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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 811-7736
Janus Aspen Series
(Exact name of registrant as specified in charter)
151 Detroit Street, Denver, Colorado 80206
(Address of principal executive offices) (Zip code)
Stephanie Grauerholz, 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: 12/31/15
Item 1 - Reports to Shareholders
ANNUAL REPORT December 31, 2015 | |||
Janus Aspen Balanced Portfolio | |||
Janus Aspen Series | |||
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your fund · Portfolio performance, characteristics | |||
Table of Contents
Janus Aspen Balanced Portfolio
Janus Aspen Balanced Portfolio (unaudited)
PERFORMANCE OVERVIEW
Janus Aspen Balanced Portfolio’s Institutional Shares and Service Shares returned 0.62% and 0.41%, respectively, for the 12-month period ended December 31, 2015, compared with 1.25% by the Balanced Index, an internally-calculated benchmark that combines the total returns from the S&P 500 Index (55%) and the Barclays U.S. Aggregate Bond Index (45%). The S&P 500 Index returned 1.38% and the Barclays U.S. Aggregate Bond Index returned 0.55%.
INVESTMENT ENVIRONMENT
The multi-year equities rally encountered turbulence during 2015. Cooling growth, weak commodities prices, a surging U.S. dollar and a shift in monetary policy were some of the factors investors had to consider.
Mid-year, a dramatic sell-off in Chinese stocks – after an equally dramatic rally – spread to developed markets, including the U.S., with several indices declining by more than 10%. Global volatility was in the minds of Federal Reserve (Fed) officials when they chose to delay raising interest rates at their September meeting. Later, improving U.S. employment data led to a consensus that rates would indeed rise by the end of the year. Monetary policy did provide one surprise when the European Central Bank (ECB) failed to meet expectations in expanding its quantitative easing (QE) program. Markets were also roiled late year by energy prices coming under renewed pressure, bringing back the prospect that global growth may fall short of projections.
These same factors influenced fixed income markets. The expectations of a rate increase sent the yield on the 2-year Treasury above 1%. The yield on the 10-year, however, dipped as inflation data remained muted. Investment-grade corporate spreads widened in the spring and stayed range-bound for much of the remainder of the year. High-yield credits, on the other hand, widened considerably between June and 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, underperformed the Balanced Index, its blended benchmark of the S&P 500 Index (55%) and the Barclays U.S. Aggregate Bond Index (45%). The Portfolio also underperformed its primary benchmark, the S&P 500 Index, but its Institutional Share class outperformed its secondary benchmark, the Barclays U.S. Aggregate Bond Index.
The equity-to-fixed-income allocation ended the period with an equity weighting of roughly 61% and fixed income at around 36%, with the remainder in cash. The Portfolio’s equity asset allocation may vary between 35% and 65% depending on market conditions.
The Portfolio’s equity sleeve underperformed its benchmark, the S&P 500 Index, for the period. The Portfolio’s holdings in industrials and underweight in consumer staples detracted most from relative results. A combination of overweight positioning and security selection within consumer discretionary aided relative returns, as did the Portfolio’s underweight to the hard-hit energy sector.
Union Pacific, a railroad operator, was acutely affected by negative sentiment toward the industry. The sour mood was driven, in part, by a slowdown in U.S. industrial production on account of a strong U.S. dollar weighing on exports, and the continued weak pricing environment across a range of commodities.
Enterprise Products Partners saw shares decline on broad pressure within the energy space. This was despite the company issuing earnings in line with consensus estimates. The company announced that its CEO would be stepping down. We exited the position during the reporting period.
The stock of Valeant Pharmaceuticals sold off after politicians criticized the company for high drug prices for
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Janus Aspen Balanced Portfolio (unaudited)
some of its products treating cardiac conditions. A short seller also questioned the company’s relationship with a specialty pharmacy that distributed some of its drugs. We have exited our position.
Alphabet Inc. (formerly Google) was a top contributor within the equity sleeve. Alphabet benefited from improvements in its mobile search revenue, as well as strong results for YouTube. The firm also announced a significant stock buyback program, providing additional support to its shares. The company’s restructuring, which was initiated in the third quarter, has also been well received by investors because it provides greater transparency around the company’s different business lines. In addition, we have been encouraged by Alphabet’s new CFO’s focus on reining in unnecessary spending.
Microsoft was a top stock contributor. The stock has benefited from a re-valuation as investors begin to give the company credit for the growth of its cloud business, which is second only to Amazon, and the potential for Microsoft Office 365. We believe these businesses will go a long way to offset the decline of some of Microsoft’s legacy businesses such as traditional desktop software. Progress on expense control and cost reduction has also been favorable for the stock. We continue to believe Microsoft’s cloud business and some of its other services are underappreciated by the market.
Nike was another top contributor. The company continues to benefit from growth of its athletic apparel and footwear across the globe. Going forward we believe innovation for both its products and manufacturing processes are long-term tailwinds for Nike. We also believe that investments to create a better omnichannel sales experience position Nike well as more sales migrate online.
Conditions in fixed income markets, in our view, continued to merit defensive positioning. Among the factors that concern us most are company actions indicative of the later stages of a credit cycle and alarmingly low market liquidity. While we aim at maximizing risk-adjusted returns, we believed that it was in our clients’ best interest to focus on capital preservation during the year.
The fixed income sleeve of the Portfolio outperformed its benchmark, the Barclays U.S. Aggregate Bond Index. Our out-of-benchmark allocation to high-yield corporate credit contributed most to relative returns. Performance was largely generated by spread carry, a measure of excess income generated by the Portfolio’s holdings. Performance was concentrated in the highest tier of the high-yield segment. We believe this “crossover” segment represents some of the most attractive risk-adjusted returns as management teams instill balance sheet discipline with the aim of a credit ratings upgrade. Another out-of-benchmark allocation – preferred equity – also contributed to relative performance.
Detracting from relative performance was our yield curve positioning within mortgage-backed securities (MBS). Rate volatility early in the period impacted MBS performance as mixed economic data and lack of clarity on the timing of the Fed’s initial rate hike made it difficult for investors to gauge prepayment risks on these securities. Toward the end of the period, we slightly increased our positioning in MBS. We view this asset class as portfolio ballast, and emphasize generic agency pass-throughs with high coupons, high loan-to-value (LTV), and pre-payment resistant characteristics.
Also detracting from performance was yield curve positioning within Treasurys. The front-end of the Treasury yield curve steepened during the period as the market anticipated an eventual interest rate hike by the Fed. Treasury duration is a tool utilized to adjust the overall duration of the Portfolio in a liquid and cost-effective manner. While lowering Portfolio duration to a level below the benchmark during the year, we raised it to slightly above the benchmark by the end of the period. We view our allocation to intermediate and longer dated Treasurys as a buffer against volatility in risk assets while short-term Treasurys provide liquidity.
Spread carry and security selection within banking contributed to relative performance. The prospect of rising rates caused many to project that banks would soon be able to generating higher operating margins. Our overweight positioning, along with spread carry, in brokerages, asset managers and exchanges aided results for similar reasons. The credit sectors that weighed most on relative performance were independent and midstream energy. After having stabilized during the first half of 2015, global energy prices resumed their downward slide through the end of the period.
Please see the Derivatives Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
While valuations in some large-cap growth companies are higher after the fourth quarter and the Fed is finally raising interest rates, we believe the backdrop for U.S. equities is still positive. While much attention has been
2 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio (unaudited)
paid to the rate hike, we believe it is important to put interest rates into perspective. Rates are still very low from a historical perspective and most economic data, especially U.S. employment levels, indicate that a gradual rate hike is warranted.
Looking across sectors, we continue to see some opportunities to add positions to our portfolio. While the outlook for oil prices remains subdued and we still do not believe it is time to step in and buy energy stocks broadly, we see potential opportunities with select industrial companies that may have been overly punished for their exposure to the energy sector. We also see opportunity within the consumer discretionary sector, where companies are benefiting from improved U.S. consumer spending power at a broad level, and at the company level, select companies are also benefiting from value-creating innovation.
We believe that many of the clouds that hung over fixed income markets in 2015 remain with us. As such, we consider it prudent to maintain a defensive stance within our portfolios. Yes, the Fed removed lingering uncertainty about whether it would raise interest rates, but the timing of future hikes is a matter of debate. It is our view that neither the economic growth nor the four 0.25% increases that the Fed projects such growth merits in 2016 will come to fruition.
While the change in nonfarm payrolls rebounded after subpar late-summer readings, and the unemployment rate, at 5%, is roughly what the Fed considers optimal, the other part of its dual mandate – inflation – remains frustratingly low. We expect the downward pressure exerted on year over year headline data will soon roll off, but more-resilient core data remains well below the central bank’s target of 2%.
Company developments, we believe, validate our view that we are in the later stages of the credit cycle. Shareholder-friendly activities continue and balance sheet strength has become more fleeting across a range of sectors, most notably energy. A chief concern is that much of the financial engineering that has occurred is aimed at compensating for lower revenue growth. With economic acceleration remaining elusive and rates still low, we expect management teams to continue to purchase growth, with these acquisitions often financed by debt issuance. We see less room for margin expansion, and with extended balance sheets, suboptimal results may be met with harsh market reaction.
Given this environment, we have minimized our exposure to the riskiest tiers of high-yield credit as we suspect the market may experience an uptick in defaults. Instead, we have focused on high-yield issuers with higher ratings.
By utilizing our Treasury allocation, we ended the period with the Portfolio’s duration slightly above that of the benchmark. We believe that our increased exposure to longer dated Treasurys may counteract the volatility we expect risk assets to experience over the coming quarters. At the same time, our exposure to shorter dated Treasurys stands to be a source of liquidity, which may enable us to capitalize on attractive buying opportunities.
Despite the Fed’s move away from its zero-interest-rate policy, fixed income markets are no less fraught with risks. The potential price dislocations associated with illiquid markets becomes more of a threat as stretched balance sheets and low growth may lead to earnings misses and investor redemptions. We believe that security avoidance will be a central driver of performance as the asymmetric risk of holding risky credits far outweighs the potential upside.
Thank you for your investment in the Janus Aspen Balanced Portfolio.
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Janus Aspen Balanced Portfolio (unaudited)
Portfolio At A Glance
December 31, 2015
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Alphabet, Inc. - Class C | 1.19% | Union Pacific Corp. | -1.12% | |||
NIKE, Inc. - Class B | 0.91% | Enterprise Products Partners LP | -0.61% | |||
Microsoft Corp. | 0.90% | Valeant Pharmaceuticals International, Inc. | -0.52% | |||
Home Depot, Inc. | 0.65% | Seagate Technology PLC | -0.47% | |||
MasterCard, Inc. - Class A | 0.52% | Endo International PLC | -0.42% | |||
5 Top Performers - Sectors* |
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Portfolio Contribution | Portfolio Weighting (Average % of Equity) | S&P 500® Index Weighting | ||||
Consumer Discretionary | 0.49% | 16.11% | 12.70% | |||
Energy | 0.48% | 3.93% | 7.61% | |||
Materials | 0.24% | 5.73% | 3.06% | |||
Utilities | 0.20% | 0.00% | 3.00% | |||
Telecommunication Services | -0.05% | 0.30% | 2.33% | |||
5 Bottom Performers - Sectors* |
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Portfolio Contribution | Portfolio Weighting (Average % of Equity) | S&P 500® Index Weighting | ||||
Industrials | -1.17% | 12.53% | 10.19% | |||
Consumer Staples | -0.19% | 4.67% | 9.70% | |||
Financials | -0.13% | 14.24% | 16.40% | |||
Other** | -0.11% | 1.77% | 0.00% | |||
Information Technology | -0.11% | 20.32% | 20.08% | |||
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 Aspen Balanced Portfolio (unaudited)
Portfolio At A Glance
December 31, 2015
5 Largest Equity Holdings - (% of Net Assets) | |
MasterCard, Inc. - Class A | |
Information Technology Services | 3.0% |
Amgen, Inc. | |
Biotechnology | 2.9% |
Microsoft Corp. | |
Software | 2.9% |
Allergan PLC | |
Pharmaceuticals | 2.5% |
Alphabet, Inc. - Class C | |
Internet Software & Services | 2.4% |
13.7% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 60.3% | ||||
Corporate Bonds | 15.8% | ||||
U.S. Treasury Notes/Bonds | 8.9% | ||||
Mortgage-Backed Securities | 8.5% | ||||
Investment Companies | 2.9% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 2.4% | ||||
Bank Loans and Mezzanine Loans | 0.6% | ||||
Preferred Stocks | 0.5% | ||||
Other | 0.1% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2015 | As of December 31, 2014 |
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Janus Aspen Balanced Portfolio (unaudited)
Performance
See important disclosures on the next page. |
Expense Ratios - | |||||||
Average Annual Total Return - for the periods ended December 31, 2015 |
| per the May 1, 2015 prospectuses | |||||
| One | Five | Ten | Since |
| Total Annual Fund | |
Institutional Shares | 0.62% | 8.66% | 7.85% | 9.82% |
| 0.58% | |
Service Shares | 0.41% | 8.39% | 7.58% | 9.65% |
| 0.84% | |
S&P 500® Index | 1.38% | 12.57% | 7.31% | 9.01% |
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Barclays U.S. Aggregate Bond Index | 0.55% | 3.25% | 4.51% | 5.41% |
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Balanced Index | 1.25% | 8.48% | 6.30% | 7.65% |
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Morningstar Quartile - Institutional Shares | 1st | 1st | 1st | 1st |
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Morningstar Ranking - based on total returns for Moderate Allocation Funds | 98/967 | 79/834 | 13/670 | 12/282 |
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A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Fixed income securities are subject to interest rate, inflation, credit and default risk. The bond market is volatile. As interest rates rise, bond prices usually fall, and vice versa. The return of principal is not guaranteed, and prices may decline if an issuer fails to make timely payments or its credit strength weakens.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
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.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
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Janus Aspen Balanced Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio's holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
Effective December 31, 2015, Jeremiah Buckley, Marc Pinto, Mayur Saigal, Gibson Smith and Darrell Watters are Co-Portfolio Managers of the Portfolio.
