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 811-07736
Janus Aspen Series
(Exact name of registrant as specified in charter)
151 Detroit Street, Denver, Colorado 80206
(Address of principal executive offices) (Zip code)
Kathryn L. Santoro, 151 Detroit Street, Denver, Colorado 80206
(Name and address of agent for service)
Registrant's telephone number, including area code: 303-333-3863
Date of fiscal year end: 12/31
Date of reporting period: 12/31/19
Item 1 - Reports to Shareholders
ANNUAL REPORT December 31, 2019 | |||||
Janus Henderson VIT Balanced Portfolio | |||||
Janus Aspen Series | |||||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. 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 Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Balanced Portfolio
Janus Henderson VIT Balanced Portfolio (unaudited)
PERFORMANCE OVERVIEW
Janus Henderson VIT Balanced Portfolio’s Institutional Shares and Service Shares returned 22.59% and 22.27%, respectively, for the 12-month period ending December 31, 2019, compared with 21.03% for the Balanced Index, an internally calculated benchmark that combines the total returns from the S&P 500® Index (55%) and the Bloomberg Barclays U.S. Aggregate Bond Index (45%). The S&P 500 Index returned 31.49% and the Bloomberg Barclays U.S. Aggregate Bond Index returned 8.72%.
INVESTMENT ENVIRONMENT
U.S. stocks generated strong returns for the year.
Though still-weak global manufacturing data and setbacks in U.S.-China trade negotiations caused some volatility, the Federal Reserve’s (Fed) about-face toward more accommodative monetary policy supported equity markets. The resilient U.S. economy and better-than-expected corporate earnings results also propelled riskier assets.
Within the S&P 500 Index, all sectors generated positive returns, with information technology leading the pack. The energy sector lagged, largely due to a midyear sell-off in oil prices.
The risk appetite for corporate credit generally tracked that of equities, with yields over Treasuries on both investment-grade and high-yield corporate bonds fluctuating but ultimately finishing back near the tightest levels of this credit cycle.
Treasuries also rallied as investors expressed uncertainty on the economic outlook, with the yield on the 10-year note closing the period at 1.92%, down from 2.68% in December.
PERFORMANCE DISCUSSION
The Portfolio, which seeks to provide more consistent returns over time by allocating across the spectrum of fixed income and equity securities, outperformed the Balanced Index. The Portfolio underperformed its primary benchmark, the S&P 500 Index, and outperformed its secondary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index.
Compared to the Balanced Index, the Portfolio remains overweight equities, with roughly 62% allocated to stocks, 38% to fixed income and a small portion in cash. We shifted from neutral to relatively bullish on equities as the year progressed, but we did take advantage of the strong performance in stocks to modestly decrease our equity exposure near period end. We determined it prudent to reduce risk exposure on the margin by trimming some higher-volatility names that were trading at or near peak valuations. Nevertheless, we believe that the risk/reward trade-off between stocks and bonds currently favors stocks, with the dividend yield on the S&P 500 Index attractive relative to that of longer-term Treasury notes. Although not cheap on an absolute basis, U.S. equities remain reasonably valued and within historical ranges. Going forward, the equity weighting will continue to be dynamic, based on market conditions and the investment opportunities our teams identify across asset classes.
The Portfolio’s equity sleeve outperformed the S&P 500 Index. Both our underweight and strong stock selection in the poor-performing energy sector aided relative performance. Stock selection and an overweight in the strong-performing technology sector also contributed to relative results. Microsoft was the strongest contributor to absolute performance. The company’s Azure cloud platform and subscription-based Office 365 suite continue to grow, and the demand outlook for these products remains robust.
Apple also contributed. Optimism around the rollout of 5G and the company’s 2020 product lineup supported the stock, and its services business has helped create a recurring revenue stream that makes the company less dependent on the phone replacement cycle.
Janus Aspen Series | 1 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Relative detractors included stock selection in industrials and our holdings in the consumer discretionary sector. Biopharmaceuticals company AbbVie was the leading absolute detractor. Uncertainties pertaining to changes to the management team and concern around whether the company’s pipeline could help replace lost sales on its blockbuster rheumatoid arthritis drug Humira weighed on the name. We exited the position during the period.
Pharmaceutical company Allergan also detracted. The company has struggled to divest its low-return assets, which affected management’s credibility. Political rhetoric around pharmaceutical drug prices and Democratic candidate proposals of health care for all pressured the stock. We exited the position given the combination of these challenges.
The Portfolio’s fixed income sleeve outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. As corporate bonds posted robust returns, the Portfolio’s overweight allocation to investment-grade corporate credit and an out-of-index allocation to high yield benefited relative performance. Treasuries positioning was another strong contributor, as a bias to long-dated Treasuries performed well during the rally in rates. Although we reduced exposure to floating-rate securities early in the period, a move that ultimately benefited performance, some of the Portfolio’s earlier exposure to shorter-dated and floating-rate securities, including collateralized mortgage obligations and asset-backed securities, weighed on relative results. The Portfolio’s modest cash balance also held back performance.
At the industry level, the fixed income sleeve’s overweights in food and beverage contributed to performance. A position in Campbell’s Soup was a top individual contributor. The company began executing asset sales, and bonds benefited from Campbell’s plans to use the proceeds for deleveraging. Our holdings in electric utilities detracted from relative performance. Despite generating positive performance, they did not keep up with the broad sector due to the generally shorter-dated nature of our holdings. No individual corporate issuer materially detracted from the fixed income sleeve’s performance during the period.
OUTLOOK
U.S. equity markets have remained resilient despite the backdrop of fading global economic growth, seesawing trade tensions and uncertainties surrounding the 2020 U.S. presidential election. Solid corporate results and the return of money to shareholders continue to buoy the market, and the consumer remains on relatively strong footing, with increasing wage growth and a healthy labor market supporting consumer confidence and spending. In our view, the outlook for accommodative interest rates and slower but constructive earnings growth coupled with consumer strength make many equity valuations defendable, with potential for upside. Further, with suppressed Treasury yields and corporate yields over Treasuries near their tightest levels of this credit cycle, we intend to maintain our equity overweight.
Still, the macroeconomic situation points to short-term bumps along the road in 2020, and we fully expect U.S.-China trade tensions and the presidential election to generate volatility, with the market responding positively or negatively depending on the tenor of the latest news. While progress appears to have been made on the trade front, until there is a definitive resolution, the negotiations will overhang markets and threaten to disrupt supply chains, and we remain mindful of our exposure to those companies in the cross fire.
Within the equity sleeve, we prefer to focus on powerful secular themes that we believe will remain in place for an extended period of time, including the shift to cloud services and greater adoption of Software as a Service solutions, a worldwide increase in the use of e-payments and the growth of global travel and leisure activity. We continue to look for companies that stand to benefit from these trends and those that exhibit quality earnings growth and generate excess free cash flow to reinvest in their businesses and return value to shareholders. We believe these firms can perform well through a variety of market cycles and economic conditions.
Within the fixed income sleeve, we remain positive, but our outlook for returns is subdued in comparison to 2019. Corporate credit, in aggregate, should find support from a stabilizing U.S. economy; however, given the relative tightness in corporate bond spreads, we are biased toward higher-quality, cash-flow-generative business models and issuers that are focused on balance sheet improvement. We expect consumer strength to remain a bright spot and, as we seek to diversify the Portfolio’s credit risk, we believe asset- and mortgage-backed securities will offer attractive opportunities in 2020. Across fixed income sectors, we remain committed to astute security selection as we strive to deliver strong risk-adjusted returns.
Thank you for your investment in Janus Henderson VIT Balanced Portfolio.
2 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Microsoft Corp | 3.19% | AbbVie Inc | -0.29% | |||
Mastercard Inc | 2.42% | EOG Resources Inc | -0.19% | |||
Apple Inc | 2.42% | Allergan | -0.09% | |||
Lam Research Corp | 1.20% | Kroger Co | -0.06% | |||
Costco Wholesale Corp | 1.19% | Six Flags Entertainment Corp | -0.03% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | S&P 500 Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Information Technology | 1.86% | 24.62% | 21.56% | |||
Energy | 0.94% | 1.92% | 4.91% | |||
Real Estate | 0.36% | 2.92% | 3.07% | |||
Utilities | 0.17% | 0.00% | 3.34% | |||
Financials | 0.17% | 12.74% | 13.10% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | S&P 500 Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Industrials | -1.60% | 12.57% | 9.36% | |||
Other** | -0.47% | 1.26% | 0.00% | |||
Consumer Discretionary | -0.35% | 12.55% | 10.09% | |||
Materials | -0.10% | 2.09% | 2.69% | |||
Consumer Staples | -0.10% | 10.10% | 7.33% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
Janus Aspen Series | 3 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 4.2% |
Mastercard Inc | |
Information Technology Services | 3.1% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 2.5% |
Alphabet Inc - Class C | |
Interactive Media & Services | 2.3% |
UnitedHealth Group Inc | |
Health Care Providers & Services | 1.9% |
14.0% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 61.7% | ||||
Corporate Bonds | 15.0% | ||||
Mortgage-Backed Securities | 10.5% | ||||
United States Treasury Notes/Bonds | 8.9% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 3.0% | ||||
Investment Companies | 2.0% | ||||
Preferred Stocks | 0.0% | ||||
Other | (1.1)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2019 | As of December 31, 2018 |
4 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended December 31, 2019 |
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| Expense Ratios | ||||||
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| One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 22.59% | 9.00% | 9.64% | 10.03% |
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| 0.63% | |
Service Shares |
| 22.27% | 8.73% | 9.37% | 9.84% |
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| 0.88% | |
S&P 500 Index |
| 31.49% | 11.70% | 13.56% | 9.82% |
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Bloomberg Barclays U.S. Aggregate Bond Index |
| 8.72% | 3.05% | 3.75% | 5.15% |
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Balanced Index |
| 21.03% | 7.94% | 9.28% | 7.96% |
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Morningstar Quartile - Institutional Shares |
| 1st | 1st | 1st | 1st |
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Morningstar Ranking - based on total returns for Allocation - 50% to 70% Equity Funds |
| 72/705 | 17/648 | 55/535 | 9/209 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Aspen Series | 5 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
See “Useful Information About Your Portfolio Report.”
Effective December 3, 2019, Jeremiah Buckley, Michael Keough, Marc Pinto, Mayur Saigal and Darrell Watters are Co-Portfolio Managers of the Portfolio. Effective December 31, 2019, Jeremiah Buckley, Michael Keough, Marc Pinto and Mayur Saigal are Co-Portfolio Managers of the Portfolio. Effective on or about February 1, 2020, Jeremiah Buckley, Michael Keough, Marc Pinto and Greg Wilensky are Co-Portfolio Managers of the Portfolio.
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
6 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, 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 appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,086.20 | $3.26 |
| $1,000.00 | $1,022.08 | $3.16 | 0.62% | ||
Service Shares | $1,000.00 | $1,084.80 | $4.57 |
| $1,000.00 | $1,020.82 | $4.43 | 0.87% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Aspen Series | 7 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 3.0% | |||||||
Angel Oak Mortgage Trust I LLC 2018-2, 3.6740%, 7/27/48 (144A)‡ | $740,503 | $744,951 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.1940%, 6/7/49 (144A) | 3,756,000 | 3,802,412 | |||||
Arroyo Mortgage Trust 2018-1, 3.7630%, 4/25/48 (144A)‡ | 906,769 | 914,887 | |||||
BANK 2019-BNK24, 2.9600%, 11/15/62 | 864,000 | 884,263 | |||||
BBCMS 2018-TALL Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.7220%, 2.4618%, 3/15/37 (144A)‡ | 2,650,000 | 2,636,432 | |||||
BBCMS Trust 2015-SRCH, 4.1970%, 8/10/35 (144A) | 2,528,000 | 2,771,565 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 2.4898%, 11/15/35 (144A)‡ | 3,258,661 | 3,255,831 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 0.9200%, 2.6598%, 10/15/36 (144A)‡ | 4,475,000 | 4,479,035 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 2.8198%, 10/15/36 (144A)‡ | 726,000 | 726,718 | |||||
BX Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | 4,457,000 | 4,568,526 | |||||
BX Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 2,229,000 | 2,281,772 | |||||
BX Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 2,229,000 | 2,289,380 | |||||
BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A) | 3,343,000 | 3,399,326 | |||||
BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A) | 851,000 | 821,416 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 1,140,000 | 1,194,361 | |||||
Chase Home Lending Mortgage Trust 2019-ATR2, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 7/25/49 (144A)‡ | 704,831 | 701,834 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 3.9420%, 9/25/31 (144A)‡ | 3,138,038 | 3,156,313 | |||||
Connecticut Avenue Securities Trust 2019-R04, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 3.8920%, 6/25/39 (144A)‡ | 1,188,000 | 1,194,963 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 3.7920%, 7/25/39 (144A)‡ | 1,926,544 | 1,938,375 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 3.8920%, 10/25/39 (144A)‡ | 502,000 | 506,809 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 1,172,000 | 1,201,664 | |||||
DB Master Finance LLC, 3.7870%, 5/20/49 (144A) | 1,632,795 | 1,666,079 | |||||
DB Master Finance LLC, 4.0210%, 5/20/49 (144A) | 659,685 | 673,773 | |||||
DB Master Finance LLC, 4.3520%, 5/20/49 (144A) | 1,305,440 | 1,358,651 | |||||
Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A) | 724,220 | 724,495 | |||||
Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | 816,340 | 846,032 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 3,392,063 | 3,475,560 | |||||
Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | 616,200 | 639,091 | |||||
Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | 6,519,000 | 6,506,481 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 2,997,000 | 3,075,911 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 2,613,000 | 2,688,265 | |||||
Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A) | 1,458,000 | 1,479,882 | |||||
Drive Auto Receivables Trust 2019-1, 4.0900%, 6/15/26 | 613,000 | 629,280 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 2.9420%, 9/25/29‡ | 126,629 | 126,723 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.9500%, 2.7420%, 10/25/29‡ | 176,559 | 176,764 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.6000%, 2.3920%, 7/25/30‡ | 560,049 | 559,921 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.7200%, 2.5120%, 1/25/31‡ | 93,495 | 93,502 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 3.7920%, 3/25/31‡ | 4,722,419 | 4,730,852 | |||||
Fannie Mae Connecticut Avenue Securities 2018-C04, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 2.5420%, 2/25/30‡ | 50,712 | 50,712 | |||||
Fannie Mae Pool, 3.0000%, 10/1/49 | 4,150,060 | 4,209,749 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 5,021,656 | 5,131,023 | |||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | 7,117,907 | 7,294,401 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | |||||||
ICE LIBOR USD 1 Month + 1.2000%, 2.9920%, 7/25/29‡ | 556,789 | 557,770 | |||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | |||||||
ICE LIBOR USD 1 Month + 1.8000%, 3.5920%, 7/25/30‡ | $2,083,567 | $2,085,699 | |||||
Great Wolf Trust, 2.7560%, 12/15/36 (144A) | 1,067,000 | 1,065,390 | |||||
Great Wolf Trust, 3.0560%, 12/15/36 (144A) | 1,195,000 | 1,193,633 | |||||
Great Wolf Trust, 3.3550%, 12/15/36 (144A) | 1,332,000 | 1,330,431 | |||||
Great Wolf Trust, 3.6550%, 12/15/36 (144A) | 1,016,000 | 1,015,062 | |||||
Jack in the Box Funding, LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | 3,555,000 | 3,622,277 | |||||
Jack in the Box Funding, LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | 3,555,000 | 3,579,751 | |||||
Jack in the Box Funding, LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | 3,605,000 | 3,635,976 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 11/25/49 (144A)‡ | 449,755 | 448,396 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 12/25/49 (144A)‡ | 759,536 | 742,839 | |||||
JP Morgan Mortgage Trust 2019-7, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 2/25/50 (144A)‡ | 1,444,324 | 1,439,931 | |||||
JP Morgan Mortgage Trust 2019-LTV2, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 12/25/49 (144A)‡ | 1,950,425 | 1,942,523 | |||||
Mello Warehouse Securitization Trust 2018-1, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 2.6420%, 11/25/51 (144A)‡ | 4,395,333 | 4,397,510 | |||||
New Residential Mortgage Loan Trust 2018-2, 4.5000%, 2/25/58 (144A)‡ | 1,099,399 | 1,148,860 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 570,000 | 582,764 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 566,000 | 587,404 | |||||
Planet Fitness Master Issuer LLC, 3.8580%, 12/5/49 (144A) | 3,407,000 | 3,360,921 | |||||
PRPM 2019-GS1, 3.5000%, 10/25/24 (144A)‡ | 2,155,993 | 2,152,549 | |||||
PRPM LLC, 3.3510%, 11/25/24 (144A)Ç | 2,055,000 | 2,054,794 | |||||
Santander Drive Auto Receivables Trust 2016-3, 4.2900%, 2/15/24 | 3,056,000 | 3,105,289 | |||||
Santander Drive Auto Receivables Trust 2018-1, 4.3700%, 5/15/25 (144A) | 4,050,000 | 4,112,351 | |||||
Station Place Securitization Trust Series 2019-10, 2.6799%, 10/24/20‡ | 7,546,000 | 7,546,023 | |||||
Station Place Securitization Trust Series 2019-4, 2.6799%, 6/24/20‡ | 6,615,000 | 6,618,884 | |||||
Station Place Securitization Trust Series 2019-WL1, | |||||||
ICE LIBOR USD 1 Month + 1.2000%, 2.9080%, 8/25/52 (144A)‡ | 1,493,000 | 1,493,198 | |||||
Station Place Securitization Trust Series 2019-WL1, | |||||||
ICE LIBOR USD 1 Month + 1.4000%, 3.1080%, 8/25/52 (144A)‡ | 3,018,000 | 3,018,400 | |||||
Taco Bell Funding LLC, 4.9400%, 11/25/48 (144A) | 773,190 | 829,665 | |||||
Towd Point Asset Funding, LLC 2019-HE1 A1, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 4/25/48 (144A)‡ | 1,912,075 | 1,920,304 | |||||
Wendy's Funding LLC, 3.5730%, 3/15/48 (144A) | 1,145,620 | 1,156,261 | |||||
Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | 327,320 | 332,368 | |||||
Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | 2,130,295 | 2,174,109 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $158,224,716) | 158,859,312 | ||||||
Corporate Bonds – 15.0% | |||||||
Banking – 2.4% | |||||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 8,998,000 | 9,610,726 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0700%, 3.9700%, 3/5/29‡ | 3,294,000 | 3,585,246 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.2100%, 3.9740%, 2/7/30‡ | 4,455,000 | 4,893,988 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡ | 3,042,000 | 3,292,700 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡ | 2,067,000 | 2,089,579 | |||||
CIT Bank NA, SOFR + 1.7150%, 2.9690%, 9/27/25‡ | 4,529,000 | 4,517,677 | |||||
CIT Group Inc, 5.2500%, 3/7/25 | 1,935,000 | 2,128,500 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 13,882,000 | 14,942,859 | |||||
Citizens Financial Group Inc, 3.7500%, 7/1/24 | 860,000 | 892,462 | |||||
Citizens Financial Group Inc, 4.3500%, 8/1/25 | 613,000 | 660,074 | |||||
Citizens Financial Group Inc, 4.3000%, 12/3/25 | 2,207,000 | 2,369,518 | |||||
Credit Suisse Group AG, 4.2820%, 1/9/28 (144A) | 4,705,000 | 5,113,982 | |||||
First Republic Bank/CA, 4.6250%, 2/13/47 | 1,653,000 | 1,880,872 | |||||
Goldman Sachs Group Inc, | |||||||
US Treasury Yield Curve Rate + 3.2240%, 4.9500%‡,µ | 3,054,000 | 3,163,944 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 7,988,000 | 8,661,313 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3370%, 3.7820%, 2/1/28‡ | 4,935,000 | 5,315,884 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Banking – (continued) | |||||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3300%, 4.4520%, 12/5/29‡ | $8,224,000 | $9,347,213 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.1600%, 3.7020%, 5/6/30‡ | 5,265,000 | 5,664,342 | |||||
JPMorgan Chase & Co, SOFR + 1.5100%, 2.7390%, 10/15/30‡ | 3,652,000 | 3,646,766 | |||||
Morgan Stanley, 4.3500%, 9/8/26 | 3,985,000 | 4,354,924 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 6,273,000 | 6,722,965 | |||||
Morgan Stanley, ICE LIBOR USD 3 Month + 1.6280%, 4.4310%, 1/23/30‡ | 6,845,000 | 7,731,790 | |||||
Synchrony Financial, 4.3750%, 3/19/24 | 876,000 | 933,935 | |||||
Synchrony Financial, 3.9500%, 12/1/27 | 4,791,000 | 5,029,755 | |||||
Synchrony Financial, 5.1500%, 3/19/29 | 5,093,000 | 5,787,745 | |||||
Wells Fargo & Co, ICE LIBOR USD 3 Month + 1.1700%, 2.8790%, 10/30/30‡ | 6,656,000 | 6,692,103 | |||||
129,030,862 | |||||||
Basic Industry – 0.5% | |||||||
Allegheny Technologies Inc, 5.8750%, 12/1/27 | 4,100,000 | 4,305,000 | |||||
Constellium NV, 5.7500%, 5/15/24 (144A) | 4,159,000 | 4,273,372 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 4,380,000 | 4,461,431 | |||||
Hudbay Minerals Inc, 7.2500%, 1/15/23 (144A) | 4,363,000 | 4,523,886 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 2,242,000 | 2,368,442 | |||||
Steel Dynamics Inc, 5.5000%, 10/1/24 | 4,065,000 | 4,187,324 | |||||
WRKCo Inc, 4.9000%, 3/15/29 | 3,242,000 | 3,685,177 | |||||
27,804,632 | |||||||
Brokerage – 0.2% | |||||||
Cboe Global Markets Inc, 3.6500%, 1/12/27 | 2,983,000 | 3,200,534 | |||||
Raymond James Financial Inc, 5.6250%, 4/1/24 | 1,553,000 | 1,748,701 | |||||
Raymond James Financial Inc, 4.9500%, 7/15/46 | 2,715,000 | 3,165,170 | |||||
8,114,405 | |||||||
Capital Goods – 0.8% | |||||||
Arconic Inc, 5.4000%, 4/15/21 | 1,566,000 | 1,614,445 | |||||
Ball Corp, 4.3750%, 12/15/20 | 2,079,000 | 2,122,638 | |||||
Boeing Co, 2.2500%, 6/15/26 | 504,000 | 497,360 | |||||
Boeing Co, 3.2500%, 3/1/28 | 623,000 | 648,057 | |||||
Boeing Co, 3.2000%, 3/1/29 | 3,650,000 | 3,801,409 | |||||
Boeing Co, 3.6000%, 5/1/34 | 5,168,000 | 5,527,098 | |||||
General Electric Co, 6.7500%, 3/15/32 | 2,125,000 | 2,725,728 | |||||
Huntington Ingalls Industries Inc, 5.0000%, 11/15/25 (144A) | 6,055,000 | 6,327,475 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 3,516,000 | 3,732,869 | |||||
Wabtec Corp, 3.4500%, 11/15/26 | 975,000 | 985,404 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 10,652,000 | 11,711,290 | |||||
39,693,773 | |||||||
Communications – 2.1% | |||||||
AT&T Inc, 3.6000%, 7/15/25 | 1,905,000 | 2,014,661 | |||||
AT&T Inc, 4.3500%, 3/1/29 | 4,628,000 | 5,141,867 | |||||
AT&T Inc, 5.2500%, 3/1/37 | 865,000 | 1,031,236 | |||||
AT&T Inc, 4.8500%, 3/1/39 | 2,536,000 | 2,918,083 | |||||
AT&T Inc, 4.7500%, 5/15/46 | 2,777,000 | 3,133,688 | |||||
AT&T Inc, 5.1500%, 11/15/46 | 2,001,000 | 2,389,322 | |||||
AT&T Inc, 4.5000%, 3/9/48 | 2,575,000 | 2,840,962 | |||||
CenturyLink Inc, 6.4500%, 6/15/21 | 2,658,000 | 2,782,261 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 1,479,000 | 1,554,828 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 5.0500%, 3/30/29 | 14,387,000 | 16,302,984 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.4840%, 10/23/45 | 936,000 | 1,167,267 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 5.3750%, 5/1/47 | 749,000 | 837,964 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.8000%, 3/1/50 | 4,433,000 | 4,658,357 | |||||
Comcast Corp, 3.1500%, 3/1/26 | 1,836,000 | 1,923,016 | |||||
Comcast Corp, 4.1500%, 10/15/28 | 2,251,000 | 2,532,118 | |||||
Comcast Corp, 2.6500%, 2/1/30 | 1,859,000 | 1,864,103 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Communications – (continued) | |||||||
Comcast Corp, 4.2500%, 10/15/30 | $3,381,000 | $3,860,067 | |||||
Comcast Corp, 4.6000%, 10/15/38 | 2,000,000 | 2,378,873 | |||||
Comcast Corp, 4.9500%, 10/15/58 | 2,059,000 | 2,673,465 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 1,958,000 | 2,069,727 | |||||
Crown Castle International Corp, 4.3000%, 2/15/29 | 3,161,000 | 3,498,805 | |||||
Crown Castle International Corp, 3.1000%, 11/15/29 | 5,154,000 | 5,211,831 | |||||
CSC Holdings LLC, 6.5000%, 2/1/29 (144A) | 4,508,000 | 5,026,420 | |||||
Fox Corp, 4.0300%, 1/25/24 (144A) | 2,592,000 | 2,761,663 | |||||
Level 3 Financing Inc, 3.8750%, 11/15/29 (144A) | 5,412,000 | 5,452,590 | |||||
T-Mobile USA Inc, 6.3750%, 3/1/25 | 4,820,000 | 4,980,651 | |||||
Verizon Communications Inc, 2.6250%, 8/15/26 | 4,241,000 | 4,302,502 | |||||
Verizon Communications Inc, 4.3290%, 9/21/28 | 6,843,000 | 7,756,057 | |||||
Verizon Communications Inc, 4.8620%, 8/21/46 | 1,321,000 | 1,634,912 | |||||
Verizon Communications Inc, 4.5220%, 9/15/48 | 975,000 | 1,166,175 | |||||
Viacom Inc, 5.8500%, 9/1/43 | 3,769,000 | 4,709,990 | |||||
110,576,445 | |||||||
Consumer Cyclical – 1.3% | |||||||
AutoZone Inc, 3.7500%, 4/18/29 | 3,471,000 | 3,672,193 | |||||
Choice Hotels International Inc, 3.7000%, 12/1/29 | 4,189,000 | 4,219,538 | |||||
Experian Finance PLC, 2.7500%, 3/8/30 (144A) | 10,283,000 | 10,115,208 | |||||
Fiat Chrysler Automobiles NV, 4.5000%, 4/15/20 | 808,000 | 813,050 | |||||
General Motors Co, 4.2000%, 10/1/27 | 1,542,000 | 1,610,888 | |||||
General Motors Co, 5.0000%, 10/1/28 | 4,428,000 | 4,817,980 | |||||
General Motors Co, 5.4000%, 4/1/48 | 1,505,000 | 1,554,472 | |||||
General Motors Co, 5.9500%, 4/1/49 | 1,161,000 | 1,283,612 | |||||
General Motors Financial Co Inc, 4.3500%, 4/9/25 | 2,570,000 | 2,752,196 | |||||
General Motors Financial Co Inc, 4.3000%, 7/13/25 | 790,000 | 843,823 | |||||
General Motors Financial Co Inc, 4.3500%, 1/17/27 | 2,216,000 | 2,327,198 | |||||
GLP Capital LP / GLP Financing II Inc, 3.3500%, 9/1/24 | 693,000 | 707,352 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 1,284,000 | 1,409,318 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 1,489,000 | 1,645,941 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30 | 4,670,000 | 4,766,669 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,475,000 | 1,571,524 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 2,588,000 | 2,827,183 | |||||
McDonald's Corp, 2.6250%, 9/1/29 | 5,384,000 | 5,383,608 | |||||
McDonald's Corp, 3.6250%, 9/1/49 | 2,238,000 | 2,268,838 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 2,249,000 | 2,445,787 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 544,000 | 606,560 | |||||
Nordstrom Inc, 4.3750%, 4/1/30 | 4,539,000 | 4,622,471 | |||||
O'Reilly Automotive Inc, 3.6000%, 9/1/27 | 90,000 | 95,956 | |||||
O'Reilly Automotive Inc, 4.3500%, 6/1/28 | 696,000 | 776,156 | |||||
O'Reilly Automotive Inc, 3.9000%, 6/1/29 | 4,040,000 | 4,408,964 | |||||
Starbucks Corp, 4.4500%, 8/15/49 | 2,631,000 | 3,042,060 | |||||
70,588,545 | |||||||
Consumer Non-Cyclical – 3.1% | |||||||
AbbVie Inc, 2.6000%, 11/21/24 (144A) | 2,765,000 | 2,780,829 | |||||
AbbVie Inc, 2.9500%, 11/21/26 (144A) | 2,914,000 | 2,957,576 | |||||
AbbVie Inc, 3.2000%, 11/21/29 (144A) | 2,283,000 | 2,321,068 | |||||
AbbVie Inc, 4.0500%, 11/21/39 (144A) | 3,364,000 | 3,555,106 | |||||
AbbVie Inc, 4.2500%, 11/21/49 (144A) | 1,937,000 | 2,038,583 | |||||
Allergan Finance LLC, 3.2500%, 10/1/22 | 2,482,000 | 2,535,620 | |||||
Allergan Funding SCS, 3.4500%, 3/15/22 | 5,518,000 | 5,642,486 | |||||
Allergan Funding SCS, 3.8000%, 3/15/25 | 2,964,000 | 3,111,971 | |||||
Allergan Inc/United States, 2.8000%, 3/15/23 | 197,000 | 198,437 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.1500%, 1/23/25 | 8,281,000 | 9,009,233 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.7500%, 1/23/29 | 3,842,000 | 4,447,720 | |||||
Boston Scientific Corp, 3.7500%, 3/1/26 | 2,874,000 | 3,077,651 | |||||
Boston Scientific Corp, 4.0000%, 3/1/29 | 1,009,000 | 1,115,192 | |||||
Boston Scientific Corp, 4.7000%, 3/1/49 | 1,617,000 | 1,961,519 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Non-Cyclical – (continued) | |||||||
Bristol-Myers Squibb Co, 3.4000%, 7/26/29 (144A) | $1,857,000 | $1,984,475 | |||||
Bristol-Myers Squibb Co, 4.1250%, 6/15/39 (144A) | 1,340,000 | 1,542,749 | |||||
Bristol-Myers Squibb Co, 4.2500%, 10/26/49 (144A) | 3,237,000 | 3,830,371 | |||||
Campbell Soup Co, 3.9500%, 3/15/25 | 1,915,000 | 2,038,620 | |||||
Campbell Soup Co, 4.1500%, 3/15/28 | 3,775,000 | 4,093,577 | |||||
Campbell Soup Co, 4.8000%, 3/15/48 | 3,568,000 | 4,120,426 | |||||
