,650		80,880
Taiwan Cooperative Financial Holding Co. Ltd.		149,472		100,110
Yuanta Financial Holding Co. Ltd.		97,000		58,251
				871,486
Industrials (1.3%):
AirTac International Group		1,000		11,206
China Airlines Ltd.		135,000		42,774

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Eva Airways Corp.		105,000	$	50,546
Far Eastern New Century Corp.		34,000		36,676
Hiwin Technologies Corp.		2,060		17,246
Taiwan High Speed Rail Corp.		37,000		54,447
Walsin Lihwa Corp.		45,000		21,300
				234,195
Information Technology (5.7%):
Accton Technology Corp.		6,000		25,406
Acer, Inc.		43,000		26,654
Advantech Co. Ltd.		5,000		42,504
ASE Technology Holding Co. Ltd.		16,000		31,685
Asustek Computer, Inc.		5,000		35,903
AU Optronics Corp.		97,000		29,048
Catcher Technology Co. Ltd.		3,000		21,493
Chroma ATE, Inc.		4,000		17,774
Compal Electronics, Inc.		106,000		69,458
Delta Electronics, Inc.		7,000		35,500
Foxconn Technology Co. Ltd.		21,100		42,871
Hon Hai Precision Industry Co. Ltd.		15,400		38,381
Inventec Corp.		43,000		34,200
Lite-On Technology Corp.		28,000		41,023
MediaTek, Inc.		3,000		30,332
Micro-Star International Co. Ltd.		9,000		25,502
Nanya Technology Corp.		10,000		20,769
Novatek Microelectronics Corp.		4,000		22,282
Pegatron Corp.		18,000		31,124
Powertech Technology, Inc.		14,000		34,261
Quanta Computer, Inc.		32,000		62,236
Realtek Semiconductor Corp.		4,000		29,431
Synnex Technology International Corp.		34,000		42,697
Taiwan Semiconductor Manufacturing Co. Ltd.		5,000		38,479
United Microelectronics Corp.		86,000		38,630
Walsin Technology Corp.		2,000		10,562
Winbond Electronics Corp.		44,000		21,535
Wistron Corp.		54,000		42,079
WPG Holdings Ltd.		53,000		68,861
Yageo Corp.		1,198		10,184
Zhen Ding Technology Holding Ltd.		9,000		28,806
				1,049,670
Materials (1.7%):
Asia Cement Corp.		26,000		39,809
China Steel Corp.		88,000		70,698
Formosa Chemicals & Fibre		11,000		36,482
Formosa Plastics Corp.		13,000		47,929
Nan Ya Plastics Corp.		22,000		55,680
TA Chen Stainless Pipe		17,000		24,797
Taiwan Cement Corp.		29,800		44,188
				319,583
				3,125,027

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Thailand (9.2%):
Communication Services (0.9%):
Advanced Info Service Public Co. Ltd.		8,800	$	62,560
Intouch Holdings Public Co. Ltd.		25,600		52,386
VGI Global Media PCL		155,500		45,638
				160,584
Consumer Discretionary (1.1%):
Central Plaza Hotel PCL		26,500		30,678
Home Product Center Public Co. Ltd.		105,600		60,264
Minor International Public Co. Ltd.		36,900		49,337
Robinson PCL		19,500		35,770
Siam Global House PCL		57,940		33,443
				209,492
Consumer Staples (1.2%):
Berli Jucker PCL		23,700		39,030
Carabao Group PCL		10,100		24,208
Charoen Pokphand Foods Public Co. Ltd.		68,500		63,105
CP ALL Public Co. Ltd.		20,400		57,212
Thai Union Group Public Co. Ltd.		69,100		41,237
				224,792
Energy (0.4%):
PTT Exploration & Production PCL		8,100		35,659
PTT PCL		26,400		41,970
				77,629
Financials (1.2%):
Bangkok Bank Public Co. Ltd.		9,000		57,819
Kasikornbank Public Co. Ltd.		8,100		49,659
Krung Thai Bank Public Co. Ltd.		100,500		63,908
The Siam Commercial Bank Public Co. Ltd.		11,200		50,951
				222,337
Health Care (0.5%):
Bangkok Dusit Medical Services Public Co. Ltd.		56,100		47,565
Bumrungrad Hospital Public Co. Ltd.		7,500		41,334
				88,899
Industrials (1.0%):
Airports of Thailand PCL		23,900		57,285
Bangkok Expressway & Metro PCL		120,600		44,834
Bts Group Holdings PCL		199,900		78,226
				180,345
Materials (0.9%):
Indorama Ventures Public Co. Ltd.		18,700		28,661
PTT Global Chemical Public Co. Ltd.		17,400		36,315
The Siam Cement Public Co. Ltd.		3,650		56,181
TOA Paint Thailand PCL		34,900		41,541
				162,698

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Real Estate (0.3%):
Central Pattana Public Co. Ltd.		18,800	$	45,981
Utilities (1.7%):
B Grimm Power PCL		44,700		52,112
Banpu Power PCL		77,200		54,127
Energy Absolute Public Co. Ltd.		18,000		32,725
Global Power Synergy PCL		14,700		33,676
Ratch Group PCL (c)		42,700		92,947
TPI Polene Power PCL		249,200		49,572
				315,159
				1,687,916
Turkey (1.8%):
Communication Services (0.1%):
Turkcell Iletisim Hizmetleri AS		10,989		24,333
Consumer Discretionary (0.4%):
Arcelik AS (a)		7,460		25,101
Ford Otomotiv Sanayi AS		2,306		24,933
Tofas Turk Otomobil Fabrikasi AS		5,656		18,884
				68,918
Consumer Staples (0.2%):
BIM Birlesik Magazalar AS		2,361		32,532
Energy (0.1%):
Tupras Turkiye Petrol Rafinerileri AS		1,063		21,148
Financials (0.2%):
Akbank TAS (a)		17,363		20,425
Turkiye Garanti Bankasi AS (a)		13,626		21,451
				41,876
Industrials (0.7%):
Aselsan Elektronik Sanayi ve Ticaret AS		7,152		22,271
Enka Insaat ve Sanayi AS		1		1
KOC Holding AS		10,640		32,285
TAV Havalimanlari Holding AS		4,512		21,075
Tekfen Holding AS		5,099		22,900
Turkiye Sise ve Cam Fabrikalari AS		19,888		17,856
				116,388
Materials (0.1%):
Eregli Demir ve Celik Fabrikalari TAS		14,434		19,651
				324,846
Total Common Stocks (Cost $16,994,733)				18,122,478

See notes to financial statements.

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Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Rights (0.0%) (d)
Chile (0.0%): (d)
Utilities (0.0%): (d)
Enel Americas SA Expires 07/29/19 @ $0.162 (a)		72,750	$	1,070
Total Rights (Cost $—)				1,070
Collateral for Securities Loaned^ (0.7%)
United States (0.7%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (e)		25,398		25,398
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (e)		32,715		32,715
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (e)		850		850
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (e)		13,967		13,967
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (e)		19,045		19,045
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (e)		29,627		29,628
Total Collateral for Securities Loaned (Cost $121,603)				121,603
Total Investments (Cost $17,116,336) — 99.5%				18,245,151
Other assets in excess of liabilities — 0.5%				89,162
NET ASSETS — 100.00%			$	18,334,313

^ Purchased with cash collateral from securities on loan.

(a) Non-income producing security.

(d) Amount represents less than 0.05% of net assets.

(e) Rate disclosed is the daily yield on June 30, 2019.

GDR — Global Depository Receipt

OAO — Russian Open Joint Stock Corporations

PCL — Public Company Limited

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI Emerging Markets Index Futures		3	9/20/19	$	154,022	$	158,010	$	3,988
	Total unrealized appreciation							$	3,988
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	3,988

See notes to financial statements.

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Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (4.2%):
AT&T, Inc. (a)		107,872	$	3,614,791
Omnicom Group, Inc.		46,387		3,801,415
Verizon Communications, Inc.		70,982		4,055,201
Viacom, Inc., Class B		91,650		2,737,586
				14,208,993
Consumer Discretionary (6.4%):
General Motors Co.		64,783		2,496,089
Hanesbrands, Inc.		96,859		1,667,912
Harley-Davidson, Inc. (b)		75,122		2,691,621
Kohl's Corp.		33,020		1,570,101
Leggett & Platt, Inc. (b)		58,754		2,254,391
Macy's, Inc.		75,022		1,609,972
Nordstrom, Inc.		46,451		1,479,929
Tapestry, Inc.		62,056		1,969,037
Target Corp.		37,543		3,251,599
The Gap, Inc. (b)		104,523		1,878,278
				20,868,929
Consumer Staples (12.0%):
Altria Group, Inc.		55,632		2,634,175
Archer-Daniels-Midland Co.		94,565		3,858,252
Conagra Brands, Inc.		90,813		2,408,361
General Mills, Inc.		66,504		3,492,790
Keurig Dr Pepper, Inc. (b)		126,820		3,665,098
Kimberly-Clark Corp.		28,459		3,793,016
PepsiCo, Inc.		37,392		4,903,213
Philip Morris International, Inc.		34,842		2,736,142
The Coca-Cola Co.		91,018		4,634,637
The J.M. Smucker Co.		30,080		3,464,915
The Procter & Gamble Co.		37,088		4,066,699
				39,657,298
Energy (6.7%):
Chevron Corp.		28,509		3,547,660
Exxon Mobil Corp. (a)		46,865		3,591,264
Marathon Petroleum Corp.		39,369		2,199,940
Occidental Petroleum Corp.		43,889		2,206,739
ONEOK, Inc.		45,968		3,163,058
Phillips 66		27,961		2,615,472
Schlumberger Ltd.		61,858		2,458,237
Valero Energy Corp.		29,006		2,483,204
				22,265,574
Financials (21.4%):
Ameriprise Financial, Inc.		18,783		2,726,540
BB&T Corp.		76,447		3,755,841
BlackRock, Inc., Class A		6,792		3,187,486
Citizens Financial Group, Inc.		84,849		3,000,261

See notes to financial statements.

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Security Description	Shares		Value
First American Financial Corp.		60,367	$	3,241,708
FNF Group		94,749		3,818,385
Franklin Resources, Inc. (b)		93,401		3,250,354
Huntington Bancshares, Inc.		229,079		3,165,872
Invesco Ltd.		141,639		2,897,934
KeyCorp		163,831		2,908,000
MetLife, Inc.		69,464		3,450,277
Morgan Stanley		67,717		2,966,682
New York Community Bancorp, Inc.		249,413		2,489,142
People's United Financial, Inc.		208,646		3,501,080
Principal Financial Group, Inc.		53,676		3,108,914
Prudential Financial, Inc.		32,760		3,308,760
Regions Financial Corp.		183,375		2,739,623
Santander Consumer USA Holdings, Inc. (b)		144,376		3,459,249
T. Rowe Price Group, Inc.		28,629		3,140,888
The PNC Financial Services Group, Inc.		27,878		3,827,091
The Progressive Corp.		40,779		3,259,465
Wells Fargo & Co. (a)		74,842		3,541,523
				70,745,075
Health Care (2.5%):
Amgen, Inc.		17,036		3,139,394
Bristol-Myers Squibb Co.		47,007		2,131,767
Gilead Sciences, Inc.		46,707		3,155,525
				8,426,686
Industrials (9.2%):
Cummins, Inc.		20,974		3,593,685
Delta Air Lines, Inc.		53,786		3,052,356
Eaton Corp. PLC, ADR		42,615		3,548,977
Emerson Electric Co.		47,774		3,187,481
Hubbell, Inc.		22,555		2,941,172
IAA, Inc. (c)		58,052		2,251,257
Johnson Controls International PLC		91,806		3,792,506
KAR Auction Services, Inc.		58,052		1,451,300
Lockheed Martin Corp.		10,596		3,852,070
United Parcel Service, Inc., Class B		27,649		2,855,312
				30,526,116
Information Technology (8.2%):
Broadcom, Inc.		8,120		2,337,423
Cypress Semiconductor Corp. (b)		134,152		2,983,541
HP, Inc.		111,349		2,314,946
International Business Machines Corp.		20,716		2,856,736
Maxim Integrated Products, Inc.		44,515		2,662,887
Paychex, Inc.		52,896		4,352,812
Seagate Technology PLC		44,240		2,084,589
The Western Union Co. (b)		254,270		5,057,431
Xerox Corp.		72,693		2,574,059
				27,224,424

See notes to financial statements.

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Security Description	Shares		Value
Materials (6.8%):
CF Industries Holdings, Inc.		47,482	$	2,217,884
DuPont de Nemours, Inc.		33,298		2,499,681
Eastman Chemical Co.		35,064		2,729,031
International Paper Co.		54,976		2,381,560
Lyondellbasell Industries NV, Class A		36,762		3,166,311
Packaging Corp. of America		25,988		2,477,176
Sonoco Products Co.		73,399		4,795,891
WestRock Co.		62,785		2,289,769
				22,557,303
Utilities (22.1%):
AES Corp.		186,479		3,125,388
Alliant Energy Corp.		97,723		4,796,245
American Electric Power Co., Inc.		58,284		5,129,574
Consolidated Edison, Inc.		50,075		4,390,576
Dominion Resources, Inc.		60,696		4,693,015
DTE Energy Co.		36,339		4,647,031
Duke Energy Corp.		52,903		4,668,161
Evergy, Inc.		82,306		4,950,706
Eversource Energy		67,985		5,150,543
Exelon Corp.		99,435		4,766,914
OGE Energy Corp.		106,051		4,513,531
Pinnacle West Capital Corp.		46,734		4,397,202
PPL Corp.		116,276		3,605,719
Public Service Enterprise Group, Inc.		74,337		4,372,502
WEC Energy Group, Inc.		59,896		4,993,530
Xcel Energy, Inc.		83,647		4,976,160
				73,176,797
Total Common Stocks (Cost $313,238,896)				329,657,195
Collateral for Securities Loaned^ (5.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		3,544,911		3,544,911
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		4,566,251		4,566,251
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		118,584		118,584
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		1,949,441		1,949,441
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		2,658,270		2,658,270
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		4,135,237		4,135,237
Total Collateral for Securities Loaned (Cost $16,972,694)				16,972,694
Total Investments (Cost $330,211,590) — 104.6%				346,629,889
Liabilities in excess of other assets — (4.6)%				(15,103,012	)
NET ASSETS — 100.00%			$	331,526,877

^ 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.

See notes to financial statements.

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(d) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		9	9/20/19	$	1,311,261	$	1,324,890	$	13,629
	Total unrealized appreciation							$	13,629
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	13,629

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Common Stocks (99.6%)
Communication Services (3.6%):
Cogent Communications Holdings, Inc.		17,884	$	1,061,594
TEGNA, Inc.		60,075		910,137
Wiley (John) & Sons, Class A		16,297		747,380
				2,719,111
Consumer Discretionary (14.5%):
Acushnet Holdings Corp.		37,941		996,331
Bed Bath & Beyond, Inc. (a)		26,458		307,442
Brinker International, Inc.		13,694		538,859
Dana, Inc.		26,202		522,468
Dineequity, Inc.		5,631		537,592
Ethan Allen Interiors, Inc.		39,638		834,776
Haverty Furniture Cos., Inc.		36,258		617,474
Hooker Furniture Corp.		19,762		407,492
Jack in the Box, Inc.		11,641		947,460
LCI Industries		7,217		649,530
MDC Holdings, Inc.		26,242		860,214
PetMed Express, Inc. (a)		25,576		400,776
Sturm Ruger & Co.		16,129		878,708
Tenneco, Inc.		17,277		191,602
The Buckle, Inc. (a)		28,245		488,921
The Cheesecake Factory, Inc. (a)		20,080		877,898
The Children's Place, Inc. (a)		5,974		569,800
Tupperware Brands Corp. (a)		14,516		276,239
				10,903,582
Consumer Staples (6.5%):
B&G Foods, Inc. (a)		30,458		633,526
Ingles Markets, Inc., Class A		21,526		670,104
John B. Sanfilippo & Son, Inc.		11,867		945,682
Natural Health Trends Corp. (a)		37,437		301,368
Universal Corp.		16,624		1,010,240
Vector Group Ltd.		69,153		674,242
Weis Markets, Inc. (a)		18,899		688,113
				4,923,275
Energy (2.8%):
Core Laboratories N.V.		9,865		515,742
Evolution Petroleum Corp.		73,402		524,824
Falcon Minerals Corp.		77,079		647,464
RPC, Inc. (a)		51,570		371,820
				2,059,850
Financials (25.1%):
Berkshire Hills Bancorp, Inc.		28,513		895,023
Boston Private Financial Holdings, Inc.		74,998		905,226
Columbia Banking System, Inc.		24,901		900,918
First Busey Corp.		41,330		1,091,525
First Financial Bancorp		30,624		741,713

See notes to financial statements.

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Security Description	Shares		Value
Hope Bancorp, Inc.		64,798	$	892,916
Park National Corp.		8,887		883,279
Sandy Spring BanCorp		28,906		1,008,241
Southside Bancshares, Inc.		26,661		863,283
Washington Trust BanCorp, Inc.		20,951		1,093,224
Artisan Partners Asset Management, Class A		33,180		913,114
Cohen & Steers, Inc.		23,301		1,198,603
Federated Investors, Inc., Class B		30,544		992,680
Moelis & Co., Class A		13,799		482,275
Waddell & Reed Financial, Inc., Class A (a)		45,027		750,600
Navient Corp.		56,114		765,956
James River Group Holdings Ltd.		24,281		1,138,779
Safety Insurance Group, Inc.		13,080		1,244,300
Northwest Bancshares, Inc.		66,255		1,166,751
Provident Financial Services, Inc.		35,948		871,739
				18,800,145
Health Care (0.7%):
Meridian Bioscience, Inc.		43,210		513,335
Industrials (22.9%):
ABM Industries, Inc.		18,042		721,680
Acco Brands Corp.		62,750		493,843
Aircastle Ltd.		47,233		1,004,173
Allegiant Travel Co.		4,756		682,486
Applied Industrial Technologies, Inc.		14,173		872,065
Argan, Inc. (a)		12,320		499,699
Ennis, Inc.		45,742		938,626
GATX Corp.		10,716		849,672
H&E Equipment Services, Inc.		14,686		427,216
Healthcare Services Group (a)		20,498		621,499
Herman Miller, Inc.		24,483		1,094,391
HNI Corp.		19,461		688,530
Kimball International, Inc., Class B		55,291		963,722
Knoll, Inc.		44,781		1,029,067
Matson, Inc.		18,328		712,043
Matthews International Corp., Class A		16,096		560,946
McGrath RentCorp		12,035		747,975
National Presto Industries, Inc.		7,438		693,891
Pitney Bowes, Inc.		67,594		289,302
Resources Connection, Inc.		36,515		584,605
Steelcase, Inc., Class A		39,279		671,671
Systemax, Inc.		18,384		407,389
The Greenbrier Cos., Inc.		15,251		463,630
Triton International Ltd.		20,054		656,969
Wabash National Corp.		35,525		577,992
				17,253,082
Information Technology (7.0%):
American Software, Inc.		50,143		659,380
CSG Systems International, Inc.		19,297		942,273
InterDigital, Inc.		15,940		1,026,536

See notes to financial statements.

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Security Description	Shares		Value
ManTech International Corp., Class A		14,822	$	976,028
MTS Systems Corp.		17,284		1,011,633
NIC, Inc.		40,180		644,487
				5,260,337
Materials (9.2%):
Commercial Metals Co.		39,292		701,362
Greif, Inc., Class A		14,837		482,944
Innophos Holdings, Inc.		19,253		560,455
Kaiser Aluminum Corp.		6,740		657,891
Kronos Worldwide, Inc.		32,902		504,059
PolyOne Corp.		23,096		724,983
Rayonier Advanced Materials, Inc. (a)		36,664		237,949
Schnitzer Steel Industries, Inc.		26,174		684,974
Schweitzer-Mauduit International, Inc.		17,570		582,973
Sensient Technologies Corp.		13,144		965,821
Worthington Industries, Inc.		20,148		811,159
				6,914,570
Real Estate (1.6%):
Four Corners Property Trust, Inc.		44,536		1,217,169
Utilities (5.7%):
MGE Energy, Inc.		15,547		1,136,175
Otter Tail Corp.		21,289		1,124,272
SJW Corp.		15,325		931,300
Unitil Corp.		19,242		1,152,403
				4,344,150
Total Common Stocks (Cost $76,357,113)				74,908,606
Rights (0.0%) (b)
Materials (0.0%): (b)
Schulman, Inc. (c) (d) (e) (f)		7,093		14,186
Total Right (Cost $14,186)				14,186
Collateral for Securities Loaned^ (5.9%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (g)		932,784		932,784
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (g)		1,201,532		1,201,532
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (g)		31,204		31,204
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (g)		512,963		512,963
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (g)		699,479		699,479
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (g)		1,088,118		1,088,118
Total Collateral for Securities Loaned (Cost $4,466,080)				4,466,080
Total Investments (Cost $80,837,379) — 105.5%				79,388,872
Liabilities in excess of other assets — (5.5)%				(4,111,582	)
NET ASSETS — 100.00%			$	75,277,290

See notes to financial statements.

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^ Purchased with cash collateral from securities on loan.

(a) All or a portion of this security is on loan.

(b) Amount represents less than 0.05% of net assets.

(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2019.

(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, 2019, illiquid securities were 0.0% of the Fund's net assets.

(g) Rate disclosed is the daily yield on June 30, 2019.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		4	9/20/19	$	308,854	$	313,420	$	4,566
	Total unrealized appreciation							$	4,566
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	4,566

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Common Stocks (99.1%)
Australia (12.6%):
Communication Services (1.1%):
Telstra Corp. Ltd.		164,762	$	445,240
Consumer Staples (1.1%):
Wesfarmers Ltd.		17,472		443,453
Energy (1.0%):
Woodside Petroleum Ltd.		15,522		396,140
Financials (4.6%):
Australia & New Zealand Banking Group Ltd.		19,589		387,875
Commonwealth Bank of Australia		8,906		517,470
National Australia Bank Ltd.		29,435		552,048
Westpac Banking Corp.		21,378		425,549
				1,882,942
Materials (3.7%):
BHP Billiton Ltd.		14,498		418,852
BHP Group PLC		12,588		322,056
Fortescue Metals Group Ltd.		59,121		374,304
RIO Tinto Ltd.		5,462		397,794
				1,513,006
Utilities (1.1%):
AGL Energy Ltd.		30,455		427,742
				5,108,523
Belgium (1.0%):
Communication Services (1.0%):
Proximus SADP		14,005		412,670
Canada (15.3%):
Communication Services (3.7%):
BCE, Inc.		15,264		694,539
TELUS Corp.		21,870		808,558
				1,503,097
Energy (2.6%):
Pembina Pipeline Corp.		13,652		508,275
TC Energy Corp.		11,039		547,313
				1,055,588
Financials (5.8%):
Great-West Lifeco, Inc.		22,163		510,321
Power Corp. of Canada		26,538		571,741
Power Financial Corp. (a)		26,828		617,122
The Bank of Nova Scotia (a)		11,793		633,511
				2,332,695

See notes to financial statements.

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Security Description	Shares		Value
Utilities (3.2%):
Emera, Inc.		16,676	$	681,482
Hydro One Ltd. (b)		36,506		636,778
				1,318,260
				6,209,640
Denmark (0.5%):
Financials (0.5%):
Danske Bank A/S		12,537		198,213
Finland (3.7%):
Financials (2.2%):
Nordea Bank AB		45,270		328,820
Sampo Oyj, Class A		11,652		549,710
				878,530
Materials (0.7%):
UPM-Kymmene Oyj (a)		10,475		278,290
Utilities (0.8%):
Fortum Oyj		15,575		344,110
				1,500,930
France (11.0%):
Communication Services (2.3%):
Orange SA		39,984		630,218
Publicis Groupe SA		5,266		277,949
				908,167
Consumer Discretionary (0.7%):
Renault SA		4,735		297,613
Energy (1.1%):
Total SA		7,792		436,476
Financials (2.8%):
BNP Paribas SA		6,857		325,560
Credit Agricole SA		25,853		309,915
Natixis SA		57,838		232,691
Societe Generale SA		10,582		267,299
				1,135,465
Health Care (1.2%):
Sanofi		5,668		489,118
Industrials (0.7%):
Bouygues		7,628		282,432
Utilities (2.2%):
GDF Suez		26,616		403,631
Veolia Environnement SA		20,288		494,019
				897,650
				4,446,921

See notes to financial statements.

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Security Description	Shares		Value
Germany (4.9%):
Consumer Discretionary (1.6%):
Bayerische Motoren Werke AG		4,820	$	356,653
Daimler AG, Registered Shares		5,389		299,726
				656,379
Industrials (1.1%):
Deutsche Post AG		13,006		427,294
Materials (2.2%):
BASF SE		4,864		353,440
Covestro AG (b)		3,591		182,518
Evonik Industries AG		12,598		366,772
				902,730
				1,986,403
Hong Kong (2.4%):
Industrials (0.6%):
NWS Holdings Ltd.		127,000		261,108
Utilities (1.8%):
Power Assets Holdings Ltd.		99,500		715,864
				976,972
Ireland (0.8%):
Communication Services (0.8%):
WPP PLC		24,143		303,539
Italy (6.9%):
Energy (2.2%):
Eni SpA		26,691		443,181
Snam SpA		93,303		463,619
				906,800
Financials (2.1%):
Assicurazioni Generali SpA		32,375		609,474
Intesa Sanpaolo SpA		108,728		232,620
				842,094
Industrials (1.1%):
Atlantia SpA		16,626		433,010
Utilities (1.5%):
Enel SpA		87,577		611,285
				2,793,189
Japan (8.8%):
Consumer Discretionary (2.2%):
Nissan Motor Co. Ltd.		52,700		377,211
Sekisui House Ltd.		30,900		508,933
				886,144

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.0%):
Japan Tobacco, Inc.		18,400	$	406,148
Industrials (2.5%):
Marubeni Corp.		39,900		263,902
Mitsui & Co. Ltd.		22,900		372,603
Sumitomo Corp.		26,400		399,796
				1,036,301
Information Technology (1.7%):
Canon, Inc.		15,600		455,265
Tokyo Electron Ltd.		1,700		238,442
				693,707
Materials (1.4%):
JFE Holdings, Inc.		17,400		255,431
Mitsubishi Chem Holdings		42,700		298,108
				553,539
				3,575,839
Korea, Republic Of (0.6%):
Energy (0.6%):
SK Innovation Co. Ltd.		1,859		256,047
Macau (0.5%):
Consumer Discretionary (0.5%):
Sands China Ltd.		43,200		206,560
Netherlands (2.4%):
Communication Services (0.9%):
Koninklijke KPN NV		123,209		378,174
Financials (0.7%):
ING Groep NV		24,687		286,143
Industrials (0.8%):
Randstad Holding NV		5,614		308,251
				972,568
Norway (2.5%):
Communication Services (1.2%):
Telenor ASA		23,528		499,704
Consumer Staples (0.9%):
Marine Harvest ASA		14,759		345,223
Energy (0.4%):
Aker BP ASA		6,070		174,122
				1,019,049
Portugal (0.9%):
Consumer Staples (0.9%):
Jeronimo Martins SGPS SA		22,867		368,223

See notes to financial statements.

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Security Description	Shares		Value
Russian Federation (0.6%):
Materials (0.6%):
Evraz PLC		27,998	$	236,472
Singapore (1.8%):
Communication Services (1.8%):
Singapore Telecommunications Ltd.		284,300		735,603
Spain (3.2%):
Communication Services (1.1%):
Telefonica SA		52,104		427,714
Energy (0.9%):
Repsol SA		22,903		358,909
Utilities (1.2%):
Endesa SA		19,633		504,629
				1,291,252
Sweden (3.4%):
Communication Services (1.3%):
TeliaSonera AB		116,152		516,064
Consumer Discretionary (0.6%):
Hennes & Mauritz AB, B Shares (a)		14,786		263,415
Financials (1.5%):
Skandinaviska Enskilda Banken AB, Class A		39,548		366,081
Swedbank AB, A Shares		15,811		237,540
				603,621
				1,383,100
Switzerland (4.5%):
Communication Services (1.4%):
Swisscom AG (a)		1,160		582,615
Financials (1.5%):
Zurich Insurance Group AG		1,689		588,329
Industrials (1.0%):
Kuehne + Nagel International AG		2,754		408,951
Materials (0.6%):
Glencore PLC		63,209		219,381
				1,799,276
United Kingdom (10.8%):
Consumer Discretionary (1.1%):
Barratt Developments PLC		32,668		237,506
Persimmon PLC		8,985		227,822
				465,328

See notes to financial statements.

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Security Description	Shares		Value
Consumer Staples (1.2%):
British American Tobacco PLC		7,219	$	251,971
Imperial Tobacco Group PLC		10,244		240,209
				492,180
Energy (1.9%):
BP PLC		50,229		349,873
Royal Dutch Shell PLC, Class A		12,800		418,085
				767,958
Financials (3.0%):
Aviva PLC		74,827		395,707
HSBC Holdings PLC		50,119		418,024
Legal & General Group PLC		114,973		393,418
				1,207,149
Health Care (0.9%):
GlaxoSmithKline PLC		19,339		387,129
Industrials (0.9%):
BAE Systems PLC		55,558		349,464
Materials (0.9%):
Rio Tinto PLC		5,700		353,215
Utilities (0.9%):
National Grid PLC		33,794		358,627
				4,381,050
Total Common Stocks (Cost $41,469,125)				40,162,039
Rights (0.0%) (c)
Spain (0.0%): (c)
Energy (0.0%): (c)
Repsol SA Expires 07/05/19 @ $0.49 (d)		22,903		12,700
Total Rights (Cost $12,973)				12,700
Collateral for Securities Loaned^ (5.4%)
United States (5.4%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (e)		459,980		459,980
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (e)		592,506		592,506
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (e)		15,387		15,387
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (e)		252,955		252,955
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (e)		344,931		344,931
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (e)		536,579		536,579
Total Collateral for Securities Loaned (Cost $2,202,338)				2,202,338
Total Investments (Cost $43,684,436) — 104.5%				42,377,077
Liabilities in excess of other assets — (4.5)%				(1,837,048	)
NET ASSETS — 100.00%			$	40,540,029

See notes to financial statements.

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^ Purchased with cash collateral from securities on loan.

(a) All or a portion of this security is on loan.

(d) Non-income producing security.

(e) Rate disclosed is the daily yield on June 30, 2019.