*The Portfolio’s inception date – September 13, 1993
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Janus Aspen 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 | $999.50 | $2.97 |
| $1,000.00 | $1,022.23 | $3.01 | 0.59% | ||
Service Shares | $1,000.00 | $998.30 | $4.28 |
| $1,000.00 | $1,020.92 | $4.33 | 0.85% | ||
† | 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. |
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Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 2.4% | |||||||
AmeriCredit Automobile Receivables Trust 2012-4, 3.8200%, 2/10/20 (144A) | $665,000 | $673,086 | |||||
AmeriCredit Automobile Receivables Trust 2013-4, 3.3100%, 10/8/19 | 523,000 | 531,571 | |||||
AmeriCredit Automobile Receivables Trust 2015-2, 3.0000%, 6/8/21 | 990,000 | 976,864 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.2770%, 9/5/44 (144A) | 5,890,000 | 5,964,473 | |||||
Aventura Mall Trust 2013-AVM, 3.7427%, 12/5/32 (144A)‡ | 1,252,000 | 1,227,373 | |||||
BAMLL Commercial Mortgage Securities Trust 2015-200P, | |||||||
3.5958%, 4/14/33 (144A)‡ | 1,192,000 | 1,034,781 | |||||
Banc of America Commercial Mortgage Trust 2006-6, 5.4210%, 10/10/45 | 617,057 | 625,695 | |||||
Boca Hotel Portfolio Trust 2013-BOCA, 3.3805%, 8/15/26 (144A)‡ | 851,000 | 849,507 | |||||
CGBAM Commercial Mortgage Trust 2014-HD, 3.3305%, 2/15/31 (144A)‡ | 425,000 | 423,245 | |||||
CKE Restaurant Holdings, Inc., 4.4740%, 3/20/43 (144A) | 2,759,283 | 2,743,509 | |||||
COMM 2007-C9 Mortgage Trust, 5.6500%, 12/10/49‡ | 927,000 | 939,027 | |||||
Commercial Mortgage Trust 2007-GG11, 5.8670%, 12/10/49‡ | 634,573 | 659,204 | |||||
Core Industrial Trust 2015-TEXW, 3.8487%, 2/10/34 (144A)‡ | 1,268,000 | 1,183,778 | |||||
DB Master Finance LLC 2015-1, 3.2620%, 2/20/45 (144A) | 963,718 | 953,588 | |||||
Domino's Pizza Master Issuer LLC, 5.2160%, 1/25/42 (144A) | 1,241,506 | 1,277,052 | |||||
Domino's Pizza Master Issuer LLC, 3.4840%, 10/25/45 (144A) | 2,641,000 | 2,588,180 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.6210%, 10/25/24‡ | 419,000 | 420,206 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.8710%, 10/25/24‡ | 495,000 | 501,651 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.6216%, 3/25/25‡ | 1,641,000 | 1,636,270 | |||||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 (144A)§ | 1,169,576 | 1,049,014 | |||||
GAHR Commercial Mortgage Trust 2015-NRF, 3.3822%, 12/15/19 (144A)‡ | 625,000 | 601,172 | |||||
GS Mortgage Securities Corp. II, 3.4350%, 12/10/27 (144A)‡ | 1,519,000 | 1,450,880 | |||||
GS Mortgage Securities Corp. Trust 2013-NYC5, 3.6490%, 1/10/30 (144A)‡ | 622,000 | 618,230 | |||||
Hilton USA Trust 2013-HLT, 4.4533%, 11/5/30 (144A)‡ | 868,000 | 867,658 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, | |||||||
2.9305%, 12/15/28 (144A)‡ | 432,000 | 431,996 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, | |||||||
3.8305%, 12/15/28 (144A)‡ | 449,000 | 448,936 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, | |||||||
2.1305%, 1/15/32 (144A)‡ | 850,000 | 844,156 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, | |||||||
4.2805%, 1/15/32 (144A)‡ | 733,000 | 720,870 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, | |||||||
3.0805%, 7/15/36 (144A)‡ | 386,000 | 385,348 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, | |||||||
4.8305%, 7/15/36 (144A)‡ | 1,171,000 | 1,170,835 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES, | |||||||
3.6210%, 9/5/32 (144A)‡ | 912,000 | 853,296 | |||||
LB-UBS Commercial Mortgage Trust 2007-C1, 5.4840%, 2/15/40 | 495,000 | 499,970 | |||||
LB-UBS Commercial Mortgage Trust 2007-C2, 5.4930%, 2/15/40‡ | 555,350 | 568,447 | |||||
Santander Drive Auto Receivables Trust 2012-6, 2.5200%, 9/17/18 | 608,000 | 610,805 | |||||
Santander Drive Auto Receivables Trust 2013-4, 4.6700%, 1/15/20 (144A) | 1,837,000 | 1,885,293 | |||||
Santander Drive Auto Receivables Trust 2013-A, 4.7100%, 1/15/21 (144A) | 979,000 | 1,001,126 | |||||
Santander Drive Auto Receivables Trust 2015-1, 3.2400%, 4/15/21 | 1,039,000 | 1,036,995 | |||||
Santander Drive Auto Receivables Trust 2015-4, 3.5300%, 8/16/21 | 1,779,000 | 1,762,795 | |||||
Starwood Retail Property Trust 2014-STAR, 2.8305%, 11/15/27 (144A)‡ | 589,000 | 585,713 | |||||
Starwood Retail Property Trust 2014-STAR, 3.5805%, 11/15/27 (144A)‡ | 1,624,000 | 1,600,449 | |||||
Starwood Retail Property Trust 2014-STAR, 4.4805%, 11/15/27 (144A)‡ | 861,000 | 854,527 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30, 5.3830%, 12/15/43 | 1,586,086 | 1,638,910 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, 5.6600%, 4/15/47‡ | 1,965,597 | 1,963,750 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C33, 5.9524%, 2/15/51‡ | 767,000 | 781,692 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 3.0805%, 1/15/27 (144A)‡ | 502,000 | 487,899 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 2.5805%, 2/15/27 (144A)‡ | 694,000 | 673,849 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 3.5805%, 2/15/27 (144A)‡ | 251,000 | 242,746 | |||||
Wendy's Funding LLC 2015-1, 3.3710%, 6/15/45 (144A) | 2,919,683 | 2,848,767 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $54,425,115) | 53,695,184 | ||||||
Bank Loans and Mezzanine Loans – 0.6% | |||||||
Communications – 0.1% | |||||||
CCO Safari III LLC, 3.5000%, 1/24/23‡ | 1,890,000 | 1,886,069 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
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Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Bank Loans and Mezzanine Loans – (continued) | |||||||
Communications – (continued) | |||||||
Tribune Media Co., 3.7500%, 12/27/20‡ | $817,523 | $803,984 | |||||
2,690,053 | |||||||
Consumer Cyclical – 0% | |||||||
Staples, Inc., 0%, 4/23/21(a),‡ | 644,000 | 635,680 | |||||
Consumer Non-Cyclical – 0.1% | |||||||
IMS Health, Inc., 3.5000%, 3/17/21‡ | 1,309,673 | 1,276,931 | |||||
Technology – 0.4% | |||||||
Avago Technologies Cayman Finance, Ltd., 0%, 11/11/22(a),‡ | 4,503,000 | 4,449,549 | |||||
Avago Technologies Cayman, Ltd., 3.7500%, 5/6/21‡ | 4,757,741 | 4,741,898 | |||||
9,191,447 | |||||||
Total Bank Loans and Mezzanine Loans (cost $13,871,539) | 13,794,111 | ||||||
Corporate Bonds – 15.8% | |||||||
Asset-Backed Securities – 0.1% | |||||||
American Tower Trust I, 1.5510%, 3/15/18 (144A) | 1,845,000 | 1,801,694 | |||||
Banking – 2.1% | |||||||
Ally Financial, Inc., 8.0000%, 12/31/18 | 373,000 | 408,435 | |||||
Ally Financial, Inc., 4.1250%, 3/30/20 | 2,106,000 | 2,095,470 | |||||
Ally Financial, Inc., 5.7500%, 11/20/25 | 627,000 | 634,838 | |||||
American Express Co., 6.8000%, 9/1/66‡ | 2,133,000 | 2,148,998 | |||||
Bank of America Corp., 5.7500%, 8/15/16 | 645,000 | 660,810 | |||||
Bank of America Corp., 8.0000%µ | 1,811,000 | 1,842,693 | |||||
Citigroup, Inc., 4.4500%, 9/29/27 | 3,387,000 | 3,364,575 | |||||
Citizens Financial Group, Inc., 4.3000%, 12/3/25 | 2,278,000 | 2,289,978 | |||||
Discover Financial Services, 3.9500%, 11/6/24 | 742,000 | 731,432 | |||||
Discover Financial Services, 3.7500%, 3/4/25 | 1,582,000 | 1,519,204 | |||||
Goldman Sachs Capital I, 6.3450%, 2/15/34 | 3,473,000 | 4,063,014 | |||||
Goldman Sachs Group, Inc., 5.6250%, 1/15/17 | 732,000 | 760,310 | |||||
Goldman Sachs Group, Inc., 4.2500%, 10/21/25 | 1,850,000 | 1,835,860 | |||||
Intesa Sanpaolo SpA, 5.0170%, 6/26/24 (144A) | 2,075,000 | 2,041,487 | |||||
Morgan Stanley, 4.8750%, 11/1/22 | 758,000 | 804,429 | |||||
Morgan Stanley, 4.3500%, 9/8/26 | 689,000 | 691,252 | |||||
Morgan Stanley, 5.5500%µ | 1,997,000 | 1,997,000 | |||||
Royal Bank of Scotland Group PLC, 6.1000%, 6/10/23 | 2,814,000 | 3,023,485 | |||||
Royal Bank of Scotland Group PLC, 6.0000%, 12/19/23 | 2,222,000 | 2,393,127 | |||||
Royal Bank of Scotland Group PLC, 5.1250%, 5/28/24 | 5,156,000 | 5,223,827 | |||||
Santander UK PLC, 5.0000%, 11/7/23 (144A) | 4,953,000 | 5,155,830 | |||||
SVB Financial Group, 5.3750%, 9/15/20 | 1,972,000 | 2,157,453 | |||||
Synchrony Financial, 3.0000%, 8/15/19 | 2,276,000 | 2,272,841 | |||||
Wells Fargo & Co., 5.8750%µ | 657,000 | 691,493 | |||||
Zions Bancorporation, 5.8000%µ | 496,000 | 474,920 | |||||
49,282,761 | |||||||
Basic Industry – 0.8% | |||||||
Albemarle Corp., 4.1500%, 12/1/24 | 2,736,000 | 2,614,719 | |||||
Albemarle Corp., 5.4500%, 12/1/44 | 2,121,000 | 2,051,382 | |||||
Alcoa, Inc., 5.1250%, 10/1/24 | 2,330,000 | 2,120,300 | |||||
Ashland, Inc., 3.8750%, 4/15/18 | 1,054,000 | 1,075,080 | |||||
Ashland, Inc., 6.8750%, 5/15/43 | 1,353,000 | 1,285,350 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 3,271,000 | 3,266,022 | |||||
Georgia-Pacific LLC, 3.6000%, 3/1/25 (144A) | 1,656,000 | 1,636,302 | |||||
LyondellBasell Industries NV, 4.6250%, 2/26/55 | 2,387,000 | 1,935,809 | |||||
Reliance Steel & Aluminum Co., 4.5000%, 4/15/23 | 1,656,000 | 1,541,503 | |||||
17,526,467 | |||||||
Brokerage – 1.6% | |||||||
Ameriprise Financial, Inc., 7.5180%, 6/1/66‡ | 3,644,000 | 3,562,010 | |||||
Carlyle Holdings Finance LLC, 3.8750%, 2/1/23 (144A) | 845,000 | 855,750 | |||||
Charles Schwab Corp., 3.0000%, 3/10/25 | 1,347,000 | 1,324,793 | |||||
Charles Schwab Corp., 7.0000%µ | 1,736,000 | 1,970,360 | |||||
E*TRADE Financial Corp., 5.3750%, 11/15/22 | 2,179,000 | 2,282,502 | |||||
E*TRADE Financial Corp., 4.6250%, 9/15/23 | 2,933,000 | 2,980,661 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Brokerage – (continued) | |||||||
Intercontinental Exchange, Inc., 3.7500%, 12/1/25 | $1,831,000 | $1,836,035 | |||||
Lazard Group LLC, 6.8500%, 6/15/17 | 95,000 | 101,148 | |||||
Lazard Group LLC, 4.2500%, 11/14/20 | 2,197,000 | 2,275,600 | |||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp., | |||||||
5.8750%, 3/15/22 (144A) | 2,158,000 | 2,244,320 | |||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp., | |||||||
4.8750%, 4/15/45 (144A) | 2,318,000 | 1,954,487 | |||||
Raymond James Financial, Inc., 4.2500%, 4/15/16 | 2,588,000 | 2,607,671 | |||||
Raymond James Financial, Inc., 5.6250%, 4/1/24 | 4,997,000 | 5,530,435 | |||||
Stifel Financial Corp., 4.2500%, 7/18/24 | 1,532,000 | 1,522,112 | |||||
TD Ameritrade Holding Corp., 2.9500%, 4/1/22 | 1,867,000 | 1,849,340 | |||||
TD Ameritrade Holding Corp., 3.6250%, 4/1/25 | 3,830,000 | 3,875,830 | |||||
36,773,054 | |||||||
Capital Goods – 1.1% | |||||||
Ball Corp., 4.3750%, 12/15/20 | 1,117,000 | 1,134,453 | |||||