Cigna Corp, 3.4000%, 9/17/21 | 600,000 | 614,031 | |||||
CVS Health Corp, 4.1000%, 3/25/25 | 4,998,000 | 5,361,064 | |||||
CVS Health Corp, 3.0000%, 8/15/26 | 498,000 | 507,499 | |||||
CVS Health Corp, 4.3000%, 3/25/28 | 2,045,000 | 2,231,576 | |||||
CVS Health Corp, 3.2500%, 8/15/29 | 805,000 | 816,984 | |||||
CVS Health Corp, 5.0500%, 3/25/48 | 8,412,000 | 9,938,619 | |||||
DH Europe Finance II Sarl, 2.2000%, 11/15/24 | 2,099,000 | 2,099,853 | |||||
DH Europe Finance II Sarl, 2.6000%, 11/15/29 | 1,151,000 | 1,145,059 | |||||
DH Europe Finance II Sarl, 3.4000%, 11/15/49 | 1,481,000 | 1,503,708 | |||||
Elanco Animal Health Inc, 4.2720%, 8/28/23 | 1,436,000 | 1,515,936 | |||||
Elanco Animal Health Inc, 4.9000%, 8/28/28 | 1,339,000 | 1,455,332 | |||||
General Mills Inc, 4.2000%, 4/17/28 | 4,448,000 | 4,952,193 | |||||
Hasbro Inc, 3.0000%, 11/19/24 | 2,378,000 | 2,388,032 | |||||
Hasbro Inc, 3.5500%, 11/19/26 | 3,161,000 | 3,179,698 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 8,515,000 | 8,566,045 | |||||
HCA Inc, 4.7500%, 5/1/23 | 3,958,000 | 4,237,542 | |||||
HCA Inc, 4.5000%, 2/15/27 | 4,199,000 | 4,523,951 | |||||
HCA Inc, 4.1250%, 6/15/29 | 11,408,000 | 12,088,257 | |||||
HCA Inc, 5.1250%, 6/15/39 | 1,836,000 | 2,026,244 | |||||
Keurig Dr Pepper Inc, 4.5970%, 5/25/28 | 5,023,000 | 5,633,648 | |||||
Keurig Dr Pepper Inc, 5.0850%, 5/25/48 | 1,621,000 | 1,947,125 | |||||
Kraft Heinz Foods Co, 3.0000%, 6/1/26 | 8,479,000 | 8,472,187 | |||||
Kraft Heinz Foods Co, 4.6250%, 1/30/29 | 1,422,000 | 1,562,445 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 3,225,000 | 3,169,864 | |||||
Mars Inc, 2.7000%, 4/1/25 (144A) | 1,642,000 | 1,678,672 | |||||
Mars Inc, 3.2000%, 4/1/30 (144A) | 2,004,000 | 2,119,448 | |||||
Mars Inc, 4.2000%, 4/1/59 (144A) | 1,714,000 | 1,953,146 | |||||
Mondelez International Holdings Netherlands BV, 2.2500%, 9/19/24 (144A) | 3,844,000 | 3,830,236 | |||||
Sysco Corp, 2.5000%, 7/15/21 | 629,000 | 634,167 | |||||
162,515,770 | |||||||
Electric – 0.5% | |||||||
NRG Energy Inc, 3.7500%, 6/15/24 (144A) | 4,582,000 | 4,734,065 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 4,447,000 | 4,858,347 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 4,756,000 | 5,160,260 | |||||
Oncor Electric Delivery Co LLC, 3.7000%, 11/15/28 | 2,856,000 | 3,122,263 | |||||
Oncor Electric Delivery Co LLC, 3.8000%, 6/1/49 | 4,242,000 | 4,597,549 | |||||
PPL WEM Ltd / Western Power Distribution Ltd, 5.3750%, 5/1/21 (144A) | 2,553,000 | 2,627,811 | |||||
Vistra Operations Co LLC, 5.5000%, 9/1/26 (144A) | 1,597,000 | 1,692,820 | |||||
26,793,115 | |||||||
Energy – 1.1% | |||||||
Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 (144A) | 9,099,000 | 9,278,998 | |||||
Continental Resources Inc/OK, 5.0000%, 9/15/22 | 3,051,000 | 3,071,332 | |||||
Continental Resources Inc/OK, 4.5000%, 4/15/23 | 3,628,000 | 3,788,466 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 1,589,000 | 1,757,965 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 1,185,000 | 1,330,822 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 184,000 | 201,386 | |||||
EQM Midstream Partners LP, 5.5000%, 7/15/28 | 3,699,000 | 3,631,522 | |||||
Hess Corp, 4.3000%, 4/1/27 | 4,391,000 | 4,682,418 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 6,466,000 | 6,546,825 | |||||
HollyFrontier Corp, 5.8750%, 4/1/26 | 3,598,000 | 4,052,825 | |||||
Kinder Morgan Inc/DE, 6.5000%, 9/15/20 | 133,000 | 137,061 | |||||
Kinder Morgan Inc/DE, 4.3000%, 3/1/28 | 1,871,000 | 2,038,849 | |||||
Kinder Morgan Inc/DE, 5.5500%, 6/1/45 | 842,000 | 1,006,529 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Energy – (continued) | |||||||
Kinder Morgan Inc/DE, 5.2000%, 3/1/48 | $562,000 | $650,715 | |||||
NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A) | 3,174,000 | 3,295,262 | |||||
NGPL PipeCo LLC, 4.8750%, 8/15/27 (144A) | 4,130,000 | 4,384,440 | |||||
Plains All American Pipeline LP / PAA Finance Corp, 4.6500%, 10/15/25 | 4,020,000 | 4,303,124 | |||||
Range Resources Corp, 5.7500%, 6/1/21 | 1,653,000 | 1,648,867 | |||||
Sabine Pass Liquefaction LLC, 4.2000%, 3/15/28 | 2,290,000 | 2,424,663 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
4.7500%, 10/1/23 (144A) | 2,528,000 | 2,521,680 | |||||
60,753,749 | |||||||
Finance Companies – 0.2% | |||||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | 9,307,000 | 9,909,869 | |||||
Financial Institutions – 0.1% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 2,938,000 | 3,066,341 | |||||
Government Sponsored – 0% | |||||||
Petroleos Mexicanos, 6.8400%, 1/23/30 (144A) | 958,000 | 1,021,554 | |||||
Petroleos Mexicanos, 7.6900%, 1/23/50 (144A) | 877,000 | 957,105 | |||||
1,978,659 | |||||||
Industrial Conglomerates – 0.1% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 5.0000%‡,µ | 5,540,000 | 5,426,208 | |||||
Insurance – 0.5% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 2,000,000 | 2,198,482 | |||||
Centene Corp, 4.7500%, 5/15/22 | 180,000 | 183,600 | |||||
Centene Corp, 6.1250%, 2/15/24 | 2,096,000 | 2,174,600 | |||||
Centene Corp, 5.3750%, 6/1/26 (144A) | 6,364,000 | 6,753,795 | |||||
Centene Corp, 4.2500%, 12/15/27 (144A) | 5,363,000 | 5,517,186 | |||||
Centene Corp, 4.6250%, 12/15/29 (144A) | 8,060,000 | 8,494,031 | |||||
25,321,694 | |||||||
Real Estate Investment Trusts (REITs) – 0.2% | |||||||
CyrusOne LP / CyrusOne Finance Corp, 2.9000%, 11/15/24 | 2,436,000 | 2,445,354 | |||||
CyrusOne LP / CyrusOne Finance Corp, 3.4500%, 11/15/29 | 5,250,000 | 5,264,385 | |||||
Reckson Operating Partnership LP, 7.7500%, 3/15/20 | 3,885,000 | 3,927,796 | |||||
11,637,535 | |||||||
Technology – 1.9% | |||||||
Broadcom Corp / Broadcom Cayman Finance Ltd, 3.8750%, 1/15/27 | 2,001,000 | 2,076,352 | |||||
Broadcom Inc, 4.2500%, 4/15/26 (144A) | 3,553,000 | 3,775,001 | |||||
Broadcom Inc, 4.7500%, 4/15/29 (144A) | 4,496,000 | 4,916,012 | |||||
Broadridge Financial Solutions Inc, 2.9000%, 12/1/29 | 6,824,000 | 6,815,686 | |||||
Dell International LLC / EMC Corp, 5.8750%, 6/15/21 (144A) | 5,481,000 | 5,566,668 | |||||
Equifax Inc, 2.6000%, 12/1/24 | 6,943,000 | 6,980,088 | |||||
Equinix Inc, 2.6250%, 11/18/24 | 2,016,000 | 2,019,750 | |||||
Equinix Inc, 2.9000%, 11/18/26 | 1,688,000 | 1,690,954 | |||||
Equinix Inc, 3.2000%, 11/18/29 | 3,797,000 | 3,811,125 | |||||
Fidelity National Information Services Inc, 3.7500%, 5/21/29 | 1,238,000 | 1,353,507 | |||||
Global Payments Inc, 3.2000%, 8/15/29 | 1,143,000 | 1,165,734 | |||||
Global Payments Inc, 4.1500%, 8/15/49 | 860,000 | 917,123 | |||||
Keysight Technologies Inc, 3.0000%, 10/30/29 | 4,569,000 | 4,577,429 | |||||
Lam Research Corp, 4.0000%, 3/15/29 | 758,000 | 834,646 | |||||
Marvell Technology Group Ltd, 4.2000%, 6/22/23 | 1,361,000 | 1,436,362 | |||||
Marvell Technology Group Ltd, 4.8750%, 6/22/28 | 5,671,000 | 6,258,985 | |||||
Micron Technology Inc, 4.9750%, 2/6/26 | 1,668,000 | 1,850,235 | |||||
Micron Technology Inc, 5.3270%, 2/6/29 | 5,203,000 | 5,963,190 | |||||
PayPal Holdings Inc, 2.4000%, 10/1/24 | 2,178,000 | 2,198,251 | |||||
PayPal Holdings Inc, 2.6500%, 10/1/26 | 6,511,000 | 6,595,070 | |||||
PayPal Holdings Inc, 2.8500%, 10/1/29 | 7,668,000 | 7,706,487 | |||||
Qorvo Inc, 5.5000%, 7/15/26 | 2,825,000 | 3,008,625 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 3,189,000 | 3,544,930 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 5,123,000 | 5,529,695 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 9,542,000 | 10,411,552 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Technology – (continued) | |||||||
Verisk Analytics Inc, 5.5000%, 6/15/45 | $1,616,000 | $2,005,740 | |||||
103,009,197 | |||||||
Total Corporate Bonds (cost $753,823,300) | 796,220,799 | ||||||
Mortgage-Backed Securities – 10.5% | |||||||
Fannie Mae: | |||||||
3.0000%, 11/25/24 | 2,594,000 | 2,705,568 | |||||
3.5000%, 8/25/33 | 8,291,000 | 8,596,192 | |||||
4.0000%, 12/25/33 | 2,263,000 | 2,319,349 | |||||
3.5000%, 7/25/49 | 23,609,685 | 23,941,637 | |||||
37,562,746 | |||||||
Fannie Mae Pool: | |||||||
2.5000%, 9/1/34 | 150,218 | 152,090 | |||||
2.5000%, 9/1/34 | 116,969 | 118,426 | |||||
2.5000%, 10/1/34 | 1,431,929 | 1,449,768 | |||||
3.0000%, 10/1/34 | 742,652 | 764,812 | |||||
2.5000%, 1/1/35 | 5,226,154 | 5,273,916 | |||||
6.0000%, 2/1/37 | 87,331 | 100,910 | |||||
3.5000%, 10/1/42 | 1,139,903 | 1,200,029 | |||||
4.5000%, 11/1/42 | 657,290 | 714,016 | |||||
3.5000%, 12/1/42 | 2,593,178 | 2,729,959 | |||||
3.0000%, 1/1/43 | 350,097 | 360,671 | |||||
3.0000%, 2/1/43 | 91,328 | 93,965 | |||||
3.5000%, 2/1/43 | 2,694,276 | 2,836,391 | |||||
3.5000%, 2/1/43 | 1,271,320 | 1,338,383 | |||||
3.5000%, 3/1/43 | 1,815,441 | 1,911,207 | |||||
3.5000%, 4/1/43 | 6,679,794 | 7,032,158 | |||||
3.0000%, 5/1/43 | 693,937 | 712,899 | |||||
3.5000%, 11/1/43 | 3,669,468 | 3,863,020 | |||||
3.5000%, 4/1/44 | 1,325,689 | 1,407,165 | |||||
5.0000%, 7/1/44 | 84,887 | 93,062 | |||||
4.5000%, 10/1/44 | 1,430,168 | 1,577,925 | |||||
3.5000%, 2/1/45 | 5,892,143 | 6,202,958 | |||||
3.5000%, 2/1/45 | 1,014,140 | 1,067,636 | |||||
4.5000%, 3/1/45 | 2,299,126 | 2,536,659 | |||||
4.5000%, 6/1/45 | 1,391,308 | 1,507,567 | |||||
3.0000%, 10/1/45 | 1,385,082 | 1,420,318 | |||||
3.0000%, 10/1/45 | 850,682 | 872,323 | |||||
3.5000%, 12/1/45 | 845,926 | 898,942 | |||||
3.0000%, 1/1/46 | 201,538 | 206,665 | |||||
4.5000%, 2/1/46 | 3,316,212 | 3,602,411 | |||||
3.0000%, 3/1/46 | 5,882,655 | 6,020,559 | |||||
3.0000%, 3/1/46 | 4,010,216 | 4,104,225 | |||||
3.5000%, 5/1/46 | 558,790 | 585,443 | |||||
3.5000%, 7/1/46 | 2,847,524 | 2,990,861 | |||||
3.5000%, 7/1/46 | 1,557,821 | 1,642,264 | |||||
3.5000%, 8/1/46 | 8,449,283 | 8,852,297 | |||||
3.5000%, 8/1/46 | 917,858 | 961,638 | |||||
3.0000%, 9/1/46 | 9,256,036 | 9,522,162 | |||||
4.0000%, 10/1/46 | 91,872 | 96,927 | |||||
3.0000%, 11/1/46 | 1,422,391 | 1,455,735 | |||||
3.0000%, 11/1/46 | 410,945 | 421,463 | |||||
3.0000%, 11/1/46 | 409,042 | 419,512 | |||||
3.5000%, 12/1/46 | 287,795 | 301,522 | |||||
3.0000%, 2/1/47 | 31,194,451 | 32,091,341 | |||||
3.0000%, 2/1/47 | 3,929,671 | 4,054,151 | |||||
3.0000%, 3/1/47 | 2,978,545 | 3,058,724 | |||||
4.0000%, 5/1/47 | 563,845 | 592,884 | |||||
4.5000%, 5/1/47 | 522,308 | 566,664 | |||||
4.5000%, 5/1/47 | 419,590 | 450,391 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.5000%, 5/1/47 | $410,014 | $441,116 | |||||
4.5000%, 5/1/47 | 324,829 | 348,675 | |||||
4.5000%, 5/1/47 | 315,741 | 342,555 | |||||
4.5000%, 5/1/47 | 250,495 | 269,497 | |||||
4.5000%, 5/1/47 | 159,847 | 171,973 | |||||
4.5000%, 5/1/47 | 94,006 | 101,989 | |||||
4.5000%, 5/1/47 | 86,850 | 94,225 | |||||
4.0000%, 6/1/47 | 313,847 | 330,011 | |||||
4.0000%, 6/1/47 | 150,959 | 159,044 | |||||
4.0000%, 6/1/47 | 141,104 | 148,371 | |||||
4.0000%, 6/1/47 | 67,656 | 71,280 | |||||
4.5000%, 6/1/47 | 1,740,478 | 1,853,186 | |||||
4.5000%, 6/1/47 | 184,669 | 200,352 | |||||
4.0000%, 7/1/47 | 257,166 | 270,411 | |||||
4.0000%, 7/1/47 | 229,448 | 241,265 | |||||
4.0000%, 7/1/47 | 89,515 | 94,125 | |||||
4.0000%, 7/1/47 | 58,636 | 61,656 | |||||
4.5000%, 7/1/47 | 1,313,075 | 1,398,106 | |||||
4.5000%, 7/1/47 | 992,853 | 1,057,148 | |||||
4.5000%, 7/1/47 | 931,153 | 991,452 | |||||
3.5000%, 8/1/47 | 1,397,222 | 1,463,361 | |||||
3.5000%, 8/1/47 | 819,807 | 851,591 | |||||
3.5000%, 8/1/47 | 471,042 | 501,155 | |||||
4.0000%, 8/1/47 | 1,521,125 | 1,599,464 | |||||
4.0000%, 8/1/47 | 466,404 | 490,425 | |||||
4.0000%, 8/1/47 | 285,413 | 300,112 | |||||
4.5000%, 8/1/47 | 1,468,334 | 1,563,419 | |||||
4.5000%, 8/1/47 | 219,701 | 233,928 | |||||
4.0000%, 9/1/47 | 3,484,698 | 3,762,515 | |||||
4.0000%, 9/1/47 | 156,606 | 164,672 | |||||
4.5000%, 9/1/47 | 1,473,650 | 1,569,080 | |||||
4.5000%, 9/1/47 | 827,925 | 881,539 | |||||
4.5000%, 9/1/47 | 481,718 | 512,913 | |||||
4.0000%, 10/1/47 | 759,498 | 798,613 | |||||
4.0000%, 10/1/47 | 666,116 | 700,422 | |||||
4.0000%, 10/1/47 | 588,891 | 619,219 | |||||
4.0000%, 10/1/47 | 418,988 | 440,567 | |||||
4.0000%, 10/1/47 | 343,152 | 360,824 | |||||
4.5000%, 10/1/47 | 189,265 | 201,522 | |||||
4.5000%, 10/1/47 | 93,825 | 99,901 | |||||
4.0000%, 11/1/47 | 1,619,449 | 1,717,414 | |||||
4.0000%, 11/1/47 | 855,628 | 899,694 | |||||
4.0000%, 11/1/47 | 302,898 | 318,498 | |||||
4.5000%, 11/1/47 | 1,048,449 | 1,116,343 | |||||
3.5000%, 12/1/47 | 2,635,819 | 2,748,711 | |||||
3.5000%, 12/1/47 | 1,192,498 | 1,237,046 | |||||
3.5000%, 12/1/47 | 266,061 | 283,070 | |||||
3.5000%, 12/1/47 | 131,963 | 140,399 | |||||
3.5000%, 1/1/48 | 1,877,047 | 1,957,441 | |||||
3.5000%, 1/1/48 | 1,803,875 | 1,876,050 | |||||
4.0000%, 1/1/48 | 7,987,458 | 8,415,937 | |||||
4.0000%, 1/1/48 | 6,802,447 | 7,179,667 | |||||
4.0000%, 1/1/48 | 538,821 | 566,570 | |||||
4.0000%, 1/1/48 | 469,432 | 499,353 | |||||
3.0000%, 2/1/48 | 1,136,205 | 1,172,998 | |||||
3.5000%, 3/1/48 | 1,173,237 | 1,221,640 | |||||
3.5000%, 3/1/48 | 226,765 | 240,441 | |||||
4.0000%, 3/1/48 | 2,662,809 | 2,804,834 | |||||
4.5000%, 3/1/48 | 1,654,732 | 1,754,579 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
3.5000%, 4/1/48 | $2,595,645 | $2,718,514 | |||||
3.5000%, 4/1/48 | 2,266,304 | 2,401,860 | |||||
4.5000%, 4/1/48 | 1,447,271 | 1,534,599 | |||||
3.0000%, 5/1/48 | 613,543 | 627,926 | |||||
4.0000%, 5/1/48 | 3,570,011 | 3,726,342 | |||||
4.5000%, 5/1/48 | 1,046,662 | 1,109,818 | |||||
4.5000%, 5/1/48 | 1,045,103 | 1,108,165 | |||||
4.5000%, 6/1/48 | 1,126,181 | 1,194,135 | |||||
4.0000%, 10/1/48 | 657,994 | 696,066 | |||||
3.5000%, 11/1/48 | 3,753,197 | 3,977,689 | |||||
3.5000%, 1/1/49 | 870,840 | 910,310 | |||||
4.0000%, 2/1/49 | 3,343,349 | 3,565,483 | |||||
4.0000%, 2/1/49 | 1,568,006 | 1,636,669 | |||||
4.0000%, 5/1/49 | 2,592,577 | 2,764,829 | |||||
3.5000%, 7/1/49 | 561,886 | 578,650 | |||||
3.0000%, 8/1/49 | 1,530,185 | 1,567,258 | |||||
3.0000%, 9/1/49 | 832,850 | 847,435 | |||||
3.0000%, 9/1/49 | 582,130 | 593,340 | |||||
4.0000%, 9/1/49 | 2,837,974 | 2,988,648 | |||||
3.0000%, 1/1/50 | 2,966,065 | 3,010,403 | |||||
3.5000%, 8/1/56 | 4,722,716 | 4,979,624 | |||||
3.0000%, 2/1/57 | 3,273,074 | 3,362,128 | |||||
3.5000%, 2/1/57 | 9,657,608 | 10,182,967 | |||||
248,230,236 | |||||||
Freddie Mac Gold Pool: | |||||||
3.0000%, 2/1/31 | 1,446,300 | 1,489,883 | |||||
6.0000%, 4/1/40 | 1,569,089 | 1,820,357 | |||||
4.5000%, 5/1/44 | 583,348 | 632,540 | |||||
3.5000%, 7/1/46 | 7,812,747 | 8,307,121 | |||||
3.5000%, 9/1/47 | 5,373,117 | 5,584,919 | |||||
3.5000%, 9/1/47 | 3,001,661 | 3,119,983 | |||||
3.5000%, 9/1/47 | 2,995,106 | 3,146,589 | |||||
3.5000%, 9/1/47 | 938,338 | 975,326 | |||||
3.5000%, 12/1/47 | 4,026,955 | 4,245,922 | |||||
3.5000%, 3/1/48 | 1,076,893 | 1,128,921 | |||||
3.5000%, 4/1/48 | 381,130 | 399,544 | |||||
3.5000%, 8/1/48 | 4,077,000 | 4,273,971 | |||||
5.0000%, 9/1/48 | 335,007 | 358,748 | |||||
3.5000%, 11/1/48 | 5,191,822 | 5,454,410 | |||||
4.0000%, 1/1/49 | 3,536,795 | 3,801,987 | |||||
44,740,221 | |||||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 10,109,428 | 10,413,841 | |||||
2.5000%, 11/1/31 | 374,533 | 379,295 | |||||
2.5000%, 12/1/31 | 451,558 | 457,301 | |||||
3.0000%, 9/1/32 | 912,483 | 940,465 | |||||
3.0000%, 1/1/33 | 480,616 | 495,354 | |||||
2.5000%, 12/1/33 | 7,529,298 | 7,625,033 | |||||
2.5000%, 12/1/33 | 4,428,519 | 4,482,501 | |||||
2.5000%, 7/1/34 | 564,840 | 570,002 | |||||
2.5000%, 9/1/34 | 330,738 | 334,859 | |||||
2.5000%, 10/1/34 | 2,211,963 | 2,237,364 | |||||
3.0000%, 10/1/34 | 1,358,241 | 1,400,893 | |||||
3.0000%, 10/1/34 | 578,757 | 596,026 | |||||
3.5000%, 2/1/43 | 1,044,549 | 1,099,673 | |||||
3.0000%, 3/1/43 | 3,100,318 | 3,189,483 | |||||
3.5000%, 2/1/44 | 1,034,290 | 1,088,873 | |||||
3.5000%, 12/1/44 | 7,315,442 | 7,701,499 | |||||
3.0000%, 1/1/45 | 2,310,298 | 2,373,501 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Pool – (continued) | |||||||
4.0000%, 5/1/46 | $678,456 | $715,827 | |||||
3.5000%, 7/1/46 | 1,595,335 | 1,671,903 | |||||
3.0000%, 10/1/46 | 3,638,078 | 3,723,343 | |||||
3.5000%, 10/1/46 | 5,717,748 | 5,990,302 | |||||
3.5000%, 2/1/47 | 3,504,952 | 3,672,027 | |||||
4.0000%, 3/1/47 | 713,204 | 757,838 | |||||
3.0000%, 9/1/47 | 2,471,380 | 2,529,301 | |||||
3.5000%, 11/1/47 | 2,236,563 | 2,332,357 | |||||
3.5000%, 11/1/47 | 733,772 | 773,196 | |||||
3.5000%, 12/1/47 | 1,702,965 | 1,794,461 | |||||
3.5000%, 12/1/47 | 1,677,811 | 1,749,673 | |||||
3.5000%, 2/1/48 | 1,771,837 | 1,838,329 | |||||
3.5000%, 2/1/48 | 1,748,125 | 1,820,244 | |||||
3.5000%, 3/1/48 | 4,290,282 | 4,520,786 | |||||
4.0000%, 3/1/48 | 1,841,375 | 1,939,573 | |||||
4.0000%, 4/1/48 | 4,889,081 | 5,097,335 | |||||
4.0000%, 4/1/48 | 2,176,824 | 2,289,376 | |||||
4.0000%, 5/1/48 | 4,257,024 | 4,443,411 | |||||
4.0000%, 5/1/48 | 2,442,907 | 2,549,866 | |||||
4.0000%, 6/1/48 | 1,128,377 | 1,177,781 | |||||
4.5000%, 7/1/48 | 854,448 | 904,097 | |||||
4.5000%, 12/1/48 | 1,551,247 | 1,664,573 | |||||
4.0000%, 4/1/49 | 3,688,454 | 3,946,843 | |||||
3.0000%, 8/1/49 | 1,509,790 | 1,543,115 | |||||
3.0000%, 8/1/49 | 497,183 | 509,229 | |||||
3.5000%, 8/1/49 | 753,305 | 787,189 | |||||
3.0000%, 9/1/49 | 485,479 | 493,683 | |||||
3.5000%, 9/1/49 | 881,354 | 913,010 | |||||
4.0000%, 9/1/49 | 1,989,777 | 2,123,884 | |||||
3.0000%, 10/1/49 | 1,426,170 | 1,447,289 | |||||
3.0000%, 10/1/49 | 1,256,145 | 1,277,373 | |||||
3.0000%, 10/1/49 | 682,629 | 692,738 | |||||
3.0000%, 10/1/49 | 680,653 | 693,528 | |||||
3.0000%, 10/1/49 | 576,950 | 586,700 | |||||
3.0000%, 10/1/49 | 334,232 | 339,880 | |||||
3.0000%, 11/1/49 | 1,129,694 | 1,145,941 | |||||
3.0000%, 11/1/49 | 1,024,568 | 1,039,740 | |||||
3.0000%, 11/1/49 | 833,608 | 845,952 | |||||
3.0000%, 11/1/49 | 693,339 | 703,778 | |||||
3.0000%, 12/1/49 | 1,596,000 | 1,619,634 | |||||
3.0000%, 12/1/49 | 951,000 | 965,083 | |||||
3.0000%, 12/1/49 | 532,395 | 540,279 | |||||
121,556,430 | |||||||
Ginnie Mae: | |||||||
4.5000%, 7/20/48 | 8,171,000 | 8,542,372 | |||||
3.5000%, 10/20/48 | 9,723,000 | 10,021,496 | |||||
18,563,868 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 6,980,566 | 7,411,917 | |||||
4.5000%, 8/15/46 | 7,389,706 | 8,124,421 | |||||
4.0000%, 7/15/47 | 1,965,321 | 2,063,348 | |||||
4.0000%, 8/15/47 | 377,995 | 396,848 | |||||
4.0000%, 11/15/47 | 903,204 | 948,255 | |||||
4.0000%, 12/15/47 | 1,082,563 | 1,136,560 | |||||
20,081,349 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 730,625 | 768,638 | |||||
4.0000%, 8/20/47 | 166,716 | 177,542 | |||||
4.0000%, 8/20/47 | 85,209 | 89,642 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Ginnie Mae II Pool – (continued) | |||||||
4.0000%, 5/20/48 | $23,907,584 | $24,891,978 | |||||
4.5000%, 5/20/48 | 3,850,962 | 4,042,161 | |||||
4.5000%, 5/20/48 | 518,279 | 544,012 | |||||
4.0000%, 6/20/48 | 7,437,726 | 7,743,974 | |||||
5.0000%, 4/20/49 | 24,756,679 | 26,059,683 | |||||
64,317,630 | |||||||
Total Mortgage-Backed Securities (cost $544,968,898) | 555,052,480 | ||||||
United States Treasury Notes/Bonds – 8.9% | |||||||
2.3750%, 4/30/20 | 66,943,000 | 67,105,128 | |||||
2.1250%, 5/31/21 | 40,201,000 | 40,484,754 | |||||
1.7500%, 7/31/21 | 7,509,000 | 7,525,661 | |||||
1.5000%, 9/15/22 | 34,374,000 | 34,277,322 | |||||
2.8750%, 11/30/23 | 22,679,000 | 23,703,410 | |||||
2.6250%, 12/31/23 | 2,643,000 | 2,739,401 | |||||
2.3750%, 2/29/24 | 1,831,000 | 1,881,636 | |||||
2.2500%, 4/30/24 | 3,588,000 | 3,671,146 | |||||
2.0000%, 5/31/24 | 32,342,400 | 32,761,678 | |||||
1.7500%, 7/31/24 | 94,241,500 | 94,455,617 | |||||
1.6250%, 2/15/26 | 4,839,000 | 4,791,047 | |||||
1.3750%, 8/31/26 | 1,412,000 | 1,371,955 | |||||
1.6250%, 10/31/26 | 4,226,000 | 4,168,295 | |||||
2.3750%, 5/15/29 | 36,039,800 | 37,430,058 | |||||
1.6250%, 8/15/29 | 27,668,900 | 26,933,493 | |||||
3.0000%, 2/15/49 | 1,458,000 | 1,642,930 | |||||
2.2500%, 8/15/49 | 87,333,900 | 84,618,357 | |||||
Total United States Treasury Notes/Bonds (cost $470,471,217) | 469,561,888 | ||||||
Common Stocks – 61.7% | |||||||
Aerospace & Defense – 3.0% | |||||||
Boeing Co | 279,792 | 91,145,042 | |||||
General Dynamics Corp | 383,304 | 67,595,660 | |||||
158,740,702 | |||||||
Air Freight & Logistics – 0.4% | |||||||
United Parcel Service Inc | 189,456 | 22,177,719 | |||||
Airlines – 0.6% | |||||||
Delta Air Lines Inc | 539,180 | 31,531,246 | |||||
Automobiles – 0.4% | |||||||
General Motors Co | 598,379 | 21,900,671 | |||||
Banks – 2.5% | |||||||
Bank of America Corp | 1,499,088 | 52,797,879 | |||||
US Bancorp | 1,303,007 | 77,255,285 | |||||
130,053,164 | |||||||
Beverages – 0.3% | |||||||
Monster Beverage Corp* | 250,927 | 15,946,411 | |||||
Capital Markets – 2.7% | |||||||
Blackstone Group Inc | 797,470 | 44,610,472 | |||||
CME Group Inc | 228,902 | 45,945,209 | |||||
Morgan Stanley | 613,183 | 31,345,915 | |||||
TD Ameritrade Holding Corp | 445,003 | 22,116,649 | |||||
144,018,245 | |||||||
Chemicals – 1.3% | |||||||
LyondellBasell Industries NV | 727,388 | 68,723,618 | |||||
Consumer Finance – 1.5% | |||||||
American Express Co | 316,171 | 39,360,128 | |||||
Synchrony Financial | 1,038,020 | 37,379,100 | |||||
76,739,228 | |||||||
Electronic Equipment, Instruments & Components – 0.5% | |||||||
Corning Inc | 974,539 | 28,368,830 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Entertainment – 0.9% | |||||||
Walt Disney Co | 334,824 | $48,425,595 | |||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | |||||||
Crown Castle International Corp | 211,709 | 30,094,434 | |||||
MGM Growth Properties LLC | 647,212 | 20,044,156 | |||||
Outfront Media Inc | 581,884 | 15,606,129 | |||||
65,744,719 | |||||||
Food & Staples Retailing – 2.4% | |||||||
Costco Wholesale Corp | 226,276 | 66,507,042 | |||||
Sysco Corp | 695,834 | 59,521,640 | |||||
126,028,682 | |||||||
Food Products – 0.5% | |||||||
Hershey Co | 183,433 | 26,960,982 | |||||
Health Care Equipment & Supplies – 1.7% | |||||||
Abbott Laboratories | 581,813 | 50,536,277 | |||||
Medtronic PLC | 347,866 | 39,465,398 | |||||
90,001,675 | |||||||
Health Care Providers & Services – 1.9% | |||||||
UnitedHealth Group Inc | 347,656 | 102,203,911 | |||||
Hotels, Restaurants & Leisure – 3.2% | |||||||
Hilton Worldwide Holdings Inc | 399,617 | 44,321,521 | |||||
McDonald's Corp | 476,625 | 94,185,866 | |||||
Norwegian Cruise Line Holdings Ltd* | 482,706 | 28,194,857 | |||||
166,702,244 | |||||||
Household Products – 0.8% | |||||||
Clorox Co | 86,540 | 13,287,352 | |||||
Procter & Gamble Co | 229,178 | 28,624,332 | |||||
41,911,684 | |||||||
Industrial Conglomerates – 0.6% | |||||||
Honeywell International Inc | 186,903 | 33,081,831 | |||||
Information Technology Services – 4.4% | |||||||
Accenture PLC | 339,187 | 71,422,607 | |||||
Mastercard Inc | 543,806 | 162,375,034 | |||||
233,797,641 | |||||||
Insurance – 0.8% | |||||||
Progressive Corp | 620,074 | 44,887,157 | |||||
Interactive Media & Services – 2.3% | |||||||
Alphabet Inc - Class C* | 92,317 | 123,429,675 | |||||
Internet & Direct Marketing Retail – 0.8% | |||||||
Amazon.com Inc* | 22,954 | 42,415,319 | |||||
Leisure Products – 0.7% | |||||||
Hasbro Inc | 338,786 | 35,779,189 | |||||
Life Sciences Tools & Services – 0.6% | |||||||
Thermo Fisher Scientific Inc | 100,412 | 32,620,846 | |||||
Machinery – 1.0% | |||||||
Deere & Co | 200,865 | 34,801,870 | |||||
Stanley Black & Decker Inc | 112,179 | 18,592,547 | |||||
53,394,417 | |||||||
Media – 1.4% | |||||||
Comcast Corp | 1,628,169 | 73,218,760 | |||||
Multiline Retail – 0.3% | |||||||
Dollar General Corp | 100,784 | 15,720,288 | |||||
Oil, Gas & Consumable Fuels – 1.1% | |||||||
EOG Resources Inc | 237,608 | 19,902,046 | |||||
Suncor Energy Inc | 577,086 | 18,928,421 | |||||
Suncor Energy Incž | 521,688 | 17,100,309 | |||||
55,930,776 | |||||||
Personal Products – 0.5% | |||||||
Estee Lauder Cos Inc | 120,822 | 24,954,576 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Pharmaceuticals – 3.6% | |||||||
Bristol-Myers Squibb Co | 890,469 | $57,159,205 | |||||
Eli Lilly & Co | 399,003 | 52,440,964 | |||||
Merck & Co Inc | 899,332 | 81,794,245 | |||||
191,394,414 | |||||||
Real Estate Management & Development – 0.7% | |||||||
CBRE Group Inc* | 583,027 | 35,733,725 | |||||
Road & Rail – 0.9% | |||||||
CSX Corp | 634,602 | 45,919,801 | |||||
Semiconductor & Semiconductor Equipment – 3.5% | |||||||
Intel Corp | 941,560 | 56,352,366 | |||||
Lam Research Corp | 171,914 | 50,267,654 | |||||
NVIDIA Corp | 136,223 | 32,053,272 | |||||
Texas Instruments Inc | 346,451 | 44,446,199 | |||||
183,119,491 | |||||||
Software – 6.3% | |||||||
Adobe Inc* | 239,725 | 79,063,702 | |||||
Microsoft Corp | 1,398,981 | 220,630,115 | |||||
Salesforce.Com Inc* | 203,834 | 33,151,562 | |||||
332,845,379 | |||||||
Specialty Retail – 1.6% | |||||||
Home Depot Inc | 397,871 | 86,887,069 | |||||
Technology Hardware, Storage & Peripherals – 2.5% | |||||||
Apple Inc | 445,930 | 130,947,344 | |||||
Textiles, Apparel & Luxury Goods – 0.9% | |||||||
NIKE Inc | 486,008 | 49,237,470 | |||||
Tobacco – 1.4% | |||||||
Altria Group Inc | 1,442,866 | 72,013,442 | |||||
Total Common Stocks (cost $2,127,535,409) | 3,263,507,936 | ||||||
Preferred Stocks – 0% | |||||||
Consumer Finance – 0% | |||||||
Synchrony Financial, 5.6250% (cost $3,003,533) | 119,450 | 3,051,947 | |||||
Investment Companies – 2.0% | |||||||
Money Markets – 2.0% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº,£ (cost $105,129,274) | 105,128,872 | 105,128,872 | |||||
Total Investments (total cost $4,163,156,347) – 101.1% | 5,351,383,234 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.1)% | (59,390,757) | ||||||
Net Assets – 100% | $5,291,992,477 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $5,271,342,676 | 98.5 | % | ||
Canada | 40,552,616 | 0.8 | |||
United Kingdom | 13,556,069 | 0.3 | |||
Belgium | 13,456,953 | 0.2 | |||
France | 5,382,279 | 0.1 | |||
Switzerland | 5,113,982 | 0.1 | |||
Mexico | 1,978,659 | 0.0 |
Total | $5,351,383,234 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
20 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments
December 31, 2019
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/19 | |||||||
Investment Companies - 2.0% | ||||||||||
Money Markets - 2.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | $ | 1,873,459 | $ | (14,667) | $ | (402) | $ | 105,128,872 | ||
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 12/31/19 | |||||||
Investment Companies - 2.0% | ||||||||||
Money Markets - 2.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | 36,969,146 | 1,608,783,947 | (1,540,624,221) | 105,128,872 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information
Balanced Index | Balanced Index is an internally-calculated, hypothetical combination of total returns from the S&P 500® Index (55%) and the Bloomberg Barclays U.S. Aggregate Bond Index (45%). |
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the year ended December 31, 2019 is $269,806,806, which represents 5.1% of net assets. |
* | Non-income producing security. |
‡ | Variable or floating rate security. Rate shown is the current rate as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ž | Issued by the same entity and traded on separate exchanges. |
ºº | Rate shown is the 7-day yield as of December 31, 2019. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
22 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 158,859,312 | $ | - | ||||||
Corporate Bonds | - | 796,220,799 | - | |||||||||
Mortgage-Backed Securities | - | 555,052,480 | - | |||||||||
United States Treasury Notes/Bonds | - | 469,561,888 | - | |||||||||
Common Stocks | 3,263,507,936 | - | - | |||||||||
Preferred Stocks | - | 3,051,947 | - | |||||||||
Investment Companies | - | 105,128,872 | - | |||||||||
Total Assets | $ | 3,263,507,936 | $ | 2,087,875,298 | $ | - | ||||||
Janus Aspen Series | 23 |
Janus Henderson VIT Balanced Portfolio
Statement of Assets and Liabilities
December 31, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1) | $ | 5,246,254,362 | ||||
Affiliated investments, at value(2) | 105,128,872 | |||||
Non-interested Trustees' deferred compensation | 135,871 | |||||
Receivables: | ||||||
Interest | 11,939,629 | |||||
Portfolio shares sold | 4,560,210 | |||||
Dividends | 4,139,309 | |||||
Investments sold | 400,895 | |||||
Dividends from affiliates | 213,391 | |||||
Foreign tax reclaims | 23,368 | |||||
Other assets | 46,082 | |||||
Total Assets |
|
| 5,372,841,989 |
| ||
Liabilities: | ||||||
Due to custodian | 130,823 | |||||
Foreign cash due to custodian | 101 | |||||
Payables: | — | |||||
Investments purchased | 74,839,527 | |||||
Advisory fees | 2,505,856 | |||||
Portfolio shares repurchased | 1,688,365 | |||||
12b-1 Distribution and shareholder servicing fees | 1,041,814 | |||||
Transfer agent fees and expenses | 239,646 | |||||
Non-interested Trustees' deferred compensation fees | 135,871 | |||||
Professional fees | 65,052 | |||||
Affiliated portfolio administration fees payable | 11,390 | |||||
Custodian fees | 9,486 | |||||
Non-interested Trustees' fees and expenses | 898 | |||||
Accrued expenses and other payables | 180,683 | |||||
Total Liabilities |
|
| 80,849,512 |
| ||
Net Assets |
| $ | 5,291,992,477 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 4,011,852,282 | ||||
Total distributable earnings (loss) | 1,280,140,195 | |||||
Total Net Assets |
| $ | 5,291,992,477 |
| ||
Net Assets - Institutional Shares | $ | 446,026,397 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 11,298,877 | |||||
Net Asset Value Per Share |
| $ | 39.48 |
| ||
Net Assets - Service Shares | $ | 4,845,966,080 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 116,216,189 | |||||
Net Asset Value Per Share |
| $ | 41.70 |
|
(1) Includes cost of $4,058,027,073. (2) Includes cost of $105,129,274. |
See Notes to Financial Statements. | |
24 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Statement of Operations
For the year ended December 31, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Interest | $ | 59,421,432 | ||
Dividends | 57,186,477 | ||||
Dividends from affiliates | 1,873,459 | ||||
Other income | 223,504 | ||||
Foreign tax withheld | (230,703) | ||||
Total Investment Income |
| 118,474,169 |
| ||
Expenses: | |||||
Advisory fees | 24,971,219 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 10,283,311 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 213,448 | ||||
Service Shares | 2,056,662 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 13,389 | ||||
Service Shares | 66,676 | ||||
Shareholder reports expense | 156,776 | ||||
Professional fees | 118,906 | ||||
Non-interested Trustees’ fees and expenses | 116,962 | ||||