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		1	9/20/19	$	95,924	$	96,165	$	241
	Total unrealized appreciation							$	241
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	241

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.9%)
Brazil (5.2%):
Financials (1.2%):
BB Seguridade Participacoes SA		55,500	$	468,077
Health Care (0.9%):
Fleury SA		62,700		348,669
Industrials (0.7%):
EcoRodovias Infraestrutura e Logistica SA		98,500		276,056
Information Technology (0.3%):
Cielo SA		76,500		133,899
Utilities (2.1%):
EDP — Energias do Brasil SA		85,100		418,928
Engie Brasil Energia SA		38,550		436,478
				855,406
				2,082,107
Chile (3.6%):
Utilities (3.6%):
Aguas Andinas SA		1,404,987		829,623
Colbun SA		2,912,587		601,943
				1,431,566
China (15.9%):
Consumer Discretionary (1.1%):
Dongfeng Motor Group Co. Ltd.		318,000		260,542
Guangzhou Automobile Group Co. Ltd.		188,000		200,722
				461,264
Energy (2.1%):
China Petroleum & Chemical Corp., Class H		438,000		297,742
China Shenhua Energy Co. Ltd.		146,000		305,779
Yanzhou Coal Mining Co. Ltd.		253,000		236,436
				839,957
Financials (7.6%):
Agricultural Bank of China Ltd.		1,099,000		460,062
Bank of China Ltd.		1,334,000		563,561
Bank of Communications Co. Ltd., Class H		762,000		578,470
China Cinda Asset Management Co.		1,241,000		285,967
China CITIC Bank Corp. Ltd.		927,000		528,093
China Everbright Bank Co. Ltd.		978,000		448,222
China Huarong Asset Management Co. Ltd., Class H (a)		1,116,000		194,301
				3,058,676
Industrials (1.4%):
Zoomlion Heavy Industry Science And Technology Co.		876,000		575,298
Materials (0.7%):
Sinopec Shanghai Petrochemical Co. Ltd.		660,000		261,925

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (2.1%):
Country Garden Holdings Co. Ltd.		176,000	$	267,670
Guangzhou R&f Properties Co. Ltd., Class H		143,949		276,790
Red Star Macalline Group Corp. Ltd., Class H (a)		331,400		290,188
				834,648
Utilities (0.9%):
China Power International Development Ltd.		1,496,000		365,793
				6,397,561
Czech Republic (3.3%):
Financials (1.7%):
Komercni Banka AS		17,092		681,517
Utilities (1.6%):
CEZ AS		27,236		658,177
				1,339,694
Egypt (0.6%):
Industrials (0.6%):
Elsewedy Electric Co.		300,075		257,387
Hong Kong (2.3%):
Materials (0.6%):
China Resources Cement Holdings Ltd.		238,000		230,645
Real Estate (0.9%):
Franshion Properties China Ltd.		600,000		364,851
Utilities (0.8%):
China Resources Power Holdings Co. Ltd.		228,000		332,745
				928,241
Hungary (1.5%):
Communication Services (1.5%):
Magyar Telekom Telecommunications PLC		398,777		591,441
India (1.4%):
Communication Services (0.8%):
Bharti Infratel Ltd.		81,129		313,902
Materials (0.6%):
Vedanta Ltd.		101,255		255,778
				569,680
Indonesia (4.0%):
Communication Services (1.0%):
PT Telekomunikasi Indonesia Persero TBK		1,394,800		408,812
Consumer Staples (1.2%):
JAPFA Comfeed Indonesia TBK PT		1,441,200		158,149
PT Indofood Sukses Makmur TBK		696,900		346,600
				504,749

See notes to financial statements.

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Security Description	Shares		Value
Energy (1.8%):
PT Adaro Energy TBK		2,764,900	$	266,213
PT Indo Tambangraya Megah TBK		184,300		228,989
Tambang Batubara Bukit Asam TBK PT		1,008,200		211,276
				706,478
				1,620,039
Malaysia (5.4%):
Communication Services (0.5%):
Astro Malaysia Holdings Berhad		564,700		198,260
Consumer Staples (0.7%):
British American Tobacco Malaysia Berhad		42,400		295,671
Financials (2.2%):
Malayan Banking Berhad		412,100		886,065
Industrials (2.0%):
MISC Berhad		234,400		405,802
Sime Darby Berhad		686,900		375,882
				781,684
				2,161,680
Mexico (2.1%):
Consumer Staples (1.2%):
Kimberly-Clark de Mexico SAB de CV, Series A		254,647		473,603
Materials (0.9%):
Grupo Mexico SAB de CV, Series B		135,885		360,924
				834,527
Philippines (0.9%):
Communication Services (0.9%):
Globe Telecom, Inc.		8,535		376,853
Poland (2.3%):
Financials (2.3%):
Bank Pekao SA		14,135		423,546
Powszechny Zaklad Ubezpieczen na Zycie SA		42,161		493,353
				916,899
Russian Federation (9.9%):
Consumer Staples (2.1%):
Magnit PJSC		8,064		476,370
X5 Retail Group NV, Registered Shares, GDR		10,884		373,212
				849,582
Energy (1.1%):
Tatneft PAO		34,480		422,587

See notes to financial statements.

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Security Description	Shares		Value
Materials (5.2%):
ALROSA AO		334,310	$	454,938
MMC Norilsk Nickel PJSC		2,728		617,343
Phosagro OAO-GDR, Registered Shares		34,438		451,827
Severstal PJSC		33,970		573,597
				2,097,705
Utilities (1.5%):
Federal Grid Co. Unified Energy System PJSC		189,240,000		606,095
				3,975,969
South Africa (11.3%):
Communication Services (2.1%):
Telkom SA SOC Ltd.		71,036		465,197
Vodacom Group Ltd.		43,626		370,856
				836,053
Consumer Discretionary (3.4%):
The Foschini Group Ltd.		26,227		335,907
Truworths International Ltd.		55,048		273,725
Tsogo Sun Holdings Ltd.		345,924		374,244
Woolworths Holdings Ltd. (b)		105,904		367,720
				1,351,596
Consumer Staples (0.8%):
Avi Ltd.		51,679		335,386
Financials (3.6%):
Absa Group Ltd.		27,745		346,874
Nedbank Group Ltd.		18,351		330,064
RMB Holdings Ltd.		64,939		389,334
Standard Bank Group Ltd.		27,964		390,672
				1,456,944
Materials (1.4%):
African Rainbow Minerals Ltd.		24,397		315,709
Assore Ltd.		9,729		253,483
				569,192
				4,549,171
Taiwan (19.5%):
Consumer Staples (2.1%):
President Chain Store Corp.		38,000		367,691
Uni-President Enterprises Corp.		183,300		488,115
				855,806
Information Technology (13.6%):
Asustek Computer, Inc.		55,000		394,932
AU Optronics Corp.		1,048,000		313,833
Compal Electronics, Inc.		1,144,000		749,626
Foxconn Technology Co. Ltd.		228,000		463,253
Inventec Corp.		464,000		369,037

See notes to financial statements.

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Security Description	Shares		Value
Lite-On Technology Corp.		310,000	$	454,180
Nanya Technology Corp.		105,000		218,074
Pegatron Corp.		195,000		337,181
Powertech Technology, Inc.		156,000		381,762
Quanta Computer, Inc.		345,000		670,981
Synnex Technology International Corp.		368,000		462,133
United Microelectronics Corp.		931,000		418,195
Winbond Electronics Corp.		477,000		233,462
				5,466,649
Materials (3.8%):
Formosa Chemicals & Fibre		125,000		414,574
Formosa Plastics Corp.		140,000		516,164
Nan Ya Plastics Corp.		242,000		612,481
				1,543,219
				7,865,674
Thailand (6.2%):
Communication Services (1.4%):
Intouch Holdings Public Co. Ltd.		277,500		567,850
Materials (1.0%):
PTT Global Chemical Public Co. Ltd.		188,800		394,039
Utilities (3.8%):
Ratch Group PCL		462,800		1,007,399
TPI Polene Power PCL		2,707,700		538,626
				1,546,025
				2,507,914
Turkey (3.5%):
Communication Services (0.7%):
Turkcell Iletisim Hizmetleri AS		119,267		264,098
Consumer Discretionary (1.2%):
Ford Otomotiv Sanayi AS		25,027		270,597
Tofas Turk Otomobil Fabrikasi AS		61,389		204,967
				475,564
Energy (0.6%):
Tupras Turkiye Petrol Rafinerileri AS		11,534		229,463
Financials (0.5%):
Akbank TAS (c)		188,640		221,910
Materials (0.5%):
Eregli Demir ve Celik Fabrikalari TAS		156,679		213,314
				1,404,349
Total Common Stocks (Cost $40,039,055)				39,810,752

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.5%)
United States (0.5%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		39,110	$	39,110
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		50,378		50,378
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		1,308		1,308
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		21,508		21,508
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		29,328		29,328
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		45,623		45,623
Total Collateral for Securities Loaned (Cost $187,255)				187,255
Total Investments (Cost $40,226,310) — 99.4%				39,998,007
Other assets in excess of liabilities — 0.6%				253,259
NET ASSETS — 100.00%			$	40,251,266

^ Purchased with cash collateral from securities on loan.

(a) Rule 144A security or other security that is restricted as to resale to institutional investors. The Fund's Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. As of June 30, 2019, the fair value of these securities was $484,489 and amounted to 1.2% of net assets.

(b) All or a portion of this security is on loan.

(d) Rate disclosed is the daily yield on June 30, 2019.

GDR — Global Depository Receipt

OAO — Russian Open Joint Stock Corporations

PCL — Public Company Limited

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI Emerging Markets Index Futures		2	9/20/19	$	104,978	$	105,340	$	362
	Total unrealized appreciation							$	362
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	362

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
Common Stocks (99.7%)
Communication Services (2.5%):
The Walt Disney Co.		2,904	$	405,515
Consumer Discretionary (16.6%):
Columbia Sportswear Co.		1,760		176,282
Gentex Corp.		13,061		321,431
Genuine Parts Co.		2,038		211,096
Lowe's Co., Inc.		1,714		172,960
McDonald's Corp.		2,396		497,553
Nike, Inc., Class B		3,054		256,383
Ross Stores, Inc.		1,169		115,871
Target Corp.		4,231		366,447
The Home Depot, Inc.		1,586		329,840
The TJX Co., Inc.		2,703		142,935
VF Corp.		1,716		149,893
				2,740,691
Consumer Staples (16.4%):
Brown-Forman Corp., Class B		2,918		161,745
Church & Dwight Co., Inc.		1,722		125,809
Colgate-Palmolive Co.		4,380		313,915
Costco Wholesale Corp.		1,128		298,085
Hormel Foods Corp.		2,752		111,566
Kimberly-Clark Corp.		1,596		212,715
Lancaster Colony Corp.		2,257		335,390
PepsiCo, Inc.		1,161		152,242
Sysco Corp.		3,576		252,895
The Clorox Co.		1,151		176,230
The Procter & Gamble Co.		4,089		448,358
Walgreens Boots Alliance, Inc.		1,863		101,850
				2,690,800
Energy (1.1%):
Chevron Corp.		628		78,148
Exxon Mobil Corp. (a)		1,294		99,160
				177,308
Financials (14.5%):
Aflac, Inc.		2,950		161,690
Brown & Brown, Inc.		4,192		140,432
Commerce Bank, Inc.		3,028		180,650
Erie Indemnity Co., Class A (b)		960		244,108
FactSet Research Systems, Inc. (b)		1,262		361,639
Franklin Resources, Inc. (b)		4,332		150,754
MarketAxess Holdings, Inc.		861		276,743
Morningstar, Inc.		3,468		501,612
Old Republic International Corp.		2,047		45,812
S&P Global, Inc.		300		68,337

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
SEI Investments Co.		2,463	$	138,174
T. Rowe Price Group, Inc.		1,196		131,213
				2,401,164
Health Care (3.9%):
Chemed Corp.		1,097		395,841
Johnson & Johnson (a)		876		122,009
West Pharmaceutical Services, Inc.		998		124,900
				642,750
Industrials (23.4%):
3M Co. (a)		1,571		272,317
A.O. Smith Corp.		1,463		68,995
C.H. Robinson Worldwide, Inc.		2,586		218,129
Cintas Corp.		494		117,221
Donaldson Co., Inc. (b)		4,248		216,053
Emerson Electric Co.		3,704		247,131
Expeditors International of Washington, Inc.		2,241		170,002
Fastenal Co.		3,916		127,622
General Dynamics Corp.		633		115,092
Graco, Inc.		3,012		151,142
HEICO Corp.		1,689		226,005
Illinois Tool Works, Inc.		1,218		183,687
ITT, Inc.		751		49,175
J.B. Hunt Transport Services, Inc.		1,997		182,546
Lincoln Electric Holdings, Inc.		1,359		111,873
Nordson Corp.		491		69,383
Raytheon Co.		3,033		527,378
Robert Half International, Inc.		2,520		143,665
Rollins, Inc.		6,242		223,901
Toro Co.		2,993		200,232
W.W. Grainger, Inc.		737		197,686
				3,819,235
Information Technology (16.7%):
Accenture PLC, Class A		1,660		306,718
Automatic Data Processing, Inc.		2,397		396,297
Intuit, Inc.		1,517		396,438
Jack Henry & Associates, Inc.		1,523		203,960
Mastercard, Inc., Class A		1,353		357,909
Paychex, Inc.		6,887		566,732
Texas Instruments, Inc.		2,033		233,307
Visa, Inc., Class A		1,759		305,274
				2,766,635
Materials (4.6%):
Air Products & Chemicals, Inc.		1,157		261,909
Ecolab, Inc.		588		116,095
Nucor Corp.		754		41,545

See notes to financial statements.

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June 30, 2019

Security Description	Shares		Value
PPG Industries, Inc.		1,022	$	119,278
Sonoco Products Co.		3,244		211,963
				750,790
Total Common Stocks (Cost $15,202,571)				16,394,888
Collateral for Securities Loaned^ (1.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (c)		41,299		41,299
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (c)		53,198		53,198
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (c)		1,382		1,382
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (c)		22,711		22,711
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (c)		30,970		30,970
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (c)		48,176		48,176
Total Collateral for Securities Loaned (Cost $197,736)				197,736
Total Investments (Cost $15,400,307) — 100.9%				16,592,624
Liabilities in excess of other assets — (0.9)%				(143,035	)
NET ASSETS — 100.00%			$	16,449,589

^ 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.

PLC — Public Limited Company

See notes to financial statements.

118

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Schedule of Portfolio Investments
June 30, 2019

Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (2.2%):
Omnicom Group, Inc.		6,960	$	570,372
The Walt Disney Co.		2,724		380,379
				950,751
Consumer Discretionary (8.6%):
AutoZone, Inc. (a)		581		638,792
Best Buy Co., Inc.		2,764		192,734
Carnival Corp., Class A		1,818		84,628
Cracker Barrel Old Country Store, Inc.		1,829		312,266
Darden Restaurants, Inc.		2,007		244,312
Dollar General Corp.		2,373		320,735
H&R Block, Inc.		12,615		369,620
Kohl's Corp.		5,762		273,983
Las Vegas Sands Corp.		1,616		95,489
Six Flags Entertainment Corp.		3,115		154,753
Target Corp.		7,624		660,314
The Gap, Inc.		8,426		151,415
The Home Depot, Inc.		543		112,928
Williams-Sonoma, Inc. (b)		1,412		91,780
				3,703,749
Consumer Staples (20.4%):
Flowers Foods, Inc.		2,640		61,433
Ingredion, Inc.		5,128		423,009
Kimberly-Clark Corp.		8,828		1,176,596
PepsiCo, Inc.		10,551		1,383,553
Sysco Corp.		16,165		1,143,189
The Hershey Co.		9,019		1,208,816
The Kroger Co.		27,464		596,243
The Procter & Gamble Co.		13,028		1,428,520
Wal-Mart Stores, Inc.		12,919		1,427,420
				8,848,779
Energy (1.5%):
Valero Energy Corp.		7,488		641,048
Financials (13.0%):
Aflac, Inc.		16,386		898,116
Erie Indemnity Co., Class A		1,298		330,055
Everest Re Group Ltd.		2,439		602,872
First American Financial Corp.		4,911		263,721
FNF Group		16,523		665,877
Hanover Insurance Group, Inc.		2,661		341,406
Marsh & McLennan Co., Inc.		1,226		122,294
New Residential Investment Corp.		27,042		416,176
The Allstate Corp.		5,320		540,991
The Progressive Corp.		5,269		421,151
The Travelers Co., Inc.		6,407		957,974
				5,560,633

See notes to financial statements.

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Security Description	Shares		Value
Health Care (13.9%):
AmerisourceBergen Corp.		3,045	$	259,617
Encompass Health Corp.		1,607		101,820
HCA Holdings, Inc.		6,226		841,568
Humana, Inc.		2,633		698,535
Johnson & Johnson (c)		11,612		1,617,320
Pfizer, Inc.		28,879		1,251,038
UnitedHealth Group, Inc.		4,174		1,018,497
Universal Health Services, Inc., Class B		1,682		219,316
				6,007,711
Industrials (12.3%):
3M Co. (c)		1,191		206,448
Expeditors International of Washington, Inc.		2,176		165,071
Lockheed Martin Corp.		3,865		1,405,083
Raytheon Co.		5,758		1,001,201
Republic Services, Inc., Class A		13,120		1,136,717
Spirit Aerosystems Holdings, Inc., Class A		2,220		180,641
Waste Management, Inc.		10,548		1,216,923
				5,312,084
Information Technology (18.0%):
Apple, Inc. (c)		11,852		2,345,748
Cisco Systems, Inc.		12,819		701,584
F5 Networks, Inc. (a)		949		138,203
Intel Corp.		14,842		710,487
International Business Machines Corp.		7,441		1,026,114
MAXIMUS, Inc.		1,818		131,878
Microsoft Corp. (c)		20,620		2,762,255
				7,816,269
Real Estate (8.8%):
Apple Hospitality REIT, Inc.		17,723		281,087
Equity Commonwealth		9,545		310,403
Kimco Realty Corp.		33,459		618,322
Life Storage, Inc.		3,540		336,583
Medical Properties Trust, Inc.		5,556		96,897
PS Business Parks, Inc.		1,843		310,601
Public Storage		4,953		1,179,656
VICI Properties, Inc.		31,284		689,499
				3,823,048
Utilities (0.8%):
IDACORP, Inc.		3,407		342,165
Total Common Stocks (Cost $40,273,628)				43,006,237

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.1%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		8,271	$	8,271
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		10,654		10,654
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		277		277
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		4,549		4,549
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		6,202		6,202
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		9,649		9,649
Total Collateral for Securities Loaned (Cost $39,602)				39,602
Total Investments (Cost $40,313,230) — 99.6%				43,045,839
Other assets in excess of liabilities — 0.4%				166,736
NET ASSETS — 100.00%			$	43,212,575

^ Purchased with cash collateral from securities on loan.

(a) Non-income producing security.

(b) All or a portion of this security is on loan.

(d) Rate disclosed is the daily yield on June 30, 2019.

REIT — Real Estate Investment Trust

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		1	9/20/19	$	144,254	$	147,210	$	2,956
	Total unrealized appreciation							$	2,956
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	2,956

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.4%)
Communication Services (3.8%):
Activision Blizzard, Inc.		21,068	$	994,410
Alphabet, Inc., Class A (a)		1,304		1,411,971
AT&T, Inc. (b)		58,362		1,955,711
CBS Corp., Class B		32,191		1,606,331
Charter Communications, Inc., Class A (a)		3,705		1,464,142
Comcast Corp., Class A		42,822		1,810,514
DISH Network Corp. (a)		32,524		1,249,247
Electronic Arts, Inc. (a)		9,995		1,012,094
Facebook, Inc., Class A (a)		7,228		1,395,004
InterActive Corp. (a)		5,309		1,154,867
Match Group, Inc. (c)		14,746		991,963
Netflix, Inc. (a)		2,415		887,078
Omnicom Group, Inc.		25,095		2,056,535
Sirius XM Holdings, Inc. (c)		239,453		1,336,148
Take-Two Interactive Software, Inc. (a)		10,072		1,143,474
The Walt Disney Co.		18,219		2,544,100
T-Mobile US, Inc. (a)		25,404		1,883,453
TripAdvisor, Inc. (a) (c)		18,675		864,466
Twitter, Inc. (a)		26,512		925,269
Verizon Communications, Inc.		38,412		2,194,477
Viacom, Inc., Class B		49,587		1,481,164
World Wrestling Entertainment, Inc. (c)		12,341		891,144
Zayo Group Holdings, Inc. (a)		33,947		1,117,196
				32,370,758
Consumer Discretionary (11.6%):
Advance Auto Parts, Inc.		8,644		1,332,386
Amazon.com, Inc. (a)		596		1,128,603
Aramark		45,564		1,643,038
AutoZone, Inc. (a)		1,801		1,980,145
Best Buy Co., Inc.		16,086		1,121,677
Booking Holdings, Inc. (a)		847		1,587,879
BorgWarner, Inc.		32,085		1,346,928
Bright Horizons Family Solutions, Inc. (a)		17,454		2,633,285
Burlington Stores, Inc. (a)		7,731		1,315,430
CarMax, Inc. (a) (c)		25,160		2,184,643
Chipotle Mexican Grill, Inc. (a)		2,203		1,614,535
Columbia Sportswear Co.		13,027		1,304,784
D.R. Horton, Inc.		32,515		1,402,372
Darden Restaurants, Inc.		16,013		1,949,262
Dollar General Corp.		14,672		1,983,068
Domino's Pizza, Inc.		5,406		1,504,382
Dunkin' Brands Group, Inc.		24,349		1,939,641
eBay, Inc.		39,603		1,564,319
Etsy, Inc. (a)		9,070		556,626
Five Below, Inc. (a)		8,095		971,562
Foot Locker, Inc.		20,136		844,101
Garmin Ltd.		16,923		1,350,455

See notes to financial statements.

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Security Description	Shares		Value
General Motors Co.		35,058	$	1,350,785
Genuine Parts Co.		22,175		2,296,887
Grand Canyon Education, Inc. (a)		10,310		1,206,476
Hanesbrands, Inc.		52,381		902,001
Harley-Davidson, Inc. (c)		40,633		1,455,880
Hilton Worldwide Holdings, Inc.		17,736		1,733,517
Hyatt Hotels Corp., Class A		23,231		1,768,576
Kohl's Corp.		17,851		848,815
Lear Corp.		8,897		1,239,085
Leggett & Platt, Inc. (c)		31,774		1,219,168
Lennar Corp., Class A		26,531		1,285,692
LKQ Corp. (a)		59,262		1,576,962
Macy's, Inc.		40,574		870,718
Marriott International, Inc., Class A		11,933		1,674,081
McDonald's Corp.		12,657		2,628,353
Mohawk Industries, Inc. (a)		7,336		1,081,840
Nordstrom, Inc.		25,135		800,801
Norwegian Cruise Line Holdings Ltd. (a)		24,776		1,328,737
NVR, Inc. (a)		577		1,944,635
Ollie's Bargain Outlet Holdings, Inc. (a)		12,293		1,070,843
O'Reilly Automotive, Inc. (a)		4,573		1,688,900
Planet Fitness, Inc., Class A (a)		17,959		1,300,950
Pool Corp.		12,431		2,374,320
PulteGroup, Inc.		50,940		1,610,723
PVH Corp.		10,997		1,040,756
Qurate Retail, Inc. (a)		65,744		814,568
Ralph Lauren Corp.		9,501		1,079,219
Ross Stores, Inc.		16,839		1,669,082
Royal Caribbean Cruises Ltd.		10,970		1,329,674
Service Corp. International (c)		44,783		2,094,949
Starbucks Corp.		25,695		2,154,012
Tapestry, Inc.		33,572		1,065,240
Target Corp.		20,307		1,758,789
The Gap, Inc. (c)		56,537		1,015,970
The Home Depot, Inc.		9,829		2,044,137
The TJX Co., Inc.		36,781		1,944,979
Tiffany & Co.		12,871		1,205,240
Tractor Supply Co.		16,772		1,824,794
Ulta Salon, Cosmetics & Fragrance, Inc. (a)		3,966		1,375,766
VF Corp.		15,856		1,385,021
Yum China Holdings, Inc.		27,210		1,257,102
Yum! Brands, Inc.		25,323		2,802,495
				96,379,659
Consumer Staples (7.3%):
Altria Group, Inc.		30,086		1,424,572
Archer-Daniels-Midland Co.		51,153		2,087,042
Brown-Forman Corp., Class B		37,016		2,051,797
Church & Dwight Co., Inc.		23,899		1,746,061
Colgate-Palmolive Co.		30,484		2,184,788
Conagra Brands, Inc.		49,125		1,302,795

See notes to financial statements.

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Security Description	Shares		Value
Constellation Brands, Inc., Class A		8,405	$	1,655,281
Costco Wholesale Corp.		7,966		2,105,095
General Mills, Inc.		35,981		1,889,722
Herbalife Ltd. (a) (c)		40,659		1,738,579
Hormel Foods Corp. (c)		50,139		2,032,635
Ingredion, Inc.		20,817		1,717,194
Keurig Dr Pepper, Inc. (c)		68,618		1,983,060
Kimberly-Clark Corp.		15,409		2,053,712
Lamb Weston Holdings, Inc.		24,817		1,572,405
McCormick & Co., Inc. (c)		13,281		2,058,688
Molson Coors Brewing Co., Class B		22,953		1,285,368
Mondelez International, Inc., Class A		49,663		2,676,836
Monster Beverage Corp. (a)		22,936		1,464,005
PepsiCo, Inc.		20,215		2,650,792
Philip Morris International, Inc.		18,833		1,478,956
Sysco Corp.		30,552		2,160,637
The Clorox Co.		11,640		1,782,200
The Coca-Cola Co.		49,243		2,507,454
The Estee Lauder Cos., Inc., Class A		8,370		1,532,631
The Hershey Co.		22,001		2,948,795
The J.M. Smucker Co.		16,273		1,874,487
The Kroger Co.		49,863		1,082,526
The Procter & Gamble Co.		20,071		2,200,785
Tyson Foods, Inc., Class A		30,088		2,429,305
US Foods Holding Corp. (a)		44,759		1,600,582
Walgreens Boots Alliance, Inc.		25,806		1,410,814
				60,689,599
Energy (3.1%):
Anadarko Petroleum Corp.		26,137		1,844,227
Cabot Oil & Gas Corp.		52,679		1,209,510
Chevron Corp.		15,424		1,919,363
Cimarex Energy Co.		15,085		894,993
ConocoPhillips		21,065		1,284,965
Continental Resources, Inc.		21,721		914,237
Diamondback Energy, Inc.		11,356		1,237,463
EOG Resources, Inc.		13,223		1,231,855
Exxon Mobil Corp. (b)		25,345		1,942,186
Halliburton Co.		42,205		959,742
HollyFrontier Corp.		21,086		975,860
Marathon Oil Corp.		61,653		876,089
Marathon Petroleum Corp.		21,291		1,189,741
Occidental Petroleum Corp.		23,745		1,193,899
ONEOK, Inc.		24,881		1,712,062
Parsley Energy, Inc., Class A (a)		55,785		1,060,473
Phillips 66		15,112		1,413,576
Pioneer Natural Resources Co.		8,644		1,329,966
Schlumberger Ltd.		33,451		1,329,343
Valero Energy Corp.		15,702		1,344,248
				25,863,798

See notes to financial statements.

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Security Description	Shares		Value
Financials (17.6%):
Aflac, Inc.		43,808	$	2,401,116
Ally Financial, Inc.		61,289		1,899,346
American Express Co.		17,758		2,192,047
Ameriprise Financial, Inc.		10,161		1,474,971
Arch Capital Group Ltd. (a)		66,275		2,457,477
Arthur J. Gallagher & Co.		30,465		2,668,429
Assurant, Inc.		19,812		2,107,601
Bank of America Corp.		57,021		1,653,609
BB&T Corp.		41,356		2,031,820
BlackRock, Inc., Class A		3,668		1,721,392
BOK Financial Corp.		20,149		1,520,847
Brown & Brown, Inc.		81,595		2,733,432
Capital One Financial Corp.		20,375		1,848,828
CBOE Holdings, Inc.		20,270		2,100,580
Chubb Ltd.		16,680		2,456,797
Citigroup, Inc.		25,968		1,818,539
Citizens Financial Group, Inc.		45,912		1,623,448
CME Group, Inc.		12,775		2,479,755
Comerica, Inc.		19,400		1,409,216
Commerce Bank, Inc. (c)		36,103		2,153,905
Credit Acceptance Corp. (a)		3,270		1,582,124
Cullen/Frost Bankers, Inc.		18,556		1,737,955
Discover Financial Services		23,222		1,801,795
E*TRADE Financial Corp.		31,285		1,395,311
East West Bancorp, Inc.		29,159		1,363,766
Erie Indemnity Co., Class A (c)		11,345		2,884,806
FactSet Research Systems, Inc. (c)		8,779		2,515,711
Fifth Third BanCorp.		64,831		1,808,785
First American Financial Corp.		32,667		1,754,218
First Republic Bank		14,251		1,391,610
FNF Group		51,265		2,065,980
Franklin Resources, Inc. (c)		50,531		1,758,479
Hartford Financial Services Group, Inc.		44,881		2,500,769
Huntington Bancshares, Inc.		123,908		1,712,409
Intercontinental Exchange, Inc.		28,563		2,454,704
Invesco Ltd.		76,623		1,567,707
JPMorgan Chase & Co.		20,203		2,258,695
KeyCorp		88,641		1,573,378
Lincoln National Corp.		24,619		1,586,695
LPL Financial Holdings, Inc.		18,505		1,509,453
M&T Bank Corp.		11,430		1,943,900
MarketAxess Holdings, Inc.		6,932		2,228,083
Marsh & McLennan Co., Inc.		22,155		2,209,961
MetLife, Inc.		37,571		1,866,152
Moody's Corp.		8,797		1,718,142
Morgan Stanley		36,637		1,605,067
MSCI, Inc.		7,862		1,877,367
New York Community Bancorp, Inc.		134,922		1,346,522
Northern Trust Corp.		19,461		1,751,490

See notes to financial statements.