CNH Industrial Capital LLC, 3.6250%, 4/15/18 | 1,201,000 | 1,182,385 | |||||
Exelis, Inc., 4.2500%, 10/1/16 | 1,549,000 | 1,576,791 | |||||
Exelis, Inc., 5.5500%, 10/1/21 | 703,000 | 770,909 | |||||
FLIR Systems, Inc., 3.7500%, 9/1/16 | 1,928,000 | 1,955,833 | |||||
GE Capital Trust I, 6.3750%, 11/15/67‡ | 2,245,000 | 2,333,397 | |||||
General Electric Capital Corp., 6.3750%, 11/15/67‡ | 966,000 | 1,008,794 | |||||
General Electric Co., 4.0000%µ | 987,000 | 987,000 | |||||
General Electric Co., 4.1000%µ | 3,197,000 | 3,189,007 | |||||
Hanson, Ltd., 6.1250%, 8/15/16 | 1,758,000 | 1,804,148 | |||||
Harris Corp., 3.8320%, 4/27/25 | 763,000 | 751,501 | |||||
Harris Corp., 5.0540%, 4/27/45 | 1,155,000 | 1,130,938 | |||||
Martin Marietta Materials, Inc., 4.2500%, 7/2/24 | 1,085,000 | 1,064,867 | |||||
Owens Corning, 4.2000%, 12/1/24 | 793,000 | 771,787 | |||||
Vulcan Materials Co., 7.0000%, 6/15/18 | 1,301,000 | 1,444,110 | |||||
Vulcan Materials Co., 7.5000%, 6/15/21 | 735,000 | 856,275 | |||||
Vulcan Materials Co., 4.5000%, 4/1/25 | 3,394,000 | 3,360,060 | |||||
25,322,255 | |||||||
Communications – 0.4% | |||||||
CCO Safari II LLC, 4.4640%, 7/23/22 (144A) | 1,384,000 | 1,379,170 | |||||
CCO Safari II LLC, 4.9080%, 7/23/25 (144A) | 4,814,000 | 4,809,316 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 4.5000%, 10/1/20 | 879,000 | 892,185 | |||||
SBA Tower Trust, 2.9330%, 12/15/17 (144A) | 1,051,000 | 1,063,429 | |||||
UBM PLC, 5.7500%, 11/3/20 (144A) | 2,064,000 | 2,205,871 | |||||
10,349,971 | |||||||
Consumer Cyclical – 1.7% | |||||||
1011778 BC ULC / New Red Finance, Inc., 4.6250%, 1/15/22 (144A) | 2,279,000 | 2,284,697 | |||||
Brinker International, Inc., 3.8750%, 5/15/23 | 2,745,000 | 2,647,273 | |||||
CVS Health Corp., 2.8000%, 7/20/20 | 3,403,000 | 3,418,286 | |||||
CVS Health Corp., 3.5000%, 7/20/22 | 1,910,000 | 1,943,532 | |||||
CVS Health Corp., 4.7500%, 12/1/22 (144A) | 840,000 | 900,068 | |||||
CVS Health Corp., 5.0000%, 12/1/24 (144A) | 1,110,000 | 1,200,852 | |||||
CVS Health Corp., 3.8750%, 7/20/25 | 2,833,000 | 2,891,303 | |||||
DR Horton, Inc., 4.7500%, 5/15/17 | 674,000 | 693,378 | |||||
DR Horton, Inc., 3.7500%, 3/1/19 | 1,497,000 | 1,497,000 | |||||
Ford Motor Credit Co. LLC, 3.9840%, 6/15/16 | 3,039,000 | 3,072,736 | |||||
General Motors Co., 3.5000%, 10/2/18 | 1,415,000 | 1,429,207 | |||||
General Motors Co., 4.8750%, 10/2/23 | 7,673,000 | 7,846,863 | |||||
General Motors Co., 4.0000%, 4/1/25 | 174,000 | 164,843 | |||||
General Motors Financial Co., Inc., 3.1000%, 1/15/19 | 1,769,000 | 1,766,430 | |||||
MDC Holdings, Inc., 5.5000%, 1/15/24 | 1,699,000 | 1,715,990 | |||||
Schaeffler Finance BV, 4.2500%, 5/15/21 (144A) | 668,000 | 662,990 | |||||
Toll Brothers Finance Corp., 4.0000%, 12/31/18 | 594,000 | 605,880 | |||||
Toll Brothers Finance Corp., 5.8750%, 2/15/22 | 541,000 | 568,050 | |||||
Toll Brothers Finance Corp., 4.3750%, 4/15/23 | 310,000 | 300,700 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Cyclical – (continued) | |||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.2500%, 5/30/23 (144A) | $820,000 | $701,613 | |||||
ZF North America Capital, Inc., 4.0000%, 4/29/20 (144A) | 858,000 | 865,079 | |||||
ZF North America Capital, Inc., 4.5000%, 4/29/22 (144A) | 454,000 | 443,785 | |||||
ZF North America Capital, Inc., 4.7500%, 4/29/25 (144A) | 872,000 | 830,580 | |||||
38,451,135 | |||||||
Consumer Non-Cyclical – 1.4% | |||||||
Actavis Funding SCS, 3.0000%, 3/12/20 | 2,831,000 | 2,828,749 | |||||
Actavis Funding SCS, 3.8000%, 3/15/25 | 2,341,000 | 2,329,045 | |||||
Actavis Funding SCS, 4.5500%, 3/15/35 | 1,544,000 | 1,500,547 | |||||
Becton Dickinson and Co., 1.8000%, 12/15/17 | 1,872,000 | 1,869,278 | |||||
Fresenius Medical Care US Finance II, Inc., 5.8750%, 1/31/22 (144A) | 2,507,000 | 2,682,490 | |||||
HCA, Inc., 3.7500%, 3/15/19 | 1,094,000 | 1,102,205 | |||||
Kraft Heinz Foods Co., 2.8000%, 7/2/20 (144A) | 1,340,000 | 1,336,535 | |||||
Kraft Heinz Foods Co., 3.5000%, 7/15/22 (144A) | 1,144,000 | 1,151,888 | |||||
Laboratory Corp. of America Holdings, 3.2000%, 2/1/22 | 2,144,000 | 2,104,179 | |||||
Life Technologies Corp., 6.0000%, 3/1/20 | 1,318,000 | 1,461,074 | |||||
Smithfield Foods, Inc., 5.2500%, 8/1/18 (144A) | 299,000 | 302,738 | |||||
Thermo Fisher Scientific, Inc., 3.3000%, 2/15/22 | 1,019,000 | 1,016,496 | |||||
Tyson Foods, Inc., 6.6000%, 4/1/16 | 1,413,000 | 1,431,695 | |||||
Wm Wrigley Jr Co., 2.4000%, 10/21/18 (144A) | 3,184,000 | 3,192,498 | |||||
Wm Wrigley Jr Co., 3.3750%, 10/21/20 (144A) | 1,036,000 | 1,056,180 | |||||
Zimmer Biomet Holdings, Inc., 2.7000%, 4/1/20 | 2,127,000 | 2,100,268 | |||||
Zimmer Biomet Holdings, Inc., 3.1500%, 4/1/22 | 2,514,000 | 2,471,463 | |||||
Zimmer Biomet Holdings, Inc., 3.5500%, 4/1/25 | 2,030,000 | 1,972,596 | |||||
31,909,924 | |||||||
Electric – 0.2% | |||||||
IPALCO Enterprises, Inc., 5.0000%, 5/1/18 | 964,000 | 1,009,790 | |||||
PPL WEM, Ltd. / Western Power Distribution, Ltd., 3.9000%, 5/1/16 (144A) | 1,288,000 | 1,293,143 | |||||
PPL WEM, Ltd. / Western Power Distribution, Ltd., 5.3750%, 5/1/21 (144A) | 1,777,000 | 1,938,613 | |||||
4,241,546 | |||||||
Energy – 1.6% | |||||||
Chevron Corp., 1.3450%, 11/15/17 | 1,492,000 | 1,487,305 | |||||
Cimarex Energy Co., 5.8750%, 5/1/22 | 4,278,000 | 4,096,134 | |||||
Cimarex Energy Co., 4.3750%, 6/1/24 | 4,158,000 | 3,688,770 | |||||
DCP Midstream Operating LP, 4.9500%, 4/1/22 | 1,369,000 | 1,120,399 | |||||
DCP Midstream Operating LP, 5.6000%, 4/1/44 | 461,000 | 279,975 | |||||
Devon Energy Corp., 2.2500%, 12/15/18 | 1,655,000 | 1,510,457 | |||||
Energy Transfer Partners LP, 4.1500%, 10/1/20 | 1,008,000 | 929,873 | |||||
EnLink Midstream Partners LP, 4.4000%, 4/1/24 | 1,513,000 | 1,197,990 | |||||
EnLink Midstream Partners LP, 5.6000%, 4/1/44 | 1,174,000 | 817,685 | |||||
Helmerich & Payne International Drilling Co., 4.6500%, 3/15/25 | 2,952,000 | 2,953,334 | |||||
Kinder Morgan Energy Partners LP, 5.0000%, 10/1/21 | 924,000 | 872,148 | |||||
Kinder Morgan Energy Partners LP, 4.3000%, 5/1/24 | 1,013,000 | 870,990 | |||||
Kinder Morgan, Inc., 6.5000%, 9/15/20 | 96,000 | 95,578 | |||||
Kinder Morgan, Inc., 7.7500%, 1/15/32 | 1,141,000 | 1,082,710 | |||||
Motiva Enterprises LLC, 5.7500%, 1/15/20 (144A) | 1,402,000 | 1,509,277 | |||||
NGL Energy Partners LP / NGL Energy Finance Corp., 5.1250%, 7/15/19 | 2,003,000 | 1,582,370 | |||||
Oceaneering International, Inc., 4.6500%, 11/15/24 | 3,431,000 | 2,879,127 | |||||
Phillips 66 Partners LP, 3.6050%, 2/15/25 | 609,000 | 523,886 | |||||
Shell International Finance BV, 2.2500%, 11/10/20 | 3,350,000 | 3,300,718 | |||||
Spectra Energy Partners LP, 4.7500%, 3/15/24 | 2,375,000 | 2,300,608 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | |||||||
4.1250%, 11/15/19 | 1,778,000 | 1,480,185 | |||||
Western Gas Partners LP, 5.3750%, 6/1/21 | 3,288,000 | 3,328,054 | |||||
37,907,573 | |||||||
Finance Companies – 0.6% | |||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, | |||||||
4.6250%, 10/30/20 | 1,807,000 | 1,849,916 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Finance Companies – (continued) | |||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, | |||||||
4.6250%, 7/1/22 | $1,069,000 | $1,081,026 | |||||
CIT Group, Inc., 4.2500%, 8/15/17 | 4,063,000 | 4,154,417 | |||||
CIT Group, Inc., 5.5000%, 2/15/19 (144A) | 3,274,000 | 3,421,330 | |||||
International Lease Finance Corp., 6.7500%, 9/1/16 (144A) | 1,840,000 | 1,890,600 | |||||
International Lease Finance Corp., 8.7500%, 3/15/17 | 734,000 | 781,710 | |||||
13,178,999 | |||||||
Financial – 0.4% | |||||||
Jones Lang LaSalle, Inc., 4.4000%, 11/15/22 | 2,193,000 | 2,248,566 | |||||
Kennedy-Wilson, Inc., 5.8750%, 4/1/24 | 2,795,000 | 2,697,175 | |||||
LeasePlan Corp. NV, 2.5000%, 5/16/18 (144A) | 3,885,000 | 3,826,232 | |||||
8,771,973 | |||||||
Industrial – 0.1% | |||||||
Cintas Corp. No 2, 2.8500%, 6/1/16 | 887,000 | 890,505 | |||||
Cintas Corp. No 2, 4.3000%, 6/1/21 | 933,000 | 984,956 | |||||
1,875,461 | |||||||
Insurance – 0.4% | |||||||
ACE INA Holdings, Inc., 3.3500%, 5/3/26 | 2,064,000 | 2,057,676 | |||||
CNO Financial Group, Inc., 4.5000%, 5/30/20 | 520,000 | 530,400 | |||||
CNO Financial Group, Inc., 5.2500%, 5/30/25 | 1,680,000 | 1,709,400 | |||||
Primerica, Inc., 4.7500%, 7/15/22 | 3,298,000 | 3,484,380 | |||||
Voya Financial, Inc., 5.6500%, 5/15/53‡ | 1,347,000 | 1,326,795 | |||||
9,108,651 | |||||||
Real Estate Investment Trusts (REITs) – 0.7% | |||||||
Alexandria Real Estate Equities, Inc., 2.7500%, 1/15/20 | 1,606,000 | 1,578,847 | |||||
Alexandria Real Estate Equities, Inc., 4.6000%, 4/1/22 | 2,701,000 | 2,802,136 | |||||
Alexandria Real Estate Equities, Inc., 4.5000%, 7/30/29 | 1,469,000 | 1,436,775 | |||||
Post Apartment Homes LP, 4.7500%, 10/15/17 | 1,262,000 | 1,312,412 | |||||
Reckson Operating Partnership LP, 6.0000%, 3/31/16 | 689,000 | 695,426 | |||||
Retail Opportunity Investments Partnership LP, 5.0000%, 12/15/23 | 415,000 | 423,723 | |||||
Retail Opportunity Investments Partnership LP, 4.0000%, 12/15/24 | 800,000 | 755,758 | |||||
Senior Housing Properties Trust, 6.7500%, 4/15/20 | 618,000 | 683,472 | |||||
Senior Housing Properties Trust, 6.7500%, 12/15/21 | 682,000 | 767,647 | |||||
SL Green Realty Corp., 5.0000%, 8/15/18 | 1,465,000 | 1,537,223 | |||||
SL Green Realty Corp., 7.7500%, 3/15/20 | 2,893,000 | 3,376,640 | |||||
15,370,059 | |||||||
Technology – 2.3% | |||||||
Autodesk, Inc., 3.6000%, 12/15/22 | 1,010,000 | 981,095 | |||||
Cadence Design Systems, Inc., 4.3750%, 10/15/24 | 3,444,000 | 3,419,241 | |||||
Fidelity National Information Services, Inc., 3.6250%, 10/15/20 | 4,375,000 | 4,431,993 | |||||
Fidelity National Information Services, Inc., 5.0000%, 3/15/22 | 453,000 | 470,821 | |||||
Fidelity National Information Services, Inc., 4.5000%, 10/15/22 | 2,185,000 | 2,224,074 | |||||
Fidelity National Information Services, Inc., 5.0000%, 10/15/25 | 7,477,000 | 7,682,543 | |||||
Molex Electronic Technologies LLC, 2.8780%, 4/15/20 (144A) | 895,000 | 872,007 | |||||
Seagate HDD Cayman, 4.7500%, 6/1/23 | 442,000 | 386,874 | |||||
Seagate HDD Cayman, 4.7500%, 1/1/25 | 6,760,000 | 5,629,072 | |||||
Seagate HDD Cayman, 4.8750%, 6/1/27 (144A) | 1,913,000 | 1,467,962 | |||||
Seagate HDD Cayman, 5.7500%, 12/1/34 (144A) | 2,334,000 | 1,633,270 | |||||
Trimble Navigation, Ltd., 4.7500%, 12/1/24 | 3,800,000 | 3,775,760 | |||||