Affiliated portfolio administration fees | 107,994 | ||||
Custodian fees | 48,736 | ||||
Registration fees | 23,996 | ||||
Other expenses | 268,983 | ||||
Total Expenses |
| 38,447,058 |
| ||
Net Investment Income/(Loss) |
| 80,027,111 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 87,930,847 | ||||
Investments in affiliates | (14,667) | ||||
Total Net Realized Gain/(Loss) on Investments |
| 87,916,180 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments and non-interested Trustees’ deferred compensation | 729,552,288 | ||||
Investments in affiliates | (402) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 729,551,886 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 897,495,177 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 25 |
Janus Henderson VIT Balanced Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 80,027,111 | $ | 60,362,993 | ||||
Net realized gain/(loss) on investments | 87,916,180 | 111,771,989 | ||||||
Change in unrealized net appreciation/depreciation | 729,551,886 | (176,189,448) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 897,495,177 |
|
| (4,054,466) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (19,713,876) | (20,863,874) | ||||||
Service Shares | (174,336,200) | (137,724,495) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (194,050,076) |
|
| (158,588,369) | |||
Capital Share Transactions: (Note 5) | ||||||||
Institutional Shares | (23,374,008) | (9,713,852) | ||||||
Service Shares | 763,429,463 | 703,833,070 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 740,055,455 |
|
| 694,119,218 | |||
Net Increase/(Decrease) in Net Assets |
| 1,443,500,556 |
|
| 531,476,383 | |||
Net Assets: | ||||||||
Beginning of period | 3,848,491,921 | 3,317,015,538 | ||||||
| End of period | $ | 5,291,992,477 |
| $ | 3,848,491,921 | ||
See Notes to Financial Statements. | |
26 | DECEMBER 31, 2019 |
Janus Henderson VIT Balanced Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $33.75 |
|
| $35.27 |
|
| $30.32 |
|
| $30.08 |
|
| $31.43 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.74 | 0.66 | 0.64 | 0.58 | 0.63 | |||||||||||||
Net realized and unrealized gain/(loss) | 6.74 | (0.42) | 4.92 | 0.77 | (0.41) | |||||||||||||
Total from Investment Operations |
| 7.48 |
|
| 0.24 |
|
| 5.56 |
|
| 1.35 |
|
| 0.22 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.72) | (0.77) | (0.54) | (0.67) | (0.50) | |||||||||||||
Distributions (from capital gains) | (1.03) | (0.99) | (0.07) | (0.44) | (1.07) | |||||||||||||
Total Dividends and Distributions |
| (1.75) |
|
| (1.76) |
|
| (0.61) |
|
| (1.11) |
|
| (1.57) |
| |||
Net Asset Value, End of Period | $39.48 | $33.75 | $35.27 | $30.32 | $30.08 | |||||||||||||
Total Return* |
| 22.59% |
|
| 0.68% |
|
| 18.43% |
|
| 4.60% |
|
| 0.62% |
| |||
Net Assets, End of Period (in thousands) | $446,026 | $402,796 | $429,403 | $403,833 | $444,472 | |||||||||||||
Average Net Assets for the Period (in thousands) | $426,775 | $429,843 | $417,575 | $413,338 | $467,346 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.62% | 0.63% | 0.63% | 0.62% | 0.58% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.62% | 0.63% | 0.63% | 0.62% | 0.58% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 1.99% | 1.85% | 1.94% | 1.94% | 2.03% | |||||||||||||
Portfolio Turnover Rate | 79%(2) | 97%(2) | 67%(2) | 80% | 73% | |||||||||||||
Service Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $35.59 |
|
| $37.09 |
|
| $31.89 |
|
| $31.61 |
|
| $32.97 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.68 | 0.60 | 0.58 | 0.53 | 0.58 | |||||||||||||
Net realized and unrealized gain/(loss) | 7.11 | (0.44) | 5.17 | 0.80 | (0.42) | |||||||||||||
Total from Investment Operations |
| 7.79 |
|
| 0.16 |
|
| 5.75 |
|
| 1.33 |
|
| 0.16 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.65) | (0.67) | (0.48) | (0.61) | (0.45) | |||||||||||||
Distributions (from capital gains) | (1.03) | (0.99) | (0.07) | (0.44) | (1.07) | |||||||||||||
Total Dividends and Distributions |
| (1.68) |
|
| (1.66) |
|
| (0.55) |
|
| (1.05) |
|
| (1.52) |
| |||
Net Asset Value, End of Period | $41.70 | $35.59 | $37.09 | $31.89 | $31.61 | |||||||||||||
Total Return* |
| 22.27% |
|
| 0.43% |
|
| 18.13% |
|
| 4.32% |
|
| 0.41% |
| |||
Net Assets, End of Period (in thousands) | $4,845,966 | $3,445,696 | $2,887,613 | $2,227,878 | $1,831,930 | |||||||||||||
Average Net Assets for the Period (in thousands) | $4,109,486 | $3,235,435 | $2,523,514 | $1,938,234 | $1,645,283 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.87% | 0.88% | 0.88% | 0.87% | 0.84% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.87% | 0.88% | 0.88% | 0.87% | 0.84% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 1.74% | 1.62% | 1.69% | 1.71% | 1.79% | |||||||||||||
Portfolio Turnover Rate | 79%(2) | 97%(2) | 67%(2) | 80% | 73% | |||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
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Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Balanced Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
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Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount 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 during the reporting period. Actual results could differ from those estimates.
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Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes, or adverse developments specific to the issuer.
In the aftermath of the 2007-2008 financial crisis, the financial sector experienced reduced liquidity in credit and other fixed-income markets, and an unusually high degree of volatility, both domestically and internationally. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. For example, the enactment of the Dodd-Frank Act in 2010 provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, over-the-counter derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation.
A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high
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Notes to Financial Statements
levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (commonly known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will conclude, or how financial markets will react.
Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Portfolio’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolio invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer loans or receivables. The Portfolio may purchase fixed or variable rate commercial or residential mortgage-backed securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed by the full faith and credit of the U.S. Government, which means that the U.S. Government guarantees that the interest and principal will be paid when due. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases, and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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Notes to Financial Statements
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
When-Issued, Delayed Delivery and Forward Commitment Transactions
The Portfolio may purchase or sell securities on a when-issued, delayed delivery, or forward commitment basis. When purchasing a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Typically, no income accrues on securities the Portfolio has committed to purchase prior to the time delivery of the securities is made. Because the Portfolio is not required to pay for the security until the delivery date, these risks are in addition to the risks associated with the Portfolio’s other investments. If the other party to a transaction fails to deliver the securities, the Portfolio could miss a favorable price or yield opportunity. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases are outstanding, the purchases may result in a form of leverage.
When the Portfolio has sold a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio does not participate in future gains or losses with respect to the security. If the other party to a transaction fails to pay for the securities, the Portfolio could suffer a loss. Additionally, when selling a security on a when-issued, delayed delivery, or forward commitment basis without owning the security, the Portfolio will incur a loss if the security’s price appreciates in value such that the security’s price is above the agreed upon price on the settlement date. The Portfolio may dispose of or renegotiate a transaction after it is entered into, and may purchase or sell when-issued, delayed delivery or forward commitment securities before the settlement date, which may result in a gain or loss.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital Management LLC (“Janus Capital”) an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.55% of its average daily net assets.
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Notes to Financial Statements
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $40,392 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2019 are included in “Non-interested
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Notes to Financial Statements
Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $468,050 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2019, the Portfolio engaged in cross trades amounting to $100,504,857 in purchases and $16,227,938 in sales, resulting in a net realized gain of $1,118,033. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Loss Deferrals | Other Book | Net Tax | |||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | to Tax | Appreciation/ | |
$ 53,147,204 | $ 52,915,979 | $ - | $ - | $ - | $ (131,752) | $1,174,208,764 |
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Notes to Financial Statements
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 4,177,174,470 | $1,191,580,138 | $(17,371,374) | $ 1,174,208,764 |
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
For the year ended December 31, 2019 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 77,976,625 | $ 116,073,451 | $ - | $ - |
For the year ended December 31, 2018 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 67,128,507 | $ 91,459,862 | $ - | $ - |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed | Increase/(Decrease) to Undistributed |
$ - | $ 2,532,359 | $ (2,532,359) |
5. Capital Share Transactions
Year ended December 31, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 761,195 | $ 28,340,063 | 726,691 | $ 25,520,230 | ||
Shares from the Acquisition (See Note 8) | - | - | 2,240 | 76,489 | ||
Reinvested dividends and distributions | 536,983 | 19,713,876 | 611,981 | 20,863,874 | ||
Shares repurchased | (1,933,358) | (71,427,947) | (1,582,300) | (56,174,445) | ||
Net Increase/(Decrease) | (635,180) | $ (23,374,008) |
| (241,388) | $ (9,713,852) | |
Service Shares: | ||||||
Shares sold | 20,594,452 | $809,496,215 | 20,226,560 | $756,832,931 | ||
Shares from the Acquisition (See Note 8) | - | - | 228,198 | 8,210,624 | ||
Reinvested dividends and distributions | 4,493,890 | 174,336,200 | 3,834,282 | 137,724,495 | ||
Shares repurchased | (5,686,724) | (220,402,952) | (5,336,065) | (198,934,980) | ||
Net Increase/(Decrease) | 19,401,618 | $763,429,463 |
| 18,952,975 | $703,833,070 |
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Notes to Financial Statements
6. Purchases and Sales of Investment Securities
For the year ended December 31, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$2,481,882,476 | $1,789,050,443 | $ 1,577,390,921 | $ 1,710,431,202 |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. Management has adopted the amendments as of the beginning of this fiscal period and concluded these changes do not have a material impact on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
8. Fund Acquisition
Shareholders of the Janus Henderson Global Allocation Portfolio – Moderate (the “Target Portfolio”) approved an Agreement and Plan of Reorganization (the “Merger”) that provided for the merger of the Target Portfolio with and into the Portfolio, effective at the close of business on April 27, 2018. The Merger resulted in shareholders of the Target Portfolio receiving shares of the Portfolio which investment strategy is focused on a dynamic approach to asset allocation that leverages Janus Capital’s bottom-up, fundamental equity and fixed-income research, combined with a greater asset size that should create greater opportunity to benefit from long-term economies of scale and lower total expenses. The Merger was tax-free for federal income purposes. The table below reflects merger activity.
Target Portfolio’s Shares | Target Portfolio’s Net | Portfolio’s | Portfolio’s Net | Combined Net Assets after Merger | Target Portfolio’s Unrealized |
644,959 | $8,287,113 | 230,438 | $3,432,633,526 | $3,440,920,639 | $522,786 |
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Balanced Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Balanced Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s 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 Portfolio 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 of these financial statements 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 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. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 14, 2020
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. Historically, the Portfolio filed its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters each fiscal year on Form N-Q. The Portfolio’s Form N-PORT and Form N-Q filings: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 5, 2019, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2020 through February 1, 2021, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons, any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
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Additional Information (unaudited)
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2019, approximately 69% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2019, approximately 71% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
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Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the third Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital and Intech had taken or were taking to improve performance, and the performance trend was improving.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory and any administration, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of their respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 7% under the average management fees for their Expense Groups. The Trustees also considered the total expenses for each share class of
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Additional Information (unaudited)
each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 11 of 12 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) six of nine Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2018, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
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Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 64% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge expense group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a
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Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with
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Janus Henderson VIT Balanced Portfolio
Useful Information About Your Portfolio Report (unaudited)
generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Janus Henderson VIT Balanced Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2019:
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Capital Gain Distributions | $116,073,451 |
Dividends Received Deduction Percentage | 44% |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years).
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by Janus Capital: Janus Investment Fund. Collectively, these two registered investment companies consist of 58 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of Janus Capital. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant. Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 58 | Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (since 2016), Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 58 | Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Venture Partner for The Edgewater Funds (a middle market private equity firm) (2002-2004), Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016), and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (since 2016). Formerly, Senior Vice President (2011-2015), Albright Stonebridge Group LLC, and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 58 | Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
William M. Fitzgerald, Sr. 151 Detroit Street Denver, CO 80206 DOB: 1964 | Trustee | 9/19-Present | Founder, Fitzgerald Asset Management LLC (since 2012). Formerly, Founder and Chief Investment Officer, Global Infrastructure Asset Management LLC (2008-2017), Chief Investment Officer of Nuveen Asset Management (2000-2007), and Managing Director, Nuveen Investment LLC (1988-2007). | 58 | Board of Directors, Municipal Securities Rulemaking Board (since 2017). Formerly, Board of Directors of Syncora Holdings Ltd, Syncora Guarantee Inc., and Syncora Capital Assurance Inc. (2009-2016), and Trustee, Destra Investment Trust (2010-2014). |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 58 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013) and West Bend Mutual Insurance Company (property/casualty insurance) (since 2013). Formerly, Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
William D. Stewart* 151 Detroit Street Denver, CO 80206 DOB: 1944 | Trustee | 6/84-Present | Retired. Formerly, President and founder of HPS Products and Corporate Vice President of MKS Instruments, Boulder, CO (a provider of advanced process control systems for the semiconductor industry) (1976-2012). | 58 | None |
*William D. Stewart retired from his role as Independent Trustee, effective December 31, 2019. |
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Janus Henderson VIT Balanced Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. | 58 | Formerly, Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017), Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006), and Treasurer for Driehaus Mutual Funds (1996-2002). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 58 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), Shirley Ryan Ability Lab and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019), Director of Walmart (until 2017), Director of Chicago Convention & Tourism Bureau (until 2014), and The Field Museum of Natural History (Chicago, IL) (until 2014). |
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Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Jeremiah Buckley | Executive Vice President and Co-Portfolio Manager Janus Henderson Balanced Portfolio | 12/15-Present | Portfolio Manager for other Janus Henderson accounts. |
Marc Pinto | Executive Vice President and Co-Portfolio Manager Janus Henderson Balanced Portfolio | 5/05-Present | Portfolio Manager for other Janus Henderson accounts. |
Mayur Saigal | Executive Vice President and Co-Portfolio Manager Janus Henderson Balanced Portfolio | 12/15 - Present | Portfolio Manager for other Janus Henderson accounts. |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
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Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | Executive Vice President, Head of North America at Janus Henderson Investors and Janus Capital Management LLC (since 2017), Executive Vice President and Director of Janus International Holding LLC (since 2011), Executive Vice President of Janus Distributors LLC (since 2011), Vice President and Director of Intech Investment Management LLC (since 2011), Executive Vice President and Director of Perkins Investment Management LLC (since 2011), and President and Director of Janus Management Holdings Corporation (since 2011). Formerly, President of Janus Capital Group Inc. and Janus Capital Management LLC (2013-2017), Executive Vice President of Janus Services LLC (2011-2015), Janus Capital Group Inc. and Janus Capital Management LLC (2011-2013), and Chief Financial Officer of Janus Capital Group Inc., Janus Capital Management LLC, Janus Distributors LLC, Janus Management Holdings Corporation, and Janus Services LLC (2011-2013). |
Susan K. Wold | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 9/17-Present | Head of Compliance, North America for Janus Henderson (since September 2017). Formerly, Vice President, Head of Global Corporate Compliance, and Chief Compliance Officer for Janus Capital Management LLC (May 2017-September 2017), Vice President, Compliance at Janus Capital Group Inc. and Janus Capital Management LLC (2005-2017). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
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Trustees and Officers (unaudited)
OFFICERS | |||||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years | ||
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. | ||
Kathryn L. Santoro | Vice President, Chief Legal Counsel, and Secretary | 12/16-Present | Assistant General Counsel of Janus Capital (since 2016). Formerly, Vice President and Associate Counsel of Curian Capital, LLC and Curian Clearing LLC (2013-2016), and General Counsel and Secretary (2011-2012) and Vice President (2009-2012) of Old Mutual Capital, Inc. | ||
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. | |||||
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-02-81113 02-20 |
ANNUAL REPORT December 31, 2019 | ||
Janus Henderson VIT Enterprise Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. 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 Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Enterprise Portfolio
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
PERFORMANCE OVERVIEW
During the 12 months ending December 31, 2019, Janus Henderson VIT Enterprise Portfolio’s Institutional Shares and Service Shares returned 35.48% and 35.16%, respectively. Meanwhile, the Portfolio’s benchmark, the Russell Midcap® Growth Index, returned 35.47%. Stock selection in the industrials sector contributed to the Portfolio’s relative performance. Stock selection in the consumer discretionary sector was a notable detractor from relative results.
INVESTMENT ENVIRONMENT
Mid-cap stocks ended the year with strong gains despite periods of volatility sparked by uncertainty over the global economic outlook and trade policy. The U.S. economy was resilient as healthy consumer spending helped offset some slowing in the manufacturing sector. Corporate earnings were also solid despite slowing from 2018 as the boost from the tax cuts dissipated. The Federal Reserve acknowledged global economic risks with three interest rate cuts. Information technology was the strongest-performing sector of the Russell Midcap® Growth Index. Energy was the weakest-performing sector.
PERFORMANCE DISCUSSION
We tend to own fewer economically sensitive industrial companies than the index, and that positioning helped against a backdrop of global economic uncertainty. Industrial services company CoStar Group was a top contributor to absolute returns and an example of a less-economically dependent stock we hold. We like the recurring revenue streams associated with its subscription-based commercial real estate database, and we see positive potential around its business in the apartment rental market.
We continue to look for innovation in the information technology sector, including in the global payments market, and we benefited from an investment in Global Payments. The company's merger with Total System Services underscored the value of payments networks, and it also created enthusiasm for these companies to produce considerable cost synergies.
Within information technology, we were underexposed to some of the highly valued consumer Internet and Software as a Service (SaaS) companies that often led benchmark performance. While we own a few of these companies – and like the business models of others – we are concerned about excessive valuations for many of these businesses. This underexposure dampened our relative performance, but we remain sensitive to valuation risk and are comfortable with our portfolio positioning.
While we also continue to seek innovative companies in the health care sector, several individual health care stocks were notable detractors from absolute performance. Biotechnology company Sage Therapeutics, a stock we added during the year, has been testing one of its drugs as a treatment for major depressive disorder. While the drug performed well in early-stage clinical trials, phase 3 trial results released in December called into question the drug's approval potential and sent the stock lower. We believe the company has the potential to run additional trials on this drug, which may provide more positive results, and we maintained our positon. ICU Medical, another detractor, supplies IV delivery solutions. The stock declined in the third quarter after overcapacity in the IV solution market led the company to cut back production. Despite this setback, we believe pricing in the IV solution market will eventually stabilize, and we continue to like the high margins and strong competitive positioning of the company’s IV pump and consumables businesses.
Our cash position was also a drag on relative results. Strong stock price appreciation in early 2019 left valuations elevated for many of the secular growth companies and steadier, durable growth companies we typically favor. Against this backdrop, we have been patient in investing cash only when we find attractive risk-
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
adjusted returns, and we are still keeping some cash on hand.
DERIVATIVES
To the extent we invest in foreign holdings, we may use forward exchange contracts to hedge the foreign currency. During the period, the Portfolio held no such derivatives, however. (Please see “Notes to Financial Statements” for information about derivatives use by the Fund.)
OUTLOOK
While 2019 was a strong year for market performance, we would caution that such returns are not the norm and, as we look ahead to 2020, we remain cognizant of risks posed by global economic uncertainty, ongoing trade negotiations and the resulting reconfiguration of global supplier relationships. As we enter an election cycle, we also acknowledge that populist rhetoric from both sides of the political spectrum may create uncertainty for certain economic sectors, such as health care.
Additionally, we continue to see excessive valuations in certain high-growth stocks and sectors of the market. Our valuation discipline had led us to reduce holdings and move to underweights in such sectors, even in cases where we like the management teams and business models. We are not, on the other hand, turning our attention to value stocks, where technological change is increasingly disrupting established profit pools. We continue to pursue a middle way as we seek growth companies with sustainable competitive advantages, strong earnings growth potential and experienced, forward-looking management teams. And while we will not sacrifice these criteria in pursuit of attractive valuations, we also will not pay an excessive price for growth. In our current view, this middle way represents the most prudent strategy for providing our investors with positive long-term performance.
Thank you for your investment in Janus VIT Enterprise Portfolio.
2 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Portfolio At A Glance
December 31, 2019
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Global Payments Inc | 1.45% | ICU Medical Inc | -0.20% | |||
Lam Research Corp | 1.26% | Sage Therapeutics Inc | -0.20% | |||
CoStar Group Inc | 1.20% | National Instruments Corp | -0.07% | |||
KLA Corp | 1.20% | Alkermes PLC | -0.04% | |||
Constellation Software Inc/Canada | 1.11% | GoDaddy Inc | -0.04% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell Midcap Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Industrials | 1.27% | 18.81% | 16.41% | |||
Communication Services | 0.70% | 1.20% | 4.45% | |||
Consumer Staples | 0.49% | 0.00% | 3.15% | |||
Financials | 0.37% | 11.14% | 5.57% | |||
Health Care | 0.35% | 16.70% | 14.63% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell Midcap Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Other** | -2.07% | 5.83% | 0.00% | |||
Consumer Discretionary | -0.23% | 7.86% | 15.71% | |||
Real Estate | -0.10% | 3.62% | 2.56% | |||
Materials | -0.04% | 1.31% | 3.22% | |||
Information Technology | -0.02% | 32.36% | 32.95% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Portfolio At A Glance
December 31, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Nice Ltd (ADR) | |
Software | 2.4% |
Microchip Technology Inc | |
Semiconductor & Semiconductor Equipment | 2.2% |
Constellation Software Inc/Canada | |
Software | 2.2% |
Global Payments Inc | |
Information Technology Services | 2.2% |
Aon PLC | |
Insurance | 2.1% |
11.1% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 93.6% | ||||
Investment Companies | 6.6% | ||||
Investments Purchased with Cash Collateral from Securities Lending | 0.3% | ||||
Rights | 0.0% | ||||
Other | (0.5)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2019 | As of December 31, 2018 |
4 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Performance
See important disclosures on the next page. |
| |||||||||
Average Annual Total Return - for the periods ended December 31, 2019 |
|
| Expense Ratios | ||||||
|
| One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares(1) |
| 35.48% | 14.98% | 15.85% | 11.45% |
|
| 0.72% | |
Service Shares(1) |
| 35.16% | 14.69% | 15.56% | 11.16% |
|
| 0.97% | |
Russell Midcap Growth Index |
| 35.47% | 11.60% | 14.24% | 10.12% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| 2nd | 1st | 1st | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Mid-Cap Growth Funds |
| 219/625 | 21/566 | 20/515 | 18/151 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
Janus Aspen Series | 5 |
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Performance
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
(1) Closed to certain new investors.