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Security Description	Shares		Value
People's United Financial, Inc.		112,866	$	1,893,891
Popular, Inc.		32,613		1,768,929
Principal Financial Group, Inc.		29,023		1,681,012
Prudential Financial, Inc.		17,734		1,791,134
Raymond James Financial, Inc.		19,146		1,618,794
Regions Financial Corp.		99,185		1,481,824
Reinsurance Group of America, Inc.		12,845		2,004,205
S&P Global, Inc.		8,857		2,017,536
Santander Consumer USA Holdings, Inc. (c)		78,115		1,871,635
SEI Investments Co.		32,817		1,841,034
Signature Bank		11,606		1,402,469
State Street Corp.		21,249		1,191,219
SVB Financial Group (a) (c)		4,349		976,742
Synchrony Financial		41,280		1,431,178
Synovus Financial Corp.		40,296		1,410,360
T. Rowe Price Group, Inc.		15,475		1,697,762
TD Ameritrade Holding Corp.		31,059		1,550,465
The Bank of New York Mellon Corp.		39,665		1,751,210
The Charles Schwab Corp.		33,822		1,359,306
The Goldman Sachs Group, Inc.		7,288		1,491,125
The PNC Financial Services Group, Inc.		15,085		2,070,869
The Progressive Corp.		22,064		1,763,576
The Travelers Co., Inc.		16,957		2,535,411
Torchmark Corp. (c)		24,534		2,194,812
U.S. Bancorp		46,817		2,453,210
W.R. Berkley Corp.		45,469		2,997,770
Wells Fargo & Co. (b)		40,500		1,916,460
Zions BanCorp (c)		35,800		1,646,084
				144,334,211
Health Care (10.3%):
Abbott Laboratories (b)		21,865		1,838,847
ABIOMED, Inc. (a)		2,384		621,008
Agilent Technologies, Inc.		20,170		1,506,094
Align Technology, Inc. (a)		3,080		842,996
AmerisourceBergen Corp.		18,792		1,602,206
Amgen, Inc.		9,223		1,699,614
Anthem, Inc.		5,254		1,482,731
Baxter International, Inc. (c)		23,961		1,962,406
Biogen, Inc. (a)		4,576		1,070,189
Bio-Techne Corp.		7,126		1,485,700
Boston Scientific Corp. (a)		36,525		1,569,845
Bristol-Myers Squibb Co.		25,432		1,153,341
Bruker Corp.		35,317		1,764,084
Centene Corp. (a)		22,710		1,190,912
Cerner Corp.		28,164		2,064,421
Charles River Laboratories International, Inc. (a)		8,863		1,257,660
Cigna Corp.		8,766		1,381,083
Danaher Corp.		13,663		1,952,716
Edwards Lifesciences Corp. (a)		7,013		1,295,582
Encompass Health Corp.		28,335		1,795,306

See notes to financial statements.

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Security Description	Shares		Value
Exelixis, Inc. (a)		36,213	$	773,872
Gilead Sciences, Inc.		25,255		1,706,229
HCA Holdings, Inc.		11,724		1,584,733
Henry Schein, Inc. (a)		28,137		1,966,777
Hill-Rom Holdings, Inc.		14,944		1,563,441
Humana, Inc.		5,527		1,466,313
IDEXX Laboratories, Inc. (a)		6,484		1,785,240
Illumina, Inc. (a)		3,442		1,267,172
Intuitive Surgical, Inc. (a)		2,079		1,090,539
IQVIA Holdings, Inc. (a)		10,901		1,753,971
Jazz Pharmaceuticals PLC (a)		8,542		1,217,748
Johnson & Johnson (b)		14,544		2,025,688
Laboratory Corp. of America Holdings (a)		10,738		1,856,600
Masimo Corp. (a)		11,971		1,781,524
Medtronic PLC		22,602		2,201,208
Merck & Co., Inc.		27,746		2,326,502
Mettler-Toledo International, Inc. (a)		2,436		2,046,239
Molina Healthcare, Inc. (a)		7,279		1,041,916
Mylan NV (a)		37,831		720,302
PerkinElmer, Inc. (c)		15,020		1,447,027
PRA Health Sciences, Inc. (a)		10,880		1,078,752
Quest Diagnostics, Inc.		20,183		2,054,832
Regeneron Pharmaceuticals, Inc. (a)		3,208		1,004,104
ResMed, Inc.		11,695		1,427,141
Stryker Corp.		8,414		1,729,750
The Cooper Co., Inc. (c)		5,173		1,742,732
Thermo Fisher Scientific, Inc.		6,768		1,987,626
United Therapeutics Corp. (a)		11,020		860,221
UnitedHealth Group, Inc.		7,133		1,740,523
Universal Health Services, Inc., Class B		12,373		1,613,315
Varian Medical Systems, Inc. (a)		11,428		1,555,694
Veeva Systems, Inc., Class A (a)		8,578		1,390,580
Vertex Pharmaceuticals, Inc. (a)		7,232		1,326,204
Waters Corp. (a)		6,219		1,338,578
West Pharmaceutical Services, Inc.		15,746		1,970,612
Zoetis, Inc.		18,838		2,137,925
				86,118,371
Industrials (17.4%):
3M Co. (b)		8,643		1,498,178
A.O. Smith Corp.		29,404		1,386,693
Alaska Air Group, Inc.		22,944		1,466,351
Allegion PLC		21,279		2,352,393
Allison Transmission Holdings, Inc.		33,387		1,547,487
AMERCO, Inc. (c)		5,695		2,155,843
American Airlines Group, Inc. (c)		26,353		859,371
AMETEK, Inc.		21,187		1,924,628
Arconic, Inc.		55,733		1,439,026
C.H. Robinson Worldwide, Inc.		21,485		1,812,260
Carlisle Cos., Inc.		14,068		1,975,288
Caterpillar, Inc.		8,514		1,160,373

See notes to financial statements.

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Security Description	Shares		Value
Cintas Corp.		8,275	$	1,963,575
Copart, Inc. (a)		20,566		1,537,103
Costar Group, Inc. (a)		2,849		1,578,517
CSX Corp.		23,787		1,840,400
Cummins, Inc.		11,356		1,945,737
Deere & Co.		8,584		1,422,455
Delta Air Lines, Inc.		29,092		1,650,971
Donaldson Co., Inc. (c)		28,638		1,456,529
Dover Corp.		19,620		1,965,924
Eaton Corp. PLC, ADR		23,055		1,920,020
Emerson Electric Co.		25,854		1,724,979
Equifax, Inc.		13,131		1,775,836
Expeditors International of Washington, Inc.		23,743		1,801,144
Fastenal Co.		51,404		1,675,257
FedEx Corp.		7,326		1,202,856
Flowserve Corp.		28,242		1,488,071
Fortive Corp.		22,071		1,799,228
Fortune Brands Home & Security, Inc.		27,683		1,581,530
General Dynamics Corp.		10,550		1,918,201
Graco, Inc.		36,989		1,856,108
Harris Corp.		7,966		1,506,610
HEICO Corp.		17,212		2,303,138
Hexcel Corp.		22,852		1,848,270
Honeywell International, Inc.		14,784		2,581,138
Hubbell, Inc.		12,201		1,591,010
Huntington Ingalls Industries, Inc.		7,133		1,603,070
IAA, Inc. (a)		31,389		1,217,265
IDEX Corp.		12,273		2,112,673
Illinois Tool Works, Inc.		12,110		1,826,309
Ingersoll-Rand PLC		18,016		2,282,087
J.B. Hunt Transport Services, Inc.		15,203		1,389,706
Johnson Controls International PLC		49,663		2,051,579
Kansas City Southern Industries, Inc.		15,701		1,912,696
KAR Auction Services, Inc.		31,389		784,725
Knight-Swift Transportation Holdings, Inc. (c)		29,350		963,854
Lennox International, Inc.		7,611		2,093,024
Lincoln Electric Holdings, Inc.		18,643		1,534,692
Lockheed Martin Corp.		5,729		2,082,721
Masco Corp.		37,042		1,453,528
Nordson Corp.		11,356		1,604,716
Norfolk Southern Corp.		8,836		1,761,280
Northrop Grumman Corp.		5,337		1,724,438
Old Dominion Freight Line, Inc.		9,007		1,344,385
Owens Corning, Inc.		24,240		1,410,768
PACCAR, Inc.		24,888		1,783,474
Parker-Hannifin Corp.		9,015		1,532,640
Raytheon Co.		8,958		1,557,617
Republic Services, Inc., Class A		38,041		3,295,872
Robert Half International, Inc.		18,505		1,054,970
Rockwell Automation, Inc.		8,815		1,444,161

See notes to financial statements.

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Security Description	Shares		Value
Rollins, Inc.		46,447	$	1,666,054
Roper Technologies, Inc.		5,147		1,885,140
Snap-on, Inc.		9,877		1,636,026
Southwest Airlines Co.		25,292		1,284,328
Spirit Aerosystems Holdings, Inc., Class A		16,441		1,337,804
Teledyne Technologies, Inc. (a)		7,321		2,005,002
Textron, Inc. (c)		27,057		1,435,103
The Boeing Co.		3,009		1,095,306
The Middleby Corp. (a)		13,181		1,788,662
Toro Co.		29,138		1,949,332
TransDigm Group, Inc. (a) (c)		3,198		1,547,192
TransUnion (c)		21,862		1,607,076
Union Pacific Corp.		9,068		1,533,489
United Continental Holdings, Inc. (a)		16,653		1,457,970
United Parcel Service, Inc., Class B		14,963		1,545,229
United Rentals, Inc. (a)		6,778		898,966
United Technologies Corp.		13,518		1,760,044
Verisk Analytics, Inc., Class A		15,990		2,341,895
W.W. Grainger, Inc.		4,631		1,242,173
Wabtec Corp. (c)		14,906		1,069,655
Waste Management, Inc.		26,272		3,031,001
Woodward, Inc.		13,422		1,518,834
XPO Logistics, Inc. (a) (c)		13,879		802,345
Xylem, Inc. (c)		21,526		1,800,435
				143,573,809
Information Technology (15.2%):
Accenture PLC, Class A		11,663		2,154,973
Adobe Systems, Inc. (a)		4,032		1,188,029
Advanced Micro Devices, Inc. (a)		23,245		705,951
Akamai Technologies, Inc. (a)		17,662		1,415,433
Alliance Data Systems Corp.		7,517		1,053,357
Amphenol Corp., Class A		19,405		1,861,716
Analog Devices, Inc.		12,712		1,434,803
ANSYS, Inc. (a)		7,627		1,562,162
Apple, Inc. (b)		6,968		1,379,107
Applied Materials, Inc.		26,891		1,207,675
Arrow Electronics, Inc. (a)		20,170		1,437,516
Aspen Technology, Inc. (a)		11,520		1,431,706
Automatic Data Processing, Inc.		11,533		1,906,751
Black Knight, Inc. (a) (c)		30,177		1,815,147
Booz Allen Hamilton Holdings Corp.		34,548		2,287,423
Broadcom, Inc.		4,390		1,263,705
Broadridge Financial Solutions, Inc.		15,222		1,943,545
Cadence Design Systems, Inc. (a)		21,488		1,521,565
CDK Global, Inc.		28,864		1,427,036
CDW Corp. of Delaware		14,453		1,604,283
Ciena Corp. (a)		29,867		1,228,430
Cisco Systems, Inc.		30,711		1,680,813
Citrix Systems, Inc.		22,370		2,195,391
Cognex Corp.		18,181		872,324

See notes to financial statements.

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Security Description	Shares		Value
Cognizant Technology Solutions Corp., Class A		23,766	$	1,506,527
Cypress Semiconductor Corp. (c)		72,578		1,614,136
Dolby Laboratories, Inc., Class A		28,216		1,822,754
DXC Technology Co.		16,502		910,085
EPAM Systems, Inc. (a)		8,100		1,402,110
Euronet Worldwide, Inc. (a)		9,178		1,544,107
F5 Networks, Inc. (a)		9,073		1,321,301
Fair Isaac Corp. (a)		5,454		1,712,665
Fidelity National Information Services, Inc.		18,010		2,209,467
Fiserv, Inc. (a)		19,889		1,813,081
FleetCor Technologies, Inc. (a)		6,725		1,888,716
FLIR Systems, Inc.		28,532		1,543,581
Fortinet, Inc. (a)		12,301		945,086
Genpact Ltd.		56,281		2,143,743
Global Payments, Inc.		11,493		1,840,374
GoDaddy, Inc., Class A (a)		14,785		1,037,168
HP, Inc.		60,224		1,252,057
Intel Corp.		24,915		1,192,681
International Business Machines Corp.		11,209		1,545,721
Intuit, Inc.		5,290		1,382,436
IPG Photonics Corp. (a) (c)		5,932		915,011
Jack Henry & Associates, Inc.		16,205		2,170,174
Juniper Networks, Inc.		59,833		1,593,353
KLA-Tencor Corp.		9,724		1,149,377
Lam Research Corp.		5,842		1,097,361
Leidos Holdings, Inc.		26,741		2,135,269
Mastercard, Inc., Class A		5,843		1,545,649
Maxim Integrated Products, Inc.		24,082		1,440,585
Microchip Technology, Inc. (c)		12,796		1,109,413
Micron Technology, Inc. (a)		21,248		819,960
Microsoft Corp. (b)		12,474		1,671,017
Monolithic Power Systems, Inc. (c)		8,100		1,099,818
Motorola Solutions, Inc.		9,763		1,627,785
National Instruments Corp. (c)		26,505		1,112,945
NetApp, Inc.		16,380		1,010,646
Nvidia Corp.		4,570		750,531
ON Semiconductor Corp. (a)		41,086		830,348
Paychex, Inc.		28,627		2,355,716
Paycom Software, Inc. (a)		5,733		1,299,786
PayPal Holdings, Inc. (a)		11,742		1,343,989
PTC, Inc. (a) (c)		12,484		1,120,564
RealPage, Inc. (a)		19,153		1,127,154
Sabre Corp. (c)		65,266		1,448,905
Salesforce.com, Inc. (a)		6,408		972,286
Seagate Technology PLC		23,916		1,126,922
Skyworks Solutions, Inc.		13,495		1,042,759
Synopsys, Inc. (a)		15,191		1,954,930
TE Connectivity Ltd.		20,643		1,977,187
Teradyne, Inc.		26,531		1,271,100
Texas Instruments, Inc.		12,365		1,419,007

See notes to financial statements.

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Security Description	Shares		Value
The Trade Desk, Inc., Class A (a)		3,004	$	684,251
The Western Union Co.		137,542		2,735,709
Total System Services, Inc.		17,870		2,292,185
Trimble Navigation Ltd. (a)		35,704		1,610,607
Tyler Technologies, Inc. (a)		7,770		1,678,475
Universal Display Corp.		4,227		794,930
VeriSign, Inc. (a)		6,659		1,392,796
Visa, Inc., Class A		10,178		1,766,392
WEX, Inc. (a)		7,998		1,664,384
Xerox Corp.		39,324		1,392,462
Xilinx, Inc.		7,326		863,882
Zebra Technologies Corp., Class A (a)		5,623		1,177,962
				125,800,219
Materials (6.3%):
Air Products & Chemicals, Inc.		11,678		2,643,548
Albemarle Corp. (c)		14,521		1,022,424
AptarGroup, Inc.		22,607		2,810,954
Avery Dennison Corp.		17,611		2,037,240
Ball Corp.		34,228		2,395,618
Berry Global Group, Inc. (a)		31,199		1,640,755
Celanese Corp., Series A		14,410		1,553,398
CF Industries Holdings, Inc.		25,676		1,199,326
Crown Holdings, Inc. (a)		28,397		1,735,057
DuPont de Nemours, Inc.		17,987		1,350,284
Eastman Chemical Co.		18,966		1,476,124
Ecolab, Inc.		13,731		2,711,048
FMC Corp.		17,009		1,410,897
Freeport-McMoRan, Inc.		68,861		799,476
International Flavors & Fragrances, Inc. (c)		13,718		1,990,344
International Paper Co.		29,730		1,287,904
Lyondellbasell Industries NV, Class A		19,873		1,711,661
Martin Marietta Materials, Inc.		7,552		1,737,791
Nucor Corp.		27,180		1,497,618
Packaging Corp. of America		14,068		1,340,962
PPG Industries, Inc.		14,684		1,713,770
Reliance Steel & Aluminum Co.		20,848		1,972,638
RPM International, Inc.		32,506		1,986,442
Sonoco Products Co.		39,711		2,594,717
Steel Dynamics, Inc.		37,593		1,135,309
The Chemours Co.		26,671		640,104
The Mosaic Co.		39,266		982,828
The Sherwin-Williams Co.		3,924		1,798,330
Vulcan Materials Co.		10,000		1,373,100
Westlake Chemical Corp. (c)		16,813		1,167,831
WestRock Co.		33,974		1,239,032
				50,956,530

See notes to financial statements.

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Security Description	Shares		Value
Real Estate (0.3%):
CBRE Group, Inc., Class A (a)		31,877	$	1,635,290
Jones Lang LaSalle, Inc.		7,485		1,053,065
				2,688,355
Utilities (6.5%):
AES Corp.		100,863		1,690,464
Alliant Energy Corp.		52,864		2,594,565
Ameren Corp.		32,907		2,471,645
American Electric Power Co., Inc.		31,532		2,775,131
American Water Works Co., Inc.		22,544		2,615,104
Atmos Energy Corp.		22,459		2,370,772
CMS Energy Corp.		44,978		2,604,676
Consolidated Edison, Inc.		27,086		2,374,900
Dominion Resources, Inc.		32,831		2,538,493
DTE Energy Co.		19,657		2,513,737
Duke Energy Corp.		28,632		2,526,488
Evergy, Inc.		44,534		2,678,720
Eversource Energy		36,781		2,786,530
Exelon Corp.		53,780		2,578,213
NextEra Energy, Inc.		13,112		2,686,124
OGE Energy Corp.		57,377		2,441,965
Pinnacle West Capital Corp.		25,266		2,377,278
PPL Corp. (c)		62,884		1,950,033
Public Service Enterprise Group, Inc.		40,200		2,364,564
UGI Corp.		36,361		1,942,041
WEC Energy Group, Inc.		32,385		2,699,938
Xcel Energy, Inc.		45,256		2,692,279
				54,273,660
Total Common Stocks (Cost $760,825,507)				823,048,969
Investment Companies (0.4%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 2.25% (d)		3,353,485		3,353,485
Total Investment Companies (Cost $3,353,485)				3,353,485
Collateral for Securities Loaned^ (4.2%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		7,345,807		7,345,807
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		9,462,240		9,462,240
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		245,733		245,733
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		4,039,655		4,039,655

See notes to financial statements.

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Security Description	Shares		Value
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		5,508,498	$	5,508,498
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		8,569,088		8,569,088
Total Collateral for Securities Loaned (Cost $35,171,021)				35,171,021
Total Investments (Cost $799,350,013) — 104.0%				861,573,475
Liabilities in excess of other assets — (4.0)%				(32,844,106	)
NET ASSETS — 100.00%			$	828,729,369

^ 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.

(d) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		35	9/20/19	$	5,114,554	$	5,152,350	$	37,796
	Total unrealized appreciation							$	37,796
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	37,796

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (99.5%)
Communication Services (4.2%):
AT&T, Inc. (a)		226,758	$	7,598,661
Omnicom Group, Inc.		97,507		7,990,699
Verizon Communications, Inc.		149,213		8,524,538
Viacom, Inc., Class B		192,654		5,754,575
				29,868,473
Consumer Discretionary (6.4%):
General Motors Co.		136,187		5,247,285
Hanesbrands, Inc.		203,612		3,506,199
Harley-Davidson, Inc. (b)		157,912		5,657,987
Kohl's Corp.		69,411		3,300,493
Leggett & Platt, Inc. (b)		123,501		4,738,733
Macy's, Inc.		157,709		3,384,435
Nordstrom, Inc. (b)		97,651		3,111,161
Tapestry, Inc.		130,452		4,139,242
Target Corp.		78,921		6,835,348
The Gap, Inc. (b)		219,722		3,948,404
				43,869,287
Consumer Staples (12.0%):
Altria Group, Inc.		116,942		5,537,204
Archer-Daniels-Midland Co.		198,779		8,110,183
Conagra Brands, Inc.		190,898		5,062,615
General Mills, Inc.		139,794		7,341,981
Keurig Dr Pepper, Inc. (b)		266,596		7,704,624
Kimberly-Clark Corp.		59,824		7,973,343
PepsiCo, Inc.		78,602		10,307,081
Philip Morris International, Inc.		73,247		5,752,087
The Coca-Cola Co.		191,327		9,742,371
The J.M. Smucker Co.		63,231		7,283,579
The Procter & Gamble Co.		77,961		8,548,423
				83,363,491
Energy (6.7%):
Chevron Corp.		59,930		7,457,689
Exxon Mobil Corp. (a)		98,519		7,549,511
Marathon Petroleum Corp.		82,765		4,624,908
Occidental Petroleum Corp.		92,259		4,638,783
ONEOK, Inc.		96,627		6,648,904
Phillips 66		58,782		5,498,468
Schlumberger Ltd.		130,029		5,167,352
Valero Energy Corp.		60,974		5,219,984
				46,805,599
Financials (21.4%):
Ameriprise Financial, Inc.		39,487		5,731,933
BB&T Corp.		160,703		7,895,338
BlackRock, Inc., Class A		14,275		6,699,258
Citizens Financial Group, Inc.		178,357		6,306,704

See notes to financial statements.

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Security Description	Shares		Value
First American Financial Corp.		126,897	$	6,814,369
FNF Group		199,172		8,026,631
Franklin Resources, Inc. (b)		196,339		6,832,597
Huntington Bancshares, Inc.		481,541		6,654,897
Invesco Ltd.		297,736		6,091,679
KeyCorp (b)		344,395		6,113,011
MetLife, Inc.		146,019		7,252,764
Morgan Stanley		142,353		6,236,485
New York Community Bancorp, Inc.		524,296		5,232,474
People's United Financial, Inc.		438,597		7,359,658
Principal Financial Group, Inc.		112,827		6,534,940
Prudential Financial, Inc.		68,869		6,955,769
Regions Financial Corp.		385,466		5,758,862
Santander Consumer USA Holdings, Inc. (b)		303,492		7,271,668
T. Rowe Price Group, Inc.		60,179		6,602,238
The PNC Financial Services Group, Inc.		58,600		8,044,607
The Progressive Corp.		85,727		6,852,159
Wells Fargo & Co. (a)		157,325		7,444,619
				148,712,660
Health Care (2.5%):
Amgen, Inc.		35,810		6,599,067
Bristol-Myers Squibb Co.		98,818		4,481,396
Gilead Sciences, Inc.		98,184		6,633,311
				17,713,774
Industrials (9.2%):
Cummins, Inc.		44,088		7,554,038
Delta Air Lines, Inc.		113,066		6,416,496
Eaton Corp. PLC, ADR (b)		89,582		7,460,389
Emerson Electric Co. (b)		100,427		6,700,489
Hubbell, Inc.		47,412		6,182,525
IAA, Inc. (c)		122,425		4,747,642
Johnson Controls International PLC		192,984		7,972,169
KAR Auction Services, Inc.		121,371		3,034,275
Lockheed Martin Corp.		22,274		8,097,490
United Parcel Service, Inc., Class B		58,122		6,002,259
				64,167,772
Information Technology (8.2%):
Broadcom, Inc.		17,062		4,911,467
Cypress Semiconductor Corp. (b)		282,003		6,271,747
HP, Inc.		234,064		4,866,191
International Business Machines Corp.		43,549		6,005,407
Maxim Integrated Products, Inc. (b)		93,569		5,597,298
Paychex, Inc.		111,198		9,150,483
Seagate Technology PLC		92,993		4,381,830
The Western Union Co. (b)		534,504		10,631,285
Xerox Corp.		152,807		5,410,895
				57,226,603

See notes to financial statements.

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Security Description	Shares		Value
Materials (6.8%):
CF Industries Holdings, Inc.		99,810	$	4,662,125
DuPont de Nemours, Inc.		70,065		5,259,780
Eastman Chemical Co.		73,704		5,736,382
International Paper Co.		115,562		5,006,146
Lyondellbasell Industries NV, Class A		77,270		6,655,265
Packaging Corp. of America		54,629		5,207,236
Sonoco Products Co.		154,291		10,081,374
WestRock Co.		131,986		4,813,529
				47,421,837
Utilities (22.1%):
AES Corp.		391,994		6,569,819
Alliant Energy Corp.		205,429		10,082,455
American Electric Power Co., Inc.		122,528		10,783,689
Consolidated Edison, Inc.		105,264		9,229,548
Dominion Resources, Inc.		127,594		9,865,568
DTE Energy Co.		76,381		9,767,602
Duke Energy Corp.		111,215		9,813,612
Evergy, Inc.		173,018		10,407,033
Eversource Energy		142,915		10,827,241
Exelon Corp.		209,020		10,020,419
OGE Energy Corp.		222,928		9,487,816
Pinnacle West Capital Corp. (b)		98,245		9,243,872
PPL Corp.		244,418		7,579,402
Public Service Enterprise Group, Inc.		156,264		9,191,448
WEC Energy Group, Inc.		125,911		10,497,200
Xcel Energy, Inc. (b)		175,835		10,460,424
				153,827,148
Total Common Stocks (Cost $658,279,308)				692,976,644
Investment Companies (0.3%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 2.25% (d)		2,056,103		2,056,103
Total Investment Companies (Cost $2,056,103)				2,056,103
Collateral for Securities Loaned^ (6.8%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (d)		9,904,084		9,904,084
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (d)		12,757,595		12,757,595
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (d)		331,313		331,313
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (d)		5,446,521		5,446,521

See notes to financial statements.

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Security Description	Shares		Value
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (d)		7,426,908	$	7,426,908
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (d)		11,553,390		11,553,390
Total Collateral for Securities Loaned (Cost $47,419,811)				47,419,811
Total Investments (Cost $707,755,222) — 106.6%				742,452,558
Liabilities in excess of other assets — (6.6)%				(45,638,337	)
NET ASSETS — 100.00%			$	696,814,221

^ 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.

(d) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
E-Mini S&P 500 Futures		18	9/20/19	$	2,617,773	$	2,649,780	$	32,007
	Total unrealized appreciation							$	32,007
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	32,007

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (25.8%)
Communication Services (0.7%):
Cars.com, Inc. (a)		2,181	$	43,009
Cogent Communications Holdings, Inc.		1,313		77,940
Gray Television, Inc. (a)		1,949		31,944
Loral Space & Communications, Inc. (a)		1,714		59,150
Marcus Corp.		1,496		49,308
MSG Networks, Inc., Class A (a)		2,028		42,061
QuinStreet, Inc. (a)		2,263		35,869
Shenandoah Telecommunications Co.		1,234		47,534
Techtarget, Inc. (a)		2,381		50,596
TEGNA, Inc.		4,412		66,842
Wiley (John) & Sons, Class A		1,199		54,986
				559,239
Consumer Discretionary (3.7%):
Acushnet Holdings Corp.		2,786		73,161
American Outdoor Brands Corp. (a)		2,019		18,191
American Public Education, Inc. (a)		1,789		52,919
America's Car-Mart, Inc. (a)		527		45,364
Asbury Automotive Group, Inc. (a)		809		68,231
Beazer Homes USA, Inc. (a)		2,346		22,545
Bed Bath & Beyond, Inc. (b)		1,942		22,566
BJ's Restaurants, Inc.		1,167		51,278
Bloomin' Brands, Inc.		2,676		50,603
Boot Barn Holdings, Inc. (a)		1,093		38,955
Brinker International, Inc.		1,004		39,507
Caleres, Inc.		1,641		32,689
Career Education Corp. (a)		2,831		53,987
Cavco Industries, Inc. (a)		234		36,864
Century Communities, Inc. (a)		2,070		55,021
Conn's, Inc. (a)		1,436		25,590
Dana, Inc.		1,925		38,385
Dave & Buster's Entertainment, Inc.		1,004		40,632
Del Taco Restaurants, Inc. (a)		5,345		68,523
Denny's Corp. (a)		2,602		53,419
Dineequity, Inc.		415		39,620
Dorman Products, Inc. (a)		670		58,383
Ethan Allen Interiors, Inc.		2,913		61,348
Express, Inc. (a)		7,427		20,276
Fox Factory Holding Corp. (a)		609		50,249
Funko, Inc. (a) (b)		1,246		30,178
Group 1 Automotive, Inc.		983		80,497
Haverty Furniture Cos., Inc.		2,664		45,368
Helen of Troy Ltd. (a)		553		72,216
Hooker Furniture Corp.		1,450		29,899
Installed Building Products, Inc. (a)		840		49,745
International Speedway Corp., Class A		1,313		58,941
J. Jill, Inc. (b)		7,192		14,312
Jack in the Box, Inc.		857		69,751

See notes to financial statements.

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Security Description	Shares		Value
La-Z-Boy, Inc.		1,561	$	47,860
LCI Industries		529		47,610
LGI Homes, Inc. (a)		586		41,858
Lithia Motors, Inc.		571		67,823
M/I Homes, Inc. (a)		1,788		51,030
Malibu Boats, Inc., Class A (a)		824		32,012
MarineMax, Inc. (a)		2,052		33,735
Mastercraft Boat Holdings, Inc. (a)		1,293		25,330
MDC Holdings, Inc.		1,929		63,233
Meritage Homes Corp. (a)		1,103		56,628
Michaels Cos., Inc. (a)		3,225		28,058
Modine Manufacturing Co. (a)		2,671		38,222
Monarch Casino & Resort, Inc. (a)		1,495		63,896
Monro Muffler Brake, Inc.		707		60,307
Murphy USA, Inc. (a)		942		79,156
Nautilus, Inc. (a)		3,748		8,283
Oxford Industries, Inc.		726		55,031
PetMed Express, Inc. (b)		1,880		29,460
Ruth's Hospitality Group, Inc.		2,943		66,836
Sally Beauty Holdings, Inc. (a)		2,204		29,401
Sleep Number Corp. (a) (b)		790		31,908
Stamps.com, Inc. (a)		203		9,190
Standard Motor Products, Inc.		1,085		49,194
Steven Madden Ltd.		1,619		54,965
Stitch Fix, Inc. (a)		771		24,664
Stoneridge, Inc. (a)		1,780		56,159
Sturm Ruger & Co.		1,185		64,559
Taylor Morrison Home Corp., Class A (a)		3,396		71,179
Tenneco, Inc.		1,268		14,062
The Buckle, Inc.		2,076		35,936
The Cheesecake Factory, Inc.		1,475		64,487
The Children's Place, Inc.		438		41,776
Tilly's, Inc.		2,674		20,403
Topbuild Corp. (a)		760		62,898
TRI Pointe Group, Inc. (a)		3,880		46,444
Tupperware Brands Corp.		1,065		20,267
Unifi, Inc. (a)		1,788		32,488
Visteon Corp. (a)		440		25,775
Weight Watchers International, Inc. (a)		1,120		21,392
William Lyon Homes, Class A (a)		2,764		50,388
Wingstop, Inc.		751		71,157
Winnebago Industries, Inc.		1,132		43,752
Zagg, Inc. (a)		3,063		21,318
				3,429,343
Consumer Staples (1.4%):
B&G Foods, Inc. (b)		2,235		46,488
Cal-Maine Foods, Inc.		1,690		70,507
Central Garden & Pet Co., Class A (a)		1,593		39,252
Chefs' Warehouse, Inc. (a)		1,289		45,205
Craft Brew Alliance, Inc. (a)		3,210		44,908

See notes to financial statements.