TSMC Global, Ltd., 1.6250%, 4/3/18 (144A) | 5,235,000 | 5,130,954 | |||||
Verisk Analytics, Inc., 4.8750%, 1/15/19 | 1,249,000 | 1,306,440 | |||||
Verisk Analytics, Inc., 5.8000%, 5/1/21 | 4,650,000 | 5,152,735 | |||||
Verisk Analytics, Inc., 4.1250%, 9/12/22 | 1,209,000 | 1,218,145 | |||||
Verisk Analytics, Inc., 4.0000%, 6/15/25 | 3,910,000 | 3,797,791 | |||||
Verisk Analytics, Inc., 5.5000%, 6/15/45 | 2,113,000 | 2,017,416 | |||||
51,598,193 | |||||||
Transportation – 0.3% | |||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.5000%, 3/15/16 (144A) | 245,000 | 245,424 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.3750%, 3/15/18 (144A) | 2,046,000 | 2,078,323 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Transportation – (continued) | |||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.5000%, 6/15/19 (144A) | $1,341,000 | $1,319,099 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.8750%, 7/11/22 (144A) | 204,000 | 212,179 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.2500%, 1/17/23 (144A) | 1,136,000 | 1,143,035 | |||||
Southwest Airlines Co., 5.1250%, 3/1/17 | 1,326,000 | 1,378,108 | |||||
6,376,168 | |||||||
Total Corporate Bonds (cost $365,811,836) | 359,845,884 | ||||||
Mortgage-Backed Securities – 8.5% | |||||||
Fannie Mae Pool: | |||||||
5.5000%, 1/1/25 | 257,063 | 276,912 | |||||
4.0000%, 6/1/29 | 419,337 | 448,371 | |||||
4.0000%, 9/1/29 | 808,886 | 864,861 | |||||
5.0000%, 9/1/29 | 652,566 | 717,730 | |||||
3.5000%, 10/1/29 | 113,941 | 119,511 | |||||
5.0000%, 1/1/30 | 275,845 | 303,390 | |||||
5.5000%, 1/1/33 | 167,259 | 187,992 | |||||
4.0000%, 4/1/34 | 918,970 | 990,251 | |||||
6.0000%, 10/1/35 | 751,124 | 853,076 | |||||
6.0000%, 12/1/35 | 844,047 | 960,351 | |||||
6.0000%, 2/1/37 | 141,228 | 162,355 | |||||
6.0000%, 9/1/37 | 604,696 | 653,903 | |||||
6.0000%, 10/1/38 | 623,694 | 705,132 | |||||
7.0000%, 2/1/39 | 222,183 | 256,463 | |||||
5.5000%, 12/1/39 | 1,208,387 | 1,347,485 | |||||
5.5000%, 3/1/40 | 952,021 | 1,082,559 | |||||
5.5000%, 4/1/40 | 2,617,542 | 2,920,182 | |||||
4.5000%, 10/1/40 | 259,457 | 281,012 | |||||
5.0000%, 10/1/40 | 385,698 | 431,421 | |||||
5.0000%, 2/1/41 | 1,885,960 | 2,093,492 | |||||
5.5000%, 2/1/41 | 512,078 | 582,300 | |||||
5.0000%, 4/1/41 | 456,751 | 502,527 | |||||
5.0000%, 5/1/41 | 1,148,750 | 1,268,651 | |||||
5.5000%, 5/1/41 | 847,400 | 944,070 | |||||
5.5000%, 6/1/41 | 1,390,821 | 1,552,214 | |||||
5.5000%, 6/1/41 | 1,152,410 | 1,304,777 | |||||
5.0000%, 7/1/41 | 1,016,801 | 1,127,805 | |||||
5.5000%, 7/1/41 | 142,504 | 158,777 | |||||
4.5000%, 8/1/41 | 864,788 | 936,775 | |||||
5.5000%, 12/1/41 | 1,298,671 | 1,455,896 | |||||
4.5000%, 1/1/42 | 244,696 | 265,225 | |||||
5.5000%, 2/1/42 | 5,106,966 | 5,692,073 | |||||
4.0000%, 6/1/42 | 1,522,846 | 1,621,264 | |||||
4.5000%, 6/1/42 | 342,384 | 369,433 | |||||
3.5000%, 7/1/42 | 997,691 | 1,033,362 | |||||
4.0000%, 7/1/42 | 302,428 | 321,952 | |||||
4.0000%, 8/1/42 | 705,077 | 750,650 | |||||
4.0000%, 9/1/42 | 1,384,967 | 1,474,475 | |||||
4.0000%, 9/1/42 | 902,439 | 961,112 | |||||
4.0000%, 11/1/42 | 1,045,148 | 1,112,576 | |||||
4.0000%, 12/1/42 | 828,195 | 885,303 | |||||
3.5000%, 1/1/43 | 1,851,101 | 1,912,743 | |||||
3.5000%, 2/1/43 | 4,041,333 | 4,175,393 | |||||
3.5000%, 2/1/43 | 3,710,479 | 3,834,158 | |||||
4.5000%, 2/1/43 | 4,338,367 | 4,704,836 | |||||
4.5000%, 3/1/43 | 1,491,097 | 1,636,248 | |||||
4.0000%, 5/1/43 | 2,318,830 | 2,468,480 | |||||
4.0000%, 7/1/43 | 3,306,870 | 3,521,269 | |||||
4.0000%, 8/1/43 | 2,652,510 | 2,824,784 | |||||
4.0000%, 9/1/43 | 657,957 | 700,684 | |||||
3.5000%, 1/1/44 | 3,161,334 | 3,288,353 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
3.5000%, 1/1/44 | $1,429,810 | $1,486,771 | |||||
4.0000%, 2/1/44 | 1,730,705 | 1,842,751 | |||||
3.5000%, 4/1/44 | 1,675,681 | 1,736,807 | |||||
3.5000%, 5/1/44 | 4,854,122 | 5,046,946 | |||||
4.5000%, 5/1/44 | 6,291,547 | 6,938,188 | |||||
5.5000%, 5/1/44 | 1,118,132 | 1,247,418 | |||||
4.0000%, 6/1/44 | 2,195,319 | 2,337,167 | |||||
4.0000%, 7/1/44 | 4,264,046 | 4,566,170 | |||||
5.0000%, 7/1/44 | 2,522,709 | 2,836,073 | |||||
4.0000%, 8/1/44 | 2,699,135 | 2,890,389 | |||||
4.0000%, 8/1/44 | 1,023,296 | 1,095,801 | |||||
4.5000%, 8/1/44 | 2,770,283 | 3,055,027 | |||||
4.5000%, 10/1/44 | 2,124,295 | 2,342,962 | |||||
4.5000%, 10/1/44 | 1,198,942 | 1,318,446 | |||||
3.5000%, 2/1/45 | 3,298,423 | 3,408,167 | |||||
4.5000%, 3/1/45 | 2,207,830 | 2,428,297 | |||||
4.5000%, 5/1/45 | 1,737,476 | 1,916,336 | |||||
4.5000%, 6/1/45 | 1,063,234 | 1,169,508 | |||||
4.0000%, 9/1/45 | 6,163,580 | 6,564,680 | |||||
4.5000%, 10/1/45 | 2,183,580 | 2,396,212 | |||||
125,668,730 | |||||||
Freddie Mac Gold Pool: | |||||||
5.0000%, 1/1/19 | 144,606 | 149,555 | |||||
5.5000%, 8/1/19 | 128,157 | 132,726 | |||||
5.0000%, 6/1/20 | 242,047 | 256,431 | |||||
5.5000%, 12/1/28 | 590,221 | 651,956 | |||||
3.5000%, 7/1/29 | 1,026,448 | 1,074,521 | |||||
5.5000%, 10/1/36 | 503,571 | 564,262 | |||||
6.0000%, 4/1/40 | 2,448,831 | 2,788,341 | |||||
4.5000%, 1/1/41 | 649,534 | 705,985 | |||||
5.0000%, 5/1/41 | 1,334,760 | 1,486,685 | |||||
5.5000%, 5/1/41 | 1,040,791 | 1,151,727 | |||||
5.5000%, 8/1/41 | 2,343,938 | 2,672,552 | |||||
5.5000%, 8/1/41 | 1,624,400 | 1,833,181 | |||||
5.5000%, 9/1/41 | 386,206 | 427,176 | |||||
3.5000%, 2/1/44 | 1,289,278 | 1,332,070 | |||||
4.5000%, 5/1/44 | 1,314,636 | 1,445,897 | |||||
4.0000%, 8/1/44 | 867,912 | 926,406 | |||||
4.5000%, 9/1/44 | 4,106,316 | 4,520,440 | |||||
4.5000%, 6/1/45 | 1,773,507 | 1,952,583 | |||||
24,072,494 | |||||||
Ginnie Mae I Pool: | |||||||
5.1000%, 1/15/32 | 909,048 | 1,030,501 | |||||
4.9000%, 10/15/34 | 992,394 | 1,094,059 | |||||
5.5000%, 9/15/35 | 116,323 | 133,936 | |||||
5.5000%, 3/15/36 | 519,805 | 588,012 | |||||
5.5000%, 8/15/39 | 2,157,809 | 2,452,954 | |||||
5.5000%, 8/15/39 | 704,242 | 797,318 | |||||
5.0000%, 10/15/39 | 476,587 | 528,711 | |||||
5.5000%, 10/15/39 | 789,472 | 898,678 | |||||
5.0000%, 11/15/39 | 777,516 | 860,848 | |||||
5.0000%, 1/15/40 | 260,009 | 287,581 | |||||
5.0000%, 5/15/40 | 279,174 | 311,145 | |||||
5.0000%, 5/15/40 | 95,714 | 106,819 | |||||
5.0000%, 7/15/40 | 846,553 | 937,283 | |||||
5.0000%, 7/15/40 | 217,116 | 240,299 | |||||
5.0000%, 2/15/41 | 864,199 | 956,598 | |||||
5.0000%, 4/15/41 | 334,523 | 370,415 | |||||
5.0000%, 5/15/41 | 353,875 | 397,181 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||||
Mortgage-Backed Securities – (continued) | |||||||||
Ginnie Mae I Pool – (continued) | |||||||||
4.5000%, 7/15/41 | $700,178 | $756,280 | |||||||
4.5000%, 7/15/41 | 234,143 | 255,335 | |||||||
4.5000%, 8/15/41 | 1,970,591 | 2,171,503 | |||||||
5.0000%, 9/15/41 | 204,536 | 226,525 | |||||||
5.0000%, 11/15/43 | 1,464,554 | 1,622,405 | |||||||
4.5000%, 5/15/44 | 942,024 | 1,027,837 | |||||||
5.0000%, 6/15/44 | 1,438,810 | 1,613,324 | |||||||
5.0000%, 6/15/44 | 540,005 | 604,356 | |||||||
4.0000%, 1/15/45 | 4,718,215 | 5,039,329 | |||||||
4.0000%, 4/15/45 | 691,296 | 744,385 | |||||||
26,053,617 | |||||||||
Ginnie Mae II Pool: | |||||||||
6.0000%, 11/20/34 | 463,615 | 518,687 | |||||||
5.5000%, 11/20/37 | 575,996 | 637,743 | |||||||
6.0000%, 1/20/39 | 197,095 | 220,380 | |||||||
7.0000%, 5/20/39 | 106,847 | 122,088 | |||||||
4.5000%, 10/20/41 | 1,365,618 | 1,469,539 | |||||||
6.0000%, 10/20/41 | 79,018 | 89,567 | |||||||
6.0000%, 12/20/41 | 238,611 | 269,541 | |||||||
5.5000%, 1/20/42 | 504,676 | 561,114 | |||||||
6.0000%, 1/20/42 | 252,683 | 286,227 | |||||||
6.0000%, 2/20/42 | 213,002 | 241,172 | |||||||
6.0000%, 3/20/42 | 177,956 | 201,567 | |||||||
6.0000%, 4/20/42 | 671,980 | 760,981 | |||||||
3.5000%, 5/20/42 | 472,594 | 495,551 | |||||||
5.5000%, 5/20/42 | 717,066 | 799,245 | |||||||
6.0000%, 5/20/42 | 289,964 | 324,273 | |||||||
5.5000%, 7/20/42 | 944,771 | 1,041,339 | |||||||
6.0000%, 7/20/42 | 196,521 | 222,112 | |||||||
6.0000%, 8/20/42 | 219,108 | 248,157 | |||||||
6.0000%, 9/20/42 | 489,790 | 554,788 | |||||||
6.0000%, 11/20/42 | 200,554 | 225,926 | |||||||
6.0000%, 2/20/43 | 269,725 | 304,945 | |||||||
3.5000%, 9/20/44 | 1,314,391 | 1,378,532 | |||||||
5.0000%, 12/20/44 | 823,888 | 922,702 | |||||||
5.0000%, 9/20/45 | 1,992,471 | 2,192,847 | |||||||
4.0000%, 11/20/45 | 3,958,034 | 4,280,209 | |||||||
18,369,232 | |||||||||
Total Mortgage-Backed Securities (cost $194,203,845) | 194,164,073 | ||||||||
U.S. Treasury Notes/Bonds – 8.9% | |||||||||
1.0000%, 9/15/18 | 11,886,000 | 11,801,502 | |||||||
1.3750%, 9/30/18 | 23,940,000 | 24,014,812 | |||||||
1.2500%, 10/31/18 | 9,339,000 | 9,325,869 | |||||||
1.6250%, 7/31/19 | 8,059,000 | 8,087,021 | |||||||
1.7500%, 9/30/19 | 7,337,000 | 7,386,583 | |||||||
1.5000%, 10/31/19 | 10,714,000 | 10,680,519 | |||||||
1.6250%, 12/31/19 | 11,275,000 | 11,275,440 | |||||||
1.3750%, 9/30/20 | 7,137,000 | 7,013,773 | |||||||
2.1250%, 9/30/21 | 5,986,000 | 6,049,134 | |||||||
2.1250%, 12/31/21 | 8,344,000 | 8,417,661 | |||||||
1.7500%, 5/15/23 | 2,480,000 | 2,416,160 | |||||||
2.5000%, 8/15/23 | 9,140,000 | 9,377,430 | |||||||
2.7500%, 11/15/23 | 12,736,000 | 13,291,710 | |||||||
2.5000%, 5/15/24 | 6,665,000 | 6,810,537 | |||||||
2.0000%, 2/15/25 | 1,156,000 | 1,130,035 | |||||||
2.0000%, 8/15/25 | 9,970,000 | 9,721,139 | |||||||
2.2500%, 11/15/25 | 17,055,000 | 17,017,019 | |||||||
3.7500%, 11/15/43 | 6,729,000 | 7,750,442 | |||||||
3.6250%, 2/15/44 | 1,822,000 | 2,049,608 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
U.S. Treasury Notes/Bonds – (continued) | |||||||
3.3750%, 5/15/44 | $1,586,000 | $1,702,100 | |||||
2.5000%, 2/15/45 | 1,295,000 | 1,161,909 | |||||
3.0000%, 5/15/45 | 1,934,000 | 1,925,162 | |||||
3.0000%, 11/15/45 | 24,568,000 | 24,494,099 | |||||
Total U.S. Treasury Notes/Bonds (cost $201,852,511) | 202,899,664 | ||||||
Common Stocks – 60.3% | |||||||
Aerospace & Defense – 3.1% | |||||||
Boeing Co. | 285,000 | 41,208,150 | |||||
Honeywell International, Inc. | 291,755 | 30,217,065 | |||||
71,425,215 | |||||||
Automobiles – 1.1% | |||||||
General Motors Co. | 758,254 | 25,788,219 | |||||
Beverages – 0.3% | |||||||
Diageo PLC | 256,696 | 7,024,396 | |||||
Biotechnology – 6.1% | |||||||
AbbVie, Inc. | 839,530 | 49,733,757 | |||||
Amgen, Inc. | 410,568 | 66,647,503 | |||||
Regeneron Pharmaceuticals, Inc.* | 42,027 | 22,815,197 | |||||
139,196,457 | |||||||
Capital Markets – 2.5% | |||||||