6 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, 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 appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,070.60 | $3.81 |
| $1,000.00 | $1,021.53 | $3.72 | 0.73% | ||
Service Shares | $1,000.00 | $1,069.20 | $5.11 |
| $1,000.00 | $1,020.27 | $4.99 | 0.98% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Aspen Series | 7 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Common Stocks – 93.6% | |||||||
Aerospace & Defense – 3.1% | |||||||
HEICO Corp | 66,397 | $5,944,523 | |||||
L3Harris Technologies Inc | 105,294 | 20,834,524 | |||||
Teledyne Technologies Inc* | 66,350 | 22,992,929 | |||||
49,771,976 | |||||||
Airlines – 1.2% | |||||||
Ryanair Holdings PLC (ADR)* | 135,999 | 11,914,872 | |||||
Southwest Airlines Co | 149,442 | 8,066,879 | |||||
19,981,751 | |||||||
Auto Components – 0.4% | |||||||
Visteon Corp* | 80,376 | 6,959,758 | |||||
Banks – 0.4% | |||||||
SVB Financial Group* | 26,896 | 6,751,972 | |||||
Biotechnology – 1.2% | |||||||
Neurocrine Biosciences Inc* | 99,014 | 10,643,015 | |||||
Sage Therapeutics Inc* | 31,008 | 2,238,467 | |||||
Sarepta Therapeutics Inc* | 50,856 | 6,562,458 | |||||
19,443,940 | |||||||
Capital Markets – 4.8% | |||||||
Cboe Global Markets Inc | 84,590 | 10,150,800 | |||||
LPL Financial Holdings Inc | 319,066 | 29,433,838 | |||||
MSCI Inc | 35,058 | 9,051,274 | |||||
TD Ameritrade Holding Corp | 562,144 | 27,938,557 | |||||
76,574,469 | |||||||
Commercial Services & Supplies – 3.0% | |||||||
Cimpress PLC*,# | 150,495 | 18,927,756 | |||||
Edenred | 251,829 | 13,021,060 | |||||
Ritchie Bros Auctioneers Inc | 377,759 | 16,224,749 | |||||
48,173,565 | |||||||
Consumer Finance – 0.5% | |||||||
Synchrony Financial | 233,256 | 8,399,549 | |||||
Containers & Packaging – 1.1% | |||||||
Sealed Air Corp | 451,026 | 17,964,366 | |||||
Diversified Consumer Services – 1.5% | |||||||
frontdoor Inc* | 181,704 | 8,616,404 | |||||
ServiceMaster Global Holdings Inc* | 382,086 | 14,771,445 | |||||
23,387,849 | |||||||
Electrical Equipment – 2.0% | |||||||
Sensata Technologies Holding PLC* | 581,594 | 31,330,469 | |||||
Electronic Equipment, Instruments & Components – 5.6% | |||||||
Belden Inc | 154,853 | 8,516,915 | |||||
Dolby Laboratories Inc | 240,399 | 16,539,451 | |||||
Flex Ltd* | 1,287,847 | 16,252,629 | |||||
National Instruments Corp | 424,583 | 17,976,844 | |||||
TE Connectivity Ltd | 313,876 | 30,081,876 | |||||
89,367,715 | |||||||
Entertainment – 0.5% | |||||||
Liberty Media Corp-Liberty Formula One* | 184,442 | 8,477,877 | |||||
Equity Real Estate Investment Trusts (REITs) – 3.6% | |||||||
Crown Castle International Corp | 207,128 | 29,443,245 | |||||
Lamar Advertising Co | 314,915 | 28,109,313 | |||||
57,552,558 | |||||||
Health Care Equipment & Supplies – 8.3% | |||||||
Boston Scientific Corp* | 733,376 | 33,163,263 | |||||
Cooper Cos Inc | 93,802 | 30,137,645 | |||||
DENTSPLY SIRONA Inc | 183,825 | 10,402,657 | |||||
ICU Medical Inc* | 55,143 | 10,318,358 | |||||
STERIS PLC | 163,461 | 24,914,726 | |||||
Teleflex Inc | 39,161 | 14,741,767 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Health Care Equipment & Supplies – (continued) | |||||||
Varian Medical Systems Inc* | 72,022 | $10,227,844 | |||||
133,906,260 | |||||||
Hotels, Restaurants & Leisure – 2.9% | |||||||
Aramark | 333,527 | 14,475,072 | |||||
Dunkin' Brands Group Inc | 245,287 | 18,528,980 | |||||
Norwegian Cruise Line Holdings Ltd* | 236,864 | 13,835,226 | |||||
46,839,278 | |||||||
Industrial Conglomerates – 0.9% | |||||||
Carlisle Cos Inc | 91,483 | 14,805,609 | |||||
Information Technology Services – 10.8% | |||||||
Amdocs Ltd | 369,156 | 26,649,372 | |||||
Broadridge Financial Solutions Inc | 192,145 | 23,737,593 | |||||
Euronet Worldwide Inc* | 45,657 | 7,193,717 | |||||
Fidelity National Information Services Inc | 188,370 | 26,200,383 | |||||
Gartner Inc* | 10,138 | 1,562,266 | |||||
Global Payments Inc | 190,167 | 34,716,887 | |||||
GoDaddy Inc* | 377,562 | 25,644,011 | |||||
WEX Inc* | 138,445 | 28,998,690 | |||||
174,702,919 | |||||||
Insurance – 6.2% | |||||||
Aon PLC | 163,736 | 34,104,571 | |||||
Intact Financial Corp | 252,478 | 27,305,115 | |||||
Willis Towers Watson PLC | 66,846 | 13,498,881 | |||||
WR Berkley Corp | 357,570 | 24,708,087 | |||||
99,616,654 | |||||||
Internet & Direct Marketing Retail – 0.3% | |||||||
Wayfair Inc* | 50,409 | 4,555,461 | |||||
Life Sciences Tools & Services – 5.1% | |||||||
IQVIA Holdings Inc* | 142,379 | 21,998,979 | |||||
PerkinElmer Inc | 304,273 | 29,544,908 | |||||
PRA Health Sciences Inc* | 103,949 | 11,553,931 | |||||
Waters Corp* | 82,234 | 19,213,974 | |||||
82,311,792 | |||||||
Machinery – 3.4% | |||||||
Ingersoll-Rand PLC | 71,381 | 9,487,962 | |||||
Middleby Corp* | 86,192 | 9,439,748 | |||||
Rexnord Corp* | 561,124 | 18,303,865 | |||||
Wabtec Corp | 230,728 | 17,950,638 | |||||
55,182,213 | |||||||
Media – 0.7% | |||||||
Omnicom Group Inc | 131,359 | 10,642,706 | |||||
Oil, Gas & Consumable Fuels – 1.7% | |||||||
Magellan Midstream Partners LP | 444,815 | 27,965,519 | |||||
Pharmaceuticals – 2.1% | |||||||
Bristol-Myers Squibb Co | 157,065 | 10,082,002 | |||||
Catalent Inc* | 297,473 | 16,747,730 | |||||
Elanco Animal Health Inc* | 234,931 | 6,918,718 | |||||
33,748,450 | |||||||
Professional Services – 3.4% | |||||||
CoStar Group Inc* | 26,849 | 16,063,757 | |||||
IHS Markit Ltd* | 204,021 | 15,372,982 | |||||
Verisk Analytics Inc | 158,826 | 23,719,075 | |||||
55,155,814 | |||||||
Road & Rail – 0.4% | |||||||
Old Dominion Freight Line Inc | 34,533 | 6,553,673 | |||||
Semiconductor & Semiconductor Equipment – 7.8% | |||||||
KLA Corp | 152,971 | 27,254,843 | |||||
Lam Research Corp | 91,546 | 26,768,050 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Semiconductor & Semiconductor Equipment – (continued) | |||||||
Microchip Technology Inc | 341,587 | $35,770,991 | |||||
ON Semiconductor Corp* | 1,142,437 | 27,852,614 | |||||
Xilinx Inc | 79,866 | 7,808,499 | |||||
125,454,997 | |||||||
Software – 7.9% | |||||||
Atlassian Corp PLC* | 118,781 | 14,294,106 | |||||
Constellation Software Inc/Canada | 36,314 | 35,272,462 | |||||
Intuit Inc | 29,844 | 7,817,039 | |||||
Nice Ltd (ADR)* | 246,748 | 38,282,952 | |||||
SS&C Technologies Holdings Inc | 527,475 | 32,386,965 | |||||
128,053,524 | |||||||
Specialty Retail – 1.2% | |||||||
CarMax Inc* | 121,452 | 10,647,697 | |||||
Williams-Sonoma Inc | 107,286 | 7,879,084 | |||||
18,526,781 | |||||||
Textiles, Apparel & Luxury Goods – 0.9% | |||||||
Gildan Activewear Inc | 503,751 | 14,875,767 | |||||
Trading Companies & Distributors – 0.7% | |||||||
Ferguson PLC | 124,438 | 11,289,173 | |||||
Total Common Stocks (cost $842,933,731) | 1,508,324,404 | ||||||
Rights – 0% | |||||||
Pharmaceuticals – 0% | |||||||
Bristol-Myers Squibb Co* (cost $361,250) | 157,065 | 472,766 | |||||
Investment Companies – 6.6% | |||||||
Money Markets – 6.6% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº,£ (cost $106,441,680) | 106,440,118 | 106,440,118 | |||||
Investments Purchased with Cash Collateral from Securities Lending – 0.3% | |||||||
Investment Companies – 0.2% | |||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº,£ | 3,921,920 | 3,921,920 | |||||
Time Deposits – 0.1% | |||||||
Canadian Imperial Bank of Commerce, 1.6000%, 1/2/20 | $980,480 | 980,480 | |||||
Total Investments Purchased with Cash Collateral from Securities Lending (cost $4,902,400) | 4,902,400 | ||||||
Total Investments (total cost $954,639,061) – 100.5% | 1,620,139,688 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.5)% | (7,688,060) | ||||||
Net Assets – 100% | $1,612,451,628 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $1,448,948,605 | 89.4 | % | ||
Canada | 93,678,093 | 5.8 | |||
Israel | 38,282,952 | 2.4 | |||
Australia | 14,294,106 | 0.9 | |||
France | 13,021,060 | 0.8 | |||
Ireland | 11,914,872 | 0.7 |
Total | $1,620,139,688 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/19 | |||||||
Investment Companies - 6.6% | ||||||||||
Money Markets - 6.6% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | $ | 1,861,642 | $ | (1,974) | $ | (1,562) | $ | 106,440,118 | ||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Investment Companies - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | 70,137∆ | - | - | 3,921,920 | ||||||
Total Affiliated Investments - 6.8% | $ | 1,931,779 | $ | (1,974) | $ | (1,562) | $ | 110,362,038 |
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 12/31/19 | |||||||
Investment Companies - 6.6% | ||||||||||
Money Markets - 6.6% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | 63,166,325 | 194,489,248 | (151,215,455) | 106,440,118 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Investment Companies - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | 2,758,029 | 148,960,072 | (147,796,181) | 3,921,920 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
Schedule of Forward Foreign Currency Exchange Contracts, Open |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | USD Currency Amount (Sold)/ Purchased | Market Value and Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital, Inc.: | ||||||||
Canadian Dollar | 1/9/20 | (6,231,000) | $ | 4,744,574 | $ | (54,614) | ||
Euro | 1/9/20 | (2,762,000) | 3,082,393 | (16,731) | ||||
(71,345) | ||||||||
Citibank, National Association: | ||||||||
Canadian Dollar | 1/9/20 | (8,247,000) | 6,281,616 | (70,320) | ||||
Euro | 1/9/20 | (5,296,000) | 5,919,532 | (22,883) | ||||
(93,203) | ||||||||
Credit Suisse International: | ||||||||
Canadian Dollar | 2/13/20 | (9,379,000) | 7,067,077 | (158,063) | ||||
HSBC Securities (USA), Inc.: | ||||||||
Canadian Dollar | 2/27/20 | (9,499,000) | 7,206,689 | (111,096) | ||||
Euro | 2/27/20 | (6,926,800) | 7,726,001 | (69,851) | ||||
(180,947) | ||||||||
JPMorgan Chase Bank, National Association: | ||||||||
Euro | 1/9/20 | (6,095,000) | 6,813,655 | (25,285) | ||||
Total | $ | (528,843) |
The following table, grouped by derivative type, provides information about the fair value and location of derivatives within the Statement of Assets and Liabilities as of December 31, 2019.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2019 | |||||
|
|
|
|
| Currency |
Liability Derivatives: | |||||
Forward foreign currency exchange contracts | $528,843 | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments
December 31, 2019
The following tables provide information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the year ended December 31, 2019.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the year ended December 31, 2019 | ||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
| Currency | ||
Forward foreign currency exchange contracts | $ 947,825 | |||
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||
Derivative |
| Currency | ||
Forward foreign currency exchange contracts | $(868,277) | |||
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
Average Ending Monthly Market Value of Derivative Instruments During the Year Ended December 31, 2019 | |
| Market Value(a) |
Forward foreign currency exchange contracts, sold | $ 40,659,803 |
(a) Forward foreign currency exchange contracts are reported as the average ending monthly currency amount sold. |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Enterprise Portfolio
Notes to Schedule of Investments and Other Information
Russell Midcap® Growth Index | Russell Midcap® Growth Index reflects the performance of U.S. mid-cap equities with higher price-to-book ratios and higher forecasted growth values. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of December 31, 2019. |
# | Loaned security; a portion of the security is on loan at December 31, 2019. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 2019. See Notes to Financial Statements for more information. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Common Stocks | $ | 1,508,324,404 | $ | - | $ | - | |||||||
Rights | 472,766 | - | - | ||||||||||
Investment Companies | - | 106,440,118 | - | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending | - | 4,902,400 | - | ||||||||||
Total Assets | $ | 1,508,797,170 | $ | 111,342,518 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | - | $ | 528,843 | $ | - | |||||||
(a) | Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date. |
14 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Statement of Assets and Liabilities
December 31, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1)(2) | $ | 1,509,777,650 | ||||
Affiliated investments, at value(3) | 110,362,038 | |||||
Cash | 126,102 | |||||
Closed foreign currency contracts | 13,451 | |||||
Non-interested Trustees' deferred compensation | 41,476 | |||||
Receivables: | ||||||
Portfolio shares sold | 950,367 | |||||
Dividends | 491,381 | |||||
Investments sold | 323,668 | |||||
Dividends from affiliates | 160,464 | |||||
Other assets | 13,837 | |||||
Total Assets |
|
| 1,622,260,434 |
| ||
Liabilities: | ||||||
Collateral for securities loaned (Note 3) | 4,902,400 | |||||
Forward foreign currency exchange contracts | 528,843 | |||||
Closed foreign currency contracts | 2,612 | |||||
Payables: | — | |||||
Portfolio shares repurchased | 3,049,866 | |||||
Advisory fees | 892,944 | |||||
12b-1 Distribution and shareholder servicing fees | 177,831 | |||||
Transfer agent fees and expenses | 74,862 | |||||
Non-interested Trustees' deferred compensation fees | 41,476 | |||||
Professional fees | 40,616 | |||||
Custodian fees | 4,136 | |||||
Affiliated portfolio administration fees payable | 3,488 | |||||
Non-interested Trustees' fees and expenses | 116 | |||||
Accrued expenses and other payables | 89,616 | |||||
Total Liabilities |
|
| 9,808,806 |
| ||
Net Assets |
| $ | 1,612,451,628 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 833,620,962 | ||||
Total distributable earnings (loss) | 778,830,666 | |||||
Total Net Assets |
| $ | 1,612,451,628 |
| ||
Net Assets - Institutional Shares | $ | 791,043,797 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 9,256,703 | |||||
Net Asset Value Per Share |
| $ | 85.46 |
| ||
Net Assets - Service Shares | $ | 821,407,831 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 10,276,332 | |||||
Net Asset Value Per Share |
| $ | 79.93 |
|
(1) Includes cost of $844,275,461. (2) Includes $4,805,118 of securities on loan. See Note 3 in Notes to Financial Statements. (3) Includes cost of $110,363,600. |
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Enterprise Portfolio
Statement of Operations
For the year ended December 31, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Dividends | $ | 14,138,901 | ||
Dividends from affiliates | 1,861,642 | ||||
Affiliated securities lending income, net | 70,137 | ||||
Other income | 212 | ||||
Foreign tax withheld | (342,558) | ||||
Total Investment Income |
| 15,728,334 |
| ||
Expenses: | |||||
Advisory fees | 9,232,363 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 1,837,290 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 353,820 | ||||
Service Shares | 367,458 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 22,813 | ||||
Service Shares | 12,599 | ||||
Shareholder reports expense | 136,099 | ||||
Professional fees | 59,626 | ||||
Non-interested Trustees’ fees and expenses | 35,894 | ||||
Affiliated portfolio administration fees | 34,179 | ||||
Custodian fees | 25,568 | ||||
Registration fees | 22,939 | ||||
Other expenses | 125,290 | ||||
Total Expenses |
| 12,265,938 |
| ||
Net Investment Income/(Loss) |
| 3,462,396 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 110,866,124 | ||||
Investments in affiliates | (1,974) | ||||
Forward foreign currency exchange contracts | 947,825 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 111,811,975 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 299,819,514 | ||||
Investments in affiliates | (1,562) | ||||
Forward foreign currency exchange contracts | (868,277) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 298,949,675 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 414,224,046 |
| ||
See Notes to Financial Statements. | |
16 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 3,462,396 | $ | 2,074,204 | ||||
Net realized gain/(loss) on investments | 111,811,975 | 84,724,787 | ||||||
Change in unrealized net appreciation/depreciation | 298,949,675 | (94,627,700) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 414,224,046 |
|
| (7,828,709) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (41,927,038) | (30,474,258) | ||||||
Service Shares | (45,398,321) | (30,628,519) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (87,325,359) |
|
| (61,102,777) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 50,633,453 | (10,085,696) | ||||||
Service Shares | 68,470,182 | 71,166,601 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 119,103,635 |
|
| 61,080,905 | |||
Net Increase/(Decrease) in Net Assets |
| 446,002,322 |
|
| (7,850,581) | |||
Net Assets: | ||||||||
Beginning of period | 1,166,449,306 | 1,174,299,887 | ||||||
| End of period | $ | 1,612,451,628 |
| $ | 1,166,449,306 | ||
See Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Enterprise Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $67.02 |
|
| $70.65 |
|
| $59.27 |
|
| $57.33 |
|
| $61.75 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.29 | 0.21 | 0.11 | 0.28 | 0.27 | |||||||||||||
Net realized and unrealized gain/(loss) | 23.06 | (0.16) | 15.67 | 6.50 | 2.55 | |||||||||||||
Total from Investment Operations |
| 23.35 |
|
| 0.05 |
|
| 15.78 |
|
| 6.78 |
|
| 2.82 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.16) | (0.18) | (0.17) | (0.09) | (0.40) | |||||||||||||
Distributions (from capital gains) | (4.75) | (3.50) | (4.23) | (4.75) | (6.84) | |||||||||||||
Total Dividends and Distributions |
| (4.91) |
|
| (3.68) |
|
| (4.40) |
|
| (4.84) |
|
| (7.24) |
| |||
Net Asset Value, End of Period | $85.46 | $67.02 | $70.65 | $59.27 | $57.33 | |||||||||||||
Total Return* |
| 35.48% |
|
| (0.41)% |
|
| 27.42% |
|
| 12.36% |
|
| 4.05% |
| |||
Net Assets, End of Period (in thousands) | $791,044 | $577,477 | $618,750 | $459,250 | $418,158 | |||||||||||||
Average Net Assets for the Period (in thousands) | $707,052 | $641,390 | $556,940 | $435,190 | $427,941 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.72% | 0.72% | 0.73% | 0.72% | 0.68% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.72% | 0.72% | 0.73% | 0.72% | 0.68% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.37% | 0.29% | 0.17% | 0.48% | 0.44% | |||||||||||||
Portfolio Turnover Rate | 14% | 14% | 14% | 20% | 22% | |||||||||||||
Service Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $63.00 |
|
| $66.67 |
|
| $56.22 |
|
| $54.67 |
|
| $59.26 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.09 | 0.03 | (0.05) | 0.12 | 0.11 | |||||||||||||
Net realized and unrealized gain/(loss) | 21.63 | (0.12) | 14.82 | 6.19 | 2.45 | |||||||||||||
Total from Investment Operations |
| 21.72 |
|
| (0.09) |
|
| 14.77 |
|
| 6.31 |
|
| 2.56 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.04) | (0.08) | (0.09) | (0.01) | (0.31) | |||||||||||||
Distributions (from capital gains) | (4.75) | (3.50) | (4.23) | (4.75) | (6.84) | |||||||||||||
Total Dividends and Distributions |
| (4.79) |
|
| (3.58) |
|
| (4.32) |
|
| (4.76) |
|
| (7.15) |
| |||
Net Asset Value, End of Period | $79.93 | $63.00 | $66.67 | $56.22 | $54.67 | |||||||||||||
Total Return* |
| 35.14% |
|
| (0.65)% |
|
| 27.09% |
|
| 12.10% |
|
| 3.77% |
| |||
Net Assets, End of Period (in thousands) | $821,408 | $588,973 | $555,550 | $419,251 | $321,482 | |||||||||||||
Average Net Assets for the Period (in thousands) | $734,274 | $612,433 | $489,237 | $373,400 | $299,393 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.97% | 0.97% | 0.98% | 0.97% | 0.94% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.97% | 0.97% | 0.98% | 0.97% | 0.94% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.12% | 0.04% | (0.08)% | 0.22% | 0.19% | |||||||||||||
Portfolio Turnover Rate | 14% | 14% | 14% | 20% | 22% | |||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
18 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Enterprise Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 19 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount 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 during the reporting period. Actual results could differ from those estimates.
20 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Derivative Instruments
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the year ended December 31, 2019 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result,
Janus Aspen Series | 21 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
· Commodity Risk – the risk related to the change in value of commodities or commodity-linked investments due to changes in the overall market movements, volatility of the underlying benchmark, changes in interest rates, or other factors affecting a particular industry or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading.
22 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (“forward currency contract”) is an obligation to buy or sell a specified currency at a future date at a negotiated rate (which may be U.S. dollars or a foreign currency). The Portfolio may enter into forward currency contracts for hedging purposes, including, but not limited to, reducing exposure to changes in foreign currency exchange rates on foreign portfolio holdings and locking in the U.S. dollar cost of firm purchase and sale commitments for securities denominated in or exposed to foreign currencies. The Portfolio may also invest in forward currency contracts for non-hedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations for the change in unrealized net appreciation/depreciation (if applicable). The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a forward currency contract is reported on the Statement of Operations (if applicable).
During the period, the Portfolio entered into forward currency contracts with the obligation to sell foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
3. Other Investments and Strategies
Additional Investment Risk
In the aftermath of the 2007-2008 financial crisis, the financial sector experienced reduced liquidity in credit and other fixed-income markets, and an unusually high degree of volatility, both domestically and internationally. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. For example, the enactment of the Dodd-Frank Act in 2010 provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, over-the-counter derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation.
A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (commonly known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will conclude, or how financial markets will react.
Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Portfolio’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolio invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.
Janus Aspen Series | 23 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following tables present gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2019” table located in the Portfolio’s Schedule of Investments.
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Offsetting of Financial Assets and Derivative Assets | ||||||||||
Gross Amounts | ||||||||||
of Recognized | Offsetting Asset | Collateral | ||||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | ||||||
JPMorgan Chase Bank, National Association | $ | 4,805,118 | $ | (25,285) | $ | 4,779,833 | $ | — | ||
Total | $ | 4,805,118 | $ | (25,285) | $ | 4,779,833 | $ | — | ||
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||||
Gross Amounts | ||||||||||
of Recognized | Offsetting Asset | Collateral | ||||||||
Counterparty | Liabilities | or Liability(a) | Pledged(b) | Net Amount | ||||||
Barclays Capital, Inc. | $ | 71,345 | $ | — | $ | — | $ | 71,345 | ||
Citibank, National Association | 93,203 | — | — | 93,203 | ||||||
Credit Suisse International | 158,063 | — | — | 158,063 | ||||||
HSBC Securities (USA), Inc. | 180,947 | — | — | 180,947 | ||||||
JPMorgan Chase Bank, National Association | 25,285 | (25,285) | — | — | ||||||
Total | $ | 528,843 | $ | (25,285) | $ | — | $ | 503,558 | ||
(a) | Represents the amount of assets or liabilities that could be offset with the same counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities. | |||||||||
(b) | Collateral pledged is limited to the net outstanding amount due to/from an individual counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value. |
JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. See “Securities Lending” in the “Notes to Financial Statements” for additional information.
The Portfolio generally does not exchange collateral on its forward foreign currency contracts with its counterparties; however, all liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Certain securities may be segregated at the Portfolio’s custodian. These segregated securities are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their cover and/or market value equals or exceeds the Portfolio’s corresponding forward foreign currency exchange contract's obligation value.
The Portfolio may require the counterparty to pledge securities as collateral daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized gain on OTC derivative contracts with a particular counterparty. The Portfolio may deposit cash as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. The collateral amounts are subject to minimum exposure requirements and initial margin requirements. Collateral amounts are monitored and subsequently adjusted up or down as valuations fluctuate by at least the minimum exposure requirement. Collateral may reduce the risk of loss.
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. Effective December 16, 2019, JPMorgan Chase Bank, National Association replaced Deutsche Bank AG as securities lending agent for the Portfolio. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of December 31, 2019, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $4,805,118. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2019 is $4,902,400, resulting in the net amount due to the counterparty of $97,282.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.64% of its average daily net assets.
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $40,392 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2019 are included in “Non-interested
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Notes to Financial Statements
Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $468,050 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2019, the Portfolio engaged in cross trades amounting to $442,227 in sales, resulting in a net realized gain of $129,305. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
5. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation, derivatives, and foreign currency contract adjustments. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Loss Deferrals | Other Book | Net Tax | |||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | to Tax | Appreciation/ | |
$ 1,030,687 | $ 110,296,233 | $ - | $ - | $ - | $ (38,957) | $667,542,703 |
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 952,596,985 | $675,296,089 | $ (7,753,386) | $ 667,542,703 |
Information on the tax components of derivatives as of December 31, 2019 is as follows:
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ (528,843) | $ - | $ - | $ - |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions,
and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
For the year ended December 31, 2019 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 1,802,648 | $ 85,522,711 | $ - | $ - |
For the year ended December 31, 2018 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 2,472,586 | $ 58,630,191 | $ - | $ - |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed | Increase/(Decrease) to Undistributed |
$ (64) | $ (2,090,274) | $ 2,090,338 |
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements
6. Capital Share Transactions
Year ended December 31, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 1,542,514 | $123,201,744 | 1,094,919 | $ 81,180,091 | ||
Reinvested dividends and distributions | 533,515 | 41,927,038 | 411,872 | 30,474,258 | ||
Shares repurchased | (1,435,966) | (114,495,329) | (1,648,195) | (121,740,045) | ||
Net Increase/(Decrease) | 640,063 | $ 50,633,453 |
| (141,404) | $ (10,085,696) | |
Service Shares: | ||||||
Shares sold | 2,323,035 | $172,829,765 | 2,327,514 | $162,490,283 | ||
Reinvested dividends and distributions | 617,488 | 45,398,321 | 439,794 | 30,628,519 | ||
Shares repurchased | (2,013,680) | (149,757,904) | (1,750,080) | (121,952,201) | ||
Net Increase/(Decrease) | 926,843 | $ 68,470,182 |
| 1,017,228 | $ 71,166,601 |
7. Purchases and Sales of Investment Securities
For the year ended December 31, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$188,567,288 | $ 196,054,210 | $ - | $ - |
8. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Janus Henderson VIT Enterprise Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Enterprise Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Enterprise Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s 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 Portfolio 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 of these financial statements 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 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. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 14, 2020
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. Historically, the Portfolio filed its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters each fiscal year on Form N-Q. The Portfolio’s Form N-PORT and Form N-Q filings: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 5, 2019, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2020 through February 1, 2021, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons, any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
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Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2019, approximately 69% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2019, approximately 71% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
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Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the third Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital and Intech had taken or were taking to improve performance, and the performance trend was improving.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory and any administration, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of their respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 7% under the average management fees for their Expense Groups. The Trustees also considered the total expenses for each share class of
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Additional Information (unaudited)
each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 11 of 12 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) six of nine Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2018, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
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Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 64% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge expense group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a
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Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with
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Useful Information About Your Portfolio Report (unaudited)
generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2019:
| |
Capital Gain Distributions | $85,522,711 |
Dividends Received Deduction Percentage | 100% |
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Trustees and Officers (unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years).
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by Janus Capital: Janus Investment Fund. Collectively, these two registered investment companies consist of 58 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of Janus Capital. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant. Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 58 | Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (since 2016), Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). |
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 58 | Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
44 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Venture Partner for The Edgewater Funds (a middle market private equity firm) (2002-2004), Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
Janus Aspen Series | 45 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016), and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (since 2016). Formerly, Senior Vice President (2011-2015), Albright Stonebridge Group LLC, and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 58 | Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
William M. Fitzgerald, Sr. 151 Detroit Street Denver, CO 80206 DOB: 1964 | Trustee | 9/19-Present | Founder, Fitzgerald Asset Management LLC (since 2012). Formerly, Founder and Chief Investment Officer, Global Infrastructure Asset Management LLC (2008-2017), Chief Investment Officer of Nuveen Asset Management (2000-2007), and Managing Director, Nuveen Investment LLC (1988-2007). | 58 | Board of Directors, Municipal Securities Rulemaking Board (since 2017). Formerly, Board of Directors of Syncora Holdings Ltd, Syncora Guarantee Inc., and Syncora Capital Assurance Inc. (2009-2016), and Trustee, Destra Investment Trust (2010-2014). |
46 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 58 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013) and West Bend Mutual Insurance Company (property/casualty insurance) (since 2013). Formerly, Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
William D. Stewart* 151 Detroit Street Denver, CO 80206 DOB: 1944 | Trustee | 6/84-Present | Retired. Formerly, President and founder of HPS Products and Corporate Vice President of MKS Instruments, Boulder, CO (a provider of advanced process control systems for the semiconductor industry) (1976-2012). | 58 | None |
*William D. Stewart retired from his role as Independent Trustee, effective December 31, 2019. |
Janus Aspen Series | 47 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. | 58 | Formerly, Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017), Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006), and Treasurer for Driehaus Mutual Funds (1996-2002). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 58 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), Shirley Ryan Ability Lab and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019), Director of Walmart (until 2017), Director of Chicago Convention & Tourism Bureau (until 2014), and The Field Museum of Natural History (Chicago, IL) (until 2014). |
48 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Brian Demain | Executive Vice President and Co-Portfolio Manager Janus Henderson Enterprise Portfolio | 11/07-Present | Portfolio Manager for other Janus Henderson accounts. |
Cody Wheaton | Executive Vice President and Co-Portfolio Manager | 7/16-Present | Portfolio Manager for other Janus |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | Executive Vice President, Head of North America at Janus Henderson Investors and Janus Capital Management LLC (since 2017), Executive Vice President and Director of Janus International Holding LLC (since 2011), Executive Vice President of Janus Distributors LLC (since 2011), Vice President and Director of Intech Investment Management LLC (since 2011), Executive Vice President and Director of Perkins Investment Management LLC (since 2011), and President and Director of Janus Management Holdings Corporation (since 2011). Formerly, President of Janus Capital Group Inc. and Janus Capital Management LLC (2013-2017), Executive Vice President of Janus Services LLC (2011-2015), Janus Capital Group Inc. and Janus Capital Management LLC (2011-2013), and Chief Financial Officer of Janus Capital Group Inc., Janus Capital Management LLC, Janus Distributors LLC, Janus Management Holdings Corporation, and Janus Services LLC (2011-2013). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
Janus Aspen Series | 49 |
Janus Henderson VIT Enterprise Portfolio
Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Susan K. Wold | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 9/17-Present | Head of Compliance, North America for Janus Henderson (since September 2017). Formerly, Vice President, Head of Global Corporate Compliance, and Chief Compliance Officer for Janus Capital Management LLC (May 2017-September 2017), Vice President, Compliance at Janus Capital Group Inc. and Janus Capital Management LLC (2005-2017). |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
Kathryn L. Santoro | Vice President, Chief Legal Counsel, and Secretary | 12/16-Present | Assistant General Counsel of Janus Capital (since 2016). Formerly, Vice President and Associate Counsel of Curian Capital, LLC and Curian Clearing LLC (2013-2016), and General Counsel and Secretary (2011-2012) and Vice President (2009-2012) of Old Mutual Capital, Inc. |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
50 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes
NotesPage1
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Janus Henderson VIT Enterprise Portfolio
Notes
NotesPage2
52 | DECEMBER 31, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes
NotesPage3
Janus Aspen Series | 53 |
Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-02-81116 02-20 |
ANNUAL REPORT December 31, 2019 | |||||
Janus Henderson VIT Flexible Bond Portfolio | |||||
Janus Aspen Series | |||||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. 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 Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
| |||||
HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Flexible Bond Portfolio
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
PERFORMANCE OVERVIEW
During the 12-month period ending December 31, 2019, Janus Henderson VIT Flexible Bond Portfolio’s Institutional Shares and Service Shares returned 9.57% and 9.28%, respectively, compared with 8.72% for the Portfolio’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index.
INVESTMENT ENVIRONMENT
The Bloomberg Barclays U.S. Aggregate Bond Index gained 8.72% over the year. Investment-grade corporate bonds led the index higher. The Federal Reserve’s (Fed) about-face toward more accommodative monetary policy supported riskier assets over the period. Still-weak global manufacturing data and setbacks in U.S.-China trade negotiations caused some volatility, the latter raising fear that trade tensions could dent an already-slowing global economy. But positive sentiment prevailed amid consumer strength and optimism that the three rate cuts by the Fed would stabilize the U.S. economy. A partial truce between the U.S. and China and long-awaited clarity on Brexit created additional optimism late in the period. Corporate credit spreads (yields over Treasuries) on both investment-grade and high-yield corporate bonds fluctuated but ultimately finished back near the tightest levels of this credit cycle. Treasuries also rallied as investors expressed uncertainty on the economic outlook, with the yield on the 10-year note closing the period at 1.92%, down from 2.68% in December 2018.
PERFORMANCE DISCUSSION
The tailwind we expected from the Fed’s accommodative pivot and its intention to “act as appropriate” to sustain the economic expansion led us to reduce Treasuries and add to our U.S.-based corporate credit allocation, primarily in the investment-grade sector. Our expectation for limited net new issuance coupled with strong demand amid investors’ search for yield also contributed to our decision to raise our allocation off a multi-year low. As the year progressed, however, we grew mindful of strong performance and less-attractive valuations and sought to diversify our corporate risk exposure by adding to other credit products, particularly mortgage-backed securities. We appreciate that the asset class is tied to the strength of the consumer and sought to capitalize on its attractive valuations near period end, ending overweight the asset class relative to the index.
As corporate bonds posted robust returns, the Portfolio’s overweight allocation to investment-grade corporate credit and an out-of-index allocation to high yield benefited relative performance. Security selection and our focus on companies that prioritize sound fundamentals and deleveraging their balance sheets also aided returns. At the industry level, our food and beverage holdings contributed to performance. A position in Campbell’s Soup was a top individual contributor. The company began executing asset sales, and bonds benefited from Campbell’s plans to use the proceeds for deleveraging.
While our electric utilities holdings generated positive performance, they did not keep up with the broad sector and were a relative detractor due to the generally shorter-dated nature of our holdings. On a single-name basis, a position in network infrastructure provider CommScope was challenged amid trade policy uncertainty when the need to shift production from China to other regions weighed on the name. We exited our position intra-period.
At the asset class level, positioning in Treasuries was a strong contributor, as a bias to long-dated Treasuries performed well during the rally in rates. Although we reduced exposure to floating-rate securities early in the period, a move that ultimately benefited performance, some of our earlier exposure to shorter-dated and floating-rate securities, including collateralized mortgage obligations and asset-backed securities, weighed on results. The Portfolio’s modest cash balance also held back performance. Cash is not used as a strategy within the Portfolio but is a residual of our fundamental, bottom-up investment process.
Janus Aspen Series | 1 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
OUTLOOK
We remain positive on the U.S. fixed income markets, but our outlook for returns is subdued in comparison to 2019. Labor markets and consumer incomes will be important signposts to monitor as we expect stabilization of growth at lower levels, and both geopolitics and the ebb and flow of sentiment shifts will likely cause moments of market volatility. But our base case remains that subdued growth, contained inflation and a strong U.S. consumer – amid the swath of negative-yielding debt globally – should provide stability to the Treasury market and support to the credit markets.
Sector and security selection, however, remain particularly important. Given the relative tightness in corporate bond spreads, we are biased toward higher-quality, cash-flow-generative business models and issuers that are focused on balance sheet improvement. And given the U.S. presidential election could result in significant impact on a variety of industry sectors – including banking, health care and energy – we believe there is a need for diversification of risks at the sector, industry and company levels. As we seek diverse yield sources, we are looking to asset- and mortgage-backed securities tied to the strength of the consumer to offer attractive risk/reward in 2020. Across the fixed income spectrum, we remain committed to our in-depth, bottom-up research and astute security selection as we strive to deliver strong risk-adjusted returns.
Thank you for your investment in Janus Henderson VIT Flexible Bond Portfolio.
2 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
Fund Profile |
|
|
30-day Current Yield* | Without | With |
Institutional Shares | 2.00% | 2.00% |
Service Shares | 1.76% | 1.76% |
Weighted Average Maturity | 8.1 Years | |
Average Effective Duration** | 5.8 Years | |
* Yield will fluctuate. | ||
** A theoretical measure of price volatility. |
Ratings† Summary - (% of Total Investments) |
|
AAA | 0.1% |
AA | 44.6% |
A | 10.2% |
BBB | 34.7% |
BB | 3.0% |
B | 1.0% |
Not Rated | 5.7% |
Other | 0.7% |
† Credit ratings provided by Standard & Poor's (S&P), an independent credit rating agency. Credit ratings range from AAA (highest) to D (lowest) based on S&P's measures. Further information on S&P's rating methodology may be found at www.standardandpoors.com. Other rating agencies may rate the same securities differently. Ratings are relative and subjective and are not absolute standards of quality. Credit quality does not remove market risk and is subject to change. "Not Rated" securities are not rated by S&P, but may be rated by other rating agencies and do not necessarily indicate low quality. "Other" includes cash equivalents, equity securities, and certain derivative instruments. |
Asset Allocation - (% of Net Assets) | |||||
Corporate Bonds | 45.2% | ||||
Mortgage-Backed Securities | 28.9% | ||||
United States Treasury Notes/Bonds | 14.6% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 9.9% | ||||
Investment Companies | 4.4% | ||||
Preferred Stocks | 0.2% | ||||
Other | (3.2)% | ||||
100.0% |
Janus Aspen Series | 3 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| |||||||||
Average Annual Total Return - for the periods ended December 31, 2019 |
|
| Expense Ratios | ||||||
|
| One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 9.57% | 2.91% | 4.21% | 6.17% |
|
| 0.61% | |
Service Shares |
| 9.28% | 2.64% | 3.94% | 5.93% |
|
| 0.86% | |
Bloomberg Barclays U.S. Aggregate Bond Index |
| 8.72% | 3.05% | 3.75% | 5.15% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| 2nd | 3rd | 3rd | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Intermediate Core - Plus Bond Funds |
| 227/623 | 345/527 | 250/460 | 8/184 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for indexfor index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
4 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See “Useful Information About Your Portfolio Report.”
Effective December 31, 2019, Michael Keough and Mayur Saigal are Co-Portfolio Managers of the Portfolio. Effective on or about February 1, 2020, Michael Keough and Greg Wilensky are Co-Portfolio Managers of the Portfolio.