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Security Description	Shares		Value
Elf Beauty, Inc. (a)		3,539	$	49,900
Hostess Brands, Inc. (a)		6,279		90,669
Ingles Markets, Inc., Class A		1,582		49,248
Inter Parfums, Inc.		853		56,716
J&J Snack Foods Corp.		438		70,496
John B. Sanfilippo & Son, Inc.		871		69,410
Medifast, Inc.		230		29,509
MGP Ingredients, Inc.		657		43,566
Natural Grocers By Vitamin Cottage, Inc. (a)		1,938		19,477
Natural Health Trends Corp.		2,750		22,138
PriceSmart, Inc.		857		43,810
Sprouts Farmers Markets, Inc. (a)		2,210		41,747
The Simply Good Foods Co. (a)		2,570		61,886
Tootsie Roll Industries, Inc.		2,656		98,085
Turning Point Brands, Inc.		905		44,327
Universal Corp.		1,220		74,139
USANA Health Sciences, Inc. (a)		519		41,224
Vector Group Ltd.		5,077		49,501
WD-40 Co.		360		57,254
Weis Markets, Inc.		1,389		50,573
				1,310,035
Energy (1.0%):
Arch Coal, Inc.		578		54,453
Bonanza Creek Energy, Inc. (a)		1,799		37,563
Cactus, Inc. (a)		1,250		41,400
Callon Petroleum Co. (a)		4,302		28,350
Carrizo Oil & Gas, Inc. (a)		2,802		28,076
Centennial Resource Development, Inc., Class A (a)		3,542		26,884
CNX Resources Corp. (a)		3,953		28,896
Core Laboratories N.V.		724		37,851
Denbury Resources, Inc. (a)		10,906		13,523
Earthstone Energy, Inc., Class A (a)		3,923		24,009
Evolution Petroleum Corp.		5,391		38,546
Exterran Corp. (a)		2,621		37,271
Falcon Minerals Corp.		5,659		47,536
Fts International, Inc. (a)		2,769		15,451
Gulfport Energy Corp. (a)		4,204		20,642
Laredo Petroleum, Inc. (a)		7,605		22,055
Liberty Oilfield Services, Inc.		2,171		35,127
Mammoth Energy Services, Inc.		1,664		11,448
Matador Resources Co. (a)		1,798		35,744
Newpark Resources, Inc. (a)		4,626		34,325
Propetro Holding Corp. (a)		1,936		40,075
Renewable Energy Group, Inc. (a) (b)		1,521		24,123
Rex American Resources Corp. (a)		776		56,570
RPC, Inc. (b)		3,788		27,311
Smart Sand, Inc. (a)		8,318		20,296
Solaris Oilfield Infrastructure, Inc., Class A		2,163		32,402
SRC Energy, Inc. (a)		6,797		33,713
W&T Offshore, Inc. (a)		4,872		24,165

See notes to financial statements.

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Security Description	Shares		Value
Whiting Petroleum Corp. (a)		1,195	$	22,323
World Fuel Services Corp.		1,778		63,937
				964,065
Financials (6.0%):
1st Source Corp.		1,510		70,064
American Equity Investment Life Holding Co.		1,821		49,458
Ameris Bancorp		1,322		51,809
AMERISAFE, Inc.		1,242		79,202
Artisan Partners Asset Management, Class A		2,436		67,039
Atlantic Union Bankshares Corp.		1,890		66,774
Axos Financial, Inc. (a)		1,689		46,025
BancFirst Corp.		1,415		78,759
Banner Corp.		1,012		54,800
Berkshire Hills Bancorp, Inc.		2,093		65,699
Boston Private Financial Holdings, Inc.		5,509		66,494
Brookline BanCorp, Inc.		4,381		67,380
Capitol Federal Financial, Inc.		7,274		100,162
Centerstate Banks, Inc.		2,477		57,045
City Holding Co.		996		75,955
Cohen & Steers, Inc.		1,711		88,014
Columbia Banking System, Inc.		1,837		66,463
Eagle Bancorp, Inc.		1,069		57,865
Employers Holdings, Inc.		1,471		62,179
Encore Capital Group, Inc. (a)		1,362		46,131
Enterprise Financial Services Corp.		1,424		59,238
FB Financial Corp.		1,548		56,657
FBL Financial Group, Inc., Class A		1,207		77,007
Federated Investors, Inc., Class B		2,242		72,865
First BanCorp/Puerto Rico		5,606		61,890
First BanCorp		1,770		64,463
First Busey Corp.		3,035		80,153
First Commonwealth Financial Corp.		3,562		47,980
First Financial Bancorp		2,248		54,447
First Interstate BancSystem, Inc., Class A		2,013		79,735
First Merchants Corp.		1,770		67,083
First Midwest Bancorp, Inc.		2,907		59,506
Flagstar BanCorp, Inc.		2,078		68,865
Fulton Financial Corp.		4,197		68,705
Great Western BanCorp, Inc.		1,826		65,225
Hamilton Lane, Inc.		953		54,378
Heartland Financial USA, Inc.		1,540		68,884
Heritage Financial Corp.		2,138		63,157
Hilltop Holdings, Inc.		3,341		71,063
Hope Bancorp, Inc.		4,759		65,579
Independent Bank Corp.		813		61,910
Independent Bank Group, Inc.		1,005		55,235
International Bancshares Corp.		1,897		71,536
James River Group Holdings Ltd.		1,785		83,717
Kearny Financial Corp.		5,689		75,607
Kinsale Capital Group, Inc.		956		87,455

See notes to financial statements.

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Security Description	Shares		Value
Lakeland Financial Corp.		1,691	$	79,190
LegacyTexas Financial Group, Inc.		1,431		58,256
Meta Financial Group, Inc.		2,552		71,584
Moelis & Co., Class A		1,012		35,369
National Bank Holdings Corp.		2,055		74,597
National General Holdings Corp.		2,082		47,761
National Western Life Group, Inc., Class A		268		68,876
Navient Corp.		4,122		56,265
NBT Bancorp, Inc.		1,927		72,282
Nelnet, Inc., Class A		1,346		79,711
NMI Holdings, Inc., Class A (a)		1,753		49,768
Northwest Bancshares, Inc.		4,867		85,708
Oceanfirst Financial Corp.		3,462		86,031
OFG BanCorp		2,486		59,092
Pacific Premier Bancorp, Inc.		1,711		52,836
Park National Corp.		654		65,001
Piper Jaffray		925		68,700
PJT Partners, Inc.		1,148		46,517
PRA Group, Inc. (a)		1,524		42,885
Provident Financial Services, Inc.		2,640		64,020
Renasant Corp.		1,594		57,288
S&T Bancorp, Inc.		1,788		67,014
Safety Insurance Group, Inc.		959		91,230
Sandy Spring BanCorp		2,124		74,085
Seacoast Banking Corp. of Florida (a)		2,074		52,763
ServisFirst Bancshares, Inc.		1,969		67,458
Simmons First National Corp., Class A		2,384		55,452
South State Corp.		935		68,881
Southside Bancshares, Inc.		1,958		63,400
Tompkins Financial Corp.		716		58,426
Towne Bank		2,536		69,182
Trico Bancshares		1,911		72,236
Trustmark Corp.		2,200		73,150
United Community Banks, Inc.		2,345		66,973
Veritex Holdings, Inc.		1,825		47,359
Waddell & Reed Financial, Inc., Class A		3,307		55,128
Walker & Dunlop, Inc.		815		43,366
Washington Federal, Inc.		2,668		93,193
Washington Trust BanCorp, Inc.		1,540		80,356
WesBanco, Inc.		1,828		70,469
Westamerica BanCorp		1,198		73,809
WSFS Financial Corp.		1,673		69,095
				5,794,419
Health Care (1.5%):
Addus HomeCare Corp. (a)		690		51,716
AMN Healthcare Services, Inc. (a)		852		46,221
Ani Pharmaceuticals, Inc. (a)		775		63,705
Atrion Corp.		102		86,980
Biospecifics Technologies Corp. (a)		647		38,632
Biotelemetry, Inc. (a)		427		20,560

See notes to financial statements.

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Security Description	Shares		Value
Cambrex Corp. (a)		1,082	$	50,648
Computer Programs & Systems		1,624		45,131
CONMED Corp.		809		69,227
Corcept Therapeutics, Inc. (a)		2,024		22,568
CorVel Corp. (a)		936		81,441
Eagle Pharmaceuticals, Inc. (a)		769		42,818
Enanta Pharmaceuticals, Inc. (a)		354		29,871
Innoviva, Inc. (a)		2,965		43,170
Inogen, Inc. (a)		276		18,426
Integer Holdings Corp. (a)		559		46,911
Iradimed Corp. (a)		1,227		25,092
Lantheus Holdings, Inc. (a)		1,691		47,855
Lemaitre Vascular, Inc.		1,127		31,533
Mednax, Inc. (a)		2,211		55,784
Medpace Holdings, Inc. (a)		578		37,813
Meridian Bioscience, Inc.		3,172		37,683
Phibro Animal Health Corp., Class A		1,981		62,936
Repligen Corp. (a)		712		61,196
Select Medical Holdings Corp. (a)		2,681		42,547
Staar Surgical Co. (a)		884		25,972
Supernus Pharmaceuticals, Inc. (a)		901		29,814
The Ensign Group, Inc.		843		47,984
Tivity Health, Inc. (a)		1,626		26,731
US Physical Therapy, Inc.		541		66,310
Vanda Pharmaceuticals, Inc. (a)		1,277		17,993
Varex Imaging Corp. (a)		1,502		46,036
				1,421,304
Industrials (6.4%):
AAON, Inc.		1,282		64,331
AAR Corp.		1,347		49,556
ABM Industries, Inc.		1,325		53,000
Acco Brands Corp.		4,608		36,265
Aerojet Rocketdyne Holdings, Inc. (a)		1,234		55,246
Aerovironment, Inc. (a)		441		25,036
Aircastle Ltd.		3,468		73,730
Alamo Group, Inc.		718		71,750
Albany International Corp., Class A		819		67,903
Allegiant Travel Co.		350		50,225
Ameresco, Inc. (a)		2,566		37,797
American Woodmark Corp. (a)		570		48,233
Apogee Enterprises, Inc.		1,398		60,729
Applied Industrial Technologies, Inc.		1,042		64,114
ArcBest Corp.		1,126		31,652
Argan, Inc.		907		36,788
Astronics Corp.		1,466		58,963
Atkore International Group, Inc. (a)		1,765		45,661
AZZ, Inc.		1,297		59,688
Barnes Group, Inc.		1,191		67,101
BMC Stock Holdings, Inc. (a)		2,890		61,268
Brady Corp., Class A		1,480		72,994

See notes to financial statements.

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Security Description	Shares		Value
Builders FirstSource, Inc. (a)		2,781	$	46,888
Chart Industries, Inc. (a)		554		42,592
Comfort Systems USA, Inc.		1,175		59,913
Continental Building Products, Inc. (a)		2,009		53,379
Dmc Global, Inc.		584		36,996
DXP Enterprise, Inc. (a)		1,177		44,597
Echo Global Logistics, Inc. (a)		2,030		42,366
Encore Wire Corp.		1,052		61,626
Ennis, Inc.		3,358		68,906
ESCO Technologies, Inc.		1,055		87,163
Exponent, Inc.		1,213		71,008
Federal Signal Corp.		2,358		63,077
Forward Air Corp.		955		56,488
Franklin Electric Co., Inc.		1,149		54,578
FTI Consulting, Inc. (a)		730		61,203
GATX Corp.		787		62,401
Gibraltar Industries, Inc. (a)		1,527		61,630
Global Brass & Copper Holdings, Inc.		1,667		72,897
GMS, Inc. (a)		1,823		40,106
Gorman-Rupp Co.		1,479		48,556
H&E Equipment Services, Inc.		1,079		31,388
Harsco Corp. (a)		1,632		44,782
Hawaiian Holdings, Inc.		1,298		35,604
Healthcare Services Group		1,504		45,601
Heartland Express, Inc.		3,506		63,353
Heidrick & Struggles International, Inc.		681		20,410
Helios Technologies, Inc.		653		30,306
Herman Miller, Inc.		1,797		80,326
HNI Corp.		1,430		50,593
Hub Group, Inc., Class A (a)		1,112		46,682
ICF International, Inc.		827		60,206
Interface, Inc.		3,243		49,715
Jeld-Wen Holding, Inc. (a)		1,775		37,683
John Bean Technologies Corp.		510		61,776
Kadant, Inc.		731		66,382
Kaman Corp., Class A		1,063		67,702
KBR, Inc.		2,329		58,085
Kforce, Inc.		1,446		50,740
Kimball International, Inc., Class B		4,060		70,766
Knoll, Inc.		3,289		75,581
Lindsay Corp.		515		42,338
Marten Transport Ltd.		3,219		58,425
Matson, Inc.		1,348		52,370
Matthews International Corp., Class A		1,183		41,228
McGrath RentCorp		884		54,941
Meritor, Inc. (a)		1,946		47,191
Milacron Holdings Corp. (a)		3,353		46,271
MRC Global, Inc. (a)		2,608		44,649
Mueller Industries, Inc.		1,444		42,266
MYR Group, Inc. (a)		1,800		67,231

See notes to financial statements.

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Security Description	Shares		Value
National Presto Industries, Inc.		547	$	51,030
Now, Inc. (a)		2,592		38,258
NV5 Global, Inc. (a)		571		46,479
Patrick Industries, Inc. (a)		942		46,337
PGT, Inc. (a)		2,638		44,107
Pitney Bowes, Inc.		4,965		21,250
Primoris Services Corp.		2,578		53,958
Raven Industries, Inc.		1,580		56,690
Resources Connection, Inc.		2,681		42,923
Rush Enterprises, Inc., Class A		1,397		51,018
Saia, Inc. (a)		726		46,950
Simpson Manufacturing Co., Inc.		1,192		79,221
SkyWest, Inc.		858		52,055
SP Plus Corp. (a)		2,034		64,946
SPX Corp. (a)		1,464		48,341
Standex International Corp.		577		42,202
Steelcase, Inc., Class A		2,884		49,316
Systemax, Inc.		1,348		29,872
Tennant Co.		897		54,896
The Greenbrier Cos., Inc.		1,119		34,018
Thermon Group Holdings, Inc. (a)		2,317		59,431
TriMas Corp. (a)		2,080		64,418
Triton International Ltd.		1,473		48,255
TrueBlue, Inc. (a)		2,416		53,297
UniFirst Corp.		490		92,399
Universal Forest Products, Inc.		1,882		71,629
Universal Logistics Holdings, Inc.		2,095		47,075
US Ecology, Inc.		1,124		66,923
Valmont Industries, Inc.		466		59,093
Vectrus, Inc. (a)		2,039		82,701
Vicor Corp. (a)		886		27,510
Wabash National Corp.		2,610		42,465
Watts Water Technologies, Inc., Class A		715		66,624
Welbilt, Inc. (a)		2,366		39,512
Werner Enterprises, Inc.		1,860		57,809
Wesco Aircraft Holdings, Inc. (a)		4,719		52,381
WESCO International, Inc. (a)		1,123		56,880
				5,815,260
Information Technology (2.9%):
Advanced Energy Industries, Inc. (a)		804		45,241
American Software, Inc.		3,683		48,431
Amkor Technology, Inc. (a)		4,124		30,765
Anixter International, Inc. (a)		914		54,575
AppFolio, Inc. (a)		617		63,101
Axcelis Technologies, Inc. (a)		1,882		28,324
Badger Meter, Inc.		1,196		71,389
Brooks Automation, Inc.		1,190		46,113
Casa Systems, Inc. (a)		3,366		21,643
Cass Information Systems, Inc.		1,482		71,847
Cohu, Inc.		2,132		32,897

See notes to financial statements.

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Security Description	Shares		Value
Comtech Telecommunications Corp.		1,648	$	46,325
CoreLogic, Inc. (a)		1,811		75,754
CSG Systems International, Inc.		1,417		69,192
CTS Corp.		1,953		53,864
Diodes, Inc. (a)		1,005		36,552
Ebix, Inc.		660		33,145
ePlus, Inc. (a)		738		50,878
Evertec, Inc.		1,466		47,938
Exl Service Holdings, Inc. (a)		1,164		76,976
Fabrinet (a)		726		36,060
FormFactor, Inc. (a)		1,897		29,726
Ichor Holdings Ltd. (a)		1,568		37,068
II-VI, Inc. (a)		675		24,678
Insight Enterprises, Inc. (a)		875		50,925
InterDigital, Inc.		1,170		75,349
KEMET Corp.		1,452		27,312
ManTech International Corp., Class A		1,089		71,711
Mesa Laboratories, Inc.		370		90,405
MicroStrategy, Inc., Class A (a)		477		68,359
MTS Systems Corp.		1,269		74,275
Nanometrics, Inc. (a)		1,722		59,770
NIC, Inc.		2,952		47,350
OSI Systems, Inc. (a)		674		75,913
PC Connection, Inc.		779		27,249
PCM, Inc. (a)		980		34,339
Perficient, Inc. (a)		2,171		74,509
Photronics, Inc. (a)		5,217		42,779
Plexus Corp. (a)		1,054		61,522
Power Integrations, Inc.		613		49,150
Presidio, Inc.		3,037		41,516
Progress Software Corp.		1,430		62,377
Rogers Corp. (a)		255		44,008
Rudolph Technologies, Inc. (a)		2,116		58,465
Sanmina Corp. (a)		1,501		45,450
ScanSource, Inc. (a)		1,592		51,836
Smart Global Holdings, Inc. (a)		842		19,358
SPS Commerce, Inc. (a)		406		41,497
Sykes Enterprises, Inc. (a)		1,866		51,240
TTM Technologies, Inc. (a)		3,845		39,219
Unisys Corp. (a) (b)		3,038		29,529
Zix Corp. (a)		4,220		38,360
				2,586,254
Materials (1.4%):
Advansix, Inc. (a)		1,322		32,296
AK Steel Holding Corp. (a)		11,320		26,828
American Vanguard Corp.		2,824		43,518
Balchem Corp.		759		75,877
Carpenter Technology Corp.		906		43,470
Chase Corp.		526		56,619
Clearwater Paper Corp. (a)		1,527		28,234

See notes to financial statements.

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Security Description	Shares		Value
Commercial Metals Co.		2,885	$	51,497
Ferro Corp. (a)		2,554		40,353
Futurefuel Corp.		2,664		31,142
Greif, Inc., Class A		1,091		35,512
H.B. Fuller Co.		1,160		53,824
Innophos Holdings, Inc.		1,413		41,132
Innospec, Inc.		683		62,317
Kaiser Aluminum Corp.		495		48,317
Kronos Worldwide, Inc.		2,417		37,028
Minerals Technologies, Inc.		955		51,102
PolyOne Corp.		1,695		53,206
PQ Group Holdings, Inc. (a)		3,322		52,654
Rayonier Advanced Materials, Inc. (b)		2,692		17,471
Ryerson Holding Corp. (a)		4,327		36,044
Schnitzer Steel Industries, Inc.		1,923		50,325
Schweitzer-Mauduit International, Inc.		1,292		42,869
Sensient Technologies Corp.		964		70,835
Stepan Co.		772		70,955
SunCoke Energy, Inc. (a)		4,392		39,001
Warrior Met Coal, Inc.		1,696		44,300
Worthington Industries, Inc.		1,480		59,585
				1,296,311
Real Estate (0.2%):
Four Corners Property Trust, Inc.		3,270		89,369
HFF, Inc., Class A		1,206		54,849
Marcus & Millichap, Inc. (a)		1,851		57,103
The RMR Group, Inc.		574		26,967
				228,288
Utilities (0.6%):
American States Water Co.		1,178		88,632
Chesapeake Utilities Corp.		757		71,930
MGE Energy, Inc.		1,143		83,530
Middlesex Water Co.		866		51,311
Otter Tail Corp.		1,563		82,542
SJW Corp.		1,125		68,366
Unitil Corp.		1,412		84,565
				530,876
Total Common Stocks (Cost $21,640,981)				23,935,394
Rights (0.0%) (c)
Materials (0.0%): (c)
Schulman, Inc. (a) (d) (e) (f)		4,224		8,448
Total Right (Cost $8,448)				8,448
Investment Companies (74.0%)
BlackRock Liquidity Funds T-Fund, Institutional Class, 2.25% (g) (h)		68,495,093		68,495,093
Total Investment Companies (Cost $68,495,093)				68,495,093

See notes to financial statements.

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Security Description	Shares		Value
Collateral for Securities Loaned^ (0.3%)
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (g)		52,455	$	52,455
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (g)		67,568		67,568
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (g)		1,755		1,755
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (g)		28,847		28,847
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (g)		39,335		39,335
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (g)		61,190		61,190
Total Collateral for Securities Loaned (Cost $251,150)				251,150
Total Investments (Cost $90,395,672) — 100.1%				92,690,085
Liabilities in excess of other assets — (0.1)%				(76,338	)
NET ASSETS — 100.00%			$	92,613,747

^ Purchased with cash collateral from securities on loan.

(a) Non-income producing security.

(b) All or a portion of this security is on loan.

(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2019.

(e) The Fund's Adviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. As of December 31, 2018, illiquid securities were 0.0% of the Fund's net assets.

(g) Rate disclosed is the daily yield on June 30, 2019.

(h) Represents an investment 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.

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Russell 2000 Mini Index Futures		5	9/20/19	$	381,885	$	391,775	$	9,890
	Total unrealized appreciation							$	9,890
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	9,890

See notes to financial statements.

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Security Description	Shares		Value
Common Stocks (98.9%)
Australia (6.5%):
Communication Services (0.2%):
Telstra Corp. Ltd.		96,304	$	260,245
Consumer Discretionary (0.2%):
Aristocrat Leisure Ltd.		9,785		210,988
Consumer Staples (0.6%):
Wesfarmers Ltd.		10,230		259,645
Woolworths Ltd.		16,523		385,386
				645,031
Energy (0.7%):
Oil Search Ltd.		34,679		172,093
Origin Energy Ltd.		34,951		179,330
Santos Ltd.		34,369		170,796
Woodside Petroleum Ltd.		9,074		231,579
				753,798
Financials (2.2%):
Asx Ltd.		6,594		381,237
Australia & New Zealand Banking Group Ltd.		11,453		226,777
Commonwealth Bank of Australia		5,223		303,474
Insurance Australia Group Ltd.		45,886		266,034
Macquarie Group Ltd.		2,456		216,156
National Australia Bank Ltd.		17,227		323,089
QBE Insurance Group Ltd.		27,877		231,477
Suncorp Group Ltd.		27,358		258,660
Westpac Banking Corp.		12,487		248,565
				2,455,469
Health Care (0.7%):
CSL Ltd.		1,421		214,442
Ramsay Health Care Ltd.		5,428		275,229
Sonic Healthcare Ltd.		15,009		285,494
				775,165
Industrials (0.5%):
Brambles Ltd.		36,267		327,872
Cimic Group Ltd.		5,635		177,075
				504,947
Materials (1.2%):
BHP Billiton Ltd.		8,458		244,354
BHP Group PLC		7,352		188,096
Fortescue Metals Group Ltd.		34,824		220,476
Newcrest Mining Ltd.		13,764		308,669
RIO Tinto Ltd.		3,175		231,233
South32 Ltd.		59,121		131,961
				1,324,789

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.2%):
AGL Energy Ltd.		17,817	$	250,241
				7,180,673
Austria (0.3%):
Energy (0.2%):
OMV AG		3,537		172,294
Financials (0.1%):
Erste Group Bank AG		4,486		166,454
				338,748
Belgium (1.8%):
Communication Services (0.2%):
Proximus SADP		8,160		240,442
Consumer Staples (0.4%):
Anheuser-Busch InBev SA/NV		2,369		209,630
Colruyt SA		4,888		283,391
				493,021
Financials (0.7%):
Ageas		5,842		303,569
Groupe Bruxelles Lambert SA		2,983		292,583
KBC Groep NV		2,831		185,502
				781,654
Health Care (0.2%):
UCB SA		2,783		230,699
Materials (0.3%):
Solvay SA		1,552		160,729
Umicore SA		3,658		117,268
				277,997
				2,023,813
Bermuda (0.4%):
Industrials (0.2%):
Jardine Matheson Holdings Ltd.		2,394		150,870
Real Estate (0.2%):
Hongkong Land Holdings Ltd.		40,476		260,665
				411,535
Canada (10.6%):
Communication Services (1.1%):
BCE, Inc.		8,937		406,649
Rogers Communications, Inc.		6,636		355,265
TELUS Corp.		12,799		473,194
				1,235,108

See notes to financial statements.

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Security Description	Shares		Value
Consumer Discretionary (0.5%):
Dollarama, Inc.		5,011	$	176,307
Magna International, Inc.		3,293		163,871
Restaurant Brands International, Inc.		3,017		209,835
				550,013
Consumer Staples (1.4%):
Alimentation Couche-Tard, Inc., Class B		4,755		299,266
George Weston Ltd.		4,503		341,731
Loblaw Cos. Ltd.		6,023		308,418
Metro, Inc.		8,499		318,956
Saputo, Inc.		8,114		242,912
				1,511,283
Energy (1.0%):
Canadian Natural Resources Ltd.		5,536		149,287
Husky Energy, Inc.		12,037		114,082
Imperial Oil Ltd.		7,814		216,386
Pembina Pipeline Corp.		7,997		297,735
TC Energy Corp.		6,458		320,187
				1,097,677
Financials (4.2%):
Bank of Montreal		4,928		372,291
Brookfield Asset Management, Inc.		6,200		296,647
Canadian Imperial Bank of Commerce (a)		4,941		388,594
Great-West Lifeco, Inc.		12,962		298,461
Intact Financial Corp.		4,029		372,376
Manulife Financial Corp.		11,598		210,808
National Bank of Canada		10,010		475,578
Power Corp. of Canada		15,534		334,668
Power Financial Corp. (a)		15,694		361,008
Royal Bank of Canada		5,047		401,131
Sun Life Financial, Inc.		7,262		300,762
The Bank of Nova Scotia (a)		6,909		371,146
The Toronto-Dominion Bank		7,255		423,975
				4,607,445
Industrials (0.4%):
Canadian National Railway Co.		2,846		263,430
Canadian Pacific Railway Ltd.		993		233,902
				497,332
Information Technology (0.6%):
CGI, Inc. (b)		3,965		304,869
Constellation Software, Inc.		166		156,473
Open Text Corp.		6,332		261,327
				722,669

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.3%):
Franco-Nevada Corp.		2,702	$	229,363
Teck Resources Ltd., Class B		5,715		131,898
				361,261
Utilities (1.1%):
Emera, Inc.		9,394		383,896
Fortis, Inc.		11,122		439,223
Hydro One Ltd. (c)		21,362		372,619
				1,195,738
				11,778,526
Denmark (1.9%):
Consumer Staples (0.3%):
Carlsberg A/S, Class B		2,632		349,024
Financials (0.1%):
Danske Bank A/S		7,252		114,656
Health Care (0.7%):
Coloplast A/S		2,351		265,760
Genmab A/S (b)		810		148,985
H. Lundbeck A/S		2,353		92,977
Novo Nordisk A/S, Class B		4,537		231,268
				738,990
Industrials (0.5%):
A.P. Moeller-Maersk, Class B		119		147,648
DSV A/S (a)		2,299		225,829
Vestas Wind Systems A/S		2,014		174,018
				547,495
Materials (0.3%):
Christian Hansen Holding A/S		1,919		180,256
Novozymes A/S, B Shares		4,171		194,560
				374,816
				2,124,981
Finland (1.5%):
Energy (0.2%):
Neste Oyj		5,499		186,538
Financials (0.4%):
Nordea Bank AB		26,474		192,294
Sampo Oyj, Class A		6,822		321,844
				514,138
Industrials (0.4%):
Kone Oyj, Class B		4,827		284,794
Wartsila Oyj ABP, Class B		10,640		154,279
				439,073

See notes to financial statements.

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Security Description	Shares		Value
Materials (0.3%):
Stora ENSO Oyj, R Shares (a)		11,146	$	130,953
UPM-Kymmene Oyj		6,111		162,351
				293,304
Utilities (0.2%):
Fortum Oyj		9,113		201,340
				1,634,393
France (9.2%):
Communication Services (0.5%):
Orange SA (a)		23,392		368,699
Publicis Groupe SA		3,068		161,935
				530,634
Consumer Discretionary (1.6%):
Accor SA		5,675		243,539
Cie Generale des Etablissements Michelin		1,209		153,314
Hermes International		363		261,709
Kering		252		148,995
LVMH Moet Hennessy Louis Vuitton SA		489		208,072
PSA Peugeot Citroen		6,385		157,291
Renault SA		2,765		173,791
Seb SA		792		142,345
Sodexo SA		2,249		262,826
				1,751,882
Consumer Staples (0.8%):
Danone SA		4,069		344,611
L'Oreal SA		1,001		285,054
Pernod Ricard SA		1,573		289,776
				919,441
Energy (0.2%):
Total SA		4,559		255,377
Financials (0.9%):
BNP Paribas SA		4,012		190,484
CNP Assurances		12,277		278,572
Credit Agricole SA		15,095		180,953
Natixis SA (a)		34,080		137,109
Societe Generale SA (a)		6,173		155,928
				943,046
Health Care (1.0%):
BioMerieux		1,951		161,574
Essilor International SA		2,488		324,555
Ipsen SA		1,180		160,971
Sanofi		3,331		287,448
Sartorius Stedim Biotech		1,143		180,222
				1,114,770

See notes to financial statements.