Blackstone Group LP | 1,338,042 | 39,124,348 | |||||
TD Ameritrade Holding Corp. | 530,671 | 18,419,590 | |||||
57,543,938 | |||||||
Chemicals – 3.2% | |||||||
EI du Pont de Nemours & Co. | 482,207 | 32,114,986 | |||||
LyondellBasell Industries NV - Class A | 473,842 | 41,176,870 | |||||
73,291,856 | |||||||
Commercial Banks – 2.5% | |||||||
JPMorgan Chase & Co. | 313,229 | 20,682,511 | |||||
US Bancorp | 825,840 | 35,238,593 | |||||
55,921,104 | |||||||
Consumer Finance – 1.7% | |||||||
American Express Co. | 282,490 | 19,647,179 | |||||
Synchrony Financial* | 623,488 | 18,960,270 | |||||
38,607,449 | |||||||
Diversified Financial Services – 1.1% | |||||||
CME Group, Inc. | 273,765 | 24,803,109 | |||||
Diversified Telecommunication Services – 0.2% | |||||||
Verizon Communications, Inc. | 90,340 | 4,175,515 | |||||
Food Products – 0.8% | |||||||
Hershey Co. | 208,536 | 18,616,009 | |||||
Health Care Providers & Services – 1.0% | |||||||
Aetna, Inc. | 207,960 | 22,484,635 | |||||
Hotels, Restaurants & Leisure – 1.9% | |||||||
Norwegian Cruise Line Holdings, Ltd.* | 340,449 | 19,950,311 | |||||
Six Flags Entertainment Corp. | 179,300 | 9,850,742 | |||||
Starbucks Corp. | 220,499 | 13,236,555 | |||||
43,037,608 | |||||||
Industrial Conglomerates – 1.2% | |||||||
3M Co. | 71,293 | 10,739,578 | |||||
General Electric Co. | 528,133 | 16,451,343 | |||||
27,190,921 | |||||||
Information Technology Services – 3.4% | |||||||
Automatic Data Processing, Inc. | 126,468 | 10,714,369 | |||||
MasterCard, Inc. - Class A | 690,969 | 67,282,922 | |||||
77,997,291 | |||||||
Insurance – 0.9% | |||||||
Prudential PLC | 903,990 | 20,400,169 | |||||
Internet & Catalog Retail – 1.8% | |||||||
Ctrip.com International, Ltd. (ADR)* | 167,217 | 7,747,164 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | |||||||
Common Stocks – (continued) | ||||||||
Internet & Catalog Retail – (continued) | ||||||||
Priceline Group, Inc.* | 26,247 | $33,463,613 | ||||||
41,210,777 | ||||||||
Internet Software & Services – 3.2% | ||||||||
Alphabet, Inc. - Class C | 72,671 | 55,148,568 | ||||||
Yahoo!, Inc.* | 515,979 | 17,161,462 | ||||||
72,310,030 | ||||||||
Leisure Products – 0.5% | ||||||||
Mattel, Inc. | 430,124 | 11,686,469 | ||||||
Machinery – 0.5% | ||||||||
Dover Corp. | 179,148 | 10,983,564 | ||||||
Multiline Retail – 1.8% | ||||||||
Dollar Tree, Inc.* | 528,638 | 40,821,426 | ||||||
Pharmaceuticals – 6.5% | ||||||||
Allergan PLC* | 184,535 | 57,667,187 | ||||||
Bristol-Myers Squibb Co. | 583,765 | 40,157,194 | ||||||
Eli Lilly & Co. | 337,318 | 28,422,415 | ||||||
Merck & Co., Inc. | 426,779 | 22,542,467 | ||||||
148,789,263 | ||||||||
Real Estate Investment Trusts (REITs) – 0.2% | ||||||||
Outfront Media, Inc. | 247,694 | 5,407,160 | ||||||
Real Estate Management & Development – 1.3% | ||||||||
CBRE Group, Inc. - Class A* | 646,307 | 22,349,296 | ||||||
Colony American Homes Holdings III LP§ | 639,963 | 6,591,619 | ||||||
28,940,915 | ||||||||
Road & Rail – 1.2% | ||||||||
Union Pacific Corp. | 351,175 | 27,461,885 | ||||||
Software – 3.9% | ||||||||
Adobe Systems, Inc.* | 230,513 | 21,654,391 | ||||||
Microsoft Corp. | 1,196,704 | 66,393,138 | ||||||
88,047,529 | ||||||||
Specialty Retail – 2.0% | ||||||||
Home Depot, Inc. | 349,555 | 46,228,649 | ||||||
Technology Hardware, Storage & Peripherals – 2.3% | ||||||||
Apple, Inc. | 484,169 | 50,963,629 | ||||||
Textiles, Apparel & Luxury Goods – 2.4% | ||||||||
NIKE, Inc. - Class B | 862,164 | 53,885,250 | ||||||
Tobacco – 1.7% | ||||||||
Altria Group, Inc. | 446,304 | 25,979,356 | ||||||
Philip Morris International, Inc. | 148,068 | 13,016,658 | ||||||
38,996,014 | ||||||||
Total Common Stocks (cost $1,139,693,309) | 1,373,236,451 | |||||||
Preferred Stocks – 0.5% | ||||||||
Capital Markets – 0.2% | ||||||||
Morgan Stanley, 6.8750% | 75,000 | 2,081,250 | ||||||
Morgan Stanley, 7.1250% | 74,005 | 2,116,543 | ||||||
Morgan Stanley Capital Trust III, 6.2500% | 12,000 | 305,760 | ||||||
Morgan Stanley Capital Trust IV, 6.2500% | 3,000 | 76,110 | ||||||
Morgan Stanley Capital Trust V, 5.7500% | 1,000 | 25,180 | ||||||
Morgan Stanley Capital Trust VIII, 6.4500% | 5,000 | 126,550 | ||||||
4,731,393 | ||||||||
Commercial Banks – 0.2% | ||||||||
Citigroup Capital XIII, 6.6919% | 50,000 | 1,299,500 | ||||||
Wells Fargo & Co., 6.6250% | 60,425 | 1,736,010 | ||||||
3,035,510 | ||||||||
Consumer Finance – 0.1% | ||||||||
Discover Financial Services, 6.5000% | 92,125 | 2,438,549 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Preferred Stocks – (continued) | |||||||
Diversified Financial Services – 0% | |||||||
General Electric Capital Corp., 4.7000% | 9,000 | $229,230 | |||||
Total Preferred Stocks (cost $9,808,548) | 10,434,682 | ||||||
Investment Companies – 2.9% | |||||||
Money Markets – 2.9% | |||||||
Janus Cash Liquidity Fund LLC, 0.3105%ºº,£ (cost $66,697,739) | 66,697,739 | 66,697,739 | |||||
Total Investments (total cost $2,046,364,442) – 99.9% | 2,274,767,788 | ||||||
Cash, Receivables and Other Assets, net of Liabilities – 0.1% | 1,634,129 | ||||||
Net Assets – 100% | $2,276,401,917 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $2,182,366,614 | 95.9 | % | ||
United Kingdom | 48,658,461 | 2.1 | |||
Netherlands | 10,057,892 | 0.5 | |||
Singapore | 9,191,447 | 0.4 | |||
China | 7,747,164 | 0.4 | |||
Germany | 7,289,072 | 0.3 | |||
Taiwan | 5,130,954 | 0.2 | |||
Canada | 2,284,697 | 0.1 | |||
Italy | 2,041,487 | 0.1 | |||
Total | $2,274,767,788 | 100.0 | % |
Schedule of Foreign Currency Contracts, Open | ||||||||||||||||
Counterparty/ Currency | Settlement Date | Currency Units Sold | Currency Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Bank of America: | ||||||||||||||||
British Pound | 1/14/16 | 2,984,000 | $ | 4,398,499 | $ | 117,460 | ||||||||||
Credit Suisse International: | ||||||||||||||||
British Pound | 2/4/16 | 1,869,000 | 2,755,097 | 19,246 | ||||||||||||
HSBC Securities (USA), Inc.: | ||||||||||||||||
British Pound | 1/21/16 | 2,327,000 | 3,430,128 | 98,395 | ||||||||||||
JPMorgan Chase & Co.: | ||||||||||||||||
British Pound | 1/14/16 | 1,191,000 | 1,755,567 | 45,948 | ||||||||||||
RBC Capital Markets Corp.: | ||||||||||||||||
British Pound | 2/4/16 | 972,000 | 1,432,827 | 8,670 | ||||||||||||
Total | $ | 13,772,118 | $ | 289,719 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Aspen Balanced Portfolio
Notes to Schedule of Investments and Other Information
Balanced Index | An internally-calculated, hypothetical combination of total returns from the S&P 500® Index (55%) and the Barclays U.S. Aggregate Bond Index (45%). |
Barclays U.S. Aggregate Bond Index | A broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
S&P 500® Index | Measures broad U.S. equity performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
ULC | Unlimited Liability Company |
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. 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, 2015 is $112,548,451, which represents 4.9% of net assets. |
* | Non-income producing security. |
(a) | All or a portion of this position has not settled, or is not funded. Upon settlement or funding date, interest rates for unsettled or unfunded amounts will be determined. Interest and dividends will not be accrued until time of settlement or funding. |
‡ | The interest rate on floating rate notes is based on an index or market interest rates and is subject to change. Rate in the security description is as of December 31, 2015. |
ºº | Rate shown is the 7-day yield as of December 31, 2015. |
µ | This variable rate security is a perpetual bond. Perpetual bonds have no contractual maturity date, are not redeemable, and pay an indefinite stream of interest. The coupon rate shown represents the current interest 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. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the year ended December 31, 2015. Unless otherwise indicated, all information in the table is for the year ended December 31, 2015. |
| Share | Purchases | Sales | Share | Dividend | Value |
Janus Cash Liquidity Fund LLC | 7,849,944 | 1,146,377,795 | (1,087,530,000) | 66,697,739 | $ 44,156 | $ 66,697,739 |
20 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Notes to Schedule of Investments and Other Information
§ | Schedule of Restricted and Illiquid Securities (as of December 31, 2015) | |||||||||
Value as a | ||||||||||
Acquisition | % of Net | |||||||||
Date | Cost | Value | Assets | |||||||
Colony American Homes Holdings III LP | 1/30/13 | $ | 6,407,653 | $ | 6,591,619 | 0.3 | % | |||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 | 4/29/13 | 1,042,211 | 1,049,014 | - | ||||||
Total | $ | 7,449,864 | $ | 7,640,633 | 0.3 | % | ||||
The Portfolio has registration rights for certain restricted securities held as of December 31, 2015. The issuer incurs all registration costs. |
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, 2015. See Notes to Financial Statements for more information. | |||
Valuation Inputs Summary | |||
| Level 1 - | Level 2 - | Level 3 - |
Assets | |||
Investments in Securities: | |||
Asset-Backed/Commercial Mortgage-Backed Securities | $ - | $ 53,695,184 | $ - |
Bank Loans and Mezzanine Loans | - | 13,794,111 | - |
Corporate Bonds | - | 359,845,884 | - |
Mortgage-Backed Securities | - | 194,164,073 | - |
U.S. Treasury Notes/Bonds | - | 202,899,664 | - |
Common Stocks | |||
Real Estate Management & Development | 22,349,296 | - | 6,591,619 |
All Other | 1,344,295,536 | - | - |
Preferred Stocks | - | 10,434,682 | - |
Investment Companies | - | 66,697,739 | - |
Total Investments in Securities | $ 1,366,644,832 | $ 901,531,337 | $ 6,591,619 |
Other Financial Instruments(a): | |||
Forward Currency Contracts | $ - | $ 289,719 | $ - |
Total Assets | $ 1,366,644,832 | $ 901,821,056 | $ 6,591,619 |
(a) Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Options and swap contracts are reported at their market value at measurement date. |
Janus Aspen Series | 21 |
Janus Aspen Balanced Portfolio
Statement of Assets and Liabilities
December 31, 2015
Assets: |
|
|
|
| ||
Investments, at cost | $ | 2,046,364,442 | ||||
Unaffiliated investments, at value | $ | 2,208,070,049 | ||||
Affiliated investments, at value | 66,697,739 | |||||
Cash | 345,212 | |||||
Forward currency contracts | 289,719 | |||||
Closed foreign currency contracts | 86,031 | |||||