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
Janus Aspen Series | 5 |
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, 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 appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,031.60 | $3.12 |
| $1,000.00 | $1,022.13 | $3.11 | 0.61% | ||
Service Shares | $1,000.00 | $1,029.50 | $4.40 |
| $1,000.00 | $1,020.87 | $4.38 | 0.86% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
6 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 9.9% | |||||||
Angel Oak Mortgage Trust I LLC 2018-2, 3.6740%, 7/27/48 (144A)‡ | $227,020 | $228,383 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.1940%, 6/7/49 (144A) | 1,230,000 | 1,245,199 | |||||
Arroyo Mortgage Trust 2018-1, 3.7630%, 4/25/48 (144A)‡ | 422,276 | 426,057 | |||||
BANK 2019-BNK24, 2.9600%, 11/15/62 | 236,800 | 242,354 | |||||
BBCMS 2018-TALL Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.7220%, 2.4618%, 3/15/37 (144A)‡ | 916,000 | 911,310 | |||||
BBCMS Trust 2015-SRCH, 4.1970%, 8/10/35 (144A) | 1,447,000 | 1,586,414 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 2.4898%, 11/15/35 (144A)‡ | 1,314,648 | 1,313,506 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 0.9200%, 2.6598%, 10/15/36 (144A)‡ | 1,383,000 | 1,384,247 | |||||
BX Commercial Mortgage Trust 2019-XL, | |||||||
ICE LIBOR USD 1 Month + 1.0800%, 2.8198%, 10/15/36 (144A)‡ | 230,000 | 230,228 | |||||
BX Trust 2019-OC11, 3.2020%, 12/9/41 (144A) | 1,227,000 | 1,257,703 | |||||
BX Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 614,000 | 628,537 | |||||
BX Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 614,000 | 630,632 | |||||
BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A) | 920,000 | 935,501 | |||||
BX Trust 2019-OC11, 4.0755%, 12/9/41 (144A) | 234,000 | 225,865 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 696,000 | 729,189 | |||||
Chase Home Lending Mortgage Trust 2019-ATR2, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 7/25/49 (144A)‡ | 224,228 | 223,274 | |||||
Connecticut Avenue Securities Trust 2019-R03, | |||||||
ICE LIBOR USD 1 Month + 2.1500%, 3.9420%, 9/25/31 (144A)‡ | 1,032,121 | 1,038,132 | |||||
Connecticut Avenue Securities Trust 2019-R04, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 3.8920%, 6/25/39 (144A)‡ | 369,000 | 371,163 | |||||
Connecticut Avenue Securities Trust 2019-R05, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 3.7920%, 7/25/39 (144A)‡ | 548,721 | 552,091 | |||||
Connecticut Avenue Securities Trust 2019-R07, | |||||||
ICE LIBOR USD 1 Month + 2.1000%, 3.8920%, 10/25/39 (144A)‡ | 133,000 | 134,274 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 563,000 | 577,250 | |||||
DB Master Finance LLC, 3.7870%, 5/20/49 (144A) | 578,095 | 589,879 | |||||
DB Master Finance LLC, 4.0210%, 5/20/49 (144A) | 233,825 | 238,818 | |||||
DB Master Finance LLC, 4.3520%, 5/20/49 (144A) | 462,675 | 481,534 | |||||
Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A) | 232,260 | 232,348 | |||||
Domino's Pizza Master Issuer LLC, 4.1180%, 7/25/47 (144A) | 233,240 | 241,723 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 1,079,338 | 1,105,906 | |||||
Domino's Pizza Master Issuer LLC, 4.3280%, 7/25/48 (144A) | 217,250 | 225,320 | |||||
Domino's Pizza Master Issuer LLC, 3.6680%, 10/25/49 (144A) | 2,006,000 | 2,002,148 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 1,590,000 | 1,631,865 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 1,400,000 | 1,440,326 | |||||
Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A) | 508,000 | 515,624 | |||||
Drive Auto Receivables Trust 2019-1, 4.0900%, 6/15/26 | 220,000 | 225,843 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 2.9420%, 9/25/29‡ | 42,734 | 42,765 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.9500%, 2.7420%, 10/25/29‡ | 58,853 | 58,921 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.6000%, 2.3920%, 7/25/30‡ | 184,673 | 184,631 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.7200%, 2.5120%, 1/25/31‡ | 30,879 | 30,881 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 2.0000%, 3.7920%, 3/25/31‡ | 1,320,842 | 1,323,201 | |||||
Fannie Mae Connecticut Avenue Securities 2018-C04, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 2.5420%, 2/25/30‡ | 17,102 | 17,101 | |||||
Fannie Mae Pool, 3.0000%, 10/1/49 | 319,278 | 323,870 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 1,978,862 | 2,021,960 | |||||
Fannie Mae REMICS, 3.0000%, 11/25/49 | 2,242,062 | 2,297,655 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | |||||||
ICE LIBOR USD 1 Month + 1.2000%, 2.9920%, 7/25/29‡ | 178,249 | 178,562 | |||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, | |||||||
ICE LIBOR USD 1 Month + 1.8000%, 3.5920%, 7/25/30‡ | $1,001,959 | $1,002,984 | |||||
Great Wolf Trust, 2.7560%, 12/15/36 (144A) | 293,000 | 292,558 | |||||
Great Wolf Trust, 3.0560%, 12/15/36 (144A) | 328,000 | 327,625 | |||||
Great Wolf Trust, 3.3550%, 12/15/36 (144A) | 365,000 | 364,570 | |||||
Great Wolf Trust, 3.6550%, 12/15/36 (144A) | 280,000 | 279,741 | |||||
Jack in the Box Funding, LLC 2019-1A A23, 4.9700%, 8/25/49 (144A) | 1,191,000 | 1,213,539 | |||||
Jack in the Box Funding, LLC 2019-1A A2I, 3.9820%, 8/25/49 (144A) | 1,191,000 | 1,199,292 | |||||
Jack in the Box Funding, LLC 2019-1A A2II, 4.4760%, 8/25/49 (144A) | 1,191,000 | 1,201,234 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 11/25/49 (144A)‡ | 147,756 | 147,310 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 12/25/49 (144A)‡ | 245,937 | 240,530 | |||||
JP Morgan Mortgage Trust 2019-7, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 2/25/50 (144A)‡ | 448,302 | 446,939 | |||||
JP Morgan Mortgage Trust 2019-LTV2, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 12/25/49 (144A)‡ | 625,511 | 622,977 | |||||
Mello Warehouse Securitization Trust 2018-1, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 2.6420%, 11/25/51 (144A)‡ | 1,772,000 | 1,772,877 | |||||
New Residential Mortgage Loan Trust 2018-2, 4.5000%, 2/25/58 (144A)‡ | 531,019 | 554,910 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 254,000 | 259,688 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 252,000 | 261,530 | |||||
Planet Fitness Master Issuer LLC, 3.8580%, 12/5/49 (144A) | 959,000 | 946,030 | |||||
PRPM 2019-GS1, 3.5000%, 10/25/24 (144A)‡ | 616,414 | 615,429 | |||||
PRPM LLC, 3.3510%, 11/25/24 (144A)Ç | 570,000 | 569,943 | |||||
Santander Drive Auto Receivables Trust 2016-3, 4.2900%, 2/15/24 | 1,868,000 | 1,898,128 | |||||
Santander Drive Auto Receivables Trust 2018-1, 4.3700%, 5/15/25 (144A) | 2,500,000 | 2,538,488 | |||||
Station Place Securitization Trust Series 2019-10, 2.6799%, 10/24/20‡ | 2,316,000 | 2,316,007 | |||||
Station Place Securitization Trust Series 2019-4, 2.6799%, 6/24/20‡ | 2,254,000 | 2,255,324 | |||||
Station Place Securitization Trust Series 2019-WL1, | |||||||
ICE LIBOR USD 1 Month + 1.2000%, 2.9080%, 8/25/52 (144A)‡ | 439,000 | 439,058 | |||||
Station Place Securitization Trust Series 2019-WL1, | |||||||
ICE LIBOR USD 1 Month + 1.4000%, 3.1080%, 8/25/52 (144A)‡ | 888,000 | 888,118 | |||||
Taco Bell Funding LLC, 4.9400%, 11/25/48 (144A) | 216,810 | 232,646 | |||||
Towd Point Asset Funding, LLC 2019-HE1 A1, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 2.6920%, 4/25/48 (144A)‡ | 892,181 | 896,021 | |||||
Wendy's Funding LLC, 3.5730%, 3/15/48 (144A) | 389,060 | 392,674 | |||||
Wendy's Funding LLC, 3.8840%, 3/15/48 (144A) | 105,840 | 107,472 | |||||
Wendy's Funding LLC, 3.7830%, 6/15/49 (144A) | 576,105 | 587,954 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $54,808,360) | 55,153,786 | ||||||
Corporate Bonds – 45.2% | |||||||
Banking – 7.0% | |||||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0600%, 3.5590%, 4/23/27‡ | 2,421,000 | 2,556,929 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 2,742,000 | 2,928,719 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.2100%, 3.9740%, 2/7/30‡ | 1,686,000 | 1,852,136 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 2.2350%, 4.7050%, 1/10/25 (144A)‡ | 835,000 | 903,815 | |||||
BNP Paribas SA, ICE LIBOR USD 3 Month + 1.1110%, 2.8190%, 11/19/25 (144A)‡ | 567,000 | 573,194 | |||||
CIT Bank NA, SOFR + 1.7150%, 2.9690%, 9/27/25‡ | 1,348,000 | 1,344,630 | |||||
CIT Group Inc, 5.2500%, 3/7/25 | 565,000 | 621,500 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 1,719,000 | 1,850,365 | |||||
Citigroup Inc, SOFR + 1.4220%, 2.9760%, 11/5/30‡ | 1,617,000 | 1,639,670 | |||||
Citizens Financial Group Inc, 3.7500%, 7/1/24 | 613,000 | 636,139 | |||||
Citizens Financial Group Inc, 4.3500%, 8/1/25 | 427,000 | 459,791 | |||||
Citizens Financial Group Inc, 4.3000%, 12/3/25 | 1,435,000 | 1,540,670 | |||||
Credit Suisse Group AG, 4.2820%, 1/9/28 (144A) | 1,291,000 | 1,403,220 | |||||
Goldman Sachs Group Inc, | |||||||
US Treasury Yield Curve Rate + 3.2240%, 4.9500%‡,µ | 860,000 | 890,960 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 2,660,000 | 2,884,213 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3300%, 4.4520%, 12/5/29‡ | 3,607,000 | 4,099,635 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Banking – (continued) | |||||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.1600%, 3.7020%, 5/6/30‡ | $1,484,000 | $1,596,559 | |||||
JPMorgan Chase & Co, SOFR + 1.5100%, 2.7390%, 10/15/30‡ | 1,128,000 | 1,126,383 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 1,526,000 | 1,635,461 | |||||
Morgan Stanley, ICE LIBOR USD 3 Month + 1.6280%, 4.4310%, 1/23/30‡ | 2,749,000 | 3,105,141 | |||||
Synchrony Financial, 4.3750%, 3/19/24 | 312,000 | 332,634 | |||||
Synchrony Financial, 3.9500%, 12/1/27 | 1,584,000 | 1,662,937 | |||||
Synchrony Financial, 5.1500%, 3/19/29 | 1,389,000 | 1,578,476 | |||||
Wells Fargo & Co, ICE LIBOR USD 3 Month + 1.1700%, 2.8790%, 10/30/30‡ | 1,943,000 | 1,953,539 | |||||
39,176,716 | |||||||
Basic Industry – 1.6% | |||||||
Allegheny Technologies Inc, 5.8750%, 12/1/27 | 1,145,000 | 1,202,250 | |||||
Constellium NV, 5.7500%, 5/15/24 (144A) | 1,428,000 | 1,467,270 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 2,870,000 | 2,923,358 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 1,564,000 | 1,652,205 | |||||
Steel Dynamics Inc, 5.5000%, 10/1/24 | 403,000 | 415,127 | |||||
WRKCo Inc, 4.9000%, 3/15/29 | 992,000 | 1,127,605 | |||||
8,787,815 | |||||||
Beverages – 0.3% | |||||||
Diageo Capital PLC, 2.3750%, 10/24/29 | 1,434,000 | 1,412,700 | |||||
Brokerage – 0.8% | |||||||
Cboe Global Markets Inc, 3.6500%, 1/12/27 | 1,546,000 | 1,658,741 | |||||
Raymond James Financial Inc, 5.6250%, 4/1/24 | 516,000 | 581,024 | |||||
Raymond James Financial Inc, 4.9500%, 7/15/46 | 1,723,000 | 2,008,688 | |||||
4,248,453 | |||||||
Capital Goods – 2.4% | |||||||
Ball Corp, 4.3750%, 12/15/20 | 1,174,000 | 1,198,642 | |||||
Boeing Co, 2.2500%, 6/15/26 | 291,000 | 287,166 | |||||
Boeing Co, 3.2500%, 3/1/28 | 262,000 | 272,537 | |||||
Boeing Co, 3.2000%, 3/1/29 | 1,958,000 | 2,039,221 | |||||
Boeing Co, 3.6000%, 5/1/34 | 1,447,000 | 1,547,545 | |||||
General Electric Co, 6.7500%, 3/15/32 | 661,000 | 847,862 | |||||
Huntington Ingalls Industries Inc, 5.0000%, 11/15/25 (144A) | 2,760,000 | 2,884,200 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 1,276,000 | 1,354,704 | |||||
Wabtec Corp, 3.4500%, 11/15/26 | 861,000 | 870,188 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 2,133,000 | 2,345,116 | |||||
13,647,181 | |||||||
Communications – 5.1% | |||||||
AT&T Inc, 3.6000%, 7/15/25 | 150,000 | 158,635 | |||||
AT&T Inc, 4.3500%, 3/1/29 | 1,290,000 | 1,433,234 | |||||
AT&T Inc, 4.8500%, 3/1/39 | 1,058,000 | 1,217,402 | |||||
AT&T Inc, 4.7500%, 5/15/46 | 1,205,000 | 1,359,775 | |||||
CenturyLink Inc, 6.4500%, 6/15/21 | 928,000 | 971,384 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 516,000 | 542,455 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 5.0500%, 3/30/29 | 2,610,000 | 2,957,586 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 6.4840%, 10/23/45 | 302,000 | 376,618 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 5.3750%, 5/1/47 | 242,000 | 270,744 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 4.8000%, 3/1/50 | 1,369,000 | 1,438,595 | |||||
Comcast Corp, 3.1500%, 3/1/26 | 165,000 | 172,820 | |||||
Comcast Corp, 4.1500%, 10/15/28 | 358,000 | 402,709 | |||||
Comcast Corp, 2.6500%, 2/1/30 | 581,000 | 582,595 | |||||
Comcast Corp, 4.2500%, 10/15/30 | 1,153,000 | 1,316,373 | |||||
Comcast Corp, 4.6000%, 10/15/38 | 800,000 | 951,549 | |||||
Comcast Corp, 4.9500%, 10/15/58 | 824,000 | 1,069,905 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 653,000 | 690,261 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Communications – (continued) | |||||||
Crown Castle International Corp, 4.3000%, 2/15/29 | $807,000 | $893,241 | |||||
Crown Castle International Corp, 3.1000%, 11/15/29 | 1,665,000 | 1,683,682 | |||||
CSC Holdings LLC, 6.5000%, 2/1/29 (144A) | 1,275,000 | 1,421,625 | |||||
Level 3 Financing Inc, 3.8750%, 11/15/29 (144A) | 1,523,000 | 1,534,422 | |||||
T-Mobile USA Inc, 6.3750%, 3/1/25 | 1,562,000 | 1,614,061 | |||||
Verizon Communications Inc, 2.6250%, 8/15/26 | 982,000 | 996,241 | |||||
Verizon Communications Inc, 4.3290%, 9/21/28 | 1,428,000 | 1,618,537 | |||||
Verizon Communications Inc, 4.8620%, 8/21/46 | 479,000 | 592,826 | |||||
Verizon Communications Inc, 4.5220%, 9/15/48 | 353,000 | 422,215 | |||||
Viacom Inc, 5.8500%, 9/1/43 | 1,551,000 | 1,938,232 | |||||
28,627,722 | |||||||
Consumer Cyclical – 4.3% | |||||||
AutoZone Inc, 3.7500%, 4/18/29 | 1,214,000 | 1,284,368 | |||||
Choice Hotels International Inc, 3.7000%, 12/1/29 | 1,179,000 | 1,187,595 | |||||
Experian Finance PLC, 2.7500%, 3/8/30 (144A) | 2,862,000 | 2,815,299 | |||||
General Motors Co, 4.2000%, 10/1/27 | 438,000 | 457,567 | |||||
General Motors Co, 5.0000%, 10/1/28 | 1,113,000 | 1,211,023 | |||||
General Motors Co, 5.4000%, 4/1/48 | 464,000 | 479,253 | |||||
General Motors Co, 5.9500%, 4/1/49 | 359,000 | 396,914 | |||||
General Motors Financial Co Inc, 4.3500%, 4/9/25 | 843,000 | 902,763 | |||||
General Motors Financial Co Inc, 4.3000%, 7/13/25 | 276,000 | 294,804 | |||||
General Motors Financial Co Inc, 4.3500%, 1/17/27 | 748,000 | 785,534 | |||||
GLP Capital LP / GLP Financing II Inc, 3.3500%, 9/1/24 | 228,000 | 232,722 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 440,000 | 482,944 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 512,000 | 565,965 | |||||
GLP Capital LP / GLP Financing II Inc, 4.0000%, 1/15/30 | 1,539,000 | 1,570,857 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,034,000 | 1,101,665 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 1,793,000 | 1,958,709 | |||||
IHS Markit Ltd, 4.0000%, 3/1/26 (144A) | 559,000 | 589,443 | |||||
McDonald's Corp, 2.6250%, 9/1/29 | 1,437,000 | 1,436,895 | |||||
McDonald's Corp, 3.6250%, 9/1/49 | 732,000 | 742,087 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 1,101,000 | 1,197,337 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 281,000 | 313,315 | |||||
Nordstrom Inc, 4.3750%, 4/1/30 | 1,408,000 | 1,433,893 | |||||
O'Reilly Automotive Inc, 3.6000%, 9/1/27 | 31,000 | 33,052 | |||||
O'Reilly Automotive Inc, 4.3500%, 6/1/28 | 237,000 | 264,295 | |||||
O'Reilly Automotive Inc, 3.9000%, 6/1/29 | 1,384,000 | 1,510,397 | |||||
Starbucks Corp, 4.4500%, 8/15/49 | 903,000 | 1,044,082 | |||||
24,292,778 | |||||||
Consumer Non-Cyclical – 8.4% | |||||||
AbbVie Inc, 2.6000%, 11/21/24 (144A) | 854,000 | 858,889 | |||||
AbbVie Inc, 2.9500%, 11/21/26 (144A) | 900,000 | 913,459 | |||||
AbbVie Inc, 3.2000%, 11/21/29 (144A) | 838,000 | 851,973 | |||||
AbbVie Inc, 4.0500%, 11/21/39 (144A) | 1,038,000 | 1,096,968 | |||||
AbbVie Inc, 4.2500%, 11/21/49 (144A) | 598,000 | 629,361 | |||||
Allergan Finance LLC, 3.2500%, 10/1/22 | 958,000 | 978,696 | |||||
Allergan Funding SCS, 3.4500%, 3/15/22 | 1,316,000 | 1,345,689 | |||||
Allergan Funding SCS, 3.8000%, 3/15/25 | 1,089,000 | 1,143,366 | |||||
Allergan Inc/United States, 2.8000%, 3/15/23 | 75,000 | 75,547 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.7500%, 1/23/29 | 2,099,000 | 2,429,923 | |||||
Boston Scientific Corp, 3.7500%, 3/1/26 | 704,000 | 753,885 | |||||
Boston Scientific Corp, 4.0000%, 3/1/29 | 366,000 | 404,519 | |||||
Boston Scientific Corp, 4.7000%, 3/1/49 | 587,000 | 712,067 | |||||
Bristol-Myers Squibb Co, 3.4000%, 7/26/29 (144A) | 634,000 | 677,521 | |||||
Bristol-Myers Squibb Co, 4.1250%, 6/15/39 (144A) | 458,000 | 527,298 | |||||
Bristol-Myers Squibb Co, 4.2500%, 10/26/49 (144A) | 786,000 | 930,081 | |||||
Campbell Soup Co, 3.9500%, 3/15/25 | 227,000 | 241,654 | |||||
Campbell Soup Co, 4.1500%, 3/15/28 | 1,130,000 | 1,225,362 | |||||
Campbell Soup Co, 4.8000%, 3/15/48 | 1,171,000 | 1,352,304 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Non-Cyclical – (continued) | |||||||
CVS Health Corp, 4.1000%, 3/25/25 | $2,020,000 | $2,166,737 | |||||
CVS Health Corp, 3.0000%, 8/15/26 | 169,000 | 172,224 | |||||
CVS Health Corp, 4.3000%, 3/25/28 | 1,413,000 | 1,541,916 | |||||
CVS Health Corp, 3.2500%, 8/15/29 | 273,000 | 277,064 | |||||
CVS Health Corp, 5.0500%, 3/25/48 | 911,000 | 1,076,329 | |||||
DH Europe Finance II Sarl, 2.2000%, 11/15/24 | 606,000 | 606,246 | |||||
DH Europe Finance II Sarl, 2.6000%, 11/15/29 | 332,000 | 330,286 | |||||
DH Europe Finance II Sarl, 3.4000%, 11/15/49 | 428,000 | 434,563 | |||||
Elanco Animal Health Inc, 4.2720%, 8/28/23 | 621,000 | 655,569 | |||||
Elanco Animal Health Inc, 4.9000%, 8/28/28 | 579,000 | 629,303 | |||||
General Mills Inc, 4.2000%, 4/17/28 | 1,629,000 | 1,813,652 | |||||
Hasbro Inc, 3.0000%, 11/19/24 | 670,000 | 672,827 | |||||
Hasbro Inc, 3.5500%, 11/19/26 | 890,000 | 895,264 | |||||
Hasbro Inc, 3.9000%, 11/19/29 | 2,398,000 | 2,412,375 | |||||
HCA Inc, 4.5000%, 2/15/27 | 1,456,000 | 1,568,676 | |||||
HCA Inc, 4.1250%, 6/15/29 | 3,512,000 | 3,721,420 | |||||
HCA Inc, 5.1250%, 6/15/39 | 636,000 | 701,902 | |||||
Keurig Dr Pepper Inc, 4.5970%, 5/25/28 | 1,404,000 | 1,574,685 | |||||
Keurig Dr Pepper Inc, 5.0850%, 5/25/48 | 570,000 | 684,677 | |||||
Kraft Heinz Foods Co, 3.0000%, 6/1/26 | 2,630,000 | 2,627,887 | |||||
Kraft Heinz Foods Co, 4.6250%, 1/30/29 | 496,000 | 544,988 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 1,108,000 | 1,089,057 | |||||
Mars Inc, 2.7000%, 4/1/25 (144A) | 710,000 | 725,857 | |||||
Mars Inc, 3.2000%, 4/1/30 (144A) | 840,000 | 888,391 | |||||
Mars Inc, 4.2000%, 4/1/59 (144A) | 795,000 | 905,923 | |||||
Mondelez International Holdings Netherlands BV, 2.2500%, 9/19/24 (144A) | 1,216,000 | 1,211,646 | |||||
47,078,026 | |||||||
Electric – 1.6% | |||||||
NRG Energy Inc, 3.7500%, 6/15/24 (144A) | 1,551,000 | 1,602,474 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 2,024,000 | 2,211,220 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 758,000 | 822,430 | |||||
Oncor Electric Delivery Co LLC, 3.7000%, 11/15/28 | 982,000 | 1,073,551 | |||||
Oncor Electric Delivery Co LLC, 3.8000%, 6/1/49 | 1,370,000 | 1,484,828 | |||||
PPL WEM Ltd / Western Power Distribution Ltd, 5.3750%, 5/1/21 (144A) | 1,336,000 | 1,375,149 | |||||
Vistra Operations Co LLC, 5.5000%, 9/1/26 (144A) | 611,000 | 647,660 | |||||
9,217,312 | |||||||
Energy – 4.1% | |||||||
Cheniere Corpus Christi Holdings LLC, 3.7000%, 11/15/29 (144A) | 2,591,000 | 2,642,256 | |||||
Continental Resources Inc/OK, 5.0000%, 9/15/22 | 1,437,000 | 1,446,576 | |||||
Continental Resources Inc/OK, 4.5000%, 4/15/23 | 900,000 | 939,807 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 1,015,000 | 1,122,929 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 106,000 | 119,044 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 172,000 | 188,252 | |||||
Energy Transfer Operating LP, 6.0000%, 6/15/48 | 1,131,000 | 1,316,091 | |||||
EQM Midstream Partners LP, 5.5000%, 7/15/28 | 1,531,000 | 1,503,071 | |||||
Hess Corp, 4.3000%, 4/1/27 | 1,334,000 | 1,422,534 | |||||
Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 1,974,000 | 1,998,675 | |||||
HollyFrontier Corp, 5.8750%, 4/1/26 | 1,222,000 | 1,376,474 | |||||
Kinder Morgan Inc/DE, 6.5000%, 9/15/20 | 84,000 | 86,565 | |||||
Kinder Morgan Inc/DE, 4.3000%, 3/1/28 | 378,000 | 411,911 | |||||
Kinder Morgan Inc/DE, 5.5500%, 6/1/45 | 376,000 | 449,471 | |||||
Kinder Morgan Inc/DE, 5.2000%, 3/1/48 | 250,000 | 289,464 | |||||
NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A) | 2,001,000 | 2,077,448 | |||||
NGPL PipeCo LLC, 4.8750%, 8/15/27 (144A) | 1,722,000 | 1,828,089 | |||||
Plains All American Pipeline LP / PAA Finance Corp, 4.6500%, 10/15/25 | 1,985,000 | 2,124,801 | |||||
Sabine Pass Liquefaction LLC, 4.2000%, 3/15/28 | 650,000 | 688,223 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
4.7500%, 10/1/23 (144A) | 968,000 | 965,580 | |||||
22,997,261 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Finance Companies – 0.6% | |||||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | $2,895,000 | $3,082,526 | |||||
Financial Institutions – 0.4% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 2,121,000 | 2,213,652 | |||||
Government Sponsored – 0.1% | |||||||
Petroleos Mexicanos, 6.8400%, 1/23/30 (144A) | 318,000 | 339,096 | |||||
Petroleos Mexicanos, 7.6900%, 1/23/50 (144A) | 291,000 | 317,580 | |||||
656,676 | |||||||
Industrial Conglomerates – 0.3% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 5.0000%‡,µ | 1,723,000 | 1,687,610 | |||||
Insurance – 1.2% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 707,000 | 777,163 | |||||
Centene Corp, 4.7500%, 5/15/22 | 124,000 | 126,480 | |||||
Centene Corp, 6.1250%, 2/15/24 | 1,641,000 | 1,702,537 | |||||
Centene Corp, 4.2500%, 12/15/27 (144A) | 1,501,000 | 1,544,154 | |||||
Centene Corp, 4.6250%, 12/15/29 (144A) | 2,256,000 | 2,377,486 | |||||
6,527,820 | |||||||
Real Estate Investment Trusts (REITs) – 0.7% | |||||||
CyrusOne LP / CyrusOne Finance Corp, 2.9000%, 11/15/24 | 681,000 | 683,615 | |||||
CyrusOne LP / CyrusOne Finance Corp, 3.4500%, 11/15/29 | 1,469,000 | 1,473,025 | |||||
Reckson Operating Partnership LP, 7.7500%, 3/15/20 | 1,681,000 | 1,699,517 | |||||
3,856,157 | |||||||
Technology – 6.3% | |||||||
Broadcom Corp / Broadcom Cayman Finance Ltd, 3.8750%, 1/15/27 | 166,000 | 172,251 | |||||
Broadcom Inc, 4.2500%, 4/15/26 (144A) | 894,000 | 949,860 | |||||
Broadcom Inc, 4.7500%, 4/15/29 (144A) | 848,000 | 927,219 | |||||
Broadridge Financial Solutions Inc, 2.9000%, 12/1/29 | 1,898,000 | 1,895,688 | |||||
Cadence Design Systems Inc, 4.3750%, 10/15/24 | 2,887,000 | 3,080,298 | |||||
Equifax Inc, 2.6000%, 12/1/24 | 1,954,000 | 1,964,438 | |||||
Equinix Inc, 2.6250%, 11/18/24 | 631,000 | 632,174 | |||||
Equinix Inc, 2.9000%, 11/18/26 | 528,000 | 528,924 | |||||
Equinix Inc, 3.2000%, 11/18/29 | 1,188,000 | 1,192,419 | |||||
Fidelity National Information Services Inc, 3.7500%, 5/21/29 | 420,000 | 459,187 | |||||
Global Payments Inc, 3.2000%, 8/15/29 | 389,000 | 396,737 | |||||
Global Payments Inc, 4.1500%, 8/15/49 | 293,000 | 312,462 | |||||
Keysight Technologies Inc, 3.0000%, 10/30/29 | 1,424,000 | 1,426,627 | |||||
Lam Research Corp, 4.0000%, 3/15/29 | 255,000 | 280,784 | |||||
Marvell Technology Group Ltd, 4.2000%, 6/22/23 | 619,000 | 653,276 | |||||
Marvell Technology Group Ltd, 4.8750%, 6/22/28 | 1,830,000 | 2,019,739 | |||||
Micron Technology Inc, 4.9750%, 2/6/26 | 582,000 | 645,586 | |||||
Micron Technology Inc, 5.3270%, 2/6/29 | 1,461,000 | 1,674,461 | |||||
PayPal Holdings Inc, 2.4000%, 10/1/24 | 670,000 | 676,230 | |||||
PayPal Holdings Inc, 2.6500%, 10/1/26 | 2,003,000 | 2,028,863 | |||||
PayPal Holdings Inc, 2.8500%, 10/1/29 | 2,358,000 | 2,369,835 | |||||
Qorvo Inc, 5.5000%, 7/15/26 | 984,000 | 1,047,960 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 2,691,000 | 2,991,347 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 2,757,000 | 2,975,867 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 2,747,000 | 2,997,331 | |||||
Verisk Analytics Inc, 5.5000%, 6/15/45 | 969,000 | 1,202,699 | |||||
35,502,262 | |||||||
Total Corporate Bonds (cost $239,557,094) | 253,012,667 | ||||||
Mortgage-Backed Securities – 28.9% | |||||||
Fannie Mae: | |||||||
3.0000%, 11/25/24 | 792,000 | 826,064 | |||||
3.5000%, 8/25/33 | 2,530,000 | 2,623,129 | |||||
4.0000%, 12/25/33 | 547,000 | 560,620 | |||||
3.5000%, 7/25/49 | 6,185,298 | 6,272,263 | |||||
10,282,076 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool: | |||||||
2.5000%, 9/1/34 | $21,864 | $22,136 | |||||
2.5000%, 9/1/34 | 17,024 | 17,236 | |||||
2.5000%, 10/1/34 | 478,676 | 484,640 | |||||
3.0000%, 10/1/34 | 248,263 | 255,670 | |||||
2.5000%, 11/1/34 | 225,798 | 228,751 | |||||
2.5000%, 1/1/35 | 1,345,221 | 1,357,515 | |||||
6.0000%, 2/1/37 | 119,136 | 137,661 | |||||
3.5000%, 10/1/42 | 589,144 | 620,220 | |||||
4.5000%, 11/1/42 | 98,013 | 106,472 | |||||
3.5000%, 12/1/42 | 1,306,190 | 1,375,087 | |||||
3.0000%, 1/1/43 | 38,983 | 40,161 | |||||
3.0000%, 2/1/43 | 46,880 | 48,234 | |||||
3.5000%, 2/1/43 | 1,879,758 | 1,978,909 | |||||
3.5000%, 2/1/43 | 464,886 | 489,409 | |||||
3.5000%, 3/1/43 | 1,364,649 | 1,436,635 | |||||
3.5000%, 4/1/43 | 658,221 | 692,942 | |||||
3.0000%, 5/1/43 | 250,508 | 257,353 | |||||
3.5000%, 11/1/43 | 1,498 | 1,577 | |||||
3.5000%, 4/1/44 | 691,743 | 734,256 | |||||
5.0000%, 7/1/44 | 820,918 | 899,976 | |||||
4.5000%, 10/1/44 | 198,583 | 219,099 | |||||
3.5000%, 2/1/45 | 2,408,856 | 2,535,926 | |||||
4.5000%, 3/1/45 | 319,186 | 352,163 | |||||
4.5000%, 6/1/45 | 187,906 | 203,608 | |||||
3.0000%, 10/1/45 | 469,500 | 481,444 | |||||
3.0000%, 10/1/45 | 288,206 | 295,538 | |||||
3.5000%, 12/1/45 | 592,823 | 629,976 | |||||
4.5000%, 2/1/46 | 384,437 | 417,615 | |||||
3.0000%, 3/1/46 | 3,289 | 3,366 | |||||
3.0000%, 3/1/46 | 2,329 | 2,384 | |||||
3.5000%, 7/1/46 | 1,170,014 | 1,233,436 | |||||
3.0000%, 9/1/46 | 958,399 | 985,954 | |||||
4.0000%, 10/1/46 | 45,413 | 47,912 | |||||
3.0000%, 11/1/46 | 242,087 | 248,283 | |||||
3.0000%, 11/1/46 | 240,245 | 246,394 | |||||
3.0000%, 2/1/47 | 12,927,201 | 13,298,878 | |||||
3.0000%, 2/1/47 | 1,793,209 | 1,850,013 | |||||
4.0000%, 5/1/47 | 344,403 | 362,140 | |||||
4.5000%, 5/1/47 | 69,497 | 75,399 | |||||
4.5000%, 5/1/47 | 55,726 | 59,817 | |||||
4.5000%, 5/1/47 | 54,676 | 58,823 | |||||
4.5000%, 5/1/47 | 43,442 | 46,631 | |||||
4.5000%, 5/1/47 | 41,813 | 45,363 | |||||
4.5000%, 5/1/47 | 33,205 | 35,724 | |||||
4.5000%, 5/1/47 | 21,202 | 22,811 | |||||
4.5000%, 5/1/47 | 12,653 | 13,727 | |||||
4.5000%, 5/1/47 | 11,370 | 12,336 | |||||
4.0000%, 6/1/47 | 204,463 | 214,993 | |||||
4.0000%, 6/1/47 | 97,983 | 103,231 | |||||
4.0000%, 6/1/47 | 91,459 | 96,169 | |||||
4.0000%, 6/1/47 | 44,741 | 47,137 | |||||
4.5000%, 6/1/47 | 228,458 | 243,253 | |||||
4.5000%, 6/1/47 | 24,382 | 26,452 | |||||
4.0000%, 7/1/47 | 164,477 | 172,948 | |||||
4.0000%, 7/1/47 | 149,395 | 157,089 | |||||
4.0000%, 7/1/47 | 58,176 | 61,173 | |||||
4.0000%, 7/1/47 | 37,502 | 39,433 | |||||
4.5000%, 7/1/47 | 172,380 | 183,543 | |||||
4.5000%, 7/1/47 | 130,876 | 139,351 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.5000%, 7/1/47 | $122,218 | $130,132 | |||||
3.5000%, 8/1/47 | 523,488 | 543,784 | |||||
4.0000%, 8/1/47 | 887,957 | 933,688 | |||||
4.0000%, 8/1/47 | 298,267 | 313,628 | |||||
4.0000%, 8/1/47 | 183,234 | 192,671 | |||||
4.5000%, 8/1/47 | 194,760 | 207,372 | |||||
4.5000%, 8/1/47 | 33,739 | 35,923 | |||||
4.0000%, 9/1/47 | 84,566 | 88,921 | |||||
4.5000%, 9/1/47 | 178,882 | 190,466 | |||||
4.5000%, 9/1/47 | 104,223 | 110,973 | |||||
4.5000%, 9/1/47 | 101,611 | 108,191 | |||||
4.0000%, 10/1/47 | 419,627 | 441,239 | |||||
4.0000%, 10/1/47 | 361,023 | 379,616 | |||||
4.0000%, 10/1/47 | 359,018 | 377,508 | |||||
4.0000%, 10/1/47 | 226,642 | 238,314 | |||||
4.0000%, 10/1/47 | 189,943 | 199,725 | |||||
4.5000%, 10/1/47 | 24,355 | 25,932 | |||||
4.5000%, 10/1/47 | 12,042 | 12,822 | |||||
4.0000%, 11/1/47 | 772,269 | 818,986 | |||||
4.0000%, 11/1/47 | 520,092 | 546,878 | |||||
4.0000%, 11/1/47 | 145,981 | 153,499 | |||||
4.5000%, 11/1/47 | 134,244 | 142,937 | |||||
3.5000%, 12/1/47 | 2,938,383 | 3,077,475 | |||||
3.5000%, 12/1/47 | 951,736 | 992,499 | |||||
3.5000%, 12/1/47 | 198,237 | 205,643 | |||||
3.5000%, 1/1/48 | 1,472,872 | 1,542,593 | |||||
3.5000%, 1/1/48 | 674,785 | 703,685 | |||||
3.5000%, 1/1/48 | 299,319 | 311,295 | |||||
4.0000%, 1/1/48 | 2,293,401 | 2,420,578 | |||||
4.0000%, 1/1/48 | 2,166,771 | 2,283,005 | |||||
4.0000%, 1/1/48 | 194,734 | 204,763 | |||||
4.0000%, 1/1/48 | 36,240 | 38,550 | |||||
3.0000%, 2/1/48 | 165,365 | 170,720 | |||||
3.5000%, 3/1/48 | 415,012 | 432,134 | |||||
4.0000%, 3/1/48 | 897,797 | 945,682 | |||||
4.5000%, 3/1/48 | 177,707 | 188,429 | |||||
3.5000%, 4/1/48 | 1,018,578 | 1,066,794 | |||||
4.5000%, 4/1/48 | 155,380 | 164,756 | |||||
3.0000%, 5/1/48 | 89,210 | 91,301 | |||||
4.0000%, 5/1/48 | 1,664,392 | 1,737,276 | |||||
4.5000%, 5/1/48 | 112,424 | 119,208 | |||||
4.5000%, 5/1/48 | 112,227 | 118,998 | |||||
4.5000%, 6/1/48 | 121,061 | 128,366 | |||||
4.0000%, 10/1/48 | 157,572 | 166,689 | |||||
3.5000%, 1/1/49 | 1,115,270 | 1,165,819 | |||||
4.0000%, 2/1/49 | 524,828 | 547,811 | |||||
4.0000%, 2/1/49 | 257,607 | 274,722 | |||||
4.0000%, 5/1/49 | 199,503 | 212,758 | |||||
3.5000%, 7/1/49 | 187,833 | 193,437 | |||||
3.0000%, 8/1/49 | 307,801 | 315,259 | |||||
3.0000%, 9/1/49 | 218,549 | 222,377 | |||||
3.0000%, 9/1/49 | 152,983 | 155,929 | |||||
4.0000%, 9/1/49 | 218,152 | 229,735 | |||||
3.0000%, 1/1/50 | 777,054 | 788,670 | |||||
3.5000%, 8/1/56 | 2,771,474 | 2,922,238 | |||||
3.0000%, 2/1/57 | 1,665,121 | 1,710,426 | |||||
3.5000%, 2/1/57 | 3,129,754 | 3,300,007 | |||||
71,797,204 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Gold Pool: | |||||||
3.0000%, 2/1/31 | $467,190 | $481,268 | |||||
6.0000%, 4/1/40 | 192,397 | 223,207 | |||||
4.5000%, 5/1/44 | 181,142 | 196,418 | |||||
4.0000%, 2/1/46 | 537,274 | 569,960 | |||||
3.5000%, 7/1/46 | 2,256,671 | 2,399,469 | |||||
3.5000%, 9/1/47 | 1,962,040 | 2,061,274 | |||||
3.5000%, 9/1/47 | 568,809 | 591,231 | |||||
3.5000%, 12/1/47 | 2,209,974 | 2,330,141 | |||||
3.5000%, 3/1/48 | 656,638 | 688,362 | |||||
3.5000%, 4/1/48 | 215,251 | 225,650 | |||||
3.5000%, 8/1/48 | 2,513,752 | 2,635,198 | |||||
5.0000%, 9/1/48 | 133,669 | 143,141 | |||||
3.5000%, 11/1/48 | 3,157,192 | 3,316,874 | |||||
4.0000%, 1/1/49 | 846,916 | 910,419 | |||||
16,772,612 | |||||||
Freddie Mac Pool: | |||||||
3.0000%, 5/1/31 | 3,071,228 | 3,163,708 | |||||
2.5000%, 11/1/31 | 120,514 | 122,047 | |||||
2.5000%, 12/1/31 | 145,831 | 147,686 | |||||
3.0000%, 9/1/32 | 305,034 | 314,388 | |||||
3.0000%, 1/1/33 | 160,665 | 165,592 | |||||
2.5000%, 12/1/33 | 2,513,252 | 2,545,208 | |||||
2.5000%, 12/1/33 | 1,426,784 | 1,444,176 | |||||
2.5000%, 7/1/34 | 82,207 | 82,959 | |||||
2.5000%, 9/1/34 | 48,136 | 48,736 | |||||
2.5000%, 10/1/34 | 321,933 | 325,630 | |||||
3.0000%, 10/1/34 | 443,430 | 457,355 | |||||
3.0000%, 10/1/34 | 193,469 | 199,242 | |||||
2.5000%, 11/1/34 | 188,676 | 191,143 | |||||
3.5000%, 2/1/43 | 543,547 | 572,232 | |||||
3.0000%, 3/1/43 | 451,226 | 464,203 | |||||
3.5000%, 2/1/44 | 744,884 | 784,194 | |||||
3.0000%, 1/1/45 | 989,828 | 1,016,907 | |||||
4.0000%, 5/1/46 | 336,814 | 355,366 | |||||
3.5000%, 7/1/46 | 565,504 | 592,646 | |||||
3.0000%, 10/1/46 | 2,164,722 | 2,215,456 | |||||
3.5000%, 2/1/47 | 1,597,213 | 1,673,349 | |||||
4.0000%, 3/1/47 | 170,654 | 181,334 | |||||
3.0000%, 9/1/47 | 4,358,089 | 4,460,229 | |||||
3.5000%, 11/1/47 | 806,504 | 841,048 | |||||