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Security Description	Shares		Value
Industrials (3.0%):
Aeroports de Paris		1,207	$	212,953
Airbus Group SE		1,439		203,959
Alstom SA		4,993		231,583
Bollore SA		44,939		198,217
Bouygues		4,456		164,986
Bureau Veritas SA		8,670		214,074
Edenred		3,967		202,305
Eiffage SA		2,593		256,275
Groupe Eurotunnel SE		17,528		280,756
Legrand SA		3,572		261,100
Safran SA		1,402		205,361
Schneider Electric SA		2,533		229,671
Teleperformance		988		197,901
Thales SA		1,771		218,743
Vinci SA		2,717		278,168
				3,356,052
Information Technology (0.4%):
Atos SE		1,464		122,358
Cap Gemini SA		1,284		159,613
Dassault Systemes SA		1,001		159,653
				441,624
Materials (0.3%):
Air Liquide SA		2,455		343,414
Utilities (0.5%):
GDF Suez		15,553		235,861
Veolia Environnement SA		11,862		288,843
				524,704
				10,180,944
Germany (5.4%):
Consumer Discretionary (0.5%):
Bayerische Motoren Werke AG		2,829		209,331
Continental AG		955		139,202
Daimler AG, Registered Shares		3,141		174,696
				523,229
Consumer Staples (0.3%):
Beiersdorf AG		2,769		332,251
Financials (1.6%):
Allianz SE		1,276		307,519
Commerzbank AG		15,283		109,785
Deutsche Boerse AG		2,128		300,938
Hannover Rueck SE		2,035		328,965
Muenchener Rueckversicherungs-Gesellschaft AG		1,389		348,489
Talanx AG		7,122		308,469
				1,704,165

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.4%):
Fresenius Medical Care AG & Co. KGaA		1,693	$	132,875
Fresenius SE & Co. KGaA		2,086		113,067
Merck KGaA		2,280		238,352
				484,294
Industrials (0.8%):
Deutsche Post AG		7,586		249,228
Hochtief AG		1,418		172,644
MTU Aero Engines Holding AG		763		181,716
Siemens AG		2,451		291,447
				895,035
Information Technology (0.4%):
Infineon Technologies AG		6,425		113,577
SAP SE		1,953		268,108
Wirecard AG		468		78,766
				460,451
Materials (0.7%):
BASF SE		2,843		206,585
Covestro AG (c)		2,098		106,634
Evonik Industries AG		7,359		214,247
Symrise AG		2,709		260,657
				788,123
Real Estate (0.5%):
Deutsche Wohnen AG		6,710		246,154
Vonovia SE		6,110		291,726
				537,880
Utilities (0.2%):
E.ON AG		24,190		262,645
				5,988,073
Hong Kong (5.5%):
Consumer Discretionary (0.3%):
Galaxy Entertainment Group Ltd.		19,636		132,350
Techtronic Industries Co. Ltd.		25,852		197,909
				330,259
Consumer Staples (0.2%):
Sun Art Retail Group Ltd.		143,412		135,859
WH Group Ltd. (c)		138,866		140,797
				276,656
Financials (0.8%):
AIA Group Ltd.		18,870		203,523
Hang Seng Bank		11,894		296,155
Hong Kong Exchanges and Clearing Ltd. (a)		5,548		195,885
The Bank of East Asia Ltd. (a)		68,798		192,441
				888,004

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.1%):
Sino Biopharmaceutical Ltd.		102,500	$	104,843
Industrials (0.8%):
CK Hutchison Holdings Ltd.		21,186		208,838
MTR Corp. Ltd.		73,138		492,493
NWS Holdings Ltd.		76,000		156,254
				857,585
Real Estate (1.8%):
CK Asset Holdings Ltd.		31,760		248,627
Hang Lung Properties Ltd.		105,000		249,750
Henderson Land Development Co. Ltd.		46,748		257,636
New World Development Co. Ltd.		150,650		235,674
Sino Land Co. Ltd.		110,080		184,608
Sun Hung KAI Properties Ltd.		8,468		143,638
Swire Pacific Ltd., Class A		14,436		177,415
The Wharf Holdings Ltd.		69,000		182,848
Wharf Real Estate Investment		15,000		105,711
Wheelock & Co. Ltd.		22,568		161,790
				1,947,697
Utilities (1.5%):
China Common Rich Renewable Energy INV Ltd. (b) (d)		26,000		1,964
China Gas Holdings Ltd.		39,672		147,537
CK Infrastructure Holdings Ltd.		34,370		280,279
CLP Holdings Ltd.		23,036		254,206
Hong Kong & China Gas Co. Ltd.		221,225		490,516
Power Assets Holdings Ltd.		65,536		471,506
				1,646,008
				6,051,052
Ireland (1.2%):
Communication Services (0.2%):
WPP PLC		14,098		177,247
Consumer Staples (0.2%):
Kerry Group PLC		2,269		270,838
Industrials (0.6%):
DCC PLC		2,152		191,813
Experian PLC		8,836		267,462
Kingspan Group PLC		3,288		178,518
				637,793
Materials (0.2%):
CRH PLC		5,791		188,873
				1,274,751
Israel (0.3%):
Financials (0.3%):
Bank Leumi Le-Israel B.M.		43,512		314,339

See notes to financial statements.

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Security Description	Shares		Value
Italy (2.2%):
Consumer Discretionary (0.1%):
Moncler SpA		3,652	$	156,100
Consumer Staples (0.2%):
Davide Campari — Milano SpA		21,681		212,334
Energy (0.5%):
Eni SpA		15,588		258,825
Snam SpA		54,567		271,142
				529,967
Financials (0.6%):
Assicurazioni Generali SpA		18,930		356,366
Intesa Sanpaolo SpA		63,567		135,999
UniCredit SpA		10,512		129,372
				621,737
Industrials (0.2%):
Atlantia SpA		9,727		253,331
Utilities (0.6%):
Enel SpA		51,209		357,437
Terna Rete Elettrica Nazionale SpA		48,126		306,375
				663,812
				2,437,281
Japan (19.2%):
Communication Services (1.0%):
KDDI Corp.		7,308		185,988
Nexon Co. Ltd. (b)		6,800		98,531
Nintendo Co. Ltd.		600		219,796
Nippon Telegraph & Telephone Corp.		2,864		133,290
NTT DOCOMO, Inc.		8,492		197,923
SoftBank Group Corp.		2,928		140,289
Yahoo Japan Corp.		56,330		165,123
				1,140,940
Consumer Discretionary (4.3%):
Aisin Seiki Co. Ltd.		3,910		134,565
Bandai Namco Holdings, Inc.		2,900		140,696
Bridgestone Corp.		5,860		230,595
Denso Corp.		4,330		182,077
Fast Retailing Co. Ltd.		500		302,087
Hikari Tsushin, Inc.		1,300		283,275
Honda Motor Co. Ltd.		6,830		176,452
Isuzu Motors Ltd.		13,094		149,038
Koito Manufacturing Co. Ltd.		2,790		148,817
Mitsubishi Motors Corp.		33,100		158,438
Nissan Motor Co. Ltd.		31,976		228,875
Nitori Holdings Co. Ltd.		2,030		268,909
Oriental Land Co. Ltd.		2,608		322,734
Pan Pacific International Holdings Corp.		3,000		190,352

See notes to financial statements.

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Security Description	Shares		Value
Panasonic Corp.		20,400	$	169,861
Rakuten, Inc.		20,600		244,601
Sekisui House Ltd.		19,472		320,710
Shimano, Inc.		1,740		258,740
Sumitomo Electric Industries Ltd.		14,994		196,744
Suzuki Motor Corp.		2,304		108,232
Toyota Industries Corp.		3,108		170,969
Toyota Motor Corp.		3,324		206,224
Yamaha Corp.		3,700		175,733
				4,768,724
Consumer Staples (1.5%):
Asahi Group Holdings Ltd.		4,060		182,474
Japan Tobacco, Inc.		11,944		263,643
Kao Corp.		918		69,915
Kikkoman Corp.		1,900		82,662
Kirin Holdings Co. Ltd.		8,300		178,897
Kose Corp.		900		150,863
MEIJI Holdings Co. Ltd.		1,404		100,286
Seven & i Holdings Co. Ltd.		5,500		186,122
Suntory Beverage & Food Ltd.		4,000		173,840
Uni-Charm Corp.		5,494		165,330
Yakult Honsha Co. Ltd.		1,170		68,919
				1,622,951
Financials (2.2%):
Japan Post Bank Co. Ltd.		31,512		319,797
Japan Post Holdings Co. Ltd.		33,300		376,865
Mitsubishi UFJ Financial Group, Inc.		48,234		229,089
Mizuho Financial Group, Inc.		230,394		333,622
ORIX Corp.		16,468		245,645
Resona Holdings, Inc.		52,146		217,001
Sumitomo Mitsui Financial Group, Inc.		7,284		257,170
Sumitomo Mitsui Trust Holdings, Inc.		6,300		228,273
The Dai-ichi Life Insurance Co. Ltd.		12,488		188,247
				2,395,709
Health Care (1.3%):
Astellas Pharma, Inc.		11,252		160,221
Chugai Pharmaceutical Co. Ltd.		1,830		119,510
Eisai Co. Ltd.		454		25,652
Hoya Corp.		1,218		93,260
Kyowa Hakko Kirin Co. Ltd.		10,600		190,662
M3, Inc.		8,200		149,776
ONO Pharmaceutical Co. Ltd.		8,884		159,220
Otsuka Holdings Co. Ltd.		3,100		101,109
Shionogi & Co. Ltd.		1,828		105,288
Sysmex Corp.		2,674		174,306
Taisho Pharmaceutical Holdings		2,000		153,432
				1,432,436

See notes to financial statements.

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Security Description	Shares		Value
Industrials (4.7%):
Central Japan Railway Co.		1,254	$	251,033
Daikin Industries Ltd.		1,766		230,415
East Japan Railway Co.		1,386		129,600
FANUC Corp.		1,130		208,914
Hankyu Hanshin Holdings, Inc.		5,800		207,681
ITOCHU Corp.		12,708		242,902
Japan Airlines Co. Ltd.		7,300		233,153
Komatsu Ltd.		7,388		178,189
Kubota Corp.		13,904		231,260
Makita Corp.		5,078		172,407
Marubeni Corp.		24,274		160,551
Mitsubishi Corp.		8,592		226,357
Mitsubishi Electric Corp.		14,352		188,919
Mitsubishi Heavy Industries Ltd.		7,600		330,720
Mitsui & Co. Ltd.		15,386		250,344
Nidec Corp.		1,654		225,929
Recruit Holdings Co. Ltd.		5,720		190,702
Secom Co. Ltd.		1,810		155,714
SG Holdings Co. Ltd.		6,000		170,037
SMC Corp.		414		154,271
Sumitomo Corp.		15,998		242,270
Taisei Corp.		2,934		106,555
Tokyu Corp.		15,400		273,000
Toyota Tsusho Corp.		4,980		150,832
West Japan Railway Co.		2,600		210,219
Yamato Holdings Co. Ltd.		5,800		117,883
				5,239,857
Information Technology (1.7%):
Canon, Inc.		9,914		289,327
FUJIFILM Holdings Corp.		4,060		205,749
Keyence Corp.		314		192,624
Murata Manufacturing Co. Ltd.		2,802		125,804
Nomura Research Institute Ltd.		10,074		161,390
NTT Data Corp.		15,308		203,775
OBIC Co. Ltd.		1,900		215,028
Omron Corp.		2,300		119,907
Oracle Corp. Japan		1,200		87,607
TDK Corp.		2,000		154,731
Tokyo Electron Ltd.		1,226		171,958
				1,927,900
Materials (1.2%):
Asahi Kasei Corp.		14,268		152,011
JFE Holdings, Inc.		11,204		164,474
Mitsubishi Chem Holdings		26,448		184,645
Nippon Paint Co. Ltd.		3,538		137,188
Nippon Steel & Sumitomo Metal		14,398		246,957
Nitto Denko Corp.		3,364		165,922

See notes to financial statements.

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Security Description	Shares		Value
Shin-Etsu Chemical Co. Ltd.		470	$	43,752
Toray Industries, Inc.		29,580		224,786
				1,319,735
Real Estate (1.0%):
Daito Trust Construction Co. Ltd.		1,440		183,473
Daiwa House Industry Co. Ltd.		5,800		168,996
Mitsubishi Estate Co. Ltd.		15,052		279,956
Mitsui Fudosan Co. Ltd.		9,478		229,696
Sumitomo Realty & Development		7,800		278,427
				1,140,548
Utilities (0.3%):
Kansai Electric Power Co.		12,800		146,583
Tokyo Electric Power Co. Holdings (b)		26,300		137,111
				283,694
				21,272,494
Korea, Republic Of (3.8%):
Communication Services (0.5%):
NAVER Corp.		1,206		119,096
NCSoft Corp.		387		159,909
Netmarble Games Corp. (b) (c)		1,013		99,159
SK Telecom Co. Ltd.		959		215,160
				593,324
Consumer Discretionary (0.6%):
Hyundai Mobis Co. Ltd.		696		141,985
Hyundai Motor Co.		1,402		170,028
Kia Motors Corp.		5,089		193,967
LG Electronics, Inc.		2,505		172,078
				678,058
Consumer Staples (0.4%):
Amorepacific Corp.		563		80,227
KT&G Corp.		2,798		238,741
LG Household & Health Care Ltd.		120		136,486
				455,454
Energy (0.1%):
SK Innovation Co. Ltd.		1,087		149,717
Financials (0.8%):
Hana Financial Group, Inc.		5,989		194,030
KB Financial Group, Inc.		5,152		204,625
Samsung Fire & Marine Insurance Co. Ltd.		825		191,528
Shinhan Financial Group Co. Ltd.		5,881		228,740
				818,923
Health Care (0.1%):
Celltrion, Inc.		598		106,453

See notes to financial statements.

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Security Description	Shares		Value
Industrials (0.5%):
LG Corp.		3,026	$	201,576
Samsung C&T Corp.		2,016		167,127
SK Holdings Co. Ltd.		872		175,246
				543,949
Information Technology (0.6%):
Samsung Electronics Co. Ltd.		4,952		201,615
Samsung SDI Co. Ltd.		628		128,657
Samsung SDS Co. Ltd.		847		157,749
SK Hynix, Inc.		2,231		134,316
				622,337
Materials (0.2%):
LG Chem Ltd.		480		147,401
Lotte Chemical Corp.		437		95,584
				242,985
				4,211,200
Luxembourg (0.2%):
Energy (0.1%):
Tenaris SA		12,840		168,006
Materials (0.1%):
Arcelormittal		6,059		108,388
				276,394
Macau (0.2%):
Consumer Discretionary (0.2%):
Sands China Ltd.		32,400		154,919
Wynn Macau Ltd.		43,600		97,678
				252,597
Mexico (0.1%):
Materials (0.1%):
Fresnillo PLC		9,479		104,732
Netherlands (3.0%):
Communication Services (0.2%):
Koninklijke KPN NV		72,014		221,038
Consumer Staples (0.7%):
Heineken Holding A, Class A		2,696		282,883
Heineken NV		2,614		291,633
Koninklijke Ahold Delhaize NV		9,829		220,992
				795,508
Financials (0.6%):
Exor NV		3,162		221,426
ING Groep NV		14,452		167,511
NN Group NV		6,261		251,960
				640,897

See notes to financial statements.

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Security Description	Shares		Value
Health Care (0.4%):
Koninklijke Philips NV		5,055	$	219,431
Qiagen NV (b)		6,564		266,318
				485,749
Industrials (0.4%):
Randstad Holding NV		3,291		180,701
Wolters Kluwer NV		4,069		296,134
				476,835
Information Technology (0.2%):
ASML Holding NV		917		191,539
Materials (0.5%):
Akzo Nobel N.V.		2,875		270,093
Koninklijke DSM NV		1,771		218,843
				488,936
				3,300,502
Norway (0.9%):
Communication Services (0.3%):
Telenor ASA		13,753		292,095
Consumer Staples (0.2%):
Marine Harvest ASA		8,635		201,979
Energy (0.2%):
Aker BP ASA		3,537		101,461
Statoil ASA		9,181		181,372
				282,833
Financials (0.2%):
DNB ASA		14,020		260,936
				1,037,843
Portugal (0.4%):
Consumer Staples (0.2%):
Jeronimo Martins SGPS SA		13,373		215,343
Energy (0.2%):
Galp Energia SGPS SA		12,807		196,911
				412,254
Russian Federation (0.1%):
Materials (0.1%):
Evraz PLC		16,359		138,168
Singapore (2.9%):
Communication Services (0.4%):
Singapore Telecommunications Ltd.		167,194		432,601

See notes to financial statements.

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Security Description	Shares		Value
Consumer Discretionary (0.3%):
Genting Singapore Ltd.		224,470	$	152,667
Jardine Cycle & Carriage Ltd.		7,984		213,839
				366,506
Consumer Staples (0.3%):
Wilmar International Ltd.		134,362		367,517
Financials (0.8%):
DBS Group Holdings Ltd.		16,078		308,557
Oversea-Chinese Banking Corp. Ltd.		37,038		312,141
United Overseas Bank Ltd.		15,992		308,916
				929,614
Industrials (0.8%):
Keppel Corp. Ltd.		52,300		257,498
Singapore Airlines Ltd.		44,000		301,530
Singapore Technologies Engineering Ltd.		94,700		289,834
				848,862
Real Estate (0.3%):
CapitaLand Ltd.		120,636		314,811
				3,259,911
Spain (3.1%):
Communication Services (0.2%):
Telefonica SA		30,452		249,976
Consumer Discretionary (0.2%):
Industria de Diseno Textil SA		6,831		205,398
Energy (0.2%):
Repsol SA		13,381		209,691
Financials (0.5%):
Banco Bilbao Vizcaya Argentaria SA		32,531		181,837
Banco Santander SA		45,605		211,549
CaixaBank SA		50,727		145,205
				538,591
Health Care (0.2%):
Grifols SA		6,980		206,307
Industrials (0.7%):
ACS, Actividades de Construccion y Servicios SA		4,947		197,450
Aena SA (c)		1,532		303,558
Ferrovial SA		11,888		304,207
				805,215
Information Technology (0.2%):
Amadeus IT Holding SA		2,639		208,982

See notes to financial statements.

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Security Description	Shares		Value
Utilities (0.9%):
Endesa SA		11,465	$	294,686
Iberdrola SA		39,490		393,526
Red Electrica Corp. SA		14,830		308,769
				996,981
				3,421,141
Sweden (2.5%):
Communication Services (0.3%):
TeliaSonera AB		67,898		301,671
Consumer Discretionary (0.3%):
Electrolux AB, B Shares		6,512		166,483
Hennes & Mauritz AB, B Shares (a)		8,636		153,852
				320,335
Consumer Staples (0.4%):
Essity AB, Class B		7,809		240,109
Swedish Match AB		3,799		160,440
				400,549
Financials (0.5%):
Skandinaviska Enskilda Banken AB, Class A		23,006		212,958
Svenska Handelsbanken AB		24,961		247,082
Swedbank AB, A Shares		9,252		138,999
				599,039
Industrials (0.9%):
Alfa Laval AB		8,382		182,956
Atlas Copco AB, A Shares		6,417		205,189
Epiroc AB, Class A		15,268		159,029
Sandvik AB		11,765		216,237
Volvo AB, Class B		13,145		208,674
				972,085
Information Technology (0.1%):
Hexagon AB, B Shares		3,161		175,589
				2,769,268
Switzerland (6.5%):
Communication Services (0.3%):
Swisscom AG		679		341,031
Consumer Discretionary (0.4%):
CIE Financiere Richemont SA (a)		2,510		213,085
The Swatch Group AG, B shares		596		170,713
				383,798
Consumer Staples (0.9%):
Barry Callebaut AG		137		274,898
Chocoladefabriken Lindt & Spruengli AG		24		174,749

See notes to financial statements.

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Security Description	Shares		Value
Coca-Cola HBC AG		5,594	$	211,092
Nestle SA, Registered Shares		3,674		380,503
				1,041,242
Financials (1.4%):
Credit Suisse Group AG, Registered Shares		16,300		195,523
Julius Baer Group Ltd.		3,800		169,244
Partners Group Holding AG		325		255,457
Swiss Life Holding AG		691		342,597
UBS Group AG, Registered Shares		16,472		195,814
Zurich Insurance Group AG		999		347,981
				1,506,616
Health Care (1.3%):
Lonza Group AG, Registered Shares		594		200,516
Novartis AG		3,826		349,743
Roche Holding AG		1,018		286,528
Sonova Holding AG, Registered Shares		1,002		227,755
Straumann Holding AG		230		203,036
Vifor Pharma AG		1,420		205,258
				1,472,836
Industrials (1.1%):
ABB Ltd.		12,673		254,421
Geberit AG		585		273,376
Kuehne + Nagel International AG		1,625		241,302
Schindler Holding AG		823		183,273
SGS SA		118		300,744
				1,253,116
Information Technology (0.3%):
Stmicroelectronics NV		6,704		118,890
Temenos AG		830		148,554
				267,444
Materials (0.8%):
EMS-Chemie Holding AG		379		246,051
Givaudan SA, Registered Shares		113		319,151
Glencore PLC		36,937		128,198
Sika AG, Registered Shares		1,267		216,317
				909,717
				7,175,800
United Kingdom (8.8%):
Communication Services (0.4%):
Informa PLC		23,666		250,906
Pearson PLC		18,121		188,529
				439,435
Consumer Discretionary (1.2%):
Barratt Developments PLC		19,086		138,761
Burberry Group PLC		5,982		141,425

See notes to financial statements.

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Security Description	Shares		Value
Compass Group PLC		11,894	$	284,970
Intercontinental Hotels Group PLC		3,845		252,496
Next PLC		2,571		180,390
Persimmon PLC		5,243		132,941
Whitbread PLC		3,017		177,322
				1,308,305
Consumer Staples (1.8%):
Associated British Foods PLC		6,701		209,558
British American Tobacco PLC		4,206		146,806
Diageo PLC		8,036		345,279
Imperial Tobacco Group PLC		5,996		140,599
Reckitt Benckiser Group PLC		2,868		226,282
Tesco PLC		70,184		202,018
Unilever NV		5,917		360,269
Unilever PLC		5,434		337,697
				1,968,508
Energy (0.4%):
BP PLC		29,221		203,541
Royal Dutch Shell PLC, Class A		7,491		244,678
				448,219
Financials (1.9%):
3I Group PLC		14,766		208,763
Aviva PLC		43,757		231,399
Hargreaves Lansdown PLC		7,442		181,328
HSBC Holdings PLC		29,294		244,330
Legal & General Group PLC		67,235		230,067
Lloyds Banking Group PLC		263,971		189,669
London Stock Exchange Group PLC		4,147		288,861
Prudential PLC		9,319		203,042
Royal Bank of Scotland Group		51,701		144,287
Schroders PLC		5,536		214,386
				2,136,132
Health Care (0.6%):
AstraZeneca PLC		2,611		213,431
GlaxoSmithKline PLC		11,317		226,544
Smith & Nephew PLC		12,953		280,411
				720,386
Industrials (1.3%):
Ashtead Group PLC		5,150		147,388
BAE Systems PLC		32,486		204,339
Bunzl PLC		8,213		216,590
Ferguson PLC		2,750		195,533
International Consolidated Airlines Group SA, ADR		12,985		153,223
Intertek Group PLC		2,922		204,127
RELX PLC		11,056		268,051
				1,389,251

See notes to financial statements.

166

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VictoryShares Developed Enhanced Volatility Wtd ETF

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Information Technology (0.2%):
The Sage Group PLC		20,758	$	211,483
Materials (0.8%):
Anglo American PLC		5,719		162,982
Antofagasta PLC		9,789		115,540
Croda International PLC		3,308		215,048
Mondi PLC		7,442		169,139
Rio Tinto PLC		3,316		205,484
				868,193
Utilities (0.2%):
National Grid PLC		19,769		209,791
				9,699,703
United States (0.4%):
Consumer Discretionary (0.1%):
Carnival PLC		3,488		154,075
Industrials (0.3%):
Waste Connections, Inc.		3,469		331,428
				485,503
Total Common Stocks (Cost $107,893,451)				109,556,619
Rights (0.0%) (e)
Spain (0.0%): (e)
Energy (0.0%): (e)
Repsol SA Expires 07/05/19 @ $0.49 (b)		14,371		7,969
Industrials (0.0%): (e)
ACS Actividades de Construccion y Servicios SA Expires 07/09/19 @ $1.38 (b)		5,317		8,341
				16,310
Total Rights (Cost $16,925)				16,310
Investment Companies (0.2%)
United States (0.2%):
BlackRock Liquidity Funds T-Fund, Institutional Class, 2.25% (f)		273,149		273,149
Total Investment Companies (Cost $273,149)				273,149

See notes to financial statements.

167

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VictoryShares Developed Enhanced Volatility Wtd ETF

Schedule of Portfolio Investments — continued
June 30, 2019

Security Description	Shares		Value
Collateral for Securities Loaned^ (2.1%)
United States (2.1%):
BlackRock Liquidity Funds TempFund Portfolio, Institutional Class, 2.43% (f)		476,510	$	476,510
Fidelity Investments Money Market Government Portfolio, Class I, 2.28% (f)		613,800		613,800
Fidelity Investments Prime Money Market Portfolio, Class I, 2.39% (f)		15,940		15,940
Goldman Sachs Financial Square Prime Obligations Fund, Institutional Class, 2.48% (f)		262,046		262,046
JPMorgan Prime Money Market Fund, Capital Class, 2.41% (f)		357,327		357,327
Morgan Stanley Institutional Liquidity Prime Portfolio, Institutional Class, 2.42% (f)		555,863		555,863
Total Collateral for Securities Loaned (Cost $2,281,486)				2,281,486
Total Investments (Cost $110,465,011) — 101.2%				112,127,564
Liabilities in excess of other assets — (1.2)%				(1,381,589	)
NET ASSETS — 100.00%			$	110,745,975

^ Purchased with cash collateral from securities on loan.

(a) All or a portion of this security is on loan.

(b) Non-income producing security.

(d) Security was fair valued based upon procedures approved by the Board of Trustees and represents 0.0% of the Fund's net assets as of June 30, 2019. This security is classified as Level 3 within the fair value hierarchy. (See Note 2)

(e) Amount represents less than 0.05% of net assets.

(f) Rate disclosed is the daily yield on June 30, 2019.

ADR — American Depositary Receipt

PLC — Public Limited Company

Futures Contracts Purchased

	Number of Contracts		Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
Mini MSCI EAFE Index Futures		8	9/20/19	$	756,312	$	769,320	$	13,008
	Total unrealized appreciation							$	13,008
	Total unrealized depreciation								—
	Total net unrealized appreciation(depreciation)							$	13,008

See notes to financial statements.

168

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $691,523,932, $32,093,111 and $33,794,011)	$	753,230,837	(a)	$	30,374,361	(b)	$	36,639,950	(c)
Foreign currency, at value (Cost $—, $— and $39,719)		—			—			39,013
Cash and cash equivalents		3,069,005			14,657			166,553
Deposits with brokers for futures contracts		244,423			49,909			44,532
Interest and dividends receivable		769,462			20,515			79,484
Receivable for investments sold		1,169,370			—			3,802,320
Variation margin receivable on open futures contracts		18,499			865			960
Reclaims receivable		—			—			47,168
Receivable from Adviser		24,746			3,425			15,632
Prepaid expenses		2,916			167			101
Total Assets		758,529,258			30,463,899			40,835,713
LIABILITIES:
Payables:
Collateral received on loaned securities		26,456,252			629,600			770,896
Capital shares redeemed		—			—			3,803,537
Accrued expenses and other payables:
Investment advisory fees		177,261			7,257			12,859
Administration fees		19,145			761			1,097
Custodian fees		5,246			610			9,654
Chief Compliance Officer fees		498			17			24
Trustees' fees		1,865			106			124
Other accrued expenses		94,019			11,603			22,325
Total Liabilities		26,754,286			649,954			4,620,516
NET ASSETS:
Capital		697,888,358			36,419,643			34,687,088
Total distributable earnings/(loss)		33,886,614			(6,605,698	)		1,528,109
Net Assets	$	731,774,972		$	29,813,945		$	36,215,197
Shares Outstanding (unlimited shares authorized, no par value):		13,950,000			650,000			950,000
Net asset value:	$	52.46		$	45.87		$	38.12

(a) Includes $25,996,281 of securities on loan.

(b) Includes $615,138 of securities on loan.

See notes to financial statements.

169

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $17,116,336, $330,211,590 and $80,837,379)	$	18,245,151	(a)	$	346,629,889	(b)	$	79,388,872	(c)
Foreign currency, at value (Cost $15,646, $— and $—)		15,657			—			—
Cash and cash equivalents		124,457			1,099,309			191,607
Deposits with brokers for futures contracts		32,949			192,561			85,267
Interest and dividends receivable		75,910			702,503			107,303
Variation margin receivable on open futures contracts		—			5,567			2,716
Reclaims receivable		103			—			—
Receivable from Adviser		5,009			15,396			5,882
Prepaid expenses		84			745			239
Total Assets		18,499,320			348,645,970			79,781,886
LIABILITIES:
Payables:
Collateral received on loaned securities		121,603			16,972,694			4,466,080
Variation margin payable on open futures contracts		405			—			—
Accrued expenses and other payables:
Investment advisory fees		6,639			80,245			17,764
Administration fees		528			9,249			2,012
Custodian fees		7,488			2,041			755
Chief Compliance Officer fees		12			227			52
Trustees' fees		67			844			211
Other accrued expenses		28,265			53,793			17,722
Total Liabilities		165,007			17,119,093			4,504,596
NET ASSETS:
Capital		17,481,394			330,484,331			82,981,281
Total distributable earnings/(loss)		852,919			1,042,546			(7,703,991	)
Net Assets	$	18,334,313		$	331,526,877		$	75,277,290
Shares Outstanding (unlimited shares authorized, no par value):		700,000			7,050,000			1,700,000
Net asset value:	$	26.19		$	47.03		$	44.28

(a) Includes $122,984 of securities on loan.

(b) Includes $16,652,621 of securities on loan.

See notes to financial statements.

170

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
ASSETS:
Investments, at value (Cost $43,684,436, $40,226,310 and $15,400,307)	$	42,377,077	(a)	$	39,998,007	(b)	$	16,592,624	(c)
Foreign currency, at value (Cost $44,088, $48,368 and $—)		44,511			48,399			—
Cash and cash equivalents		25,010			37,197			44,013
Deposits with brokers for futures contracts		47,572			19,169			8,229
Interest and dividends receivable		178,883			362,248			12,133
Receivable for investments sold		—			35			—
Variation margin receivable on open futures contracts		480			—			—
Reclaims receivable		94,398			—			—
Receivable from Adviser		7,472			8,896			5,314
Prepaid expenses		204			92			46
Total Assets		42,775,607			40,474,043			16,662,359
LIABILITIES:
Payables:
Collateral received on loaned securities		2,202,338			187,255			197,736
Variation margin payable on open futures contracts		—			154			—
Accrued expenses and other payables:
Investment advisory fees		13,159			14,230			4,008
Administration fees		1,083			945			308
Custodian fees		3,494			5,608			411
Chief Compliance Officer fees		24			29			12
Trustees' fees		123			119			1,611
Other accrued expenses		15,357			14,437			8,684
Total Liabilities		2,235,578			222,777			212,770
NET ASSETS:
Capital		44,337,381			41,622,136			15,626,041
Total distributable earnings/(loss)		(3,797,352	)		(1,370,870	)		823,548
Net Assets	$	40,540,029		$	40,251,266		$	16,449,589
Shares Outstanding (unlimited shares authorized, no par value):		1,250,000			1,650,000			500,000
Net asset value:	$	32.43		$	24.39		$	32.90

(a) Includes $2,103,839 of securities on loan.

(b) Includes $178,124 of securities on loan.

See notes to financial statements.

171

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	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 $40,313,230, $799,350,013 and $707,755,222)	$	43,045,839	(a)	$	861,573,475	(b)	$	742,452,558	(c)
Cash and cash equivalents		128,384			83,958			109,766
Deposits with brokers for futures contracts		43,087			338,239			429,072
Interest and dividends receivable		54,488			876,466			1,505,270
Receivable for investments sold		—			1,322,097			2,266,072
Variation margin receivable on open futures contracts		665			20,938			11,121
Receivable from Adviser		5,252			13,934			14,461
Prepaid expenses		180			4,845			4,006
Total Assets		43,277,895			864,233,952			746,792,326
LIABILITIES:
Payables:
Collateral received on loaned securities		39,602			35,171,021			47,419,811
Capital shares redeemed		—			—			2,277,214
Accrued expenses and other payables:
Investment advisory fees		10,233			202,505			171,774
Administration fees		1,232			20,836			18,505
Custodian fees		518			7,570			5,942
Chief Compliance Officer fees		27			567			482
Trustees' fees		133			2,202			1,824
Other accrued expenses		13,575			99,882			82,553
Total Liabilities		65,320			35,504,583			49,978,105
NET ASSETS:
Capital		40,930,540			882,148,142			771,104,948
Total distributable earnings/(loss)		2,282,035			(53,418,773	)		(74,290,727	)
Net Assets	$	43,212,575		$	828,729,369		$	696,814,221
Shares Outstanding (unlimited shares authorized, no par value):		1,400,000			16,950,000			15,300,000
Net asset value:	$	30.87		$	48.89		$	45.54

(a) Includes $39,000 of securities on loan.