Non-interested Trustees' deferred compensation | 46,068 | |||||
Receivables: | ||||||
Interest | 5,769,850 | |||||
Dividends | 2,216,218 | |||||
Portfolio shares sold | 531,462 | |||||
Foreign tax reclaims | 34,715 | |||||
Dividends from affiliates | 14,246 | |||||
Other assets | 21,204 | |||||
Total Assets |
|
| 2,284,122,513 |
| ||
Liabilities: | ||||||
Payables: | — | |||||
Investments purchased | 5,098,750 | |||||
Advisory fees | 1,163,177 | |||||
Portfolio shares repurchased | 844,575 | |||||
12b-1 Distribution and shareholder servicing fees | 423,921 | |||||
Professional fees | 51,108 | |||||
Non-interested Trustees' deferred compensation fees | 46,068 | |||||
Portfolio administration fees | 20,091 | |||||
Non-interested Trustees' fees and expenses | 12,617 | |||||
Custodian fees | 1,721 | |||||
Transfer agent fees and expenses | 1,195 | |||||
Accrued expenses and other payables | 57,373 | |||||
Total Liabilities |
|
| 7,720,596 |
| ||
Net Assets |
| $ | 2,276,401,917 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 1,999,925,898 | ||||
Undistributed net investment income/(loss) | 20,123,919 | |||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 27,654,917 | |||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 228,697,183 | |||||
Total Net Assets |
| $ | 2,276,401,917 |
| ||
Net Assets - Institutional Shares | $ | 444,472,378 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 14,774,847 | |||||
Net Asset Value Per Share |
| $ | 30.08 |
| ||
Net Assets - Service Shares | $ | 1,831,929,539 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 57,961,580 | |||||
Net Asset Value Per Share |
| $ | 31.61 |
|
See Notes to Financial Statements. | |
22 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Statement of Operations
For the year ended December 31, 2015
Investment Income: |
|
|
| ||
| Dividends | $ | 29,965,066 | ||
Interest | 25,271,976 | ||||
Dividends from affiliates | 44,156 | ||||
Other income | 109,394 | ||||
Total Investment Income |
| 55,390,592 |
| ||
Expenses: | |||||
Advisory fees | 11,696,902 | ||||
12b-1Distribution and shareholder servicing fees: | |||||
Service Shares | 4,142,526 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 2,925 | ||||
Service Shares | 6,334 | ||||
Portfolio administration fees | 196,068 | ||||
Shareholder reports expense | 115,709 | ||||
Professional fees | 84,076 | ||||
Non-interested Trustees’ fees and expenses | 52,244 | ||||
Custodian fees | 29,769 | ||||
Registration fees | 24,263 | ||||
Other expenses | 148,431 | ||||
Total Expenses |
| 16,499,247 |
| ||
Net Investment Income/(Loss) |
| 38,891,345 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 25,746,146 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 25,746,146 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (59,661,731) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| (59,661,731) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 4,975,760 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 23 |
Janus Aspen Balanced Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 38,891,345 | $ | 27,486,533 | ||||
Net realized gain/(loss) on investments | 25,746,146 | 69,498,515 | ||||||
Change in unrealized net appreciation/depreciation | (59,661,731) | 22,976,994 | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 4,975,760 |
|
| 119,962,042 | |||
Dividends and Distributions to Shareholders: | ||||||||
Institutional Shares | (7,464,551) | (8,234,908) | ||||||
Service Shares | (23,906,755) | (15,983,324) | ||||||
| Total Dividends from Net Investment Income |
| (31,371,306) |
|
| (24,218,232) | ||
Distributions from Net Realized Gain from Investment Transactions | ||||||||
Institutional Shares | (15,890,685) | (12,417,608) | ||||||
Service Shares | (54,459,823) | (25,030,597) | ||||||
| Total Distributions from Net Realized Gain from Investment Transactions | (70,350,508) |
|
| (37,448,205) | |||
Net Decrease from Dividends and Distributions to Shareholders |
| (101,721,814) |
|
| (61,666,437) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | (11,017,373) | (17,209,853) | ||||||
Service Shares | 680,114,575 | 324,605,555 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 669,097,202 |
|
| 307,395,702 | |||
Net Increase/(Decrease) in Net Assets |
| 572,351,148 |
|
| 365,691,307 | |||
Net Assets: | ||||||||
Beginning of period | 1,704,050,769 | 1,338,359,462 | ||||||
| End of period | $ | 2,276,401,917 |
| $ | 1,704,050,769 | ||
Undistributed Net Investment Income/(Loss) | $ | 20,123,919 |
| $ | 11,306,232 |
See Notes to Financial Statements. | |
24 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $31.43 |
|
| $30.26 |
|
| $27.17 |
|
| $26.62 |
|
| $28.30 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.63(1) | 0.62(1) | 0.56 | 1.14 | 0.73 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.41) | 1.92 | 4.67 | 2.30 | (0.22) | |||||||||||||
Total from Investment Operations |
| 0.22 |
|
| 2.54 |
|
| 5.23 |
|
| 3.44 |
|
| 0.51 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.50) | (0.55) | (0.45) | (0.80) | (0.69) | |||||||||||||
Distributions (from capital gains) | (1.07) | (0.82) | (1.69) | (2.09) | (1.50) | |||||||||||||
Total Dividends and Distributions |
| (1.57) |
|
| (1.37) |
|
| (2.14) |
|
| (2.89) |
|
| (2.19) |
| |||
Net Asset Value, End of Period | $30.08 | $31.43 | $30.26 | $27.17 | $26.62 | |||||||||||||
Total Return* |
| 0.62% |
|
| 8.54% |
|
| 20.11% |
|
| 13.66% |
|
| 1.60% |
| |||
Net Assets, End of Period (in thousands) | $444,472 | $475,807 | $475,100 | $435,689 | $843,446 | |||||||||||||
Average Net Assets for the Period (in thousands) | $467,346 | $472,445 | $455,356 | $509,335 | $906,725 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.58% | 0.58% | 0.58% | 0.60% | 0.57% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.58% | 0.58% | 0.58% | 0.60% | 0.57% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 2.03% | 2.01% | 1.87% | 2.23% | 2.50% | |||||||||||||
Portfolio Turnover Rate | 73% | 87% | 76% | 77% | 108% | |||||||||||||
1 |
Service Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $32.97 |
|
| $31.72 |
|
| $28.42 |
|
| $27.74 |
|
| $29.42 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.58(1) | 0.57(1) | 0.58 | 0.57 | 0.66 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.42) | 2.00 | 4.82 | 2.94 | (0.20) | |||||||||||||
Total from Investment Operations |
| 0.16 |
|
| 2.57 |
|
| 5.40 |
|
| 3.51 |
|
| 0.46 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.45) | (0.50) | (0.41) | (0.74) | (0.64) | |||||||||||||
Distributions (from capital gains) | (1.07) | (0.82) | (1.69) | (2.09) | (1.50) | |||||||||||||
Total Dividends and Distributions |
| (1.52) |
|
| (1.32) |
|
| (2.10) |
|
| (2.83) |
|
| (2.14) |
| |||
Net Asset Value, End of Period | $31.61 | $32.97 | $31.72 | $28.42 | $27.74 | |||||||||||||
Total Return* |
| 0.41% |
|
| 8.24% |
|
| 19.80% |
|
| 13.37% |
|
| 1.35% |
| |||
Net Assets, End of Period (in thousands) | $1,831,930 | $1,228,244 | $863,259 | $494,722 | $763,208 | |||||||||||||
Average Net Assets for the Period (in thousands) | $1,645,283 | $1,013,680 | $596,154 | $533,254 | $770,420 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.84% | 0.84% | 0.84% | 0.85% | 0.82% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.84% | 0.84% | 0.84% | 0.85% | 0.82% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 1.79% | 1.77% | 1.62% | 2.00% | 2.25% | |||||||||||||
Portfolio Turnover Rate | 73% | 87% | 76% | 77% | 108% | |||||||||||||
* Total return not annualized for periods of less than one full year. ** 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 | 25 |
Janus Aspen Balanced Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Aspen Balanced Portfolio (the “Portfolio”) is a series fund. The Portfolio is part 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 twelve Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests in a combination of equity securities selected for growth potential and fixed-income securities selected for income potential. 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
26 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Notes to Financial Statements
emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that 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, 2015 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.
The Portfolio did not hold a significant amount of Level 3 securities as of December 31, 2015.
The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year. The following describes the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year.
Financial assets of $22,167,011 were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
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 on the accrual basis and includes amortization of premiums and accretion of discounts. 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, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. 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.
Janus Aspen Series | 27 |
Janus Aspen Balanced Portfolio
Notes to Financial Statements
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.
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, 2015 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of this section.
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
28 | DECEMBER 31, 2015 |
Janus Aspen Balanced Portfolio
Notes to Financial Statements
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, 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 of 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. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
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
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Notes to Financial Statements
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 nonhedging 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 year, 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.
During the year ended December 31, 2015, the average ending monthly currency value amounts on sold forward currency contracts is $12,962,882.
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, 2015.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2015 | ||||
|
|
|
| Currency |
Asset Derivatives: | ||||
Forward currency contracts | $ | 289,719 | ||
|
|
|
|
|
|
|
|
|
|