3.5000%, 12/1/47 | 594,143 | 619,591 | |||||
3.5000%, 2/1/48 | 295,021 | 306,092 | |||||
3.5000%, 2/1/48 | 290,497 | 302,482 | |||||
4.0000%, 3/1/48 | 620,574 | 653,668 | |||||
4.0000%, 4/1/48 | 2,004,010 | 2,089,373 | |||||
4.0000%, 4/1/48 | 791,493 | 832,417 | |||||
4.0000%, 5/1/48 | 2,087,209 | 2,178,594 | |||||
4.0000%, 5/1/48 | 1,001,465 | 1,045,312 | |||||
4.0000%, 6/1/48 | 518,512 | 541,214 | |||||
4.5000%, 7/1/48 | 287,180 | 303,866 | |||||
4.0000%, 4/1/49 | 283,799 | 303,680 | |||||
3.5000%, 7/1/49 | 1,065,574 | 1,104,181 | |||||
3.0000%, 8/1/49 | 303,736 | 310,440 | |||||
3.0000%, 8/1/49 | 100,019 | 102,442 | |||||
3.5000%, 8/1/49 | 330,994 | 340,553 | |||||
3.5000%, 8/1/49 | 151,577 | 158,395 | |||||
3.5000%, 8/1/49 | 126,922 | 130,587 | |||||
3.0000%, 9/1/49 | 161,028 | 163,749 | |||||
3.5000%, 9/1/49 | 338,171 | 351,058 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Pool – (continued) | |||||||
3.5000%, 9/1/49 | $68,021 | $70,464 | |||||
3.5000%, 9/1/49 | 54,460 | 56,948 | |||||
4.0000%, 9/1/49 | 153,060 | 163,376 | |||||
3.0000%, 10/1/49 | 226,420 | 229,773 | |||||
3.0000%, 10/1/49 | 178,385 | 181,759 | |||||
3.0000%, 10/1/49 | 178,033 | 181,041 | |||||
3.0000%, 10/1/49 | 168,300 | 170,792 | |||||
3.0000%, 10/1/49 | 110,861 | 112,735 | |||||
3.0000%, 10/1/49 | 68,085 | 69,236 | |||||
3.0000%, 11/1/49 | 548,649 | 556,774 | |||||
3.0000%, 11/1/49 | 234,608 | 238,082 | |||||
3.0000%, 11/1/49 | 164,418 | 166,782 | |||||
3.0000%, 11/1/49 | 71,791 | 72,872 | |||||
3.0000%, 12/1/49 | 418,000 | 424,190 | |||||
3.0000%, 12/1/49 | 285,094 | 289,316 | |||||
3.0000%, 12/1/49 | 249,000 | 252,687 | |||||
37,439,355 | |||||||
Ginnie Mae: | |||||||
4.5000%, 7/20/48 | 4,814,000 | 5,032,796 | |||||
3.5000%, 10/20/48 | 1,689,000 | 1,740,852 | |||||
6,773,648 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 2,630,525 | 2,793,073 | |||||
4.5000%, 8/15/46 | 3,103,032 | 3,411,548 | |||||
4.0000%, 7/15/47 | 1,251,999 | 1,314,446 | |||||
4.0000%, 8/15/47 | 241,183 | 253,213 | |||||
4.0000%, 11/15/47 | 422,215 | 443,274 | |||||
4.0000%, 12/15/47 | 531,380 | 557,885 | |||||
8,773,439 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 272,306 | 286,474 | |||||
4.0000%, 8/20/47 | 59,124 | 62,201 | |||||
4.0000%, 8/20/47 | 39,676 | 42,252 | |||||
4.0000%, 5/20/48 | 5,864,904 | 6,106,391 | |||||
4.5000%, 5/20/48 | 1,407,908 | 1,477,810 | |||||
4.5000%, 5/20/48 | 253,841 | 266,444 | |||||
4.0000%, 6/20/48 | 1,600,673 | 1,666,581 | |||||
9,908,153 | |||||||
Total Mortgage-Backed Securities (cost $158,903,766) | 161,746,487 | ||||||
United States Treasury Notes/Bonds – 14.6% | |||||||
2.3750%, 4/30/20 | 3,071,000 | 3,078,438 | |||||
2.1250%, 5/31/21 | 4,603,200 | 4,635,691 | |||||
1.5000%, 9/15/22 | 2,986,000 | 2,977,602 | |||||
2.8750%, 10/31/23 | 2,906,000 | 3,035,057 | |||||
2.8750%, 11/30/23 | 1,125,000 | 1,175,816 | |||||
2.6250%, 12/31/23 | 999,000 | 1,035,438 | |||||
2.3750%, 2/29/24 | 8,461,000 | 8,694,987 | |||||
2.0000%, 5/31/24 | 13,046,100 | 13,215,226 | |||||
1.7500%, 7/31/24 | 15,216,000 | 15,250,571 | |||||
1.6250%, 2/15/26 | 2,518,000 | 2,493,048 | |||||
1.6250%, 10/31/26 | 1,309,000 | 1,291,126 | |||||
1.6250%, 8/15/29 | 2,068,400 | 2,013,424 | |||||
3.0000%, 2/15/49 | 5,118,000 | 5,767,159 | |||||
2.8750%, 5/15/49 | 1,568,000 | 1,726,345 | |||||
2.2500%, 8/15/49 | 15,818,900 | 15,330,006 | |||||
Total United States Treasury Notes/Bonds (cost $80,735,560) | 81,719,934 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Shares or | Value | ||||||
Preferred Stocks – 0.2% | |||||||
Consumer Finance – 0.2% | |||||||
Synchrony Financial, 5.6250% (cost $853,023) | 33,925 | $866,784 | |||||
Investment Companies – 4.4% | |||||||
Money Markets – 4.4% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº,£ (cost $24,916,784) | 24,916,418 | 24,916,418 | |||||
Total Investments (total cost $559,774,587) – 103.2% | 577,416,076 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (3.2)% | (18,024,733) | ||||||
Net Assets – 100% | $559,391,343 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $565,846,100 | 98.0 | % | ||
United Kingdom | 5,603,148 | 1.0 | |||
Belgium | 2,429,923 | 0.4 | |||
France | 1,477,009 | 0.3 | |||
Switzerland | 1,403,220 | 0.2 | |||
Mexico | 656,676 | 0.1 |
Total | $577,416,076 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/19 | |||||||
Investment Companies - 4.4% | ||||||||||
Money Markets - 4.4% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | $ | 366,046 | $ | (2,501) | $ | (366) | $ | 24,916,418 | ||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | 2,535∆ | - | - | - | ||||||
Total Affiliated Investments - 4.4% | $ | 368,581 | $ | (2,501) | $ | (366) | $ | 24,916,418 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments
December 31, 2019
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 12/31/19 | |||||||
Investment Companies - 4.4% | ||||||||||
Money Markets - 4.4% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | 3,199,600 | 484,550,763 | (462,833,945) | 24,916,418 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | - | 17,647,243 | (17,647,243) | - |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the year ended December 31, 2019 is $87,047,721, which represents 15.6% of net assets. |
‡ | Variable or floating rate security. Rate shown is the current rate as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ºº | Rate shown is the 7-day yield as of December 31, 2019. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date. |
Ç | Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 55,153,786 | $ | - | ||||||
Corporate Bonds | - | 253,012,667 | - | |||||||||
Mortgage-Backed Securities | - | 161,746,487 | - | |||||||||
United States Treasury Notes/Bonds | - | 81,719,934 | - | |||||||||
Preferred Stocks | - | 866,784 | - | |||||||||
Investment Companies | - | 24,916,418 | - | |||||||||
Total Assets | $ | - | $ | 577,416,076 | $ | - | ||||||
Janus Aspen Series | 19 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Assets and Liabilities
December 31, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1) | $ | 552,499,658 | ||||
Affiliated investments, at value(2) | 24,916,418 | |||||
Cash | 48,179 | |||||
Non-interested Trustees' deferred compensation | 14,361 | |||||
Receivables: | ||||||
Interest | 3,383,549 | |||||
Portfolio shares sold | 472,352 | |||||
Investments sold | 110,293 | |||||
Dividends from affiliates | 46,362 | |||||
Other assets | 10,824 | |||||
Total Assets |
|
| 581,501,996 |
| ||
Liabilities: | ||||||
Payables: | — | |||||
Investments purchased | 21,457,974 | |||||
Advisory fees | 247,988 | |||||
Portfolio shares repurchased | 135,929 | |||||
12b-1 Distribution and shareholder servicing fees | 86,574 | |||||
Professional fees | 46,442 | |||||
Transfer agent fees and expenses | 26,426 | |||||
Non-interested Trustees' deferred compensation fees | 14,361 | |||||
Custodian fees | 2,617 | |||||
Affiliated portfolio administration fees payable | 1,232 | |||||
Non-interested Trustees' fees and expenses | 355 | |||||
Accrued expenses and other payables | 90,755 | |||||
Total Liabilities |
|
| 22,110,653 |
| ||
Net Assets |
| $ | 559,391,343 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 552,146,151 | ||||
Total distributable earnings (loss) | 7,245,192 | |||||
Total Net Assets |
| $ | 559,391,343 |
| ||
Net Assets - Institutional Shares | $ | 162,620,470 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 13,692,717 | |||||
Net Asset Value Per Share |
| $ | 11.88 |
| ||
Net Assets - Service Shares | $ | 396,770,873 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 30,535,976 | |||||
Net Asset Value Per Share |
| $ | 12.99 |
|
(1) Includes cost of $534,857,803. (2) Includes cost of $24,916,784. |
See Notes to Financial Statements. | |
20 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Operations
For the year ended December 31, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Interest | $ | 20,250,227 | ||
Dividends from affiliates | 366,046 | ||||
Dividends | 14,940 | ||||
Affiliated securities lending income, net | 2,535 | ||||
Other income | 48,212 | ||||
Total Investment Income |
| 20,681,960 |
| ||
Expenses: | |||||
Advisory fees | 2,967,589 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 960,970 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 104,205 | ||||
Service Shares | 192,194 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 7,187 | ||||
Service Shares | 7,321 | ||||
Shareholder reports expense | 92,843 | ||||
Professional fees | 61,086 | ||||
Registration fees | 24,002 | ||||
Custodian fees | 17,828 | ||||
Non-interested Trustees’ fees and expenses | 14,906 | ||||
Affiliated portfolio administration fees | 13,834 | ||||
Other expenses | 72,708 | ||||
Total Expenses |
| 4,536,673 |
| ||
Net Investment Income/(Loss) |
| 16,145,287 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments | 16,002,506 | ||||
Investments in affiliates | (2,501) | ||||
Total Net Realized Gain/(Loss) on Investments |
| 16,000,005 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments and non-interested Trustees’ deferred compensation | 21,514,794 | ||||
Investments in affiliates | (366) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 21,514,428 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 53,659,720 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Henderson VIT Flexible Bond Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 16,145,287 | $ | 17,975,021 | ||||
Net realized gain/(loss) on investments | 16,000,005 | (18,429,882) | ||||||
Change in unrealized net appreciation/depreciation | 21,514,428 | (7,934,492) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 53,659,720 |
|
| (8,389,353) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (6,558,390) | (8,145,523) | ||||||
Service Shares | (10,929,187) | (10,421,559) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (17,487,577) |
|
| (18,567,082) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | (90,843,813) | (40,394,387) | ||||||
Service Shares | (11,187,982) | (2,892,011) | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| (102,031,795) |
|
| (43,286,398) | |||
Net Increase/(Decrease) in Net Assets |
| (65,859,652) |
|
| (70,242,833) | |||
Net Assets: | ||||||||
Beginning of period | 625,250,995 | 695,493,828 | ||||||
| End of period | $ | 559,391,343 |
| $ | 625,250,995 | ||
See Notes to Financial Statements. | |
22 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $11.21 |
|
| $11.69 |
|
| $11.62 |
|
| $11.67 |
|
| $11.98 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.34 | 0.33 | 0.30 | 0.28 | 0.28 | |||||||||||||
Net realized and unrealized gain/(loss) | 0.72 | (0.45) | 0.12 | 0.01 | (0.25) | |||||||||||||
Total from Investment Operations |
| 1.06 |
|
| (0.12) |
|
| 0.42 |
|
| 0.29 |
|
| 0.03 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.39) | (0.36) | (0.35) | (0.34) | (0.28) | |||||||||||||
Distributions (from capital gains) | — | — | — | — | (0.06) | |||||||||||||
Total Dividends and Distributions |
| (0.39) |
|
| (0.36) |
|
| (0.35) |
|
| (0.34) |
|
| (0.34) |
| |||
Net Asset Value, End of Period | $11.88 | $11.21 | $11.69 | $11.62 | $11.67 | |||||||||||||
Total Return* |
| 9.57% |
|
| (1.00)% |
|
| 3.62% |
|
| 2.46% |
|
| 0.22% |
| |||
Net Assets, End of Period (in thousands) | $162,620 | $240,427 | $292,251 | $335,208 | $355,569 | |||||||||||||
Average Net Assets for the Period (in thousands) | $208,624 | $266,429 | $319,492 | $350,120 | $347,338 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.60% | 0.61% | 0.60% | 0.58% | 0.57% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.60% | 0.61% | 0.60% | 0.58% | 0.57% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 2.89% | 2.88% | 2.51% | 2.31% | 2.33% | |||||||||||||
Portfolio Turnover Rate | 177%(2) | 238%(2) | 130%(2) | 112% | 111% | |||||||||||||
Service Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $12.23 |
|
| $12.73 |
|
| $12.63 |
|
| $12.66 |
|
| $12.98 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.34 | 0.33 | 0.29 | 0.27 | 0.27 | |||||||||||||
Net realized and unrealized gain/(loss) | 0.79 | (0.50) | 0.13 | 0.01 | (0.27) | |||||||||||||
Total from Investment Operations |
| 1.13 |
|
| (0.17) |
|
| 0.42 |
|
| 0.28 |
|
| — |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.37) | (0.33) | (0.32) | (0.31) | (0.26) | |||||||||||||
Distributions (from capital gains) | — | — | — | — | (0.06) | |||||||||||||
Total Dividends and Distributions |
| (0.37) |
|
| (0.33) |
|
| (0.32) |
|
| (0.31) |
|
| (0.32) |
| |||
Net Asset Value, End of Period | $12.99 | $12.23 | $12.73 | $12.63 | $12.66 | |||||||||||||
Total Return* |
| 9.28% |
|
| (1.29)% |
|
| 3.35% |
|
| 2.22% |
|
| (0.06)% |
| |||
Net Assets, End of Period (in thousands) | $396,771 | $384,824 | $403,243 | $401,186 | $303,873 | |||||||||||||
Average Net Assets for the Period (in thousands) | $384,358 | $389,260 | $402,544 | $383,710 | $250,537 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.85% | 0.86% | 0.85% | 0.83% | 0.82% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.85% | 0.86% | 0.85% | 0.83% | 0.82% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 2.63% | 2.64% | 2.27% | 2.06% | 2.09% | |||||||||||||
Portfolio Turnover Rate | 177%(2) | 238%(2) | 130%(2) | 112% | 111% | |||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
Janus Aspen Series | 23 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Flexible Bond Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks to obtain maximum total return, consistent with preservation of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
24 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount 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 during the reporting period. Actual results could differ from those estimates.
Janus Aspen Series | 25 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements
Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Other Investments and Strategies
Additional Investment Risk
The Portfolio may be invested in lower-rated debt securities that have a higher risk of default or loss of value since these securities may be sensitive to economic changes, political changes, or adverse developments specific to the issuer.
In the aftermath of the 2007-2008 financial crisis, the financial sector experienced reduced liquidity in credit and other fixed-income markets, and an unusually high degree of volatility, both domestically and internationally. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. For example, the enactment of the Dodd-Frank Act in 2010 provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, over-the-counter derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation.
A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (commonly known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will conclude, or how financial markets will react.
Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or
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economic damage, could have a severe and negative impact on the Portfolio’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolio invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer loans or receivables. The Portfolio may purchase fixed or variable rate commercial or residential mortgage-backed securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed by the full faith and credit of the U.S. Government, which means that the U.S. Government guarantees that the interest and principal will be paid when due. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases, and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities,
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real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. Effective December 16, 2019, JPMorgan Chase Bank, National Association replaced Deutsche Bank AG as securities lending agent for the Portfolio. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of December 31, 2019.
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which
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the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
When-Issued, Delayed Delivery and Forward Commitment Transactions
The Portfolio may purchase or sell securities on a when-issued, delayed delivery, or forward commitment basis. When purchasing a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Typically, no income accrues on securities the Portfolio has committed to purchase prior to the time delivery of the securities is made. Because the Portfolio is not required to pay for the security until the delivery date, these risks are in addition to the risks associated with the Portfolio’s other investments. If the other party to a transaction fails to deliver the securities, the Portfolio could miss a favorable price or yield opportunity. If the Portfolio remains substantially fully invested at a time when when-issued, delayed delivery, or forward commitment purchases are outstanding, the purchases may result in a form of leverage.
When the Portfolio has sold a security on a when-issued, delayed delivery, or forward commitment basis, the Portfolio does not participate in future gains or losses with respect to the security. If the other party to a transaction fails to pay for the securities, the Portfolio could suffer a loss. Additionally, when selling a security on a when-issued, delayed delivery, or forward commitment basis without owning the security, the Portfolio will incur a loss if the security’s price appreciates in value such that the security’s price is above the agreed upon price on the settlement date. The Portfolio may dispose of or renegotiate a transaction after it is entered into, and may purchase or sell when-issued, delayed delivery or forward commitment securities before the settlement date, which may result in a gain or loss.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily Net Assets of the Portfolio | Contractual Investment Advisory Fee (%) |
First $300 Million | 0.55 |
Over $300 Million | 0.45 |
The Fund’s actual investment advisory fee rate for the reporting period was 0.50% of average annual net assets before any applicable waivers.
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer
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agent fees and expenses payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.57% of the Portfolio’s average daily net assets. Janus Capital has agreed to continue the waivers until at least May 1, 2020. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $40,392 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation
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of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $468,050 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2019, the Portfolio engaged in cross trades amounting to $22,404,989 in purchases and $12,240,853 in sales, resulting in a net realized gain of $32,222. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
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4. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Loss Deferrals | Other Book | Net Tax | |||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | to Tax | Appreciation/ | |
$ 3,252,658 | $ - | $ (11,564,717) | $ - | $ - | $ (14,360) | $ 15,571,611 |
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2019, that may be available to offset future realized capital gains and thereby reduce future taxable gains distributions. The following table shows these capital loss carryovers.
Capital Loss Carryover Schedule | ||||
For the year ended December 31, 2019 | ||||
No Expiration | ||||
| Short-Term | Accumulated | ||
| $(11,564,717) | $ (11,564,717) |
During the year ended December 31, 2019, capital loss carryovers of $14,871,310 were utilized by the Portfolio.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 561,844,465 | $17,710,704 | $ (2,139,093) | $ 15,571,611 |
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Notes to Financial Statements
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
For the year ended December 31, 2019 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 17,487,577 | $ - | $ - | $ - |
For the year ended December 31, 2018 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 18,567,082 | $ - | $ - | $ - |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed | Increase/(Decrease) to Undistributed |
$ - | $ 1,225,538 | $ (1,225,538) |
5. Capital Share Transactions
Year ended December 31, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 1,563,012 | $ 18,348,907 | 2,289,421 | $ 26,034,627 | ||
Reinvested dividends and distributions | 562,738 | 6,558,390 | 725,542 | 8,145,523 | ||
Shares repurchased | (9,884,146) | (115,751,110) | (6,562,712) | (74,574,537) | ||
Net Increase/(Decrease) | (7,758,396) | $(90,843,813) |
| (3,547,749) | $(40,394,387) | |
Service Shares: | ||||||
Shares sold | 5,747,545 | $ 73,366,642 | 6,052,211 | $ 75,073,739 | ||
Reinvested dividends and distributions | 856,061 | 10,929,187 | 851,192 | 10,421,559 | ||
Shares repurchased | (7,526,222) | (95,483,811) | (7,120,496) | (88,387,309) | ||
Net Increase/(Decrease) | (922,616) | $(11,187,982) |
| (217,093) | $ (2,892,011) |
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6. Purchases and Sales of Investment Securities
For the year ended December 31, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$492,575,213 | $ 515,727,426 | $ 524,350,668 | $ 619,446,873 |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for fiscal years and interim periods within those fiscal years, beginning after December 15, 2018. Management has adopted the amendments as of the beginning of this fiscal period and concluded these changes do not have a material impact on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Flexible Bond Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Flexible Bond Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s 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 Portfolio 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 of these financial statements 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 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. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 14, 2020
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. Historically, the Portfolio filed its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters each fiscal year on Form N-Q. The Portfolio’s Form N-PORT and Form N-Q filings: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 5, 2019, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2020 through February 1, 2021, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons, any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
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Additional Information (unaudited)
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2019, approximately 69% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2019, approximately 71% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
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Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the third Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital and Intech had taken or were taking to improve performance, and the performance trend was improving.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory and any administration, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of their respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 7% under the average management fees for their Expense Groups. The Trustees also considered the total expenses for each share class of
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Additional Information (unaudited)
each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 11 of 12 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) six of nine Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2018, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
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Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 64% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge expense group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a
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Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with
Janus Aspen Series | 43 |
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
44 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years).
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by Janus Capital: Janus Investment Fund. Collectively, these two registered investment companies consist of 58 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of Janus Capital. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant. Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 58 | Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (since 2016), Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). |
46 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 58 | Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
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Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Venture Partner for The Edgewater Funds (a middle market private equity firm) (2002-2004), Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
48 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016), and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (since 2016). Formerly, Senior Vice President (2011-2015), Albright Stonebridge Group LLC, and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 58 | Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
William M. Fitzgerald, Sr. 151 Detroit Street Denver, CO 80206 DOB: 1964 | Trustee | 9/19-Present | Founder, Fitzgerald Asset Management LLC (since 2012). Formerly, Founder and Chief Investment Officer, Global Infrastructure Asset Management LLC (2008-2017), Chief Investment Officer of Nuveen Asset Management (2000-2007), and Managing Director, Nuveen Investment LLC (1988-2007). | 58 | Board of Directors, Municipal Securities Rulemaking Board (since 2017). Formerly, Board of Directors of Syncora Holdings Ltd, Syncora Guarantee Inc., and Syncora Capital Assurance Inc. (2009-2016), and Trustee, Destra Investment Trust (2010-2014). |
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Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 58 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013) and West Bend Mutual Insurance Company (property/casualty insurance) (since 2013). Formerly, Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
William D. Stewart* 151 Detroit Street Denver, CO 80206 DOB: 1944 | Trustee | 6/84-Present | Retired. Formerly, President and founder of HPS Products and Corporate Vice President of MKS Instruments, Boulder, CO (a provider of advanced process control systems for the semiconductor industry) (1976-2012). | 58 | None |
*William D. Stewart retired from his role as Independent Trustee, effective December 31, 2019. |
50 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. | 58 | Formerly, Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017), Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006), and Treasurer for Driehaus Mutual Funds (1996-2002). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 58 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), Shirley Ryan Ability Lab and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019), Director of Walmart (until 2017), Director of Chicago Convention & Tourism Bureau (until 2014), and The Field Museum of Natural History (Chicago, IL) (until 2014). |
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Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Michael Keough | Executive Vice President and Co-Portfolio Manager Janus Henderson Flexible Bond Portfolio | 12/15 - Present | Portfolio Manager for other Janus Henderson accounts. |
Mayur Saigal | Executive Vice President and Co-Portfolio Manager Janus Henderson Flexible Bond Portfolio | 12/15 - Present | Portfolio Manager for other Janus Henderson accounts. |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | Executive Vice President, Head of North America at Janus Henderson Investors and Janus Capital Management LLC (since 2017), Executive Vice President and Director of Janus International Holding LLC (since 2011), Executive Vice President of Janus Distributors LLC (since 2011), Vice President and Director of Intech Investment Management LLC (since 2011), Executive Vice President and Director of Perkins Investment Management LLC (since 2011), and President and Director of Janus Management Holdings Corporation (since 2011). Formerly, President of Janus Capital Group Inc. and Janus Capital Management LLC (2013-2017), Executive Vice President of Janus Services LLC (2011-2015), Janus Capital Group Inc. and Janus Capital Management LLC (2011-2013), and Chief Financial Officer of Janus Capital Group Inc., Janus Capital Management LLC, Janus Distributors LLC, Janus Management Holdings Corporation, and Janus Services LLC (2011-2013). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
52 | DECEMBER 31, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Susan K. Wold | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 9/17-Present | Head of Compliance, North America for Janus Henderson (since September 2017). Formerly, Vice President, Head of Global Corporate Compliance, and Chief Compliance Officer for Janus Capital Management LLC (May 2017-September 2017), Vice President, Compliance at Janus Capital Group Inc. and Janus Capital Management LLC (2005-2017). |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
Kathryn L. Santoro | Vice President, Chief Legal Counsel, and Secretary | 12/16-Present | Assistant General Counsel of Janus Capital (since 2016). Formerly, Vice President and Associate Counsel of Curian Capital, LLC and Curian Clearing LLC (2013-2016), and General Counsel and Secretary (2011-2012) and Vice President (2009-2012) of Old Mutual Capital, Inc. |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-02-81114 02-20 |
ANNUAL REPORT December 31, 2019 | ||
Janus Henderson VIT Forty Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. 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 Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Forty Portfolio
Janus Henderson VIT Forty Portfolio (unaudited)
PERFORMANCE OVERVIEW
For the 12-month period ending December 31, 2019, Janus Henderson VIT Forty Portfolio’s Institutional Shares and Service Shares returned 37.16% and 36.85%, respectively, versus a return of 36.39% for the Portfolio’s primary benchmark, the Russell 1000® Growth Index. The Portfolio’s secondary benchmark, the S&P 500® Index, returned 31.49% for the period.
INVESTMENT ENVIRONMENT
The Russell 1000 Growth Index ended the year with a strong gain for 2019 following a disappointing 2018. The Federal Reserve cut its benchmark federal funds rate three times during the year, and the central bank signaled that it does not plan to raise rates in the near future given the current economic environment. The ongoing trade war between the U.S. and China concerned markets for much of the year; however, the countries agreed to a partial truce, although not a full resolution, late in the year. Despite indications of slowing global growth, U.S. economic growth and earnings results remained solid, driven largely by a healthy consumer and a strong labor market.