(b) Includes $34,534,482 of securities on loan.

See notes to financial statements.

172

Victory Portfolios II

Statements of Assets and Liabilities
June 30, 2019

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
ASSETS:
Investments, at value (Cost $90,395,672 and $110,465,011)	$	92,690,085	(a)	$	112,127,564	(b)
Foreign currency, at value (Cost $— and $104,726)		—			105,554
Cash and cash equivalents		—			190,611
Deposits with brokers for futures contracts		82,907			215,158
Interest and dividends receivable		131,048			231,817
Receivable for investments sold		—			3,204,634
Variation margin receivable on open futures contracts		4,325			4,802
Reclaims receivable		—			215,475
Receivable from Adviser		4,487			18,314
Prepaid expenses		554			712
Total Assets		92,913,406			116,314,641
LIABILITIES:
Payables:
Collateral received on loaned securities		251,150			2,281,486
Capital shares redeemed		—			3,202,988
Accrued expenses and other payables:
Investment advisory fees		23,433			38,067
Administration fees		2,426			2,926
Custodian fees		1,128			11,764
Chief Compliance Officer fees		63			76
Trustees' fees		270			323
Other accrued expenses		21,189			31,036
Total Liabilities		299,659			5,568,666
NET ASSETS:
Capital		128,595,625			125,539,459
Total distributable earnings/(loss)		(35,981,878	)		(14,793,484	)
Net Assets	$	92,613,747		$	110,745,975
Shares Outstanding (unlimited shares authorized, no par value):		2,450,000			3,450,000
Net asset value:	$	37.80		$	32.10

(a) Includes $242,537 of securities on loan.

(b) Includes $2,184,982 of securities on loan.

See notes to financial statements.

173

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	VictoryShares US 500 Volatility Wtd ETF			VictoryShares US Small Cap Volatility Wtd ETF			VictoryShares International Volatility Wtd ETF
Investment Income:
Dividends	$	12,013,395		$	629,666		$	1,224,232
Interest		33,513			3,493			3,011
Securities lending (net of fees)		57,979			10,939			9,864
Foreign tax withholding		(2,089	)		(147	)		(149,606	)
Total Income		12,102,798			643,951			1,087,501
Expenses:
Investment advisory fees		1,983,826			112,839			120,885
Administration fees		410,438			23,287			18,845
Custodian fees		29,348			3,836			39,935
Servicing fees		4,288			4,197			4,201
Trustees' fees		51,903			4,376			3,493
Chief Compliance Officer fees		5,095			243			226
Legal and audit fees		84,643			10,506			11,522
Line of credit fees		—			—			217
Other expenses		109,052			12,418			21,885
Total Expenses		2,678,593			171,702			221,209
Expenses waived/reimbursed by Adviser		(362,560	)		(40,167	)		(84,815	)
Net Expenses		2,316,033			131,535			136,394
Net Investment Income (Loss)		9,786,765			512,416			951,107
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		14,464,844			1,409,783			(853,796	)
Net realized gains (losses) from futures contracts		133,099			312			1,886
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		26,148,095			(4,299,043	)		1,906,598
Net change in unrealized appreciation/depreciation on futures contracts		96,156			7,859			5,036
Net realized/unrealized gains (losses) on investments		40,842,194			(2,881,089	)		1,059,724
Change in net assets resulting from operations	$	50,628,959		$	(2,368,673	)	$	2,010,831

See notes to financial statements.

174

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	VictoryShares Emerging Market Volatility Wtd ETF			VictoryShares US Large Cap High Div Volatility Wtd ETF			VictoryShares US Small Cap High Div Volatility Wtd ETF
Investment Income:
Dividends	$	601,977		$	8,145,327		$	1,945,951
Interest		2,163			17,318			6,734
Securities lending (net of fees)		4,602			6,865			33,458
Foreign tax withholding		(73,444	)		—			(717	)
Total Income		535,298			8,169,510			1,985,426
Expenses:
Investment advisory fees		81,936			664,671			172,610
Administration fees		11,289			138,161			35,771
Custodian fees		102,573			13,061			4,625
Servicing fees		4,204			4,204			4,199
Trustees' fees		2,872			16,639			5,550
Chief Compliance Officer fees		96			1,658			419
Legal and audit fees		27,904			34,608			13,454
Line of credit fees		1,018			—			—
Other expenses		24,517			50,994			16,036
Total Expenses		256,409			923,996			252,664
Expenses waived/reimbursed by Adviser		(164,744	)		(146,752	)		(50,983	)
Net Expenses		91,665			777,244			201,681
Net Investment Income (Loss)		443,633			7,392,266			1,783,745
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(262,434	)		6,302,081			2,611,997
Foreign taxes on realized gains		(9,296	)		—			—
Net realized gains (losses) from futures contracts		(13,050	)		59,179			(19,071	)
Net change in unrealized appreciation/ depreciation on investment securities		571,787			11,558,288			(3,993,842	)
Net change in unrealized appreciation/ depreciation on futures contracts		11,706			23,377			7,263
Net realized/unrealized gains (losses) on investments		298,713			17,942,925			(1,393,653	)
Change in net assets resulting from operations	$	742,346		$	25,335,191		$	390,092

See notes to financial statements.

175

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	VictoryShares International High Div Volatility Wtd ETF			VictoryShares Emerging Market High Div Volatility Wtd ETF			VictoryShares Dividend Accelerator ETF
Investment Income:
Dividends	$	2,748,484		$	1,827,579		$	197,002
Interest		3,889			3,062			489
Securities lending (net of fees)		31,914			1,288			210
Foreign tax withholding		(389,734	)		(218,213	)		—
Total Income		2,394,553			1,613,716			197,701
Expenses:
Investment advisory fees		173,975			120,301			30,876
Administration fees		26,961			16,634			6,408
Custodian fees		18,827			56,672			4,215
Servicing fees		4,204			4,822			4,092
Trustees' fees		4,881			3,241			1,733
Chief Compliance Officer fees		340			202			77
Legal and audit fees		12,418			19,429			8,056
Line of credit fees		375			1,883			—
Other expenses		14,526			13,375			5,197
Total Expenses		256,507			236,559			60,654
Expenses waived/reimbursed by Adviser		(60,475	)		(101,122	)		(24,542	)
Net Expenses		196,032			135,437			36,112
Net Investment Income (Loss)		2,198,521			1,478,279			161,589
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(1,757,615	)		(1,606,182	)		801,892
Foreign taxes on realized gains		—			(6,682	)		—
Net realized gains (losses) from futures contracts		(52,191	)		(14,008	)		179
Net change in unrealized appreciation/ depreciation on investment securities		(237,033	)		1,897,053			838,524
Net change in unrealized appreciation/ depreciation on futures contracts		5,098			1,106			—
Net realized/unrealized gains (losses) on investments		(2,041,741	)		271,287			1,640,595
Change in net assets resulting from operations	$	156,780		$	1,749,566		$	1,802,184

See notes to financial statements.

176

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	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	$	805,344		$	17,997,092		$	27,319,697
Interest		2,023			3,941			5,814
Securities lending (net of fees)		738			71,448			46,005
Foreign tax withholding		—			(2,044	)		—
Total Income		808,105			18,070,437			27,371,516
Expenses:
Investment advisory fees		84,636			2,908,211			2,303,215
Administration fees		17,614			600,300			475,706
Custodian fees		3,530			45,327			41,481
Servicing fees		4,092			4,290			4,288
Trustees' fees		3,088			80,047			62,817
Chief Compliance Officer fees		200			7,622			6,030
Legal and audit fees		10,061			107,942			91,002
Other expenses		11,696			130,232			96,191
Total Expenses		134,917			3,883,971			3,080,730
Expenses waived/reimbursed by Adviser		(35,840	)		(492,244	)		(394,050	)
Net Expenses		99,077			3,391,727			2,686,680
Net Investment Income (Loss)		709,028			14,678,710			24,684,836
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities		(925,111	)		(39,055,391	)		(39,964,399	)
Net realized gains (losses) from futures contracts		11,476			153,348			(38,318	)
Net change in unrealized appreciation/ depreciation on investment securities		2,559,298			5,726,190			15,383,233
Net change in unrealized appreciation/ depreciation on futures contracts		2,956			143,809			88,940
Net realized/unrealized gains (losses) on investments		1,648,619			(33,032,044	)		(24,530,544	)
Change in net assets resulting from operations	$	2,357,647		$	(18,353,334	)	$	154,292

See notes to financial statements.

177

Victory Portfolios II

Statements of Operations
For the Year Ended June 30, 2019

	VictoryShares US Discovery Enhanced Volatility Wtd ETF			VictoryShares Developed Enhanced Volatility Wtd ETF
Investment Income:
Dividends	$	2,074,950		$	5,058,402
Interest		2,566			1,142
Securities lending (net of fees)		26,334			35,138
Foreign tax withholding		(238	)		(503,719	)
Total Income		2,103,612			4,590,963
Expenses:
Investment advisory fees		343,812			597,402
Administration fees		70,988			92,435
Custodian fees		6,075			66,839
Servicing fees		4,210			4,205
Trustees' fees		10,648			14,155
Chief Compliance Officer fees		891			1,197
Legal and audit fees		18,692			22,227
Line of credit fees		3,703			573
Other expenses		26,501			39,749
Total Expenses		485,520			838,782
Expenses waived/reimbursed by Adviser		(82,041	)		(167,208	)
Net Expenses		403,479			671,574
Net Investment Income (Loss)		1,700,133			3,919,389
Realized/Unrealized Gains (Losses) from Investments:
Net realized gains (losses) from investment securities and foreign currency translations		(19,133,494	)		(6,747,820	)
Net realized gains (losses) from futures contracts		40,605			(40,712	)
Net change in unrealized appreciation/depreciation on investment securities and foreign currency translations		(7,799,046	)		(2,641,718	)
Net change in unrealized appreciation/depreciation on futures contracts		25,864			22,796
Net realized/unrealized gains (losses) on investments		(26,866,071	)		(9,407,454	)
Change in net assets resulting from operations	$	(25,165,938	)	$	(5,488,065	)

See notes to financial statements.

178

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, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	9,786,765		$	5,705,606		$	512,416		$	352,570		$	951,107		$	478,765
Net realized gains (losses) from investments		14,597,943			24,992,063			1,410,095			3,253,519			(851,910	)		659,926
Net change in unrealized appreciation/ depreciation on investments		26,244,251			18,418,955			(4,291,184	)		1,088,968			1,911,634			(248,818	)
Change in net assets resulting from operations		50,628,959			49,116,624			(2,368,673	)		4,695,057			2,010,831			889,873
Change in net assets resulting from distributions to shareholders (a)		(9,387,343	)		(5,493,806	)		(530,031	)		(350,537	)		(942,198	)		(470,597	)
Change in net assets resulting from capital transactions		123,163,001			230,826,334			(8,548,089	)		11,477,938			13,649,150			8,057,297
Change in net assets		164,404,617			274,449,152			(11,446,793	)		15,822,458			14,717,783			8,476,573
Net Assets:
Beginning of period		567,370,355			292,921,203			41,260,738			25,438,280			21,497,414			13,020,841
End of period	$	731,774,972		$	567,370,355		$	29,813,945		$	41,260,738		$	36,215,197		$	21,497,414
Capital Transactions:
Proceeds from shares issued		298,196,716			382,162,595			28,692,604			34,043,827			22,981,655			12,040,236
Cost of shares redeemed		(175,033,715	)		(151,336,261	)		(37,240,693	)		(22,565,889	)		(9,332,505	)		(3,982,939	)
Change in net assets resulting from capital transactions		123,163,001			230,826,334			(8,548,089	)		11,477,938			13,649,150			8,057,297
Share Transactions:
Issued		5,950,000			7,950,000			600,000			750,000			650,000			300,000
Redeemed		(3,500,000	)		(3,100,000	)		(800,000	)		(500,000	)		(250,000	)		(100,000	)
Change in Shares		2,450,000			4,850,000			(200,000	)		250,000			400,000			200,000

(a) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 8 in the Notes to Financial Statements).

See notes to financial statements.

179

Victory Portfolios II

Statements of Changes in Net Assets

	VictoryShares Emerging Market Volatility Wtd ETF						VictoryShares US Large Cap High Div Volatility Wtd ETF						VictoryShares US Small Cap High Div Volatility Wtd ETF
	Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	443,633		$	606,309		$	7,392,266		$	4,193,272		$	1,783,745		$	1,386,793
Net realized gains (losses) from investments		(284,780	)		3,424,454			6,361,260			8,645,786			2,592,926			3,481,128
Net change in unrealized appreciation/ depreciation on investments		583,493			(1,912,020	)		11,581,665			525,911			(3,986,579	)		1,836,675
Change in net assets resulting from operations		742,346			2,118,743			25,335,191			13,364,969			390,092			6,704,596
Change in net assets resulting from distributions to shareholders (a)		(1,357,525	)		(1,624,922	)		(6,679,386	)		(4,292,079	)		(1,707,481	)		(1,457,987	)
Change in net assets resulting from capital transactions		—			(14,936,943	)		168,683,788			14,933,024			32,929,668			6,093,407
Change in net assets		(615,179	)		(14,443,122	)		187,339,593			24,005,914			31,612,279			11,340,016
Net Assets:
Beginning of period		18,949,492			33,392,614			144,187,284			120,181,370			43,665,011			32,324,995
End of period	$	18,334,313		$	18,949,492		$	331,526,877		$	144,187,284		$	75,277,290		$	43,665,011
Capital Transactions:
Proceeds from shares issued		—			3,024,918			290,937,852			105,456,748			72,072,068			42,447,183
Cost of shares redeemed		—			(17,961,861	)		(122,254,064	)		(90,523,724	)		(39,142,400	)		(36,353,776	)
Change in net assets resulting from capital transactions		—			(14,936,943	)		168,683,788			14,933,024			32,929,668			6,093,407
Share Transactions:
Issued		—			100,000			6,500,000			2,400,000			1,600,000			1,000,000
Redeemed		—			(600,000	)		(2,650,000	)		(2,050,000	)		(850,000	)		(850,000	)
Change in Shares		—			(500,000	)		3,850,000			350,000			750,000			150,000

(a) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 8 in the Notes to Financial Statements).

See notes to financial statements.

180

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, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			For the Period October 26, 2017 through June 30, 2018(a)			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	2,198,521		$	1,675,655		$	1,478,279		$	410,601		$	161,589		$	120,160
Net realized gains (losses) from investments		(1,809,806	)		1,539,234			(1,626,872	)		120,539			802,071			319,823
Net change in unrealized appreciation/ depreciation on investments		(231,935	)		(2,576,324	)		1,898,159			(2,125,137	)		838,524			284,045
Change in net assets resulting from operations		156,780			638,565			1,749,566			(1,593,997	)		1,802,184			724,028
Change in net assets resulting from distributions to shareholders (b)		(2,195,385	)		(1,619,642	)		(1,289,328	)		(334,938	)		(154,436	)		(116,651	)
Change in net assets resulting from capital transactions		(3,245,348	)		14,263,656			18,258,598			23,461,365			7,699,980			2,601,811
Change in net assets		(5,283,953	)		13,282,579			18,718,836			21,532,430			9,347,728			3,209,188
Net Assets:
Beginning of period		45,823,982			32,541,403			21,532,430			—			7,101,861			3,892,673
End of period	$	40,540,029		$	45,823,982		$	40,251,266		$	21,532,430		$	16,449,589		$	7,101,861
Capital Transactions:
Proceeds from shares issued		4,686,683			26,698,800			21,602,286			23,461,365			14,036,615			6,794,590
Cost of shares redeemed		(7,932,031	)		(12,435,144	)		(3,343,688	)		—			(6,336,635	)		(4,192,779	)
Change in net assets resulting from capital transactions		(3,245,348	)		14,263,656			18,258,598			23,461,365			7,699,980			2,601,811
Share Transactions:
Issued		150,000			750,000			900,000			900,000			450,000			250,000
Redeemed		(250,000	)		(350,000	)		(150,000	)		—			(200,000	)		(150,000	)
Change in Shares		(100,000	)		400,000			750,000			900,000			250,000			100,000

(a) The Fund commenced operations on October 26, 2017.

(b) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 8 in the Notes to Financial Statements).

See notes to financial statements.

181

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, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	709,028		$	109,618		$	14,678,710		$	8,989,753		$	24,684,836		$	18,850,437
Net realized gains (losses) from investments		(913,635	)		126,449			(38,902,043	)		41,515,455			(40,002,717	)		36,578,511
Net change in unrealized appreciation/ depreciation on investments		2,562,254			188,786			5,869,999			20,477,654			15,472,173			269,683
Change in net assets resulting from operations		2,357,647			424,853			(18,353,334	)		70,982,862			154,292			55,698,631
Change in net assets resulting from distributions to shareholders (a)		(627,227	)		(98,884	)		(14,515,692	)		(8,545,250	)		(24,059,137	)		(18,927,936	)
Change in net assets resulting from capital transactions		33,208,682			5,464,103			(89,812,663	)		473,126,725			(17,541,016	)		229,562,322
Change in net assets		34,939,102			5,790,072			(122,681,689	)		535,564,337			(41,445,861	)		266,333,017
Net Assets:
Beginning of period		8,273,473			2,483,401			951,411,058			415,846,721			738,260,082			471,927,065
End of period	$	43,212,575		$	8,273,473		$	828,729,369		$	951,411,058		$	696,814,221		$	738,260,082
Capital Transactions:
Proceeds from shares issued		66,623,191			8,142,957			506,703,403			705,160,890			361,365,589			645,087,685
Cost of shares redeemed		(33,414,509	)		(2,678,854	)		(596,516,066	)		(232,034,165	)		(378,906,605	)		(415,525,363	)
Change in net assets resulting from capital transactions		33,208,682			5,464,103			(89,812,663	)		473,126,725			(17,541,016	)		229,562,322
Share Transactions:
Issued		2,300,000			300,000			10,250,000			14,600,000			7,650,000			14,250,000
Redeemed		(1,200,000	)		(100,000	)		(12,600,000	)		(4,750,000	)		(8,300,000	)		(9,200,000	)
Change in Shares		1,100,000			200,000			(2,350,000	)		9,850,000			(650,000	)		5,050,000

(a) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 8 in the Notes to Financial Statements).

See notes to financial statements.

182

Victory Portfolios II

Statements of Changes in Net Assets

	VictoryShares US Discovery Enhanced Volatility Wtd ETF						VictoryShares Developed Enhanced Volatility Wtd ETF
	Year Ended June 30, 2019			Year Ended June 30, 2018			Year Ended June 30, 2019			Year Ended June 30, 2018
From Investment Activities:
Operations:
Net investment income (loss)	$	1,700,133		$	937,200		$	3,919,389		$	3,753,566
Net realized gains (losses) from investments		(19,092,889	)		6,030,929			(6,788,532	)		3,995,306
Net change in unrealized appreciation/depreciation on investments		(7,773,182	)		5,475,692			(2,618,922	)		(2,480,069	)
Change in net assets resulting from operations		(25,165,938	)		12,443,821			(5,488,065	)		5,268,803
Change in net assets resulting from distributions to shareholders (a)		(1,699,060	)		(914,103	)		(4,201,929	)		(3,545,391	)
Change in net assets resulting from capital transactions		3,321,549			46,656,676			(58,667,327	)		95,229,946
Change in net assets		(23,543,449	)		58,186,394			(68,357,321	)		96,953,358
Net Assets:
Beginning of period		116,157,196			57,970,802			179,103,296			82,149,938
End of period	$	92,613,747		$	116,157,196		$	110,745,975		$	179,103,296
Capital Transactions:
Proceeds from shares issued		73,395,864			86,697,217			1,668,844			112,807,667
Cost of shares redeemed		(70,074,315	)		(40,040,541	)		(60,336,171	)		(17,577,721	)
Change in net assets resulting from capital transactions		3,321,549			46,656,676			(58,667,327	)		95,229,946
Share Transactions:
Issued		1,600,000			1,950,000			50,000			3,250,000
Redeemed		(1,600,000	)		(900,000	)		(1,900,000	)		(500,000	)
Change in Shares		—			1,050,000			(1,850,000	)		2,750,000

(a) Current and prior year distributions to shareholders have been reclassified and conform to amended GAAP presentation under Regulation S-X (See Item 8 in the Notes to Financial Statements).

See notes to financial statements.

183

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US 500 Volatility Wtd ETF
Year Ended 06/30/19	$	49.34		0.73		3.09			3.82			(0.70	)		—
Year Ended 06/30/18	$	44.05		0.63		5.26			5.89			(0.60	)		—
Year Ended 06/30/17	$	37.24		0.60		6.71			7.31			(0.50	)		—
Year Ended 06/30/16	$	36.78		0.57		0.42			0.99			(0.51	)		(0.02	)
07/01/14(f) through 06/30/15	$	35.00		0.49		1.73			2.22			(0.44	)		—
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended 06/30/19	$	48.54		0.63		(2.62	)		(1.99	)		(0.68	)		—
Year Ended 06/30/18	$	42.40		0.50		6.14			6.64			(0.50	)		—
Year Ended 06/30/17	$	34.35		0.50		8.01			8.51			(0.46	)		—
07/07/15(f) through 06/30/16	$	35.00		0.41		(0.72	)		(0.31	)		(0.34	)		—
VictoryShares International Volatility Wtd ETF
Year Ended 06/30/19	$	39.09		1.17		(1.07	)(g)		0.10			(1.07	)		—
Year Ended 06/30/18	$	37.20		1.04		1.81			2.85			(0.96	)		—
Year Ended 06/30/17	$	32.11		0.76		5.10			5.86			(0.77	)		—
08/19/15(f) through 06/30/16	$	35.00		0.85		(3.15	)		(2.30	)		(0.59	)		—

(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.

(d) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(e) Excludes impact of in-kind transactions.

(f) Commencement of operations.

(g) The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

See notes to financial statements.

184

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)(d)			Gross Expenses(c)(d)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(e)
VictoryShares US 500 Volatility Wtd ETF
Year Ended 06/30/19		(0.70	)	$	52.46		7.86	%		0.35	%		1.48	%		0.40	%	$	731,775		46	%
Year Ended 06/30/18		(0.60	)	$	49.34		13.42	%		0.35	%		1.32	%		0.41	%	$	567,370		36	%
Year Ended 06/30/17		(0.50	)	$	44.05		19.72	%		0.35	%		1.43	%		0.47	%	$	292,921		26	%
Year Ended 06/30/16		(0.53	)	$	37.24		2.78	%		0.35	%		1.59	%		0.74	%	$	44,689		31	%
07/01/14(f) through 06/30/15		(0.44	)	$	36.78		6.38	%		0.54	%		1.37	%		1.39	%	$	9,194		23	%
VictoryShares US Small Cap Volatility Wtd ETF
Year Ended 06/30/19		(0.68	)	$	45.87		(4.07	)%		0.35	%		1.36	%		0.46	%	$	29,814		62	%
Year Ended 06/30/18		(0.50	)	$	48.54		15.75	%		0.35	%		1.10	%		0.47	%	$	41,261		47	%
Year Ended 06/30/17		(0.46	)	$	42.40		24.86	%		0.35	%		1.25	%		0.68	%	$	25,438		47	%
07/07/15(f) through 06/30/16		(0.34	)	$	34.35		(0.86	)%		0.35	%		1.28	%		1.44	%	$	10,304		50	%
VictoryShares International Volatility Wtd ETF
Year Ended 06/30/19		(1.07	)	$	38.12		0.33	%		0.45	%		3.14	%		0.73	%	$	36,215		53	%
Year Ended 06/30/18		(0.96	)	$	39.09		7.62	%		0.45	%		2.61	%		0.98	%	$	21,497		37	%
Year Ended 06/30/17		(0.77	)	$	37.20		18.44	%		0.45	%		2.25	%		1.54	%	$	13,021		46	%
08/19/15(f) through 06/30/16		(0.59	)	$	32.11		(6.58	)%		0.45	%		2.99	%		2.31	%	$	12,844		31	%

See notes to financial statements.

185

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares Emerging Market Volatility Wtd ETF
Year Ended 06/30/19	$	27.07		0.63		0.43			1.06			(0.53	)		(1.41	)
Year Ended 06/30/18	$	27.83		0.64		0.29			0.93			(0.60	)		(1.09	)
Year Ended 06/30/17	$	25.28		0.55		2.64			3.19			(0.52	)		(0.12	)
03/22/16(f) through 06/30/16	$	25.00		0.25		0.13			0.38			(0.10	)		—
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended 06/30/19	$	45.06		1.51		1.83			3.34			(1.37	)		—
Year Ended 06/30/18	$	42.17		1.34		2.92			4.26			(1.37	)		—
Year Ended 06/30/17	$	37.58		1.24		4.46			5.70			(1.11	)		—
07/07/15(f) through 06/30/16	$	35.00		1.28		2.35			3.63			(1.05	)		—
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended 06/30/19	$	45.96		1.38		(1.74	)		(0.36	)		(1.32	)		—
Year Ended 06/30/18	$	40.41		1.39		5.61			7.00			(1.45	)		—
Year Ended 06/30/17	$	35.40		1.43		4.93			6.36			(1.35	)		—
07/07/15(f) through 06/30/16	$	35.00		1.18		0.21			1.39			(0.99	)		—

(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.

(d) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(e) Excludes impact of in-kind transactions.

(f) Commencement of operations.

See notes to financial statements.

186

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions to Shareholders			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)(d)			Gross Expenses(c)(d)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(e)
VictoryShares Emerging Market Volatility Wtd ETF
Year Ended 06/30/19		(1.94	)	$	26.19		4.46	%		0.50	%		2.44	%		1.41	%	$	18,334		60	%
Year Ended 06/30/18		(1.69	)	$	27.07		3.09	%		0.50	%		2.19	%		1.23	%	$	18,949		53	%
Year Ended 06/30/17		(0.64	)	$	27.83		12.76	%		0.50	%		2.11	%		1.91	%	$	33,393		38	%
03/22/16(f) through 06/30/16		(0.10	)	$	25.28		1.56	%		0.50	%		3.70	%		6.26	%	$	12,642		1	%
VictoryShares US Large Cap High Div Volatility Wtd ETF
Year Ended 06/30/19		(1.37	)	$	47.03		7.59	%		0.35	%		3.33	%		0.42	%	$	331,527		66	%
Year Ended 06/30/18		(1.37	)	$	45.06		10.23	%		0.35	%		3.04	%		0.42	%	$	144,187		52	%
Year Ended 06/30/17		(1.11	)	$	42.17		15.37	%		0.35	%		3.05	%		0.45	%	$	120,181		48	%
07/07/15(f) through 06/30/16		(1.05	)	$	37.58		10.62	%		0.35	%		3.69	%		0.72	%	$	41,333		46	%
VictoryShares US Small Cap High Div Volatility Wtd ETF
Year Ended 06/30/19		(1.32	)	$	44.28		(0.70	)%		0.35	%		3.10	%		0.44	%	$	75,277		83	%
Year Ended 06/30/18		(1.45	)	$	45.96		17.64	%		0.35	%		3.23	%		0.45	%	$	43,665		68	%
Year Ended 06/30/17		(1.35	)	$	40.41		18.07	%		0.35	%		3.65	%		0.55	%	$	32,325		65	%
07/07/15(f) through 06/30/16		(0.99	)	$	35.40		4.15	%		0.35	%		3.59	%		0.92	%	$	14,160		78	%

See notes to financial statements.

187

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares International High Div Volatility Wtd ETF
Year Ended 06/30/19	$	33.94		1.63		(1.48	)		0.15			(1.66	)		—
Year Ended 06/30/18	$	34.25		1.47		(0.41	)		1.06			(1.37	)		—
Year Ended 06/30/17	$	30.65		1.40		3.47			4.87			(1.27	)		—
08/19/15(f) through 06/30/16	$	35.00		1.37		(4.71	)		(3.34	)		(1.01	)		—
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended 06/30/19	$	23.92		1.31		0.35			1.66			(1.05	)		(0.14	)
10/26/17(f) through 06/30/18	$	24.95		0.78		(1.29	)		(0.51	)		(0.52	)		—
VictoryShares Dividend Accelerator ETF
Year Ended 06/30/19	$	28.41		0.48		4.47			4.95			(0.46	)		—
Year Ended 06/30/18	$	25.95		0.48		2.45			2.93			(0.47	)		—
04/18/17(f) through 06/30/17	$	25.26		0.12		0.65			0.77			(0.08	)		—

(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.

(d) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(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 year was 0.50%.

See notes to financial statements.

188

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)(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 06/30/19		(1.66	)	$	32.43		0.58	%		0.45	%		5.06	%		0.59	%	$	40,540		76	%
Year Ended 06/30/18		(1.37	)	$	33.94		3.00	%		0.45	%		4.14	%		0.60	%	$	45,824		58	%
Year Ended 06/30/17		(1.27	)	$	34.25		16.16	%		0.45	%		4.32	%		0.77	%	$	32,541		69	%
08/19/15(f) through 06/30/16		(1.01	)	$	30.65		(9.63	)%		0.45	%		4.98	%		1.17	%	$	16,855		53	%
VictoryShares Emerging Market High Div Volatility Wtd ETF
Year Ended 06/30/19		(1.19	)	$	24.39		7.30	%		0.51	%(g)		5.52	%		0.88	%	$	40,251		103	%
10/26/17(f) through 06/30/18		(0.52	)	$	23.92		(2.17	)%		0.50	%		4.44	%		1.05	%	$	21,532		52	%
VictoryShares Dividend Accelerator ETF
Year Ended 06/30/19		(0.46	)	$	32.90		17.60	%		0.35	%		1.57	%		0.59	%	$	16,450		62	%
Year Ended 06/30/18		(0.47	)	$	28.41		11.33	%		0.35	%		1.75	%		0.67	%	$	7,102		43	%
04/18/17(f) through 06/30/17		(0.08	)	$	25.95		3.05	%		0.35	%		2.31	%		1.92	%	$	3,893		—	%

See notes to financial statements.

189

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended 06/30/19	$	27.58		0.73		3.20			3.93			(0.64	)		—
Year Ended 06/30/18	$	24.83		0.63		2.69			3.32			(0.57	)		—
06/22/17(f) through 06/30/17	$	24.97		0.02		(0.16	)		(0.14	)		—			—
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended 06/30/19	$	49.30		0.73		(0.42	)		0.31			(0.72	)		—
Year Ended 06/30/18	$	44.00		0.64		5.25			5.89			(0.59	)		—
Year Ended 06/30/17	$	37.23		0.58		6.71			7.29			(0.52	)		—
Year Ended 06/30/16	$	36.76		0.56		0.45			1.01			(0.54	)		—
07/01/14(f) through 06/30/15	$	35.00		0.49		1.65			2.14			(0.38	)		—
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended 06/30/19	$	46.29		1.46		(0.80	)		0.66			(1.41	)		—
Year Ended 06/30/18	$	43.30		1.39		2.99			4.38			(1.39	)		—
Year Ended 06/30/17	$	38.59		1.28		4.58			5.86			(1.15	)		—
Year Ended 06/30/16	$	35.38		1.27		3.18			4.45			(1.24	)		—
07/01/14(f) through 06/30/15	$	35.00		1.12		0.20			1.32			(0.94	)		—

(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.