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, 2015.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the year ended December 31, 2015 | |||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | |||||
Derivative |
|
| Currency | ||
Investments and foreign currency transactions | $ | 363,148 | |||
|
|
|
|
| |
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | |||||
Derivative |
|
| Currency | ||
Investments, foreign currency translations and non-interested Trustees' deferred compensation | $ | 222,597 |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
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Notes to Financial Statements
3. 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.
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. 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. 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. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
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, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. 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. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more "bailouts" from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/or withdraw from the EU, placing its currency and banking system in jeopardy.
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
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Notes to Financial Statements
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.
Loans
The Portfolio may invest in various commercial loans, including bank loans, bridge loans, debtor-in-possession (“DIP”) loans, mezzanine loans, and other fixed and floating rate loans. These loans may be acquired through loan participations and assignments or on a when-issued basis. Commercial loans will comprise no more than 20% of the Portfolio’s total assets. Below are descriptions of the types of loans held by the Portfolio as of December 31, 2015.
· Bank Loans - Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. The Portfolio’s investments in bank loans are generally acquired as a participation interest in, or assignment of, loans originated by a lender or other financial institution. These investments may include institutionally-traded floating and fixed-rate debt securities.
· Floating Rate Loans – Floating rate loans are debt securities that have floating interest rates, that adjust periodically, and are tied to a benchmark lending rate, such as London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (‘‘borrowers’’) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower’s capital structure. The senior position in the borrower’s capital structure generally gives holders of senior loans a claim on certain of the borrower’s assets that is senior to subordinated debt and preferred and common stock in the case of a borrower’s default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. While the Portfolio generally expects to invest in fully funded term loans, certain of the loans in which the Portfolio may invest include revolving loans, bridge loans, and delayed draw term loans.
Purchasers of floating rate loans may pay and/or receive certain fees. The Portfolio may receive fees such as covenant waiver fees or prepayment penalty fees. The Portfolio may pay fees such as facility fees. Such fees may affect the Portfolio’s return.
· Mezzanine Loans - Mezzanine loans are secured by the stock of the company that owns the assets. Mezzanine loans are a hybrid of debt and equity financing that is typically used to fund the expansion of existing companies. A mezzanine loan is composed of debt capital that gives the lender the right to convert to an ownership or equity interest in the company if the loan is not paid back in time and in full. Mezzanine loans typically are the most subordinated debt obligation in an issuer’s capital structure.
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Notes to Financial Statements
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 the Portfolio’s yield and 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.
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 may enter 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. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
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Notes to Financial Statements
The following table presents 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 either the “Fair Value of Derivative Instruments as of December 31, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||
Counterparty | Gross Amounts | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | |
Bank of America | $ 117,460 | $ - | $ - | $ 117,460 | |
Credit Suisse International | 19,246 | - | - | 19,246 | |
HSBC Securities (USA), Inc. | 98,395 | - | - | 98,395 | |
JPMorgan Chase & Co. | 45,948 | - | - | 45,948 | |
RBC Capital Markets Corp. | 8,670 | - | - | 8,670 | |
Total | $ 289,719 | $ - | $ - | $ 289,719 | |
(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. |
The Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio may segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
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.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Sovereign Debt
The Portfolio may invest in U.S. and foreign government debt securities (“sovereign debt”). Investments in U.S. sovereign debt are considered low risk. However, investments in non-U.S. sovereign debt 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 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
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Notes to Financial Statements
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.
When-Issued and Delayed Delivery Securities
The Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Portfolio may invest include U.S. Treasury Securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio may hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
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 0.55%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing, and other shareholder services for the Portfolio. Janus Services is not compensated for its 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 fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain 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 provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $43,224 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2015. 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 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
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Notes to Financial Statements
balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of December 31, 2015 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 “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2015 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 $317,200 were paid by the Trust to a Trustee under the Deferred Plan during the year ended December 31, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. 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 Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio's ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged 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, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital Management LLC 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, 2015, the Portfolio engaged in cross trades amounting to $127,604,144 in purchases and $42,902,477 in sales, resulting in a net realized gain of $451,027. The net realized gain is included in “Investments and foreign currency transactions” within the “Net Realized and Unrealized 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 | Net Tax | ||||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | Other Book | Appreciation/ | |
$ 20,153,467 | $ 29,093,502 | $ - | $ - | $ - | $ (41,952) | $227,271,002 |
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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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. 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/ |
$ 2,047,496,786 | $250,613,165 | $(23,342,163) | $ 227,271,002 |
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, net investment 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, 2015 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 37,052,217 | $ 64,669,597 | $ - | $ - |
For the year ended December 31, 2014 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 24,218,232 | $ 37,448,205 | $ - | $ - |
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 | |
$ - | $ 1,297,648 | $ (1,297,648) |
6. Capital Share Transactions
Year ended December 31, 2015 | Year ended December 31, 2014 | |||||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: | ||||||
Shares sold | 1,101,594 | $ 34,376,815 | 915,113 | $ 28,106,105 | ||
Reinvested dividends and distributions | 760,784 | 23,355,236 | 675,377 | 20,652,516 | ||
Shares repurchased | (2,228,010) | (68,749,424) | (2,148,096) | (65,968,474) | ||
Net Increase/(Decrease) | (365,632) | $ (11,017,373) |
| (557,606) | $ (17,209,853) | |
Service Shares: | ||||||
Shares sold | 22,759,501 | $746,923,739 | 12,324,980 | $398,303,471 | ||
Reinvested dividends and distributions | 2,428,045 | 78,366,578 | 1,277,515 | 41,013,921 | ||
Shares repurchased | (4,476,788) | (145,175,742) | (3,565,814) | (114,711,837) | ||
Net Increase/(Decrease) | 20,710,758 | $680,114,575 |
| 10,036,681 | $324,605,555 |
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Janus Aspen Balanced Portfolio
Notes to Financial Statements
7. Purchases and Sales of Investment Securities
For the year ended December 31, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$1,340,128,770 | $ 749,002,135 | $ 723,752,843 | $ 755,371,449 |
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2015 and through the date of issuance of the Portfolio’s financial statements and determined that there were material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements, as discussed below.
Effective May 1, 2016, the Portfolio pays Janus Services a fee at an annual rate of up to 0.05% of the average daily net assets of the Portfolio’s Institutional Shares and Service Shares to compensate insurance companies for services provided to contract owners. Any unused portion will be reimbursed back to the respective share class.