PERFORMANCE DISCUSSION
The Portfolio outperformed both its primary benchmark, the Russell 1000 Growth Index, and its secondary benchmark, the S&P 500 Index, during the year ending December 31, 2019. Stock selection in the Portfolio was the main contributor to performance relative to the primary benchmark during the period. As part of our investment strategy, we seek companies that have built clear, sustainable, competitive moats around their businesses, which should help them grow market share within their respective industries over time. Important competitive advantages could include a strong brand, network effects from a product or service that would be hard for a competitor to replicate, a lower cost structure than competitors in the industry, a distribution advantage or patent protection over valuable intellectual property. We think emphasizing these sustainable competitive advantages can be a meaningful driver of outperformance over longer time horizons because the market often underestimates the duration of growth for these companies and the long-term potential return to shareholders.
Microsoft was among the top absolute contributors, as it continues to see strong growth in its Azure cloud product. Microsoft has emerged as a credible competitor to Amazon’s market-leading AWS cloud offering, which has had first-mover advantage in the space. Although on a smaller base, Azure growth rates have become significantly higher than those of AWS. We believe this is a result of Microsoft differentiating itself with a hybrid cloud offering and with products around the intelligent edge, a developing network of devices and systems that gather and analyze data. We think that we are still in the early stages of corporate IT transition to the cloud, a trend that should be supportive for continued growth.
Mastercard was another top absolute contributor. The company is beginning to demonstrate how its business model can address business-to-business payment solutions. A decision by many upstart fintech companies to use Mastercard’s and Visa’s payments networks – instead of competing against them – has also reinforced the durability of the two global card networks’ values and helped drive the stock’s appreciation. Mastercard has been a longtime holding and a large contributor to performance over the years. Our basic view is that Mastercard’s payments network among merchants is a competitive moat that positions the business as a key beneficiary as more transactions migrate from cash and check to plastic and electronic payments. We believe Mastercard is particularly well positioned to benefit from this shift because a majority of its revenues are generated outside the U.S., where many markets have a lower penetration of card and electronic payments and are experiencing significantly faster electronic purchase volume growth.
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Janus Henderson VIT Forty Portfolio (unaudited)
Apple was also among the top absolute contributors. The firm reported strong earnings and benefited from the news of a trade truce between the U.S. and China, given that both its end-market demand and its supply chain are deeply connected to both countries. There has been continued strength in the stock as investors have become more confident in its interconnected ecosystem of products and services as well as the durability of its revenue model. The company has shifted from a purely hardware-based model to one more reliant on providing both hardware and complementary services, like Apple Music, iCloud and the recently launched Apple TV+.
Uber Technologies was one of the top absolute detractors. Stock of the ridesharing company fell after Uber reported a larger-than-expected second quarter loss. It has also faced new state legislation that could eventually require the company, as well as primary competitor Lyft, to treat workers as employees rather than independent contractors. We have a favorable view on the duopoly industry structure and the large opportunity set, but we believe the company will need to lessen its focus on gaining market share and instead shift to bolstering its financial posture and achieving profitability.
Humana was also among the largest absolute detractors. A proposal to expand Medicare and eliminate private medical insurance in the U.S. led to a broad, significant pullback in managed care stocks, including Humana. We are cautious on the health care landscape given the scrutiny of the industry by politicians in Washington and sold the position, choosing to invest in companies we believe will be less subjected to reform.
Allergan was another detractor. We were disappointed by what we view as several executional missteps by management that weighed on the stock and sold out of the position during the period.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
The trade war between the U.S. and China created uncertainty in markets for much of the year, generating daily headlines and rhetoric that if fully implemented would cause dramatic changes in input costs. The uncertainty associated with this ultimately stunted global growth. As a result of the trade truce reached toward the end of the year, and the easing of those headwinds, we believe that refilling supply chains globally could help boost earnings growth for the global economy in 2020.
While global growth prospects have become healthier heading into the new year, our fundamental process is focused on investing in businesses that can create their own growth, regardless of the macroeconomic environment. These companies are positioned to benefit from powerful, disruptive themes that we believe are the largest factors impacting company fundamentals. Among others, these themes include digital transformation, transition to the cloud, the shift from physical to digital payments, the evolution of companies into direct-to-consumer businesses, the proliferation of semiconductor content through the industrial economy and idiosyncratic innovation within the health care industry.
Going forward, we will continue to look for durable franchises with the ability to grow market share and expand their businesses. We remain committed to our unwavering, long-term investment philosophy of investing in companies that have built sustainable competitive advantages around their businesses.
Thank you for your investment in Janus Henderson VIT Forty Portfolio.
2 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
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Contribution | Contribution | |||||
Microsoft Corp | 4.04% | Uber Technologies Inc | -0.50% | |||
Mastercard Inc | 3.35% | Humana Inc | -0.41% | |||
Apple Inc | 2.44% | Allergan PLC | -0.27% | |||
ASML Holding NV | 1.64% | Avalara Inc | -0.11% | |||
Alphabet Inc - Class C | 1.63% | ABIOMED Inc | -0.01% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell 1000 Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Materials | 0.76% | 5.42% | 1.61% | |||
Consumer Discretionary | 0.65% | 10.51% | 14.72% | |||
Consumer Staples | 0.50% | 0.00% | 5.26% | |||
Information Technology | 0.49% | 34.10% | 35.22% | |||
Health Care | 0.48% | 14.37% | 13.84% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell 1000 Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Other** | -1.15% | 2.14% | 0.00% | |||
Communication Services | -0.63% | 14.21% | 11.92% | |||
Financials | -0.40% | 7.81% | 3.78% | |||
Utilities | 0.00% | 0.00% | 0.00% | |||
Industrials | 0.06% | 8.70% | 10.73% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 8.2% |
Mastercard Inc | |
Information Technology Services | 6.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 5.6% |
Apple Inc | |
Technology Hardware, Storage & Peripherals | 4.8% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 4.3% |
28.9% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 98.1% | ||||
Investment Companies | 2.0% | ||||
Other | (0.1)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2019 | As of December 31, 2018 |
4 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See important disclosures on the next page. |
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Average Annual Total Return - for the periods ended December 31, 2019 |
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| Expense Ratios | ||||||
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| One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 37.16% | 15.89% | 13.94% | 12.03% |
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| 0.71% | |
Service Shares |
| 36.85% | 15.61% | 13.66% | 11.72% |
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| 0.96% | |
Russell 1000 Growth Index |
| 36.39% | 14.63% | 15.22% | 8.37% |
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S&P 500 Index |
| 31.49% | 11.70% | 13.56% | 8.39% |
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Morningstar Quartile - Institutional Shares |
| 1st | 1st | 2nd | 1st |
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Morningstar Ranking - based on total returns for Large Growth Funds |
| 164/1,377 | 45/1,267 | 446/1,109 | 8/595 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 5 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 1 ,1997
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
6 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, 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 appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,110.60 | $4.26 |
| $1,000.00 | $1,021.17 | $4.08 | 0.80% | ||
Service Shares | $1,000.00 | $1,109.40 | $5.58 |
| $1,000.00 | $1,019.91 | $5.35 | 1.05% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Aspen Series | 7 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2019
| Value | ||||||
Common Stocks – 98.1% | |||||||
Aerospace & Defense – 5.3% | |||||||
Boeing Co | 63,081 | $20,549,267 | |||||
L3Harris Technologies Inc | 136,322 | 26,974,034 | |||||
47,523,301 | |||||||
Capital Markets – 7.6% | |||||||
Blackstone Group Inc | 498,053 | 27,861,085 | |||||
Charles Schwab Corp | 350,930 | 16,690,231 | |||||
Intercontinental Exchange Inc | 243,178 | 22,506,124 | |||||
67,057,440 | |||||||
Chemicals – 2.9% | |||||||
Air Products & Chemicals Inc | 36,114 | 8,486,429 | |||||
Sherwin-Williams Co | 29,587 | 17,265,198 | |||||
25,751,627 | |||||||
Construction Materials – 1.6% | |||||||
Vulcan Materials Co | 97,030 | 13,971,350 | |||||
Electronic Equipment, Instruments & Components – 0.5% | |||||||
Cognex Corp | 88,391 | 4,953,432 | |||||
Entertainment – 5.2% | |||||||
Live Nation Entertainment Inc* | 67,709 | 4,839,162 | |||||
Netflix Inc* | 66,820 | 21,620,947 | |||||
Walt Disney Co | 134,914 | 19,512,612 | |||||
45,972,721 | |||||||
Equity Real Estate Investment Trusts (REITs) – 2.9% | |||||||
American Tower Corp | 112,448 | 25,842,799 | |||||
Health Care Equipment & Supplies – 9.2% | |||||||
Boston Scientific Corp* | 637,840 | 28,843,125 | |||||
Danaher Corp | 150,819 | 23,147,700 | |||||
Edwards Lifesciences Corp* | 33,841 | 7,894,767 | |||||
Intuitive Surgical Inc* | 36,445 | 21,544,462 | |||||
81,430,054 | |||||||
Information Technology Services – 7.3% | |||||||
Mastercard Inc | 177,175 | 52,902,683 | |||||
PayPal Holdings Inc* | 108,048 | 11,687,552 | |||||
64,590,235 | |||||||
Interactive Media & Services – 9.2% | |||||||
Alphabet Inc - Class C* | 36,839 | 49,254,480 | |||||
Facebook Inc* | 159,341 | 32,704,740 | |||||
81,959,220 | |||||||
Internet & Direct Marketing Retail – 5.8% | |||||||
Alibaba Group Holding Ltd (ADR)* | 61,141 | 12,968,006 | |||||
Amazon.com Inc* | 20,828 | 38,486,811 | |||||
51,454,817 | |||||||
Machinery – 1.2% | |||||||
Wabtec Corp | 134,116 | 10,434,225 | |||||
Pharmaceuticals – 3.3% | |||||||
Merck & Co Inc | 207,128 | 18,838,292 | |||||
Zoetis Inc | 82,455 | 10,912,919 | |||||
29,751,211 | |||||||
Professional Services – 2.1% | |||||||
CoStar Group Inc* | 30,697 | 18,366,015 | |||||
Road & Rail – 0.6% | |||||||
Uber Technologies Inc* | 184,538 | 5,488,160 | |||||
Semiconductor & Semiconductor Equipment – 7.0% | |||||||
ASML Holding NV | 65,205 | 19,296,768 | |||||
Microchip Technology Inc | 93,609 | 9,802,734 | |||||
NVIDIA Corp | 34,586 | 8,138,086 | |||||
Texas Instruments Inc | 194,008 | 24,889,286 | |||||
62,126,874 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Software – 17.4% | |||||||
Adobe Inc* | 88,059 | $29,042,739 | |||||
Avalara Inc* | 107,913 | 7,904,627 | |||||
Intuit Inc | 36,699 | 9,612,569 | |||||
Microsoft Corp | 460,051 | 72,550,043 | |||||
salesforce.com Inc* | 214,988 | 34,965,648 | |||||
154,075,626 | |||||||
Specialty Retail – 2.6% | |||||||
Home Depot Inc | 104,771 | 22,879,891 | |||||
Technology Hardware, Storage & Peripherals – 4.8% | |||||||
Apple Inc | 146,309 | 42,963,638 | |||||
Textiles, Apparel & Luxury Goods – 1.6% | |||||||
NIKE Inc | 139,888 | 14,172,053 | |||||
Total Common Stocks (cost $514,692,732) | 870,764,689 | ||||||
Investment Companies – 2.0% | |||||||
Money Markets – 2.0% | |||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº,£ (cost $17,377,566) | 17,377,343 | 17,377,343 | |||||
Total Investments (total cost $532,070,298) – 100.1% | 888,142,032 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | (1,028,815) | ||||||
Net Assets – 100% | $887,113,217 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $855,877,258 | 96.4 | % | ||
Netherlands | 19,296,768 | 2.2 | |||
China | 12,968,006 | 1.4 |
Total | $888,142,032 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/19 | |||||||
Investment Companies - 2.0% | ||||||||||
Money Markets - 2.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | $ | 385,766 | $ | 3,041 | $ | (223) | $ | 17,377,343 | ||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | 35,267∆ | - | - | - | ||||||
Total Affiliated Investments - 2.0% | $ | 421,033 | $ | 3,041 | $ | (223) | $ | 17,377,343 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments
December 31, 2019
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 12/31/19 | |||||||
Investment Companies - 2.0% | ||||||||||
Money Markets - 2.0% | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210%ºº | 25,348,887 | 213,734,648 | (221,706,192) | 17,377,343 | ||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Investment Companies - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 1.4338%ºº | - | 63,241,646 | (63,241,646) | - |
The following table provides information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the year ended December 31, 2019.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the year ended December 31, 2019 | ||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
| Equity | ||
Swap contracts | $2,903,097 | |||
Please see the "Net Realized Gain/(Loss) on Investments" section of the Portfolio’s Statement of Operations.
Average Ending Monthly Market Value of Derivative Instruments During the Year Ended December 31, 2019 | |
| Market Value |
Total return swaps | $ (109,384) |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio
Notes to Schedule of Investments and Other Information
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of December 31, 2019. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of December 31, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 870,764,689 | $ | - | $ | - | ||||||
Investment Companies | - | 17,377,343 | - | |||||||||
Total Assets | $ | 870,764,689 | $ | 17,377,343 | $ | - | ||||||
Janus Aspen Series | 11 |
Janus Henderson VIT Forty Portfolio
Statement of Assets and Liabilities
December 31, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1) | $ | 870,764,689 | ||||
Affiliated investments, at value(2) | 17,377,343 | |||||
Cash | 12 | |||||
Non-interested Trustees' deferred compensation | 22,806 | |||||
Receivables: | ||||||
Dividends | 460,449 | |||||
Portfolio shares sold | 157,713 | |||||
Dividends from affiliates | 20,209 | |||||
Foreign tax reclaims | 7,366 | |||||
Other assets | 7,496 | |||||
Total Assets |
|
| 888,818,083 |
| ||
Liabilities: | ||||||
Payables: | — | |||||
Portfolio shares repurchased | 836,189 | |||||
Advisory fees | 555,452 | |||||
12b-1 Distribution and shareholder servicing fees | 113,571 | |||||
Transfer agent fees and expenses | 41,144 | |||||
Professional fees | 37,605 | |||||
Non-interested Trustees' deferred compensation fees | 22,806 | |||||
Non-affiliated portfolio administration fees payable | 21,035 | |||||
Affiliated portfolio administration fees payable | 1,918 | |||||
Custodian fees | 1,810 | |||||
Non-interested Trustees' fees and expenses | 141 | |||||
Accrued expenses and other payables | 73,195 | |||||
Total Liabilities |
|
| 1,704,866 |
| ||
Net Assets |
| $ | 887,113,217 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 459,224,073 | ||||
Total distributable earnings (loss) | 427,889,144 | |||||
Total Net Assets |
| $ | 887,113,217 |
| ||
Net Assets - Institutional Shares | $ | 362,001,296 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 8,156,447 | |||||
Net Asset Value Per Share |
| $ | 44.38 |
| ||
Net Assets - Service Shares | $ | 525,111,921 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 12,644,977 | |||||
Net Asset Value Per Share |
| $ | 41.53 |
|
(1) Includes cost of $514,692,732. (2) Includes cost of $17,377,566. |
See Notes to Financial Statements. | |
12 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio
Statement of Operations
For the year ended December 31, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Dividends | $ | 7,959,413 | ||
Dividends from affiliates | 385,766 | ||||
Affiliated securities lending income, net | 35,267 | ||||
Foreign tax withheld | (34,369) | ||||
Total Investment Income |
| 8,346,077 |
| ||
Expenses: | |||||
Advisory fees | 5,748,712 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 1,239,351 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 168,807 | ||||
Service Shares | 247,870 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 10,822 | ||||
Service Shares | 8,287 | ||||
Professional fees | 52,660 | ||||
Shareholder reports expense | 35,558 | ||||
Registration fees | 23,062 | ||||
Non-interested Trustees’ fees and expenses | 20,239 | ||||
Affiliated portfolio administration fees | 19,607 | ||||
Custodian fees | 7,256 | ||||
Other expenses | 85,739 | ||||
Total Expenses |
| 7,667,970 |
| ||
Net Investment Income/(Loss) |
| 678,107 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments | 68,772,307 | ||||
Investments in affiliates | 3,041 | ||||
Swap contracts | 2,903,097 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 71,678,445 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 183,133,394 | ||||
Investments in affiliates | (223) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 183,133,171 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 255,489,723 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Forty Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 678,107 | $ | 131,716 | ||||
Net realized gain/(loss) on investments | 71,678,445 | 69,559,947 | ||||||
Change in unrealized net appreciation/depreciation | 183,133,171 | (50,240,415) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 255,489,723 |
|
| 19,451,248 | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (27,749,524) | (44,744,555) | ||||||
Service Shares | (42,198,627) | (70,046,355) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (69,948,151) |
|
| (114,790,910) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | (6,219,350) | 19,835,832 | ||||||
Service Shares | (11,662,110) | 18,730,103 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| (17,881,460) |
|
| 38,565,935 | |||
Net Increase/(Decrease) in Net Assets |
| 167,660,112 |
|
| (56,773,727) | |||
Net Assets: | ||||||||
Beginning of period | 719,453,105 | 776,226,832 | ||||||
| End of period | $ | 887,113,217 |
| $ | 719,453,105 | ||
See Notes to Financial Statements. | |
14 | DECEMBER 31, 2019 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $35.20 |
|
| $39.76 |
|
| $32.19 |
|
| $36.37 |
|
| $40.27 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | 0.09 | 0.07 | 0.02 | 0.05 | 0.03 | |||||||||||||
Net realized and unrealized gain/(loss) | 12.55 | 1.31 | 9.58 | 0.58 | 4.77 | |||||||||||||
Total from Investment Operations |
| 12.64 |
|
| 1.38 |
|
| 9.60 |
|
| 0.63 |
|
| 4.80 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.06) | — | — | — | — | |||||||||||||
Distributions (from capital gains) | (3.40) | (5.94) | (2.03) | (4.81) | (8.70) | |||||||||||||
Total Dividends and Distributions |
| (3.46) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
|
| (8.70) |
| |||
Net Asset Value, End of Period | $44.38 | $35.20 | $39.76 | $32.19 | $36.37 | |||||||||||||
Total Return* |
| 37.16% |
|
| 1.98% |
|
| 30.31% |
|
| 2.20% |
|
| 12.22% |
| |||
Net Assets, End of Period (in thousands) | $362,001 | $292,132 | $309,258 | $257,009 | $295,725 | |||||||||||||
Average Net Assets for the Period (in thousands) | $337,416 | $327,962 | $297,125 | $273,374 | $298,904 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.77% | 0.71% | 0.82% | 0.72% | 0.69% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.77% | 0.71% | 0.82% | 0.72% | 0.69% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.23% | 0.17% | 0.05% | 0.15% | 0.08% | |||||||||||||
Portfolio Turnover Rate | 35% | 41% | 39% | 53% | 55% | |||||||||||||
Service Shares | ||||||||||||||||||
For a share outstanding during the year ended December 31 |
| 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
| |||
Net Asset Value, Beginning of Period |
| $33.15 |
|
| $37.84 |
|
| $30.79 |
|
| $35.08 |
|
| $39.21 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss)(1) | (0.01) | (0.03) | (0.07) | (0.03) | (0.06) | |||||||||||||
Net realized and unrealized gain/(loss) | 11.80 | 1.28 | 9.15 | 0.55 | 4.63 | |||||||||||||
Total from Investment Operations |
| 11.79 |
|
| 1.25 |
|
| 9.08 |
|
| 0.52 |
|
| 4.57 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.01) | — | — | — | — | |||||||||||||
Distributions (from capital gains) | (3.40) | (5.94) | (2.03) | (4.81) | (8.70) | |||||||||||||
Total Dividends and Distributions |
| (3.41) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
|
| (8.70) |
| |||
Net Asset Value, End of Period | $41.53 | $33.15 | $37.84 | $30.79 | $35.08 | |||||||||||||
Total Return* |
| 36.85% |
|
| 1.72% |
|
| 29.99% |
|
| 1.94% |
|
| 11.94% |
| |||
Net Assets, End of Period (in thousands) | $525,112 | $427,321 | $466,969 | $430,510 | $501,003 | |||||||||||||
Average Net Assets for the Period (in thousands) | $495,465 | $487,559 | $457,168 | $464,943 | $501,868 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 1.02% | 0.96% | 1.06% | 0.97% | 0.94% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 1.02% | 0.96% | 1.06% | 0.97% | 0.94% | |||||||||||||
Ratio of Net Investment Income/(Loss) | (0.02)% | (0.08)% | (0.19)% | (0.09)% | (0.17)% | |||||||||||||
Portfolio Turnover Rate | 35% | 41% | 39% | 53% | 55% | |||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Henderson VIT Forty Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as nondiversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
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market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:
Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.
Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio’s Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.
Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.
There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.
The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount 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 during the reporting period. Actual results could differ from those estimates.
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Indemnifications
In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio’s maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the risk of material loss from such claims is considered remote.
Foreign Currency Translations
The Portfolio does not isolate that portion of the results of operations resulting from the effect of changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held at the date of the financial statements. Net unrealized appreciation or depreciation of investments and foreign currency translations arise from changes in the value of assets and liabilities, including investments in securities held at the date of the financial statements, resulting from changes in the exchange rates and changes in market prices of securities held.
Currency gains and losses are also calculated on payables and receivables that are denominated in foreign currencies. The payables and receivables are generally related to foreign security transactions and income translations.
Foreign currency-denominated assets and forward currency contracts may involve more risks than domestic transactions, including currency risk, counterparty risk, political and economic risk, regulatory risk and equity risk. Risks may arise from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
Dividends and Distributions
The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution of its net realized capital gains (if any).
The Portfolio may make certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. If the Portfolio distributes such amounts, such distributions could constitute a return of capital to shareholders for federal income tax purposes.
Federal Income Taxes
The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio’s tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
2. Derivative Instruments
The Portfolio may invest in various types of derivatives, which may at times result in significant derivative exposure. A derivative is a financial instrument whose performance is derived from the performance of another asset. The Portfolio may invest in derivative instruments including, but not limited to: futures contracts, put options, call options, options on future contracts, options on foreign currencies, options on recovery locks, options on security and commodity indices, swaps, forward contracts, structured investments, and other equity-linked derivatives. Each derivative instrument that was held by the Portfolio during the year ended December 31, 2019 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it would be prohibited by its investment restrictions from purchasing directly. The Portfolio’s ability to use derivative instruments may also be limited by tax considerations.
Investments in derivatives in general are subject to market risks that may cause their prices to fluctuate over time. Investments in derivatives may not directly correlate with the price movements of the underlying instrument. As a result,
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the use of derivatives may expose the Portfolio to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. The use of derivatives may result in larger losses or smaller gains than otherwise would be the case. Derivatives can be volatile and may involve significant risks.
In pursuit of its investment objective, the Portfolio may seek to use derivatives to increase or decrease exposure to the following market risk factors:
· Commodity Risk – the risk related to the change in value of commodities or commodity-linked investments due to changes in the overall market movements, volatility of the underlying benchmark, changes in interest rates, or other factors affecting a particular industry or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading.
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Swaps
Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year to exchange one set of cash flows for another. The most significant factor in the performance of swap agreements is the change in value of the specific index, security, or currency, or other factors that determine the amounts of payments due to and from the Portfolio. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Swap transactions may in some instances involve the delivery of securities or other underlying assets by the Portfolio or its counterparty to collateralize obligations under the swap. If the other party to a swap that is not collateralized defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. Swap agreements entail the risk that a party will default on its payment obligations to the Portfolio. If the other party to a swap defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. If the Portfolio utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Portfolio and reduce the Portfolio’s total return.
Swap agreements also bear the risk that the Portfolio will not be able to meet its obligation to the counterparty. Swap agreements are typically privately negotiated and entered into in the OTC market. However, certain swap agreements are required to be cleared through a clearinghouse and traded on an exchange or swap execution facility. Swaps that are required to be cleared are required to post initial and variation margins in accordance with the exchange requirements. Regulations enacted require the Portfolio to centrally clear certain interest rate and credit default index swaps through a clearinghouse or central counterparty (“CCP”). To clear a swap with a CCP, the Portfolio will submit the swap to, and post collateral with, a futures clearing merchant (“FCM”) that is a clearinghouse member. Alternatively, the Portfolio may enter into a swap with a financial institution other than the FCM (the “Executing Dealer”) and arrange for the swap to be transferred to the FCM for clearing. The Portfolio may also enter into a swap with the FCM itself. The CCP, the FCM, and the Executing Dealer are all subject to regulatory oversight by the U.S. Commodity Futures Trading Commission (“CFTC”). A default or failure by a CCP or an FCM, or the failure of a swap to be transferred from an Executing Dealer to the FCM for clearing, may expose the Portfolio to losses, increase its costs, or prevent the Portfolio from entering or exiting swap positions, accessing collateral, or fully implementing its investment strategies. The regulatory requirement to clear certain swaps could, either temporarily or permanently, reduce the liquidity of cleared swaps or increase the costs of entering into those swaps.
Index swaps, interest rate swaps, and credit default swaps are valued using an approved vendor supplied price. Basket swaps are valued using a broker supplied price. Equity swaps that consist of a single underlying equity are valued either at the closing price, the latest bid price, or the last sale price on the primary market or exchange it trades. The market value of swap contracts are aggregated by positive and negative values and are disclosed separately as an asset or liability on the Portfolio’s Statement of Assets and Liabilities (if applicable). Realized gains and losses are reported on the Portfolio’s Statement of Operations (if applicable). The change in unrealized net appreciation or depreciation during the year is included in the Statement of Operations (if applicable).
The Portfolio’s maximum risk of loss from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to cover the Portfolio’s exposure to the counterparty.
Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. A fixed-income total return swap may be written on many different kinds of underlying reference assets, and may include different indices for various kinds of debt securities (e.g., U.S. investment grade bonds, high-yield bonds, or emerging market bonds).
During the year, the Portfolio entered into total return swaps on equity indices to increase exposure to equity risk. These total return swaps require the Portfolio to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index multiplied by the notional amount of the contract. The Portfolio will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
There were no swaps held at December 31, 2019.
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3. Other Investments and Strategies
Additional Investment Risk
In the aftermath of the 2007-2008 financial crisis, the financial sector experienced reduced liquidity in credit and other fixed-income markets, and an unusually high degree of volatility, both domestically and internationally. In response to the crisis, the United States and certain foreign governments, along with the U.S. Federal Reserve and certain foreign central banks, took steps to support the financial markets. For example, the enactment of the Dodd-Frank Act in 2010 provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, over-the-counter derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. The withdrawal of this support, a failure of measures put in place to respond to the crisis, or investor perception that such efforts were not sufficient could each negatively affect financial markets generally, and the value and liquidity of specific securities. In addition, policy and legislative changes in the United States and in other countries continue to impact many aspects of financial regulation.
A number of countries in the European Union (“EU”) have experienced, and may continue to experience, severe economic and financial difficulties. In particular, many EU nations are susceptible to economic risks associated with high levels of debt. Many non-governmental issuers, and even certain governments, have defaulted on, or been forced to restructure, their debts. Many other issuers have faced difficulties obtaining credit or refinancing existing obligations. Financial institutions have in many cases required government or central bank support, have needed to raise capital, and/or have been impaired in their ability to extend credit. As a result, financial markets in the EU experienced extreme volatility and declines in asset values and liquidity. Responses to these financial problems by European governments, central banks, and others, including austerity measures and reforms, may not work, may result in social unrest, and may limit future growth and economic recovery or have other unintended consequences. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (commonly known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will conclude, or how financial markets will react.
Certain areas of the world have historically been prone to and economically sensitive to environmental events such as, but not limited to, hurricanes, earthquakes, typhoons, flooding, tidal waves, tsunamis, erupting volcanoes, wildfires or droughts, tornadoes, mudslides, or other weather-related phenomena. Such disasters, and the resulting physical or economic damage, could have a severe and negative impact on the Portfolio’s investment portfolio and, in the longer term, could impair the ability of issuers in which the Portfolio invests to conduct their businesses as they would under normal conditions. Adverse weather conditions may also have a particularly significant negative effect on issuers in the agricultural sector and on insurance companies that insure against the impact of natural disasters.
Counterparties
Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio (“counterparty risk”). Counterparty risk may arise because of the counterparty’s financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty’s inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities,
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real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. Effective December 16, 2019, JPMorgan Chase Bank, National Association replaced Deutsche Bank AG as securities lending agent for the Portfolio. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodian functions in accordance with the Non-Custodial Securities Lending Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.
Upon receipt of cash collateral, Janus Capital may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. Janus Capital currently intends to primarily invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of December 31, 2019.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital Management LLC (“Janus Capital”) an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s "base" fee rate prior to any performance adjustment (expressed as an annual rate) is 0.64%.
The investment advisory fee rate is determined by calculating a base fee and applying a performance adjustment. The base fee rate is the same as the contractual investment advisory fee rate. The performance adjustment either increases or decreases the base fee depending on how well the Portfolio has performed relative to its benchmark index. The Portfolio's benchmark index used in the calculation is the Russell 1000® Growth Index.
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The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment performance of a Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the year ended December 31, 2019, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.69%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment
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Notes to Financial Statements
advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $40,392 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Total distributable earnings (loss)” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $468,050 were paid by the Trust to the Trustees under the Deferred Plan during the year ended December 31, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.
Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2019, the Portfolio engaged in cross trades amounting to $2,096,751 in purchases.
5. Federal Income Tax
The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income
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Janus Henderson VIT Forty Portfolio
Notes to Financial Statements
and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.
Other book to tax differences primarily consist of deferred compensation. The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal income tax purposes pursuant to Section 988 of the Internal Revenue Code.
Loss Deferrals | Other Book | Net Tax | |||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | to Tax | Appreciation/ | |
$ 6,253,442 | $ 65,584,890 | $ - | $ - | $ - | $ (20,116) | $356,070,928 |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2019 are noted below. The primary difference between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 532,071,104 | $358,487,404 | $ (2,416,476) | $ 356,070,928 |
Income and capital gains distributions are determined in accordance with income tax regulations that may differ from accounting principles generally accepted in the United States of America. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, and capital loss carryovers. Certain permanent differences such as tax returns of capital and net investment losses noted below have been reclassified to capital.
For the year ended December 31, 2019 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 618,837 | $ 69,329,314 | $ - | $ - |
For the year ended December 31, 2018 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 9,774,498 | $ 105,016,412 | $ - | $ - |
Permanent book to tax basis differences may result in reclassifications between the components of net assets. These differences have no impact on the results of operations or net assets. The following reclassifications have been made to the Portfolio:
Increase/(Decrease) to Capital | Increase/(Decrease) to Undistributed | Increase/(Decrease) to Undistributed |
$ - | $ 1,826,142 | $ (1,826,142) |
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Notes to Financial Statements
6. Capital Share Transactions
Year ended December 31, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 1,174,768 | $ 48,016,950 | 809,869 | $33,052,337 | ||
Reinvested dividends and distributions | 703,924 | 27,749,524 | 1,145,241 | 44,744,555 | ||
Shares repurchased | (2,021,587) | (81,985,824) | (1,434,162) | (57,961,060) | ||
Net Increase/(Decrease) | (142,895) | $ (6,219,350) |
| 520,948 | $19,835,832 | |
Service Shares: | ||||||
Shares sold | 919,315 | $ 34,835,599 | 1,082,691 | $41,434,913 | ||
Reinvested dividends and distributions | 1,143,734 | 42,198,627 | 1,900,851 | 70,046,355 | ||
Shares repurchased | (2,307,562) | (88,696,336) | (2,434,969) | (92,751,165) | ||
Net Increase/(Decrease) | (244,513) | $(11,662,110) |
| 548,573 | $18,730,103 |
7. Purchases and Sales of Investment Securities
For the year ended December 31, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$284,331,463 | $ 361,487,663 | $ - | $ - |
8. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Janus Henderson VIT Forty Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Henderson VIT Forty Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Janus Henderson VIT Forty Portfolio (one of the portfolios constituting Janus Aspen Series, referred to hereafter as the "Portfolio") as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s 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 Portfolio 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 of these financial statements 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 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. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
Denver, Colorado
February 14, 2020
We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings as an exhibit to Form N-PORT within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. Historically, the Portfolio filed its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters each fiscal year on Form N-Q. The Portfolio’s Form N-PORT and Form N-Q filings: (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreements for the Janus Henderson Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and the respective subadvisers in response to requests of the Trustees and their independent legal counsel. They also received and reviewed information and analysis provided by, and in response to requests of, their independent fee consultant. Throughout their consideration of the agreements, the Trustees were advised by their independent legal counsel. The Trustees met with management to consider the agreements, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 5, 2019, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2020 through February 1, 2021, subject to earlier termination as provided for in each agreement.
In considering the continuation of those agreements, the Trustees reviewed and analyzed various factors that they determined were relevant, including the factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Trustees’ determination to approve the continuation of the agreements are discussed separately below. Also included is a summary of the independent fee consultant’s conclusions and opinions that arose during, and were included as part of, the Trustees’ consideration of the agreements. “Management fees,” as used herein, reflect actual annual advisory fees and, for the purpose of peer comparisons, any administration fees (excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
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Additional Information (unaudited)
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital generally does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also provided its belief that Janus Capital has developed a number of institutional competitive advantages that should enable it to provide superior investment and service performance over the long term.
The Trustees concluded that the nature, extent and quality of the services provided by Janus Capital or the subadviser to each Janus Henderson Fund were appropriate and consistent with the terms of the respective advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2019, approximately 69% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2019, approximately 71% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
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Additional Information (unaudited)
· For Janus Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the third Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2019 and the bottom Broadridge quartile for the 12 months ended May 31, 2019.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the second Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2019 and the first Broadridge quartile for the 12 months ended May 31, 2019. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital and Intech had taken or were taking to improve performance, and the performance trend was improving.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the rate of management fees (investment advisory and any administration, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, after applicable waivers, was below the average management fee rate of the respective peer group of funds selected by an independent data provider. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. The independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) the total expenses, on average, were 10% under the average total expenses of their respective Broadridge Expense Group peers; and (3) and the management fees for the Janus Henderson Funds, on average, were 7% under the average management fees for their Expense Groups. The Trustees also considered the total expenses for each share class of
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Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
For certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses which assessed fund fees in the context of fund performance being delivered. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds was reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and/or expense waivers on such Janus Henderson Funds.