(d) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(e) Excludes impact of in-kind transactions.

(f) Commencement of operations.

(g) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

190

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Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)(d)			Gross Expenses(c)(d)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(e)
VictoryShares US Multi-Factor Minimum Volatility ETF
Year Ended 06/30/19		(0.64	)	$	30.87		14.47	%		0.35	%		2.50	%		0.48	%	$	43,213		34	%
Year Ended 06/30/18		(0.57	)	$	27.58		13.41	%		0.35	%		2.33	%		0.74	%	$	8,273		26	%
06/22/17(f) through 06/30/17		—		$	24.83		(0.54	)%		0.35	%		3.20	%		7.21	%	$	2,483		—	%
VictoryShares US 500 Enhanced Volatility Wtd ETF
Year Ended 06/30/19		(0.72	)	$	48.89		0.69	%		0.35	%		1.51	%		0.40	%	$	828,729		116	%(g)
Year Ended 06/30/18		(0.59	)	$	49.30		13.42	%		0.35	%		1.32	%		0.41	%	$	951,411		37	%
Year Ended 06/30/17		(0.52	)	$	44.00		19.72	%		0.35	%		1.42	%		0.45	%	$	415,847		26	%
Year Ended 06/30/16		(0.54	)	$	37.23		2.79	%		0.35	%		1.56	%		0.58	%	$	141,470		36	%
07/01/14(f) through 06/30/15		(0.38	)	$	36.76		6.15	%		0.59	%		1.34	%		0.81	%	$	86,397		13	%
VictoryShares US EQ Income Enhanced Volatility Wtd ETF
Year Ended 06/30/19		(1.41	)	$	45.54		1.52	%		0.35	%		3.22	%		0.40	%	$	696,814		143	%(g)
Year Ended 06/30/18		(1.39	)	$	46.29		10.23	%		0.35	%		3.06	%		0.41	%	$	738,260		52	%
Year Ended 06/30/17		(1.15	)	$	43.30		15.35	%		0.35	%		3.06	%		0.43	%	$	471,927		49	%
Year Ended 06/30/16		(1.24	)	$	38.59		12.89	%		0.35	%		3.51	%		0.56	%	$	156,278		52	%
07/01/14(f) through 06/30/15		(0.94	)	$	35.38		3.77	%		0.59	%		3.09	%		0.77	%	$	86,678		17	%

See notes to financial statements.

191

Victory Portfolios II

Financial Highlights

For a Share Outstanding Throughout Each Period

			Investment Activities								Distributions to Shareholders From
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gains (Losses) on Investments			Total from Investment Activities			Net Investment Income			Net Realized Gains from Investments
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Year Ended 06/30/19	$	47.41		0.64		(9.61	)		(8.97	)		(0.64	)		—
Year Ended 06/30/18	$	41.41		0.50		5.98			6.48			(0.48	)		—
Year Ended 06/30/17	$	33.55		0.49		7.84			8.33			(0.47	)		—
Year Ended 06/30/16	$	39.23		0.34		(5.71	)(g)		(5.37	)		(0.31	)		—
07/31/14(f) through 06/30/15	$	35.00		0.40		4.16			4.56			(0.33	)		—
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended 06/30/19	$	33.79		0.85		(1.59	)		(0.74	)		(0.95	)		—
Year Ended 06/30/18	$	32.22		0.94		1.45			2.39			(0.82	)		—
Year Ended 06/30/17	$	29.00		0.78		2.90	(g)		3.68			(0.46	)		—
Year Ended 06/30/16	$	35.19		0.67		(6.27	)		(5.60	)		(0.59	)		—
09/30/14(f) through 06/30/15	$	35.00		0.80		(0.18	)		0.62			(0.42	)		(0.01	)

(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.

(d) During the period, certain fees were reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratios would have been as indicated.

(e) Excludes impact of in-kind transactions.

(f) Commencement of operations.

(g) Includes $0.07 gain derived from a payment from affiliate.

(h) Before the payment from affiliate for the loss resulting from a trade error, the total return for the year would have been 12.55%.

(i) Portfolio turnover increased significantly due to changes in the volume and timing of purchases and sales of portfolio holdings during the year.

See notes to financial statements.

192

Victory Portfolios II

Financial Highlights — continued

For a Share Outstanding Throughout Each Period

									Ratios to Average Net Assets									Supplemental Data
	Total Distributions			Net Asset Value, End of Period		Total Return (Excludes Sales Charge)(b)			Net Expenses(c)			Net Investment Income (Loss)(c)(d)			Gross Expenses(c)(d)			Net Assets, End of Period (000's)		Portfolio Turnover(b)(e)
VictoryShares US Discovery Enhanced Volatility Wtd ETF
Year Ended 06/30/19		(0.64	)	$	37.80		(19.04	)%		0.35	%		1.48	%		0.42	%	$	92,614		398	%(i)
Year Ended 06/30/18		(0.48	)	$	47.41		15.75	%		0.35	%		1.13	%		0.43	%	$	116,157		47	%
Year Ended 06/30/17		(0.47	)	$	41.41		24.91	%		0.35	%		1.25	%		0.55	%	$	57,971		50	%
Year Ended 06/30/16		(0.31	)	$	33.55		(13.70	)%		0.35	%		1.00	%		0.80	%	$	26,838		221	%
07/31/14(f) through 06/30/15		(0.33	)	$	39.23		13.06	%		1.07	%		1.15	%		0.59	%	$	23,538		10	%
VictoryShares Developed Enhanced Volatility Wtd ETF
Year Ended 06/30/19		(0.95	)	$	32.10		(2.16	)%		0.45	%		2.63	%		0.56	%	$	110,746		154	%(i)
Year Ended 06/30/18		(0.82	)	$	33.79		7.41	%		0.45	%		2.73	%		0.58	%	$	179,103		38	%
Year Ended 06/30/17		(0.46	)	$	32.22		12.79	%(h)		0.45	%		2.59	%		0.86	%	$	82,150		164	%
Year Ended 06/30/16		(0.59	)	$	29.00		(15.96	)%		0.45	%		2.16	%		1.36	%	$	34,797		211	%
09/30/14(f) through 06/30/15		(0.43	)	$	35.19		1.77	%		0.63	%		2.99	%		1.58	%	$	24,633		31	%

See notes to financial statements.

193

Victory Portfolios II

Notes to Financial Statements
June 30, 2019

1. Organization:

Victory Portfolios II (the "Trust") was organized on April 11, 2012 as a Delaware statutory trust as a successor to a company named "Compass EMP Funds Trust". 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 20 funds, 18 of which are exchange-traded funds ("ETF"), and is authorized to issue an unlimited number of shares, which are units of beneficial interest with no par value. Each Fund is classified as diversified under the 1940 Act.

The accompanying financial statements are those of the following 14 Funds (collectively, the "Funds" and individually, a "Fund").

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 Emerging Market Volatility Wtd ETF				Emerging Market 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

2. Significant Accounting Policies:

Shares of the Funds are listed and traded on Nasdaq Stock Market, LLC ("Exchange"). The Funds issue and redeem shares of a Fund ("Shares") at net asset value ("NAV") only in aggregations of 50,000 Shares (each a "Creation Unit"). Creation Units are issued and redeemed in exchange for a basket of securities included in the respective Fund's Index (the "Deposit Securities"), and/or with the deposit of a specified cash payment (the "Cash Component"), plus a transaction fee. Shares trade on the Exchange at market prices that may be below, at, or above NAV. Shares of a Fund may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to 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

194

Victory Portfolios II

Notes to Financial Statements — continued
June 30, 2019

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 Share Transaction section of the Statements of Changes in Net Assets as an increase to Paid-In-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	%
Emerging Market Volatility Wtd ETF		9,000		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	%

* As a percentage of the amount invested.

Investment Valuation:

• 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)

195

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Notes to Financial Statements — continued
June 30, 2019

Investments in open-end investment companies are valued at net asset value. These valuations are typically categorized as Level 1 in the fair value hierarchy.

	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
US 500 Volatility Wtd ETF
Common Stocks	$	726,774,585	$	—	$	—	$	—	$	—	$	—	$	726,774,585	$	—
Collateral for Securities Loaned		26,456,252		—		—		—		—		—		26,456,252		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		32,448		—		—		—		—		—		32,448
Total		753,230,837		32,448		—		—		—		—		753,230,837		32,448
US Small Cap Volatility Wtd ETF
Common Stocks		29,741,819		—		—		—		—		—		29,741,819		—
Rights		—		—		2,942		—		—		—		2,942		—
Collateral for Securities Loaned		629,600		—		—		—		—		—		629,600		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		1,901		—		—		—		—		—		1,901
Total		30,371,419		1,901		2,942		—		—		—		30,374,361		1,901

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	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
International Volatility Wtd ETF
Common Stocks	$	35,863,534	$	—	$	—	$	—	$	—	$	—	$	35,863,534	$	—
Rights		5,520		—		—		—		—		—		5,520		—
Collateral for Securities Loaned		770,896		—		—		—		—		—		770,896		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		4,982		—		—		—		—		—		4,982
Total		36,639,950		4,982		—		—		—		—		36,639,950		4,982
Emerging Market Volatility Wtd ETF
Common Stocks		18,122,478		—		—		—		—		—		18,122,478		—
Rights		1,070		—		—		—		—		—		1,070		—
Collateral for Securities Loaned		121,603		—		—		—		—		—		121,603		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		3,988		—		—		—		—		—		3,988
Total		18,245,151		3,988		—		—		—		—		18,245,151		3,988
US Large Cap High Div Volatility Wtd ETF
Common Stocks		329,657,195		—		—		—		—		—		329,657,195		—
Collateral for Securities Loaned		16,972,694		—		—		—		—		—		16,972,694		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		13,629		—		—		—		—		—		13,629
Total		346,629,889		13,629		—		—		—		—		346,629,889		13,629
US Small Cap High Div Volatility Wtd ETF
Common Stocks		74,908,606		—		—		—		—		—		74,908,606		—
Rights		—		—		14,186		—		—		—		14,186		—
Collateral for Securities Loaned		4,466,080		—		—		—		—		—		4,466,080		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		4,566		—		—		—		—		—		4,566
Total		79,374,686		4,566		14,186		—		—		—		79,388,872		4,566

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	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
International High Div Volatility Wtd ETF
Common Stocks	$	40,162,039	$	—	$	—	$	—	$	—	$	—	$	40,162,039	$	—
Rights		12,700		—		—		—		—		—		12,700		—
Collateral for Securities Loaned		2,202,338		—		—		—		—		—		2,202,338		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		241		—		—		—		—		—		241
Total		42,377,077		241		—		—		—		—		42,377,077		241
Emerging Market High Div Volatility Wtd ETF
Common Stocks		39,810,752		—		—		—		—		—		39,810,752		—
Collateral for Securities Loaned		187,255		—		—		—		—		—		187,255		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		362		—		—		—		—		—		362
Total		39,998,007		362		—		—		—		—		39,998,007		362
Dividend Accelerator ETF
Common Stocks		16,394,888		—		—		—		—		—		16,394,888		—
Collateral for Securities Loaned		197,736		—		—		—		—		—		197,736		—
Total		16,592,624		—		—		—		—		—		16,592,624		—
US Multi-Factor Minimum Volatility ETF
Common Stocks		43,006,237		—		—		—		—		—		43,006,237		—
Collateral for Securities Loaned		39,602		—		—		—		—		—		39,602		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		2,956		—		—		—		—		—		2,956
Total		43,045,839		2,956		—		—		—		—		43,045,839		2,956

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	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
US 500 Enhanced Volatility Wtd ETF
Common Stocks	$	823,048,969	$	—	$	—	$	—	$	—	$	—	$	823,048,969	$	—
Investment Companies		3,353,485		—		—		—		—		—		3,353,485		—
Collateral for Securities Loaned		35,171,021		—		—		—		—		—		35,171,021		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		37,796		—		—		—		—		—		37,796
Total		861,573,475		37,796		—		—		—		—		861,573,475		37,796
US EQ Income Enhanced Volatility Wtd ETF
Common Stocks		692,976,644		—		—		—		—		—		692,976,644		—
Investment Companies		2,056,103		—		—		—		—		—		2,056,103		—
Collateral for Securities Loaned		47,419,811		—		—		—		—		—		47,419,811		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		32,007		—		—		—		—		—		32,007
Total		742,452,558		32,007		—		—		—		—		742,452,558		32,007
US Discovery Enhanced Volatility Wtd ETF
Common Stocks		23,935,394		—		—		—		—		—		23,935,394		—
Rights		—		—		8,448		—		—		—		8,448		—
Investment Companies		68,495,093		—		—		—		—		—		68,495,093		—
Collateral for Securities Loaned		251,150		—		—		—		—		—		251,150		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		9,890		—		—		—		—		—		9,890
Total		92,681,637		9,890		8,448		—		—		—		92,690,085		9,890

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	LEVEL 1 — Quoted Prices				LEVEL 2 — Other Significant Observable Inputs				LEVEL 3 — Other Significant Unobservable Inputs				Total
	Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^		Investments in Securities		Other Financial Investments^
Developed Enhanced Volatility Wtd ETF
Common Stocks	$	109,554,655	$	—	$	—	$	—	$	1,964	$	—	$	109,556,619	$	—
Rights		16,310		—		—		—		—		—		16,310		—
Investment Companies		273,149		—		—		—		—		—		273,149		—
Collateral for Securities Loaned		2,281,486		—		—		—		—		—		2,281,486		—
Derivative Financial Instruments
Assets:
Futures Contracts		—		13,008		—		—		—		—		—		13,008
Total		112,125,600		13,008		—		—		1,964		—		112,127,564		13,008

^ Other Financial instruments include any derivative instruments not reflected in the Schedules of Portfolio Investments as Investment Securities, such as futures contracts. These instruments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

The following is a summary of activity in which significant unobservable inputs (Level 3) were used in determining fair value for the year ended June 30, 2019:

	Investments In Securities
Developed Enhanced Volatility Wtd ETF
Balance as of June 30, 2018	$	563
Realized Gain (Loss)		(272	)
Change in Unrealized Appreciation/Depreciation		1,673
Purchases		21,390
Sale Proceeds		(21,390	)
Transfers into Level 3		—
Transfers out of Level 3		—
Balance as of June 30, 2019	$	1,964

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

Developed
Enhanced
Volatility Wtd
ETF

Fair Value
as of
6/30/2019*

Valuation
Techniques

Unobservable
Input

Input Values

Impact to valuation from an increase to input

Common Stocks

1,964

Market
Comparables

Discount

Any change to the discount would result
in direct and proportional changes
in the fair value of the security.

* Level 3 securities are typically valued by the Adviser, pursuant to fair valuation procedures approved by the Board of Trustees.

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.

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Investment Companies:

Derivative Instruments:

Foreign Exchange Currency Contracts:

The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, International High Div Volatility Wtd ETF and Emerging Market Volatility Wtd ETF 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 Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, Emerging Market Volatility Wtd ETF and International High Div Volatility Wtd ETF 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 Fund records 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. A Fund could be exposed to risk if a counterparty is unable to meet the terms of a foreign exchange currency contract or if the value of the foreign currency changes unfavorably. In addition, the use of foreign exchange currency contracts does not eliminate fluctuations in the underlying prices of the securities. As of June 30, 2019, the Funds had no open forward foreign exchange currency contracts.

Futures Contracts:

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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 presented on the Statements of Assets and Liabilities under Deposit with broker for futures contracts.

As of June 30, 2019, 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.

Offsetting of Financial Assets and Derivatives Assets:

	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received		Net Amount
US 500 Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.	$	18,499	$	—	$	18,499	$	—	$	18,499
US Small Cap Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		865		—		865		—		865
International Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		960		—		960		—		960
US Large Cap High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		5,567		—		5,567		—		5,567
US Small Cap High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co		2,716		—		2,716		—		2,716
International High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		480		—		480		—		480
US Multi-Factor Minimum Volatility ETF
Futures Contracts-Goldman Sachs & Co.		665		—		665		—		665
US 500 Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		20,938		—		20,938		—		20,938
US EQ Income Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		11,121		—		11,121		—		11,121

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	Gross Amounts of Recognized Assets		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Received			Net Amount
US Discovery Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.	$	4,325	$	—	$	4,325	$	—		$	4,325
Developed Enhanced Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		4,802		—		4,802		—			4,802
	Gross Amounts of Recognized Liabilities		Gross Amounts Available for Offset		Net Amounts Presented in the Statements of Assets and Liabilities		Cash Collateral Pledged*			Net Amount
Emerging Market Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.	$	405	$	—	$	405	$	(405	)	$	—
Emerging Market High Div Volatility Wtd ETF
Futures Contracts-Goldman Sachs & Co.		154		—		154		(154	)		—

* Cash collateral pledged may be in excess of the amounts shown in the table. The total cash collateral pledged by each Fund is disclosed in the Statements of Assets and Liabilities.

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, 2019:

	Assets
	Variation Margin Receivable on Open Futures Contracts*
Equity Risk Exposure:
US 500 Volatility Wtd ETF	$	32,448
US Small Cap Volatility Wtd ETF		1,901
International Volatility Wtd ETF		4,982
Emerging Market Volatility Wtd ETF		3,988
US Large Cap High Div Volatility Wtd ETF		13,629
US Small Cap High Div Volatility Wtd ETF		4,566
International High Div Volatility Wtd ETF		241
Emerging Market High Div Volatility Wtd ETF		362
US Multi-Factor Minimum Volatility ETF		2,956
US 500 Enhanced Volatility Wtd ETF		37,796
US EQ Income Enhanced Volatility Wtd ETF		32,007
US Discovery Enhanced Volatility Wtd ETF		9,890
Developed Enhanced Volatility ETF		13,008

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The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended June 30, 2019:

	Net Realized Gains (Losses) on Derivatives Recognized as a Result from 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	$	133,099		$	96,156
US Small Cap Volatility Wtd ETF		312			7,859
International Volatility Wtd ETF		1,886			5,036
Emerging Market Volatility Wtd ETF		(13,050	)		11,706
US Large Cap High Div Volatility Wtd ETF		59,179			23,377
US Small Cap High Div Volatility Wtd ETF		(19,071	)		7,263
International High Div Volatility Wtd ETF		(52,191	)		5,098
Emerging Market High Div Volatility Wtd ETF		(14,008	)		1,106
Dividend Accelerator ETF		179			—
US Multi-Factor Minimum Volatility ETF		11,476			2,956
US 500 Enhanced Volatility Wtd ETF		153,348			143,809
US EQ Income Enhanced Volatility Wtd ETF		(38,318	)		88,940
US Discovery Enhanced Volatility Wtd ETF		40,605			25,864
Developed Enhanced Volatility ETF		(40,712	)		22,796

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 on 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 determined by comparing the identified cost of the security lot sold with the net sales proceeds.

Securities Lending:

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Schedules of Portfolio Investments. 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 the Agent 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. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them.

The following table is a summary of the Funds' securities lending transactions, which are subject to offset under the MSLA as of June 30, 2019. These transactions are accounted for as secured borrowings with an overnight and continuous contractual maturity for cash collateral, and greater than overnight and continuous contractual maturity for non-cash collateral.

	Gross Amount of Recognized Assets (Value of		Cash		Value of Non-cash Collateral Received by Maturity
	Securities on Loan)		Collateral Received*		<30 Days		Between 30 & 90 Days		>90 Days		Net Amount
US 500 Volatility Wtd ETF	$	25,996,281	$	25,996,281	$	—	$	—	$	—	$	—
US Small Cap Volatility Wtd ETF		615,138		615,138		—		—		—		—
International Volatility Wtd ETF		734,882		734,882		—		—		—		—
Emerging Market Volatility Wtd ETF		122,984		121,603		—		—		—		(1,381	)
US Large Cap High Div Volatility Wtd ETF		16,652,621		16,652,621		—		—		—		—
US Small Cap High Div Volatility Wtd ETF		4,388,032		4,388,032		—		—		—		—
International High Div Volatility Wtd ETF		2,103,839		2,103,839		—		—		—		—
Emerging Market High Div Volatility Wtd ETF		178,124		178,124		—		—		—		—
Dividend Accelerator ETF		194,674		194,674		—		—		—		—
US Multi-Factor Minimum Volatility ETF		39,000		39,000		—		—		—		—
US 500 Enhanced Volatility Wtd ETF		34,534,482		34,534,482		—		—		—		—
US EQ Income Enhanced Volatility Wtd ETF		46,580,043		46,580,043		—		—		—		—
US Discovery Enhanced Volatility Wtd ETF		242,537		242,537		—		—		—		—
Developed Enhanced Volatility Wtd ETF		2,184,982		2,184,982		—		—		—		—

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Foreign Currency Translations:

Foreign Taxes:

Distributions to Shareholders:

Dividends from net investment income, if any, are declared and paid monthly for the Funds. Distributable net realized gains, if any, are declared and distributed at least annually from each Fund. 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 a Fund may be reclassified as an offset to capital on the accompanying Statements of Assets and Liabilities.

As of June 30, 2019, on the Statements of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments (inclusive of in-kind redemptions) were as follows:

	Total Distributable Earnings/(Loss)			Capital
US 500 Volatility Wtd ETF	$	(33,560,040	)	$	33,560,040
US Small Cap Volatility Wtd ETF		(4,419,275	)		4,419,275
International Volatility Wtd ETF		15,585			(15,585	)
Emerging Market Volatility Wtd ETF		6,216			(6,216	)
US Large Cap High Div Volatility Wtd ETF		(16,215,593	)		16,215,593
US Small Cap High Div Volatility Wtd ETF		(5,731,131	)		5,731,131
Emerging Market High Div Volatility Wtd ETF		97,828			(97,828	)
Dividend Accelerator ETF		(966,267	)		966,267
US Multi-Factor Minimum Volatility ETF		495,355			(495,355	)
US 500 Enhanced Volatility Wtd ETF		(57,357,797	)		57,357,797
US EQ Income Enhanced Volatility Wtd ETF		(38,701,877	)		38,701,877
US Discovery Enhanced Volatility Wtd ETF		(10,249,044	)		10,249,044
Developed Enhanced Volatility ETF		(3,896,777	)		3,896,777

Federal Income Taxes:

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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.

Allocations:

Affiliated Securities Transactions:

3. Purchases and Sales of Securities:

Purchases and sales of securities (excluding securities maturing less than one year from acquisition) and in-kind transactions associated with purchases and sales for the for the year ended June 30, 2019 were as follows:

	Excluding in-kind transactions				Associated with in-kind transactions
	Purchases		Sales		Purchases		Sales
US 500 Volatility Wtd ETF	$	302,602,343	$	302,569,796	$	297,369,740	$	174,833,271
US Small Cap Volatility Wtd ETF		23,571,172		23,225,044		28,632,739		37,167,248
International Volatility Wtd ETF		15,556,580		24,222,250		22,111,053		—
Emerging Market Volatility Wtd ETF		10,862,703		11,872,793		—		—
US Large Cap High Div Volatility Wtd ETF		146,149,599		145,627,879		289,676,014		121,615,855
US Small Cap High Div Volatility Wtd ETF		47,629,113		46,987,609		71,852,688		39,279,112
International High Div Volatility Wtd ETF		32,264,872		40,014,470		4,611,398		—
Emerging Market High Div Volatility Wtd ETF		36,664,425		28,179,316		11,537,754		1,937,740
Dividend Accelerator ETF		6,450,276		6,423,020		13,985,238		6,342,305
US Multi-Factor Minimum Volatility ETF		9,347,269		9,203,897		66,343,979		33,341,343
US 500 Enhanced Volatility Wtd ETF		1,056,388,572		1,093,706,525		505,119,947		556,498,245
US EQ Income Enhanced Volatility Wtd ETF		1,020,732,500		1,106,266,924		351,992,777		282,298,212
US Discovery Enhanced Volatility Wtd ETF		327,001,061		405,200,293		68,628,128		54,419,319
Developed Enhanced Volatility Wtd ETF		175,520,587		190,990,905		1,652,678		45,236,645

For the year ended June 30, 2019, there were no purchases or sales of U.S. Government Securities.

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4. Fees and Transactions with Affiliates and Related Parties:

	Adviser Fee Rate
US 500 Volatility Wtd ETF		0.30	%
US Small Cap Volatility Wtd ETF		0.30	%
International Volatility Wtd ETF		0.40	%
Emerging Market Volatility Wtd ETF		0.45	%
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	%
Emerging Market High Div Volatility Wtd ETF		0.45	%
Dividend Accelerator ETF		0.30	%
US Multi-Factor Minimum Volatility ETF		0.30	%
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 ETF		0.40	%

Citibank, N.A. also serves as the Funds' Transfer Agent.

Foreside Fund Services, LLC ("Foreside") serves as the Funds' distributor.

Shearman & Sterling LLP provides legal services to the Trust.

The Adviser has entered into expense limitation agreements with certain Funds. Under the terms of the agreements, the Adviser has agreed to waive fees or reimburse certain expenses to the extent that

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June 30, 2019

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. 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 (excluding voluntary waivers). For the year ended June 30, 2019, the expense limits are as follows:

	In effect July 1, 2018 until October 31, 2019
US 500 Volatility Wtd ETF		0.35	%
US Small Cap Volatility Wtd ETF		0.35	%
International Volatility Wtd ETF		0.45	%
Emerging Market Volatility Wtd ETF		0.50	%
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	%

The Funds have agreed to repay fees and expenses that were waived or reimbursed by the Adviser for a period up to three fiscal years after such waiver or reimbursement was made to the extent such payments or repayments would not cause the expenses of a class to exceed the original expense limitation in place at the time of the waiver or reimbursement or any expense limitation agreement in place at time of repayment. Amounts repaid to the Adviser during the year, if any, are reflected on the Statements of Operations as "Recoupment of prior expenses waived/reimbursed by Adviser".

As of June 30, 2019, the following amounts are available to be repaid to the Adviser.

	Expires 6/30/20		Expires 6/30/21		Expires 6/30/22		Total
US 500 Volatility Wtd ETF	$	144,075	$	149,989	$	180,818	$	474,882
US Small Cap Volatility Wtd ETF		57,777		29,566		29,837		117,180
International Volatility Wtd ETF		137,905		91,734		76,477		306,116
Emerging Market Volatility Wtd ETF		328,831		194,086		159,736		682,653
US Large Cap High Div Volatility Wtd ETF		75,818		59,758		85,683		221,259
US Small Cap High Div Volatility Wtd ETF		45,472		29,681		35,161		110,314
International High Div Volatility Wtd ETF		73,555		47,955		48,516		170,026
Emerging Market High Div Volatility Wtd ETF		—		47,982		93,761		141,743
Dividend Accelerator ETF		11,553		20,087		21,708		53,348
US Multi-Factor Minimum Volatility ETF		4,204		16,990		28,089		49,283
US 500 Enhanced Volatility Wtd ETF		212,940		219,577		226,258		658,775
US EQ Income Enhanced Volatility Wtd ETF		217,731		178,795		183,343		579,869
US Discovery Enhanced Volatility Wtd ETF		73,330		48,147		50,577		172,054
Developed Enhanced Volatility Wtd ETF		185,004		140,353		126,154		451,511

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June 30, 2019

The Adviser voluntarily waived the following administration fees for the year ended June 30, 2019 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.

US 500 Volatility Wtd ETF	$	181,742
US Small Cap Volatility Wtd ETF		10,330
International Volatility Wtd ETF		8,338
Emerging Market Volatility Wtd ETF		5,008
US Large Cap High Div Volatility Wtd ETF		61,069
US Small Cap High Div Volatility Wtd ETF		15,822
International High Div Volatility Wtd ETF		11,959
Emerging Market High Div Volatility Wtd ETF		7,361
Dividend Accelerator ETF		2,834
US Multi-Factor Minimum Volatility ETF		7,751
US 500 Enhanced Volatility Wtd ETF		265,986
US EQ Income Enhanced Volatility Wtd ETF		210,707
US Discovery Enhanced Volatility Wtd ETF		31,464
Developed Enhanced Volatility ETF		41,054

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 and Legal Counsel.

5. Risks:

Each Fund may be subject to other risks in addition to these identified risks.

The Developed Enhanced Volatility Wtd ETF, International Volatility Wtd ETF, Emerging Market 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 re-investment, 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.

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June 30, 2019

may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit ratings are investment grade, as determined by a nationally recognized statistical rating organization or, if unrated, judged by the Adviser to be of comparable quality.

6. Borrowing:

Line of Credit:

The average loans for the days outstanding and average interest rate for each Fund during the year ended June 30, 2019 were as follows:

	Amount Outstanding at 6/30/2019		Average Borrowing		Days Borrowing Outstanding		Average Interest Rate*			Maximum Borrowing During the Period
Developed Enhanced Volatility ETF	$	—	$	1,720,000		5		3.40	%	$	4,100,000
Emerging Market High Div Volatility Wtd ETF		—		2,556,250		8		3.33	%		4,400,000
Emerging Market Volatility Wtd ETF		—		1,018,182		11		3.36	%		2,400,000
International High Div Volatility Wtd ETF		—		1,300,000		3		3.51	%		1,300,000
International Volatility Wtd ETF		—		714,286		7		3.47	%		900,000
US Discovery Enhanced Volatility Wtd ETF		—		20,650,000		2		3.30	%		40,000,000

* For the year ended June 30, 2019, based on the number of days borrowings were outstanding.

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June 30, 2019

7. Federal Income Tax Information:

	Year Ended June 30, 2019
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Return of Capital		Total Distributions Paid
US 500 Volatility Wtd ETF	$	9,387,343	$	—	$	9,387,343	$	—	$	9,387,343
US Small Cap Volatility Wtd ETF		530,031		—		530,031		—		530,031
International Volatility Wtd ETF		942,198		—		942,198		—		942,198
Emerging Market Volatility Wtd ETF		773,465		584,060		1,357,525		—		1,357,525
US Large Cap High Div Volatility Wtd ETF		6,679,386		—		6,679,386		—		6,679,386
US Small Cap High Div Volatility Wtd ETF		1,707,481		—		1,707,481		—		1,707,481
International High Div Volatility Wtd ETF		2,195,385		—		2,195,385		—		2,195,385
Emerging Market High Div Volatility Wtd ETF		1,289,328		—		1,289,328		—		1,289,328
Dividend Accelerator ETF		154,436		—		154,436		—		154,436
US Multi-Factor Minimum Volatility ETF		627,227		—		627,227		—		627,227
US 500 Enhanced Volatility Wtd ETF		14,515,692		—		14,515,692		—		14,515,692
US EQ Income Enhanced Volatility Wtd ETF		24,059,137		—		24,059,137		—		24,059,137
US Discovery Enhanced Volatility Wtd ETF		1,699,060		—		1,699,060		—		1,699,060
Developed Enhanced Volatility ETF		4,201,929		—		4,201,929		—		4,201,929

	Year Ended June 30, 2018
	Distributions paid from
	Ordinary Income		Net Long-Term Capital Gains		Total Taxable Distributions		Total Distributions Paid
US 500 Volatility Wtd ETF	$	5,493,806	$	—	$	5,493,806	$	5,493,806
US Small Cap Volatility Wtd ETF		350,537		—		350,537		350,537
International Volatility Wtd ETF		470,597		—		470,597		470,597
Emerging Market Volatility Wtd ETF		1,460,731		164,191		1,624,922		1,624,922
US Large Cap High Div Volatility Wtd ETF		4,292,079		—		4,292,079		4,292,079
US Small Cap High Div Volatility Wtd ETF		1,457,987		—		1,457,987		1,457,987
International High Div Volatility Wtd ETF		1,619,642		—		1,619,642		1,619,642
Emerging Market High Div Volatility Wtd ETF		334,938		—		334,938		334,938
Dividend Accelerator ETF		116,651		—		116,651		116,651
US Multi-Factor Minimum Volatility ETF		98,875		9		98,884		98,884
US 500 Enhanced Volatility Wtd ETF		8,545,250		—		8,545,250		8,545,250
US EQ Income Enhanced Volatility Wtd ETF		18,927,936		—		18,927,936		18,927,936
US Discovery Enhanced Volatility Wtd ETF		914,103		—		914,103		914,103
Developed Enhanced Volatility Wtd ETF		3,545,391		—		3,545,391		3,545,391

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June 30, 2019

As of the tax year ended June 30, 2019, the components of distributable earnings/accumulated deficit 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 (Deficit)
US 500 Volatility Wtd ETF	$	869,951	$	—	$	869,951	$	(28,508,004	)	$	—	$	61,524,667		$	33,886,614
US Small Cap Volatility Wtd ETF		4,747		—		4,747		(4,878,763	)		—		(1,731,682	)		(6,605,698	)
International Volatility Wtd ETF		116,191		—		116,191		(1,350,490	)		—		2,762,408			1,528,109
Emerging Market Volatility Wtd ETF		96,315		—		96,315		(305,796	)		—		1,062,400			852,919
US Large Cap High Div Volatility Wtd ETF		843,442		—		843,442		(16,112,999	)		—		16,312,103			1,042,546
US Small Cap High Div Volatility Wtd ETF		128,507		—		128,507		(6,314,872	)		—		(1,517,626	)		(7,703,991	)
International High Div Volatility Wtd ETF		163,835		—		163,835		(2,578,533	)		—		(1,382,654	)		(3,797,352	)
Emerging Market High Div Volatility Wtd ETF		340,472		—		340,472		(1,292,633	)		—		(418,709	)		(1,370,870	)
Dividend Accelerator ETF		15,475		—		15,475		(383,294	)		—		1,191,367			823,548
US Multi-Factor Minimum Volatility ETF		94,508		—		94,508		(535,062	)		—		2,722,589			2,282,035
US 500 Enhanced Volatility Wtd ETF		968,119		—		968,119		(59,022,194	)		—		4,635,302			(53,418,773	)
US EQ Income Enhanced Volatility Wtd ETF		1,466,173		—		1,466,173		(70,858,890	)		—		(4,898,010	)		(74,290,727	)
US Discovery Enhanced Volatility Wtd ETF		82,968		—		82,968		(27,857,618	)		—		(8,207,228	)		(35,981,878	)
Developed Enhanced Volatility ETF		217,293		—		217,293		(16,533,120	)		—		1,522,343			(14,793,484	)

** The difference between the book-basis and tax-basis of unrealized appreciation (depreciation) is attributable primarily to tax deferral of losses on wash sales.

	Short-Term Amount		Long-Term Amount		Total
US 500 Volatility Wtd ETF	$	23,153,047	$	5,354,957	$	28,508,004
US Small Cap Volatility Wtd ETF		3,430,600		1,448,163		4,878,763
International Volatility Wtd ETF		509,082		841,408		1,350,490

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June 30, 2019

	Short-Term Amount		Long-Term Amount		Total
Emerging Market Volatility Wtd ETF	$	305,796	$	—	$	305,796
US Large Cap High Div Volatility Wtd ETF		10,725,446		5,387,553		16,112,999
US Small Cap High Div Volatility Wtd ETF		4,758,647		1,556,225		6,314,872
International High Div Volatility Wtd ETF		1,866,369		712,164		2,578,533
Emerging Market High Div Volatility Wtd ETF		1,084,235		208,398		1,292,633
Dividend Accelerator ETF		303,659		79,635		383,294
US Multi-Factor Minimum Volatility ETF		535,062		—		535,062
US 500 Enhanced Volatility Wtd ETF		50,413,417		8,608,777		59,022,194
US EQ Income Enhanced Volatility Wtd ETF		51,650,144		19,208,746		70,858,890
US Discovery Enhanced Volatility Wtd ETF		25,924,233		1,933,385		27,857,618
Developed Enhanced Volatility ETF		15,184,207		1,348,913		16,533,120

	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
US 500 Volatility Wtd ETF	$	691,706,170	$	88,528,188	$	(27,003,521	)	$	61,524,667
US Small Cap Volatility Wtd ETF		32,106,043		1,550,380		(3,282,062	)		(1,731,682	)
International Volatility Wtd ETF		33,879,368		3,812,634		(1,052,052	)		2,760,582
Emerging Market Volatility Wtd ETF		17,182,946		2,344,522		(1,282,317	)		1,062,205
US Large Cap High Div Volatility Wtd ETF		330,317,786		24,034,134		(7,722,031	)		16,312,103
US Small Cap High Div Volatility Wtd ETF		80,906,498		3,941,142		(5,458,768	)		(1,517,626	)
International High Div Volatility Wtd ETF		43,760,777		1,949,207		(3,332,907	)		(1,383,700	)
Emerging Market High Div Volatility Wtd ETF		40,417,679		2,020,958		(2,440,630	)		(419,672	)
Dividend Accelerator ETF		15,401,257		1,398,759		(207,392	)		1,191,367
US Multi-Factor Minimum Volatility ETF		40,323,250		3,473,305		(750,716	)		2,722,589
US 500 Enhanced Volatility Wtd ETF		856,938,173		81,461,728		(76,826,426	)		4,635,302
US EQ Income Enhanced Volatility Wtd ETF		747,350,568		48,901,170		(53,799,180	)		(4,898,010	)
US Discovery Enhanced Volatility Wtd ETF		100,897,313		2,904,539		(11,111,767	)		(8,207,228	)
Developed Enhanced Volatility ETF		110,608,199		5,886,275		(4,366,910	)		1,519,365

During the fiscal year ended June 30, 2019, the Funds realized the following net capital gains (losses) resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Fund rather than for cash. Because such gains (losses) are not taxable to the Fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains (losses) to paid-in capital.

	Short Term			Long Term		Total
US 500 Volatility Wtd ETF	$	6,667,992		$	26,892,048	$	33,560,040
US Small Cap Volatility Wtd ETF		1,646,947			2,772,327		4,419,274
US Large Cap High Div Volatility Wtd ETF		9,406,295			6,809,299		16,215,594
US Small Cap High Div Volatility Wtd ETF		3,258,202			2,472,928		5,731,130
Emerging Market High Div Volatility Wtd ETF		(111,382	)		13,555		(97,827	)

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June 30, 2019

	Short Term			Long Term		Total
Dividend Accelerator ETF	$	464,356		$	501,911	$	966,267
US Multi-Factor Minimum Volatility ETF		(715,141	)		219,786		(495,355	)
US 500 Enhanced Volatility Wtd ETF		(789,013	)		58,146,810		57,357,797
US EQ Income Enhanced Volatility Wtd ETF		19,298,992			19,402,886		38,701,878
US Discovery Enhanced Volatility Wtd ETF		4,674,521			5,574,524		10,249,045
Developed Enhanced Volatility ETF		(143,392	)		4,048,395		3,905,003

8. Recent Accounting Pronouncements:

	US 500 Volatility Wtd ETF			US Small Cap Volatility Wtd ETF			International Volatility Wtd ETF
Accumulated Net investment Income (Loss):	$	470,528		$	21,536		$	40,322
Distributions to Shareholders:
From net investment income:		(5,493,806	)		(350,537	)		(470,597	)
From net Realized Gains:		—			—			—
	Emerging Market Volatility Wtd ETF			US Large Cap High Div Volatility Wtd ETF			US Small Cap High Div Volatility Wtd ETF
Accumulated Net investment Income (Loss):	$	3,372		$	130,562		$	15,645
Distributions to Shareholders:
From net investment income:		(592,927	)		(4,292,079	)		(1,457,987	)
From net Realized Gains:		(1,031,995	)		—			—
	International High Div Volatility Wtd ETF			Emerging Market High Div Volatility Wtd ETF			Dividend Accelerator ETF
Accumulated Net investment Income (Loss):	$	153,239		$	66,684		$	8,321
Distributions to Shareholders:
From net investment income:		(1,619,642	)		(334,938	)		(116,651	)
From net Realized Gains:		—			—			—

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June 30, 2019

	US Multi-factor Minimum Volatility ETF			US 500 Enhanced Volatility Wtd ETF			US EQ Income Enhanced Volatility Wtd ETF
Accumulated Net investment Income (Loss):	$	12,708		$	805,102		$	840,474
Distributions to Shareholders:
From net investment income:		(98,884	)		(8,545,250	)		(18,927,936	)
From net Realized Gains:		—			—			—

	US Discovery Enhanced Volatility Wtd ETF			Developed Enhanced Volatility Wtd ETF
Accumulated Net investment Income (Loss):	$	68,758		$	388,475
Distributions to Shareholders:
From net investment income:		(914,103	)		(3,545,391	)
From net Realized Gains:		—			—

9. Subsequent Events:

216

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of Victory Portfolios II

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of VictoryShares US 500 Volatility Wtd ETF, VictoryShares US Small Cap Volatility Wtd ETF, VictoryShares International Volatility Wtd ETF, VictoryShares Emerging Market 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, and VictoryShares Developed Enhanced Volatility Wtd ETF (the "Funds"), each a series of Victory Portfolios II, as of June 30, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years or periods then ended, including the related notes, and the financial highlights for each of the four years or periods then ended (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, 2019, the results of their operations, the changes in their net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial highlights for the period ended June 30, 2015, were audited by other auditors whose report dated August 28, 2015, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

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, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. 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, 2019

217

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Supplemental Information
June 30, 2019

(Unaudited)

Trustee and Officer Information

Board of Trustees:

Name and Age

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, 67

Trustee

May 2015

Consultant (since 2006).

Chair and Trustee, Turner Funds (December 2016-December 2017).

Nigel D. T. Andrews, 72

Vice Chair and Trustee

May 2015

Retired.

Director, TCG BDC II, Inc. (since 2017); Director, TCG BDC I, Inc. (formerly Carlyle GMS Finance, Inc.) (since 2012); Director, Old Mutual US Asset Management (2002-2014).

E. Lee Beard, 68*

Trustee

May 2015

Retired (since 2015); Consultant, The Henlee Group, LLC (consulting) (2005-2015).

None.

218

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Supplemental Information — continued
June 30, 2019

(Unaudited)

Name and Age

Position
Held with
the Trust

Date
Commenced
Service

Principal Occupation
During Past 5 Years

Other
Directorships
Held During
Past 5 Years

Dennis M. Bushe, 75

Trustee

July 2016

Retired.

Trustee, RS Investment Trust and RS Variable Products Trust (November 2011-July 2016).

Sally M. Dungan, 65

Trustee

May 2015

Chief Investment Officer, Tufts University (since 2002).

None.

John L. Kelly, 66

Trustee

May 2015

Director, Caledonia Mining Corporation (since May 2012).

David L. Meyer, 62*

Trustee

May 2015

Retired.

None.

Gloria S. Nelund, 58

Trustee

July 2016

Chair, CEO and Co-Founder of TriLinc Global, LLC, an investment firm.

TriLinc Global Impact Fund, LLC (since 2012); Trustee, RS Investment Trust and RS Variable Products Trust (November 2007-July 2016).

Leigh A. Wilson, 74

Chair and Trustee

May 2015

Private Investor.

Chair (since 2013), Caledonia Mining Corporation.

Interested Trustee.

David C. Brown**, 47

Trustee

May 2015

Chairman and Chief Executive Officer (since 2013), Co-Chief Executive Officer (2011-2013), the Adviser; Chairman and Chief Executive Officer, Victory Capital Holdings, Inc. (since 2013).

None.

* The Board has designated Mr. Meyer and Ms. Beard as its Audit Committee Financial Experts.

** Mr. Brown is an "Interested Person" by reason of his relationship with the Adviser.

219

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Officers:

Name and Age

Position with
the Trust

Date
Commenced
Service

Principal Occupation During Past 5 Years

Christopher K. Dyer, 57

President

May 2015

Director of Fund Administration, the Adviser.

Scott A. Stahorsky, 50

Vice President

May 2015

Manager, Fund Administration, the Adviser (since 2015); Senior Analyst, Fund Administration, the Adviser (prior to 2015).

Erin G. Wagner, 45

Secretary

May 2015

Associate General Counsel, the Adviser (since 2013).

Allan Shaer, 54

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, 35

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 Advisers, Inc. (since 2018).

Colin Kinney, 45

Chief Compliance Officer

July 2017

Chief Compliance Officer (since 2013) and Chief Risk Officer (2009-2017), the Adviser.

Chuck Booth, 59

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, 65

Assistant Secretary

May 2015

Partner, Shearman & Sterling LLP (since 2018); Partner, Morrison & Foerster LLP (2011-January 2018).

* On December 5, 2017, Mr. Ponte resigned as Treasurer and accepted the position of Assistant Treasurer of the Trust.

220

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Proxy Voting and Portfolio Holdings Information

Proxy Voting:

Information regarding the policies and procedures that 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 twelve months ended June 30 is available on the SEC's website at www.sec.gov.

Availability of Schedules of Portfolio Investments:

Expense Examples

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds 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, 2019 through June 30, 2019.

	Beginning Account Value 1/1/19		Actual Ending Account Value 6/30/19		Hypothetical Ending Account Value 6/30/19		Actual Expenses Paid During Period 1/1/19- 6/30/19*		Hypothetical Expenses Paid During Period 1/1/19- 6/30/19*		Annualized Expense Ratio During Period 1/1/19- 6/30/19
US 500 Volatility Wtd ETF	$	1,000.00	$	1,200.60	$	1,023.06	$	1.91	$	1.76		0.35	%
US Small Cap Volatility Wtd ETF		1,000.00		1,134.50		1,023.06		1.85		1.76		0.35	%
International Volatility Wtd ETF		1,000.00		1,132.60		1,022.56		2.38		2.26		0.45	%
Emerging Market Volatility Wtd ETF		1,000.00		1,083.40		1,022.32		2.58		2.51		0.51	%

221

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

	Beginning Account Value 1/1/19		Actual Ending Account Value 6/30/19		Hypothetical Ending Account Value 6/30/19		Actual Expenses Paid During Period 1/1/19- 6/30/19*		Hypothetical Expenses Paid During Period 1/1/19- 6/30/19*		Annualized Expense Ratio During Period 1/1/19- 6/30/19
US Large Cap High Div Volatility Wtd ETF	$	1,000.00	$	1,152.00	$	1,023.06	$	1.87	$	1.76		0.35	%
US Small Cap High Div Volatility Wtd ETF		1,000.00		1,118.40		1,023.06		1.84		1.76		0.35	%
International High Div Volatility Wtd ETF		1,000.00		1,117.20		1,022.56		2.36		2.26		0.45	%
Emerging Market High Div Volatility Wtd ETF		1,000.00		1,118.40		1,022.32		2.63		2.51		0.51	%
Dividend Accelerator ETF		1,000.00		1,195.90		1,023.06		1.91		1.76		0.35	%
US Multi-Factor Minimum Volatility ETF		1,000.00		1,164.40		1,023.06		1.88		1.76		0.35	%
US 500 Enhanced Volatility Wtd ETF		1,000.00		1,120.90		1,023.06		1.84		1.76		0.35	%
US EQ Income Enhanced Volatility Wtd ETF		1,000.00		1,087.00		1,023.06		1.81		1.76		0.35	%
US Discovery Enhanced Volatility Wtd ETF		1,000.00		966.10		1,023.06		1.71		1.76		0.35	%
Developed Enhanced Volatility Wtd ETF		1,000.00		1,058.70		1,022.56		2.30		2.26		0.45	%

222

Victory Portfolios II

Supplemental Information — continued
June 30, 2019

(Unaudited)

Additional Federal Income Tax Information

For the year ended June 30, 2019, the Funds paid qualified dividend income for the purposes of reduced individual federal income tax rates of:

	Amount
US 500 Volatility Wtd ETF		100	%
US Small Cap Volatility Wtd ETF		100	%
International Volatility Wtd ETF		78	%
Emerging Market Volatility Wtd ETF		39	%
US Large Cap High Div Volatility Wtd ETF		100	%
US Small Cap High Div Volatility Wtd ETF		100	%
International High Div Volatility Wtd ETF		84	%
Emerging Market High Div Volatility Wtd ETF		51	%
Dividend Accelerator ETF		100	%
US Multi-Factor Minimum Volatility ETF		91	%
US 500 Enhanced Volatility Wtd ETF		100	%
US EQ Income Enhanced Volatility Wtd ETF		100	%
US Discovery Enhanced Volatility Wtd ETF		50	%
Developed Enhanced Volatility ETF		80	%

Dividends qualified for corporate dividends received deductions of:

	Amount
US 500 Volatility Wtd ETF		100	%
US Small Cap Volatility Wtd ETF		100	%
International Volatility Wtd ETF		1	%
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		91	%
US 500 Enhanced Volatility Wtd ETF		100	%
US EQ Income Enhanced Volatility Wtd ETF		96	%
US Discovery Enhanced Volatility Wtd ETF		50	%

For the year ended June 30, 2019, the following Funds designated short-term capital gain distributions:

	Amount
Emerging Market Volatility Wtd ETF	$	405,432
Emerging Market High Div Volatility Wtd ETF		132,952

For the year ended June 30, 2019, the following Fund designated long-term capital gain distributions:

				Amount
Emerging Market Volatility Wtd ETF				$	584,060

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, 2019, were as follows:

	Foreign Source Income		Foreign Tax Expense
International Volatility Wtd ETF		1.22		0.12
Emerging Market Volatility Wtd ETF		0.85		0.12
International High Div Volatility Wtd ETF		1.72		0.24
Emerging Market High Div Volatility Wtd ETF		0.84		0.13
Developed Enhanced Volatility ETF		1.25		0.11

223

Privacy Policy

Protecting the Privacy of Information

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.*

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 (6/19)

Item 2. Code of Ethics.

(a) The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics in included as an Exhibit.

(b) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions; there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.

Item 3. Audit Committee Financial Expert.

(a)(1) The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.

(a)(2) The audit committee financial experts are David L. Meyer and E. Lee Beard, who are “independent” for purposes of this Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

	2019		2018
(a) Audit Fees (1)	$	174,000	$	164,000
(b) Audit-Related Fees (2)	0		0
(c) Tax Fees (3)	52,000		59,000
(d) All Other Fees (4)	0		0

(1) Audit fees include amounts related to the audit of the Registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit fees billed were for professional services provided by Cohen Fund Audit Services, Ltd for audit compliance, audit advice and audit planning.

(2) Represents the fee for assurance and related services by Cohen Fund Audit Services, Ltd reasonably related to the performance of the audit of the Registrant’s financial statements that was not reported under (a) of this item.

(3) Represents the aggregate tax fee billed for professional services rendered by Cohen Fund Audit Services, Ltd for tax compliance, tax advice, international tax fee transactions and tax planning. Such tax services included the review of income and excise tax returns for the Registrant.

(4) For the fiscal years ended June 30, 2019 and June 30, 2018, there were no fees billed for professional services rendered by Cohen Fund Audit Services, Ltd to the Registrant, other than the services reported in (a) through (c) of this item.

Tax fees for 2019 and 2018 are for recurring tax fees for the preparation of the federal and state tax returns and procedures performed relating to the Registrant’s analysis of complex securities.

(e)(1) The Registrant’s Audit Committee must pre-approve non-audit services to be provided by the principal accountant and the fees charged with these services. The Committee may delegate authority to one or more Committee members to pre-approve these services, subject to subsequent review and approval by the Committee.

(e)(2) There were no services performed under Rule 2.01 (c)(7)(i)(C).

(f) Not applicable.

(g)

2019		$	1,000
2018		$	25,000

(h) The Registrant’s Audit Committee has evaluated the non-audit services that the principal accountant provided to the Registrant’s investment adviser (and the adviser’s relevant affiliated), which services the Committee did not pre-approve, and has concluded that the provision of those services was compatible with maintaining the accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a)The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a)(1) Not applicable.

(a)(2) Not applicable.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)		Victory Portfolios II

By (Signature and Title)*			/s/ Allan Shaer
			Allan Shaer, Principal Financial Officer

Date	September 3, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*		/s/ Christopher K. Dyer
		Christopher K. Dyer, Principal Executive Officer

Date	August 30, 2019


By (Signature and Title)*		/s/ Allan Shaer
		Allan Shaer, Principal Financial Officer

Date	September 3, 2019

Exhibit 99.CODEETH

VICTORY PORTFOLIOS

VICTORY PORTFOLIOS II

VICTORY VARIABLE INSURANCE FUNDS

CODE OF CONDUCT
FOR PRINCIPAL EXECUTIVE OFFICER
AND PRINCIPAL FINANCIAL OFFICER

I. Covered Officers/Purpose of the Code

A. This Code of Conduct (the “Code”) applies to the Principal Executive Officer and Principal Financial Officer of Victory Portfolios, Victory Portfolios II, and Victory Variable Insurance Funds, (each a “Trust” and, collectively, the “Trusts”) (the “Covered Officers”), each of whom is set forth in Exhibit A, for the purpose of promoting:

1. Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

2. Full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Trusts;

3. Compliance with applicable laws and governmental rules and regulations;

4. The prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

5. Accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Any Actual or Apparent Conflicts of Interest

A. Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his or her service to, the Trusts. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his or her position with the Trusts.

Certain conflicts of interest that could arise out of the relationships between Covered Officers and the Trusts already are subject to conflict of interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940 (“Investment Advisers Act”). For example, Covered Officers may not individually engage in

certain transactions (such as the purchase or sale of securities or other property) with the Trusts because of their status as “affiliated persons” of the Trusts. The Trusts’ and their investment adviser’s compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise or result from the contractual relationship between the Trusts and the investment adviser and the administrator, whose officers or employees also serve as Covered Officers. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trusts or for the adviser or the administrator, or for both), be involved in establishing policies and implementing decisions that will have different effects on the adviser, the administrator and the Trusts. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the adviser, the administrator and the Trusts and is consistent with the performance by the Covered Officers of their duties as officers of the Trusts. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by each Trust’s Board of Trustees (the “Board”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act or the Investment Advisers Act. Section C describes the types of conflicts of interest that are covered under this Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company.

B. Obligations of Covered Officers. Each Covered Officer must:

1. Not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Trusts whereby the Covered Officer would benefit personally to the detriment of the Trusts;

2. Not cause the Trusts to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trusts;

3. Report at least annually outside business affiliations or other relationships (e.g., officer, director, governor, trustee, part-time employment) other than his or her relationship to the Trusts, the investment adviser and the administrator.

C. Conflicts of interest. When a Covered Person becomes aware of a situation that could involve a conflict of interest, or that could reasonably be considered an

appearance of a conflict of interest, the Covered Person should disclose this matter to the Chief Compliance Officer. For purposes of this Code, the Chief Compliance Officer shall be the Chief Compliance Officer of Victory Capital Management Inc. (“VCM”). Examples of these include:

1. Service as a director on the board of any public or private company;

2. The receipt, as an officer of the Trusts, of any gift in excess of $100;

3. The receipt of any entertainment from any company with which the Trusts have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

4. Any ownership interest in, or any consulting or employment relationship with, any of the Trusts’ service providers, other than their investment adviser, principal underwriter, administrator or any affiliated person thereof;

5. A direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trusts for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

D. Conflicts of interest not specifically enumerated. It is impractical to attempt to list in this Code all possible situations that could result in a conflict of interest. If a proposed transaction, interest, personal activity, or investment raises any concerns, questions or doubts, a Covered Officer should consult with the Chief Compliance Officer before engaging in such transaction or investment or pursuing such interest or activity. The Chief Compliance Officer shall review the facts and circumstances of the actual or potential conflict of interest in accordance with Section IV of these Procedures.

III. Disclosure and Compliance

A. Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Trusts.

B. Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Trusts to others, whether within or outside the Trusts, including to the Trusts’ Trustees and auditors, and to governmental regulators and self-regulatory organizations.

C. Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Trusts, the adviser and the administrator with the goal of promoting full, fair, accurate, timely and

understandable disclosure in the reports and documents the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts.

D. It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

IV. Reporting and Accountability

A. Responsibilities and conduct. Each Covered Officer must:

1. Upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the appropriate Board that he or she has received, read, and understands the Code;

2. Annually thereafter affirm to the appropriate Board that he or she has complied with the requirements of the Code;

3. Not retaliate against any other Covered Officer or any employee of the Trusts or their affiliated persons for reports of potential violations that are made in good faith; and

4. Notify the Chief Compliance Officer promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

B. Chief Compliance Officer. The Chief Compliance Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. Based on its review, the Chief Compliance Officer shall advise the Covered Officer that the proposed transaction, investment, interest or activity: (i) would not violate this Code; (ii) would not violate this Code only if conducted in a particular manner and/or subject to certain conditions or safeguards; or (iii) would violate the Code and is, therefore, prohibited.

C. Waivers. A Covered Officer may request a waiver from a provision of this Code if there is a reasonable likelihood that a contemplated action would not involve an actual conflict of interest that this Code is designed to prevent. The Audit and Risk Oversight Committee of the Board (the “Committee”) shall review and act upon any request for a waiver from any provision of the Code. The Committee shall disclose any waiver from a provision of the Code to the extent required by SEC rules or any other policy of the Trusts or VCM.

D. Enforcing the Code of Conduct. The Trusts will adhere to the following procedures in investigating and enforcing this Code:

1. The Chief Compliance Officer will take all appropriate action to investigate any potential violations reported to him or her;

2. If, after such investigation, the Chief Compliance Officer believes that no violation has occurred, no further action is required;

3. Any matter that the Chief Compliance Officer believes is a violation shall be reported to the Committee; and

4. If the Committee concurs that a violation has occurred, it will inform the Board and make a recommendation of appropriate courses of action. The Board will consider and take appropriate action regarding the violation. The Board may among other things, notify VCM, the Trust’s administrator, or their Boards of Directors; recommend the assessment of a monetary penalty against the Covered Person; issue a formal written reprimand to, or recommend the dismissal of, the Covered Officer; require additional training by the violator; or recommend modifications to the Trust’s policies and procedures.

V. Other Policies and Procedures

This Code shall be the sole code of conduct adopted by the Trusts for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies relating to that section. Insofar as other policies or procedures of the Trusts, the Trusts’ investment adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Codes of Ethics under Rule 17j-1 under the Investment Company Act, and any insider trading policies are separate policies of the Trusts, VCM, any sub-adviser or the principal underwriter that apply to the Covered Officers and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not “interested persons” (as defined in the Investment Company Act) (the “Independent Trustees”). Any changes to this Code will, to the extent required, will be disclosed as provided by SEC rules.

VII. Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than officers and Trustees of the Trust, the Trusts’ investment adviser, administrator or sub-administrator, counsel to the Trusts or counsel to the Independent Trustees.

VIII. Internal Use

The Code is intended solely for the internal use by the Trusts and does not constitute an admission, by or on behalf of the Trusts, as to any fact, circumstance, or legal conclusion.

Adopted: August 5, 2003

Adopted: May 1, 2015 Victory Portfolios II

Amended: February 22, 2012

August 20, 2014

Exhibit A

Persons Covered by this Code of Conduct

Victory Portfolios, Victory Variable Insurance Funds

Principal Executive Officer: Christopher K. Dyer, President

Principal Financial Officer: Allan Shaer, Treasurer

As of December 5, 2017

Victory Portfolios II

Principal Executive Officer: Christopher K. Dyer, President

Principal Financial Officer: Allan Shaer, Treasurer

As of December 5, 2017

Exhibit B

Acknowledgement

Pursuant to the requirements of the Code of Conduct adopted by Victory Portfolios, Victory Portfolios II, and Victory Variable Insurance Funds, (the “Code”), I hereby acknowledge and affirm that I have received, read and understand the Code and agree to adhere to and abide by the letter and spirit of its provisions.

	Signature:	/s/ Christopher K. Dyer

	Print Name:	Christopher K. Dyer

	Date:	January 5, 2018

Exhibit B

Acknowledgement

	Signature:	/s/ Allan Shaer

	Print Name:	Allan Shaer

	Date:	January 5, 2018

Exhibit C

Annual Certification

Pursuant to the requirements of the Code of Conduct adopted by Victory Portfolios, Victory Portfolios II, and Victory Variable Insurance Funds, (the “Code”), I hereby acknowledge and affirm that since the date of the last annual certification given pursuant to the Code, I have complied with all requirements of the Code.

	Signature:	/s/ Christopher K. Dyer

	Print Name:	Christopher K. Dyer

	Date:	January 5, 2018

Exhibit C

Annual Certification

Pursuant to the requirements of the Code of Conduct adopted by Victory Portfolios, Victory Portfolios II, and Victory Variable Insurance Funds, (the “Code”), I hereby acknowledge and affirm that since the date of the last annual certification given pursuant to the Code, I have complied with all requirements of the Code.

	Signature:	/s/ Allan Shaer

	Print Name:	Allan Shaer

	Date:	January 5, 2018

Exhibit 99.CERT

CERTIFICATIONS

I, Christopher K. Dyer, certify that:

1. I have reviewed this report on Form N-CSR of Victory Portfolios II (the “registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

August 30, 2019		/s/ Christopher K. Dyer
Date		Christopher K. Dyer
		Principal Executive Officer

CERTIFICATIONS

I, Allan Shaer, certify that:

1. I have reviewed this report on Form N-CSR of Victory Portfolios II (the “registrant”);

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

September 3, 2019		/s/ Allan Shaer
Date		Allan Shaer
		Principal Financial Officer

Exhibit 99.906CERT

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended June 30, 2019 of Victory Portfolios II (the “Registrant”).

I, Christopher K. Dyer, the Principal Executive Officer of the Registrant, certify that, to the best of my knowledge:

1. the Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

August 30, 2019
Date


/s/ Christopher K. Dyer
Christopher K. Dyer
Principal Executive Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

I, Allan Shaer, the Principal Financial Officer of the Registrant, certify that, to the best of my knowledge:

1. the Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

September 3, 2019
Date


/s/ Allan Shaer
Allan Shaer
Principal Financial Officer