The Trustees considered the methodology used by Janus Capital and each subadviser in determining compensation payable to portfolio managers, the competitive environment for investment management talent, and the competitive market for mutual funds in different distribution channels.
The Trustees also reviewed management fees charged by Janus Capital and each subadviser to comparable separate account clients and to comparable non-affiliated funds subadvised by Janus Capital or by a subadviser (for which Janus Capital or the subadviser provides only or primarily portfolio management services). Although in most instances subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, they noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to funds subadvised by Janus Capital and to the fees Janus Capital charges to its institutional separate account clients; (2) these subadvised and institutional separate accounts have different service and infrastructure needs; and (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson subadvised fund and separate account investors; (4) 11 of 12 Janus Henderson Funds have lower management fees than similar funds subadvised by Janus Capital; and (5) six of nine Janus Henderson Funds have lower management fees than similar separate accounts managed by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2018, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Mid Cap Value Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
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Additional Information (unaudited)
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded mutual fund advisers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, difference in product mix, difference in types of business (mutual fund, institutional and other), differences in the types of funds and other accounts it manages, possible other lines of business, the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant found that (1) the expense allocation methodology and rationales utilized by Janus Capital were reasonable and (2) no clear correlation between expense allocations and operating margins. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted that their independent fee consultant published a report to the Trustees in November 2019 which provided its research and analysis into economies of scale. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, their independent fee consultant concluded that 64% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge expense group averages. They also noted the following: (1) that for those Janus Henderson Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale; (2) as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined; (3) performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a
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Janus Henderson VIT Forty Portfolio
Additional Information (unaudited)
Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and (4) a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered the independent fee consultant’s conclusion that, given the limitations of various analytical approaches to economies of scale and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. In this regard, the independent consultant concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant provided its belief that Janus Henderson Fund investors are well-served by the fee levels and performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information reviewed, including the recent and past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was consistent with regulatory requirements and guidelines and was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was December 31, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the period. The next line reflects the total return for the period. The total return may include adjustments in accordance with
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Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
generally accepted accounting principles required at the period end for financial reporting purposes. As a result, the total return may differ from the total return reflected for individual shareholder transactions. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Janus Henderson VIT Forty Portfolio
Designation Requirements (unaudited)
For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2019:
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Capital Gain Distributions | $69,329,314 |
Dividends Received Deduction Percentage | 100% |
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Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Trustees and officers and is available, without charge, by calling 1-877-335-2687.
The following are the Trustees and officers of the Trust, together with a brief description of their principal occupations during the last five years (principal occupations for certain Trustees may include periods over five years).
Each Trustee has served in that capacity since he or she was originally elected or appointed. The Trustees do not serve a specified term of office. Each Trustee will hold office until the termination of the Trust or his or her earlier death, resignation, retirement, incapacity, or removal. Under the Portfolio’s Governance Procedures and Guidelines, the policy is for Trustees to retire no later than the end of the calendar year in which the Trustee turns 75. The Trustees review the Portfolio’s Governance Procedures and Guidelines from time to time and may make changes they deem appropriate. The Portfolio’s Nominating and Governance Committee will consider nominees for the position of Trustee recommended by shareholders. Shareholders may submit the name of a candidate for consideration by the Committee by submitting their recommendations to the Trust’s Secretary. Each Trustee is currently a Trustee of one other registered investment company advised by Janus Capital: Janus Investment Fund. Collectively, these two registered investment companies consist of 58 series or funds referred to herein as the Fund Complex.
The Trust’s officers are elected annually by the Trustees for a one-year term. Certain officers also serve as officers of Janus Investment Fund. Certain officers of the Portfolio may also be officers and/or directors of Janus Capital. Except as otherwise disclosed, Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William F. McCalpin 151 Detroit Street Denver, CO 80206 DOB: 1957 | Chairman Trustee | 1/08-Present 6/02-Present | Independent Consultant. Formerly, Managing Partner, Impact Investments, Athena Capital Advisors LLC (independent registered investment advisor) (2016-2019), Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations) (2009-2016), Chief Executive Officer, Imprint Capital Advisors (impact investment firm) (2013-2015), and Executive Vice President and Chief Operating Officer of The Rockefeller Brothers Fund (a private family foundation) (1998-2006). | 58 | Director of Mutual Fund Directors Forum (a non-profit organization serving independent directors of U.S. mutual funds) (since 2016), Chairman of the Board and Trustee of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds) (since 2008), and Director of the F.B. Heron Foundation (a private grantmaking foundation) (since 2006). |
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Alan A. Brown 151 Detroit Street Denver, CO 80206 DOB: 1962 | Trustee | 1/13-Present | Principal, Curam Holdings LLC (since 2018). Formerly, Executive Vice President, Institutional Markets, of Black Creek Group (private equity real estate investment management firm) (2012-2018), Executive Vice President and Co-Head, Global Private Client Group (2007-2010), Executive Vice President, Mutual Funds (2005-2007), and Chief Marketing Officer (2001-2005) of Nuveen Investments, Inc. (asset management). | 58 | Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of MotiveQuest LLC (strategic social market research company) (2003-2016), Director of Nuveen Global Investors LLC (2007-2011), Director of Communities in Schools (2004-2010), and Director of Mutual Fund Education Alliance (until 2010). |
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Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
William D. Cvengros 151 Detroit Street Denver, CO 80206 DOB: 1948 | Trustee | 1/11-Present | Chief Executive Officer of SJC Capital, LLC (a personal investment company and consulting firm) (since 2002). Formerly, Venture Partner for The Edgewater Funds (a middle market private equity firm) (2002-2004), Chief Executive Officer and President of PIMCO Advisors Holdings L.P. (a publicly traded investment management firm) (1994-2000), and Chief Investment Officer (1987-1994) and Vice Chairman and Director (1990-1994) of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, RevOZ Fund LP and related funds (real estate investments for opportunity zones) (since 2020), Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014). Formerly, Managing Trustee of National Retirement Partners Liquidating Trust (2013-2016), Chairman, National Retirement Partners, Inc. (formerly a network of advisors to 401(k) plans) (2005-2013), Director of Prospect Acquisition Corp. (a special purpose acquisition corporation) (2007-2009), Director of RemedyTemp, Inc. (temporary help services company) (1996-2006), and Trustee of PIMCO Funds Multi-Manager Series (1990-2000) and Pacific Life Variable Life & Annuity Trusts (1987-1994). |
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Raudline Etienne 151 Detroit Street Denver, CO 80206 DOB: 1965 | Trustee | 6/16-Present | Founder, Daraja Capital (advisory and investment firm) (since 2016), and Senior Advisor, Albright Stonebridge Group LLC (global strategy firm) (since 2016). Formerly, Senior Vice President (2011-2015), Albright Stonebridge Group LLC, and Deputy Comptroller and Chief Investment Officer, New York State Common Retirement Fund (public pension fund) (2008-2011). | 58 | Board Member, Van Alen Institute (nonprofit architectural and design organization) (since 2019) and Director of Brightwood Capital Advisors, LLC (since 2014). |
William M. Fitzgerald, Sr. 151 Detroit Street Denver, CO 80206 DOB: 1964 | Trustee | 9/19-Present | Founder, Fitzgerald Asset Management LLC (since 2012). Formerly, Founder and Chief Investment Officer, Global Infrastructure Asset Management LLC (2008-2017), Chief Investment Officer of Nuveen Asset Management (2000-2007), and Managing Director, Nuveen Investment LLC (1988-2007). | 58 | Board of Directors, Municipal Securities Rulemaking Board (since 2017). Formerly, Board of Directors of Syncora Holdings Ltd, Syncora Guarantee Inc., and Syncora Capital Assurance Inc. (2009-2016), and Trustee, Destra Investment Trust (2010-2014). |
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Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Gary A. Poliner 151 Detroit Street Denver, CO 80206 DOB: 1953 | Trustee | 6/16-Present | Retired. Formerly, President (2010-2013) of Northwestern Mutual Life Insurance Company. | 58 | Director of MGIC Investment Corporation (private mortgage insurance) (since 2013) and West Bend Mutual Insurance Company (property/casualty insurance) (since 2013). Formerly, Trustee of Northwestern Mutual Life Insurance Company (2010-2013) and Director of Frank Russell Company (global asset management firm) (2008-2013). |
William D. Stewart* 151 Detroit Street Denver, CO 80206 DOB: 1944 | Trustee | 6/84-Present | Retired. Formerly, President and founder of HPS Products and Corporate Vice President of MKS Instruments, Boulder, CO (a provider of advanced process control systems for the semiconductor industry) (1976-2012). | 58 | None |
*William D. Stewart retired from his role as Independent Trustee, effective December 31, 2019. |
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Trustees and Officers (unaudited)
TRUSTEES | |||||
Name, Address, and Age | Positions Held with the Trust | Length of Time Served | Principal Occupations During the Past Five Years | Number of Portfolios/Funds in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During the Past Five Years |
Independent Trustees | |||||
Diane L. Wallace 151 Detroit Street Denver, CO 80206 DOB: 1958 | Trustee | 6/17-Present | Retired. | 58 | Formerly, Independent Trustee, Henderson Global Funds (13 portfolios) (2015-2017), Independent Trustee, State Farm Associates' Funds Trust, State Farm Mutual Fund Trust, and State Farm Variable Product Trust (28 portfolios) (2013-2017), Chief Operating Officer, Senior Vice President-Operations, and Chief Financial Officer for Driehaus Capital Management, LLC (1988-2006), and Treasurer for Driehaus Mutual Funds (1996-2002). |
Linda S. Wolf 151 Detroit Street Denver, CO 80206 DOB: 1947 | Trustee | 11/05-Present | Retired. Formerly, Chairman and Chief Executive Officer of Leo Burnett (Worldwide) (advertising agency) (2001-2005). | 58 | Director of Chicago Community Trust (Regional Community Foundation), Lurie Children’s Hospital (Chicago, IL), Shirley Ryan Ability Lab and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Council on Global Affairs (until 2019), InnerWorkings (until 2019), Director of Walmart (until 2017), Director of Chicago Convention & Tourism Bureau (until 2014), and The Field Museum of Natural History (Chicago, IL) (until 2014). |
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Janus Henderson VIT Forty Portfolio
Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
A. Douglas Rao 151 Detroit Street Denver, CO 80206 DOB: 1974 | Executive Vice President and Co-Portfolio Manager Janus Henderson Forty Portfolio | 6/13-Present | Portfolio Manager for other Janus Henderson accounts. |
Nick Schommer | Executive Vice President and Co-Portfolio Manager | 1/16-Present | Portfolio Manager for other Janus Henderson accounts. |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | Executive Vice President, Head of North America at Janus Henderson Investors and Janus Capital Management LLC (since 2017), Executive Vice President and Director of Janus International Holding LLC (since 2011), Executive Vice President of Janus Distributors LLC (since 2011), Vice President and Director of Intech Investment Management LLC (since 2011), Executive Vice President and Director of Perkins Investment Management LLC (since 2011), and President and Director of Janus Management Holdings Corporation (since 2011). Formerly, President of Janus Capital Group Inc. and Janus Capital Management LLC (2013-2017), Executive Vice President of Janus Services LLC (2011-2015), Janus Capital Group Inc. and Janus Capital Management LLC (2011-2013), and Chief Financial Officer of Janus Capital Group Inc., Janus Capital Management LLC, Janus Distributors LLC, Janus Management Holdings Corporation, and Janus Services LLC (2011-2013). |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
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Trustees and Officers (unaudited)
OFFICERS | |||
Name, Address, and Age | Positions Held with the Trust | Term of Office* and Length of Time Served | Principal Occupations During the Past Five Years |
Susan K. Wold | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 9/17-Present | Head of Compliance, North America for Janus Henderson (since September 2017). Formerly, Vice President, Head of Global Corporate Compliance, and Chief Compliance Officer for Janus Capital Management LLC (May 2017-September 2017), Vice President, Compliance at Janus Capital Group Inc. and Janus Capital Management LLC (2005-2017). |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
Kathryn L. Santoro | Vice President, Chief Legal Counsel, and Secretary | 12/16-Present | Assistant General Counsel of Janus Capital (since 2016). Formerly, Vice President and Associate Counsel of Curian Capital, LLC and Curian Clearing LLC (2013-2016), and General Counsel and Secretary (2011-2012) and Vice President (2009-2012) of Old Mutual Capital, Inc. |
* Officers are elected at least annually by the Trustees for a one-year term and may also be elected from time to time by the Trustees for an interim period. |
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Janus Henderson VIT Forty Portfolio
Notes
NotesPage1
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Notes
NotesPage2
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Notes
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-02-81115 02-20 |
ANNUAL REPORT December 31, 2019 | ||
Janus Henderson VIT Global Research Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. 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 Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Global Research Portfolio
Janus Henderson VIT Global Research Portfolio (unaudited)
PERFORMANCE SUMMARY
Janus Henderson VIT Global Research Portfolio’s Institutional Shares and Service Shares returned 29.04% and 28.71%, respectively, over the 12-month period ending December 31, 2019, while its primary benchmark, the MSCI World IndexSM, returned 27.67%. The Portfolio’s secondary benchmark, the MSCI All Country World IndexSM, returned 26.60%.
MARKET ENVIRONMENT
After a sharp downturn in the final weeks of 2018 triggered by heightened macroeconomic and geopolitical concerns, global stock markets reversed direction in 2019, largely shrugging off worries about the impact of the U.S.-China trade war and slowing global growth. The recovery was driven in large part by more accommodative monetary policies adopted by central banks around the world. In the U.S., the Federal Reserve (Fed) pivoted its monetary policy by reducing interest rates. Despite a resilient U.S. economy and continued consumer strength, the Fed responded to weaker manufacturing data and risks of slowing global growth with three rate cuts in the second half of the year. In the final months of the year, better-than-expected economic, earnings and trade policy news helped stocks finish the period with strong gains.
PERFORMANCE DISCUSSION
Our seven global sector teams employ a bottom-up, fundamental approach to identify what we consider the best global opportunities. Our analysts take a long-term view of companies with a focus on value creation and duration of growth, which may lead to high returns on invested capital. The Portfolio directly captures the insights of our teams through their highest-conviction ideas. In building a diversified portfolio, we seek to minimize macroeconomic risks while generating superior performance over longer periods.
Contributing most to relative performance were the Portfolio’s selection of financials and industrials stocks. Conversely, weak security selection within the energy and technology sectors limited relative gains.
ASML was our top contributor on an absolute basis. ASML and other leading semiconductor equipment manufacturers aggressively invested in the development of new technologies during the period, providing visibility into demand for chips through 2021. This greater degree of certainty and optimism contributed to share strength for chip companies in general and ASML in particular. ASML also benefited from hitting mass production volumes for its extreme ultraviolet (EUV) lithography tools ahead of plan. EUV lithography enables chipmakers to develop more advanced and powerful microprocessors.
Portfolio performance also benefited from the strong absolute performance of Mastercard. The company continued to demonstrate how its business model can address business-to-business payment solutions. A decision by many upstart fintech companies to use Mastercard’s payments networks – instead of competing against it – has also reinforced the durability of the global card network’s value and helped drive the stock’s appreciation. We continue to believe Mastercard’s payments network is a competitive moat that positions the business as a key beneficiary as more transactions migrate from cash and check to plastic and electronic payments. Our research suggests Mastercard is particularly well positioned to benefit from this shift because the majority of its revenues are generated outside the U.S., where many markets have a lower penetration of card and electronic payments and are experiencing faster electronic purchase volume growth.
Key drivers of performance also included JPMorgan Chase & Co., a multinational investment bank and financial services holding company that benefited from an improved outlook for the U.S. economy and rising yields
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Janus Henderson VIT Global Research Portfolio (unaudited)
on 10-year Treasuries. Better-than-expected third quarter earnings driven by stronger fee income and net interest income also supported share strength. Our outlook for the stock remains positive, as we continue to see evidence that the company is gaining market share from rivals in trading and banking. We also appreciate the bank’s strong management team, diversified mix of quality businesses, international exposure and potential for further capital returns to shareholders.
Not all of our holdings met our expectations during the period. Biopharmaceutical firm AbbVie’s stock declined after management announced it would purchase drug maker Allergan at a significant premium. We are concerned that AbbVie is making the acquisition because of worries about the pace of biosimilar erosion for Humira, AbbVie’s lead drug, which is expected to face additional competitors in 2023. We consequently liquidated our position in the stock.
Occidental Petroleum also weighed on the Portfolio’s results. The stock underperformed after the oil and gas exploration company won a bidding war with Chevron for Anadarko Petroleum that resulted in Occidental paying an extremely rich price for Anadarko. A combination of factors related to the transaction compelled us to liquidate our position in the stock, including lack of a shareholder vote to approve the deal, increasing concerns about the company’s debt load and free cash flow as well as decreased potential for dividend growth.
Key detractors also included Sage Therapeutics. The biopharmaceutical firm reported disappointing phase 3 trial data for Sage-217, a treatment for major depressive disorder. Although frustrated by the results, we think Sage-217 still shows promise: The drug is a new mechanism of action in a disease category in which 40% of patients do not respond to current therapies, and a similar drug from Sage has received regulatory approval for postpartum depression. What’s more, depression is a notoriously difficult condition to test and often requires multiple trials to confirm results. With additional studies already underway, we believe U.S. Food and Drug Administration approval could still be possible.
OUTLOOK
As we head into 2020, we believe economic growth will be an important determinant of equity performance. In recent months, we have started to see signs that the global economy may be regaining its footing. In November, for example, headline purchasing managers’ indices (a measure of manufacturing activity) expanded in 18 out of 30 regions, the highest ratio in two years. In the U.S., unemployment remains low and monthly wage growth has been running at 3% or more over the past year, suggesting a healthy consumer.
Should the economy be turning a corner, we believe traditionally cyclical stocks (firms closely tied to the business cycle) could be well positioned. These stocks have lagged growth peers and, in our opinion, offer attractive valuations at a time when a reaccelerating economy could drive demand for these firms’ goods and services. On a regional basis, we believe beaten-down UK and Chinese equities could be well positioned. The Conservative Party’s overwhelming win in the UK’s general election in December suggests the end of parliamentary paralysis around Brexit, while progress on trade talks could help reinvigorate China’s economy.
At the same time, plenty of uncertainty remains, from ongoing trade negotiations to the U.S. presidential election. If the economy stalls, cyclicals would likely lose their leadership position. As such, we think it’s important to keep a close eye on economic indicators in 2020, including measures of corporate capital expenditure. But given geopolitical and macroeconomic uncertainties, we also believe central banks globally will keep monetary policy loose and that select governments could roll out fiscal stimulus in 2020. These efforts should add liquidity to financial markets and, in our opinion, further support equities.
Thank you for your investment in Janus Henderson VIT Global Research Portfolio.
2 | DECEMBER 31, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
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Contribution | Contribution | |||||
ASML Holding NV | 1.35% | AbbVie Inc | -0.26% | |||
Mastercard Inc | 1.03% | Occidental Petroleum Corp | -0.23% | |||
JPMorgan Chase & Co | 0.97% | Sage Therapeutics Inc | -0.22% | |||
Microsoft Corp | 0.91% | Teck Resources Ltd | -0.16% | |||
London Stock Exchange Group PLC | 0.76% | Cabot Oil & Gas Corp | -0.14% | |||
5 Top Performers - Sectors* |
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| |
Portfolio | Portfolio Weighting | MSCI World Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Financials | 1.92% | 21.12% | 21.17% | |||
Industrials | 0.57% | 17.50% | 17.54% | |||
Communications | 0.42% | 2.47% | 2.48% | |||
Healthcare | 0.06% | 12.64% | 12.81% | |||
Consumer | 0.02% | 18.09% | 18.26% | |||
3 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | MSCI World Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Energy | -0.94% | 8.76% | 8.93% | |||
Technology | -0.24% | 18.92% | 18.81% | |||
Other** | -0.12% | 0.50% | 0.00% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | The sectors listed above reflect those covered by the six analyst teams who comprise the Janus Henderson Research Team. | |||||
** | Not a GICS classified sector. |
Janus Aspen Series | 3 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
December 31, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 2.7% |
JPMorgan Chase & Co | |
Banks | 2.5% |
Alphabet Inc - Class C | |
Interactive Media & Services | 2.3% |
Mastercard Inc | |
Information Technology Services | 2.1% |
Visa Inc | |
Information Technology Services | 2.0% |
11.6% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 99.9% | ||||
Other | 0.1% | ||||
100.0% |
Emerging markets comprised 7.3% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2019 | As of December 31, 2018 |
4 | DECEMBER 31, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| |||||||||
Average Annual Total Return - for the periods ended December 31, 2019 |
|
| Expense Ratios | ||||||
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| One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 29.04% | 8.77% | 9.69% | 8.52% |
|
| 0.60% | |
Service Shares |
| 28.71% | 8.50% | 9.41% | 8.24% |
|
| 0.85% | |
MSCI World Index |
| 27.67% | 8.74% | 9.47% | 7.24% |
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| |
MSCI All Country World Index |
| 26.60% | 8.41% | 8.79% | N/A** |
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Morningstar Quartile - Institutional Shares |
| 2nd | 2nd | 2nd | 2nd |
|
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| |
Morningstar Ranking - based on total returns for World Large Stock Funds |
| 287/897 | 262/723 | 187/507 | 66/143 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
High absolute short-term performance is not typical and may not be achieved in the future. Such results should not be the sole basis for evaluating material facts in making an investment decision.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 5 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
‡ As stated in the prospectus. See Financial Highlights for actual expense ratios during the reporting period.
**Since inception return is not shown for the index because the index’s inception date differs significantly from the Portfolio’s inception date.
6 | DECEMBER 31, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, 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 appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’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 the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,090.90 | $4.22 |
| $1,000.00 | $1,021.17 | $4.08 | 0.80% | ||
Service Shares | $1,000.00 | $1,089.40 | $5.53 |
| $1,000.00 | $1,019.91 | $5.35 | 1.05% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Aspen Series | 7 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2019
| Value | ||||||
Common Stocks – 99.9% | |||||||
Aerospace & Defense – 3.6% | |||||||
Boeing Co | 20,567 | $6,699,906 | |||||
L3Harris Technologies Inc | 41,005 | 8,113,659 | |||||
Safran SA | 78,824 | 12,169,546 | |||||
26,983,111 | |||||||
Airlines – 0.8% | |||||||
Ryanair Holdings PLC (ADR)* | 64,751 | 5,672,835 | |||||
Auto Components – 0.8% | |||||||
Aptiv PLC | 65,705 | 6,240,004 | |||||
Automobiles – 0.7% | |||||||
Maruti Suzuki India Ltd | 52,695 | 5,440,453 | |||||
Banks – 4.9% | |||||||
Bank Rakyat Indonesia Persero Tbk PT | 12,711,300 | 4,029,519 | |||||
BNP Paribas SA | 64,126 | 3,799,745 | |||||
China Construction Bank Corp | 2,735,000 | 2,362,298 | |||||
HDFC Bank Ltd | 420,498 | 7,494,900 | |||||
JPMorgan Chase & Co | 135,285 | 18,858,729 | |||||
36,545,191 | |||||||
Beverages – 2.9% | |||||||
Constellation Brands Inc | 64,726 | 12,281,758 | |||||
Pernod Ricard SA | 51,605 | 9,226,134 | |||||
21,507,892 | |||||||
Biotechnology – 1.6% | |||||||
Mirati Therapeutics Inc* | 21,079 | 2,716,240 | |||||
Neurocrine Biosciences Inc* | 33,321 | 3,581,674 | |||||
Sage Therapeutics Inc* | 13,979 | 1,009,144 | |||||
Sarepta Therapeutics Inc* | 14,390 | 1,856,886 | |||||
Vertex Pharmaceuticals Inc* | 14,139 | 3,095,734 | |||||
12,259,678 | |||||||
Building Products – 1.4% | |||||||
Daikin Industries Ltd | 73,700 | 10,481,084 | |||||
Capital Markets – 3.6% | |||||||
Blackstone Group Inc | 140,906 | 7,882,282 | |||||
Hong Kong Exchanges & Clearing Ltd | 108,700 | 3,529,493 | |||||
Intercontinental Exchange Inc | 80,879 | 7,485,351 | |||||
London Stock Exchange Group PLC | 76,616 | 7,863,931 | |||||
26,761,057 | |||||||
Chemicals – 1.0% | |||||||
Air Products & Chemicals Inc | 30,538 | 7,176,125 | |||||
Construction Materials – 0.6% | |||||||
Vulcan Materials Co | 31,604 | 4,550,660 | |||||
Consumer Finance – 1.7% | |||||||
Nexi SpA (144A)* | 468,170 | 6,500,757 | |||||
Synchrony Financial | 182,808 | 6,582,916 | |||||
13,083,673 | |||||||
Diversified Financial Services – 0.1% | |||||||
M&G PLC* | 134,777 | 423,398 | |||||
Electronic Equipment, Instruments & Components – 1.9% | |||||||
Hexagon AB | 155,723 | 8,731,291 | |||||
Keyence Corp | 16,000 | 5,668,630 | |||||
14,399,921 | |||||||
Entertainment – 1.2% | |||||||
Netflix Inc* | 28,667 | 9,275,781 | |||||
Equity Real Estate Investment Trusts (REITs) – 2.1% | |||||||
American Tower Corp | 24,346 | 5,595,198 | |||||
Crown Castle International Corp | 37,119 | 5,276,466 | |||||
Equinix Inc | 8,656 | 5,052,507 | |||||
15,924,171 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2019 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Health Care Equipment & Supplies – 2.6% | |||||||
Abbott Laboratories | 98,372 | $8,544,592 | |||||
Boston Scientific Corp* | 155,971 | 7,053,009 | |||||
Cooper Cos Inc | 7,752 | 2,490,640 | |||||
Dentsply Sirona Inc | 32,664 | 1,848,456 | |||||
19,936,697 | |||||||
Health Care Providers & Services – 1.5% | |||||||
Humana Inc | 10,648 | 3,902,705 | |||||
UnitedHealth Group Inc | 25,935 | 7,624,371 | |||||
11,527,076 | |||||||
Hotels, Restaurants & Leisure – 3.4% | |||||||
GVC Holdings PLC | 557,741 | 6,531,330 | |||||
McDonald's Corp | 37,901 | 7,489,617 | |||||
Norwegian Cruise Line Holdings Ltd* | 91,684 | 5,355,262 | |||||
Sands China Ltd | 1,140,400 | 6,095,852 | |||||
25,472,061 | |||||||
Household Durables – 0.9% | |||||||
Sony Corp | 104,000 | 7,084,904 | |||||
Independent Power and Renewable Electricity Producers – 1.9% | |||||||
NRG Energy Inc | 208,732 | 8,297,097 | |||||
Vistra Energy Corp | 254,834 | 5,858,634 | |||||
14,155,731 | |||||||
Industrial Conglomerates – 0.9% | |||||||
Honeywell International Inc | 40,258 | 7,125,666 | |||||
Information Technology Services – 6.0% | |||||||
Amdocs Ltd | 90,319 | 6,520,129 | |||||
Fidelity National Information Services Inc | 58,918 | 8,194,905 | |||||
Mastercard Inc | 53,295 | 15,913,354 | |||||
Visa Inc | 78,257 | 14,704,490 | |||||
45,332,878 | |||||||
Insurance – 5.0% | |||||||
AIA Group Ltd | 1,078,200 | 11,319,177 | |||||
Aon PLC | 34,539 | 7,194,128 | |||||
Intact Financial Corp | 60,424 | 6,534,764 | |||||
Progressive Corp | 130,461 | 9,444,072 | |||||
Prudential PLC | 171,611 | 3,293,306 | |||||
37,785,447 | |||||||
Interactive Media & Services – 4.9% | |||||||
Alphabet Inc - Class C* | 13,209 | 17,660,697 | |||||
Facebook Inc* | 59,419 | 12,195,750 | |||||
Tencent Holdings Ltd | 145,500 | 7,013,758 | |||||
36,870,205 | |||||||
Internet & Direct Marketing Retail – 4.5% | |||||||
Alibaba Group Holding Ltd (ADR)* | 39,971 | 8,477,849 | |||||
Amazon.com Inc* | 10,939 | 20,213,522 | |||||
MercadoLibre Inc* | 8,653 | 4,948,997 | |||||
33,640,368 | |||||||
Life Sciences Tools & Services – 1.0% | |||||||
Thermo Fisher Scientific Inc | 23,551 | 7,651,013 | |||||
Machinery – 1.2% | |||||||
Parker-Hannifin Corp | 43,443 | 8,941,438 | |||||
Media – 0.6% | |||||||
Liberty Broadband Corp* | 35,746 | 4,495,059 | |||||
Metals & Mining – 1.5% | |||||||
Rio Tinto PLC | 125,714 | 7,497,287 | |||||
Teck Resources Ltd | 233,320 | 4,046,801 | |||||
11,544,088 | |||||||
Multi-Utilities – 0.5% | |||||||
National Grid PLC | 277,722 | 3,473,272 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Oil, Gas & Consumable Fuels – 6.0% | |||||||
Cabot Oil & Gas Corp | 167,857 | $2,922,390 | |||||
Canadian Natural Resources Ltd | 193,503 | 6,259,339 | |||||
Enterprise Products Partners LP | 276,905 | 7,797,645 | |||||
EOG Resources Inc | 75,039 | 6,285,267 | |||||
Marathon Petroleum Corp | 104,685 | 6,307,271 | |||||
Suncor Energy Inc | 250,527 | 8,211,976 | |||||
TOTAL SA | 128,980 | 7,117,495 | |||||
44,901,383 | |||||||
Personal Products – 1.6% | |||||||
Unilever NV | 215,275 | 12,369,656 | |||||
Pharmaceuticals – 6.2% | |||||||
AstraZeneca PLC | 69,694 | 7,021,459 | |||||
Bristol-Myers Squibb Co | 125,703 | 8,068,876 | |||||
Catalent Inc* | 81,255 | 4,574,656 | |||||
Elanco Animal Health Inc* | 78,544 | 2,313,121 | |||||
Merck & Co Inc | 112,954 | 10,273,166 | |||||
Novartis AG | 99,038 | 9,406,358 | |||||
Takeda Pharmaceutical Co Ltd | 130,850 | 5,217,620 | |||||
46,875,256 | |||||||
Road & Rail – 1.6% | |||||||
CSX Corp | 111,331 | 8,055,911 | |||||
Uber Technologies Inc* | 145,955 | 4,340,702 | |||||
12,396,613 | |||||||
Semiconductor & Semiconductor Equipment – 4.8% | |||||||
ASML Holding NV | 42,793 | 12,656,760 | |||||
Microchip Technology Inc | 47,722 | 4,997,448 | |||||
Taiwan Semiconductor Manufacturing Co Ltd | 878,000 | 9,695,346 | |||||
Texas Instruments Inc | 69,687 | 8,940,145 | |||||
36,289,699 | |||||||
Software – 7.4% | |||||||
Adobe Inc* | 40,495 | 13,355,656 | |||||
Autodesk Inc* | 24,935 | 4,574,575 | |||||
Constellation Software Inc/Canada | 6,219 | 6,040,630 | |||||
Intuit Inc | 17,787 | 4,658,949 | |||||
Microsoft Corp | 56,697 | 8,941,117 | |||||
Salesforce.Com Inc* | 72,762 | 11,834,012 | |||||
SS&C Technologies Holdings Inc | 101,580 | 6,237,012 | |||||
55,641,951 | |||||||
Technology Hardware, Storage & Peripherals – 0.7% | |||||||
Samsung Electronics Co Ltd | 114,311 | 5,516,348 | |||||
Textiles, Apparel & Luxury Goods – 2.6% | |||||||
adidas AG | 18,326 | 5,956,700 | |||||
Cie Financiere Richemont SA | 77,997 | 6,131,099 | |||||
NIKE Inc | 75,918 | 7,691,253 | |||||
19,779,052 | |||||||
Tobacco – 1.7% | |||||||
British American Tobacco PLC | 296,248 | 12,678,799 | |||||
Trading Companies & Distributors – 1.4% | |||||||
Ferguson PLC | 118,601 | 10,759,633 | |||||
Wireless Telecommunication Services – 0.6% | |||||||
T-Mobile US Inc* | 55,871 | 4,381,404 | |||||
Total Investments (total cost $535,936,911) – 99.9% | 753,350,731 | ||||||
Cash, Receivables and Other Assets, net of Liabilities – 0.1% | 988,466 | ||||||
Net Assets – 100% | $754,339,197 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2019 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2019
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $469,359,835 | 62.3 | % | ||
United Kingdom | 48,782,782 | 6.5 | |||
France | 32,312,920 | 4.3 | |||
Canada | 31,093,510 | 4.1 | |||
Japan | 28,452,238 | 3.8 | |||
Netherlands | 25,026,416 | 3.3 | |||
Hong Kong | 20,944,522 | 2.8 | |||
China | 17,853,905 | 2.4 | |||
Switzerland | 15,537,457 | 2.1 | |||
India | 12,935,353 | 1.7 | |||
Taiwan | 9,695,346 | 1.3 | |||
Sweden | 8,731,291 | 1.2 | |||
Italy | 6,500,757 | 0.9 | |||
Germany | 5,956,700 | 0.8 | |||
Ireland | 5,672,835 | 0.7 | |||
South Korea | 5,516,348 | 0.7 | |||
Brazil | 4,948,997 | 0.6 | |||
Indonesia | 4,029,519 | 0.5 |
Total | $753,350,731 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments
December 31, 2019
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 12/31/19 | |||||||
Investment Companies - N/A | ||||||||||
Money Markets - N/A | ||||||||||
Janus Henderson Cash Liquidity Fund LLC, 1.7210% |