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Janus Aspen Balanced Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Aspen Balanced Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Janus Aspen Balanced Portfolio (one of the portfolios constituting Janus Aspen Series, hereafter referred to as the “Portfolio”) at December 31, 2015, 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 then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.
Denver, Colorado
February 12, 2016
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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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.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 janus.com/ proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is 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) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each 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 9, 2015, 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 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 Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2016 through January 1 or February 1, 2017, respectively, 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 any administration fees (excluding out of pocket costs), net of any waivers.
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 Funds, taking into account the investment objective, strategies and policies of each 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 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 Funds. The Trustees also considered other services provided to the 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 Funds, noting that Janus Capital does not receive a fee
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Additional Information (unaudited)
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 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 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 Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, 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 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 Funds whose performance lagged that of their peers for certain periods, the 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 Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each 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 Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has been strong: for the 36 months ended September 30, 2015, approximately 70% of the Funds were in the top two Broadridge quartiles of performance, and for the 12 months ended September 30, 2015, approximately 61% of the Funds were in the top two Broadridge quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history.
· For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Multi-Sector Income Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
· For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
Value Funds
· For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
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Additional Information (unaudited)
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
· For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH International Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. 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.
· For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Forty Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and in the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Research Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
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Janus Aspen Balanced Portfolio
Additional Information (unaudited)
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
In consideration of each 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 Fund’s performance warranted continuation of the Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each 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 (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers,
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Janus Aspen Balanced Portfolio
Additional Information (unaudited)
was below the mean 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 Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the 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 Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 14% below the mean total expenses of their respective Broadridge Expense Group peers and 24% below the mean total expenses for their Broadridge Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 19% below the mean for their Expense Universes; and (4) Fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered the total expenses for each share class of each Fund compared to the mean total expenses for its Broadridge Expense Group peers and to mean total expenses for its Broadridge Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such 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 Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the 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 Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) by one estimation methodology, the fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to the estimated fee margins in the industry and relative to estimated fee margins of fund managers using Janus Capital as a subadviser.
The Trustees considered the fees for each Fund for its fiscal year ended in 2014, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Global Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Multi-Sector Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus has contractually agreed to limit the Fund’s expenses.
· For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
· For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Value Funds
· For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Global Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Perkins Value Plus Income Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For INTECH International Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had 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 INTECH U.S. Core Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean 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 INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for one share class. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Forty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
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Additional Information (unaudited)
· For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Venture Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Emerging Markets Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Select Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
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Additional Information (unaudited)
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Allocation Portfolio - Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for its sole share class.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, 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. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was reasonable.
The independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised 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 Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services
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Additional Information (unaudited)
provided by Janus Capital and any subadviser, the investment performance of the 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 Funds increase. They noted that their independent fee consultant provided an analysis of economies of scale, which included discussion of analysis from prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, their independent fee consultant concluded that 85% of these Funds have contractual management fees (gross of waivers) below their Broadridge expense group averages and, overall, 80% of the Funds are below their respective expense group averages for contractual management fees. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of some of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the 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 Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
The independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, its analyses could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a 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 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 Fund therefor, the 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/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the 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 Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the 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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus 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, 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. The total return does not include any charges at the separate account level or contract level. 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, 2015:
Capital Gain Distributions | $64,669,597 |
Dividends Received Deduction Percentage | 50% |
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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.
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. Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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 | Chairman Trustee | 1/08-Present 6/02-Present | Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations). Formerly, Chief Executive Officer, Imprint Capital (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 | Chairman of the Board and Director of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds), and Director of the F.B. Heron Foundation (a private grantmaking foundation). |
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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 |
Alan A. Brown | Trustee | 1/13-Present | Executive Vice President, Institutional Markets, of Dividend Capital Group (private equity real estate investment management firm) (since 2012). Formerly, 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 MotiveQuest LLC (strategic social market research company) (since 2003), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of Nuveen Global Investors LLC (2007-2011); Director of Communities in Schools (2004-2010); and Director of Mutual Fund Education Alliance (until 2010). |
William D. Cvengros | Trustee | 1/11-Present | Managing Member and 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 of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014) and Managing Trustee of National Retirement Partners Liquidating Trust (since 2013). Formerly, 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 |
James T. Rothe | Trustee | 1/97-Present | Co-founder and Managing Director of Roaring Fork Capital SBIC, L.P. (SBA, SBIC fund focusing on private investment in public equity firms) and Professor Emeritus of Business of the University of Colorado, Colorado Springs, CO (since 2004). Formerly, Professor of Business of the University of Colorado (2002-2004); and Distinguished Visiting Professor of Business (2001-2002) of Thunderbird (American Graduate School of International Management), Glendale, AZ. | 58 | Formerly, Director of Red Robin Gourmet Burgers, Inc. (RRGB) (2004- 2014). |
William D. Stewart | Trustee | 9/93-Present | Retired. Formerly, Corporate Vice President and General Manager of MKS Instruments - HPS Products, Boulder, CO (a manufacturer of vacuum fittings and valves) and PMFC Division, Andover, MA (manufacturing pressure measurement and flow products) (1976-2012). | 58 | None |
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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 |
Linda S. Wolf | Trustee | 12/05-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), Chicago Council on Global Affairs, InnerWorkings (U.S. provider of print procurement solutions to corporate clients), Lurie Children’s Hospital (Chicago, IL), Rehabilitation Institute of Chicago, Walmart, and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Convention & Tourism Bureau (until 2014) and The Field Museum of Natural History (Chicago, IL) (until 2014). |
Trustee Consultant | |||||
Raudline Etienne* | Consultant | 6/14-Present | 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). | N/A | Director of Brightwood Capital Advisors, LLC (since 2014). |
* Raudline Etienne was appointed consultant to the Trustees effective June 2, 2014. Shareholders of the Janus Funds are expected to be asked to elect Ms. Etienne as a Trustee at a future shareholder meeting.
Janus Aspen Series | 59 |
Janus Aspen Balanced 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 |
Jeremiah Buckley | Executive Vice President and Co-Portfolio Manager | 12/15-Present | Portfolio Manager for other Janus accounts and Research Analyst for Janus Capital. |
Marc Pinto | Executive Vice President and Co-Portfolio Manager | 5/05-Present | Vice President of Janus Capital and Portfolio Manager for other Janus accounts. |
Mayur Saigal | Executive Vice President and Co-Portfolio Manager | 12/15-Present | Portfolio Manager for other Janus accounts and Research Analyst for Janus Capital. |
Gibson Smith | Executive Vice President and Co-Portfolio Manager | 5/05-Present | Chief Investment Officer Fixed Income and Executive Vice President of Janus Capital; Director of Perkins Investment Management LLC; and Portfolio Manager for other Janus accounts. Formerly, Executive Vice President of Janus Distributors LLC and Janus Services LLC (2007-2013). |
Darrell Watters | Executive Vice President and Co-Portfolio Manager | 12/15-Present | Vice President of Janus Capital and Portfolio Manager for other Janus accounts. |
Stephanie Grauerholz 151 Detroit Street | Chief Legal Counsel and Secretary | 1/06-Present | Senior Vice President and Chief Legal Counsel of Janus Capital and Senior Vice President of Janus Services LLC (since 2015). Formerly, Vice President and Assistant General Counsel of Janus Capital, Vice President and Assistant Secretary of Janus Distributors LLC, and Vice President of Janus Services LLC (2007-2015). |
* 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.
60 | DECEMBER 31, 2015 |
Janus Aspen Balanced 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 |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | President of Janus Capital Group Inc. and Janus Capital Management LLC (since 2013); Executive Vice President and Director of Janus International Holding LLC (since 2011); Executive Vice President of Janus Distributors LLC (since 2011); Executive Vice President and Working Director of INTECH Investment Management LLC (since 2011); Executive Vice President and Director of Perkins Investment Management LLC (since 2011); and Executive Vice President and Director of Janus Management Holdings Corporation (since 2011). Formerly, 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). |
David R. Kowalski | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 6/02-Present | Senior Vice President and Chief Compliance Officer of Janus Capital, Janus Distributors LLC, and Janus Services LLC; Vice President of INTECH Investment Management LLC and Perkins Investment Management LLC; and Director of The Janus Foundation. |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
* 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 | 61 |
Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH® (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins® (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money. | ||||||||||||
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC. Funds distributed by Janus Distributors LLC | ||||||||||||
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | |||||||||
C-0216-108536 | 109-02-81113 02-16 |
62 | DECEMBER 31, 2015 |
ANNUAL REPORT December 31, 2015 | |||
Janus Aspen Enterprise Portfolio | |||
Janus Aspen Series | |||
| |||
HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your fund · Portfolio performance, characteristics | |||
Table of Contents
Janus Aspen Enterprise Portfolio
Janus Aspen Enterprise Portfolio (unaudited)
PERFORMANCE OVERVIEW
During the 12 months ended December 31, 2015, Janus Aspen Enterprise Portfolio’s Institutional Shares and Service Shares returned 4.03% and 3.77%, respectively. Meanwhile, the Portfolio’s benchmark, the Russell Midcap Growth Index, returned -0.20%.
INVESTMENT ENVIRONMENT
Mid-cap growth stocks ended the year with modest losses. A low interest rate environment and signs of a strengthening economy helped lift stocks in the first half of the year. Concerns about slow global economic growth, particularly in emerging markets, and a weakening energy sector led stocks down in the second half of the year. The energy, utilities and materials sectors suffered the steepest losses during the calendar year. The consumer staples and health care sectors were the top performers within the index.
PERFORMANCE DISCUSSION
The portfolio outperformed its benchmark, the Russell Midcap Growth Index, during the year. Our portfolio tends to emphasize companies that have high returns on invested capital (ROIC), and often have more predictable business models, recurring revenue streams and strong competitive positioning that allows the companies to take market share and experience sustainable, long-term growth, even when the economy is less strong. We believe this focus should help the portfolio outperform when markets are down and the economy is weak, driving relative outperformance over full market cycles. Over the course of the year, our portfolio performed as we would have expected, with much of our relative outperformance coming in the back half of the year when the economic outlook was less certain, markets were more volatile and higher quality stocks returned to favor.
Strong stock selection in the technology and financial sectors were large contributors to relative performance during the year. Within the technology sector, we held a number of companies that put up impressive results that demonstrated the durability of their earnings streams.
Within the financial sector, two stocks, MSCI Inc. and Crown Castle, were large contributors to performance. MSCI was up after an activist investor became involved with the company; urging it to either split its two businesses or make other changes that allow its high-margin index business to become a greater source of profitability for the company. We like the sticky revenue streams associated with its two core businesses, an investment index business and also a risk management and analytics business. Once investment managers are given an index to compare their investment products against, it is very hard to shift away from that index. MSCI’s analytics business is also a steady source of revenue, as these tools are increasingly important to the investment process.
Crown Castle International Corp., an owner of wireless communication towers, was another large contributor to performance. Concerns about a slowdown in infrastructure spending by a major wireless carrier had been negatively impacting the stock. However, comments by Crown Castle’s management team toward the end of the year helped the market refocus on the company’s long-term growth potential, which helped the stock rebound. Over the long term, we think Crown Castle is uniquely positioned to benefit from the increasing demand for data transmission.
Outside the financial sector, Pharmacyclics was one of the Portfolio’s top contributors. The stock was up significantly this quarter after it was announced that AbbVie had won a bidding war to acquire the company. The high interest Pharmacyclics received from other companies validated our view that its blood cancer treatments offer significant growth potential.
While pleased with the results of many companies in our portfolio, we did own others that produced disappointing results. Potash Corporation of Saskatchewan was our
Janus Aspen Series | 1 |
Janus Aspen Enterprise Portfolio (unaudited)
largest detractor. A weak pricing environment for potash has negatively impacted the company but the stock remains a small holding in our portfolio, as we like the company’s position as a low cost producer of potash.
Rexnord was another detractor. The company produces parts involved in process and motion control for manufacturers, mines and aerospace clients. Declining demand from mining customers who use Rexnord machinery to move ore has been a headwind for the company. However, these losses were partially offset by Rexnord’s commercial plumbing business, which has benefited from a rebound in commercial construction. We believe Rexnord is positioned for steady growth in both businesses in the months ahead, and is likely to benefit from management’s efforts to cut costs and expand operating margins. We also expect Rexnord to generate value through strategic acquisitions as it improves the operations of the companies it acquires.
Wolverine World Wide was another detractor. The company owns and distributes a number of shoe brands and sales for some of its largest brands have admittedly been disappointing this year. However, we have done extensive research on the company and believe its brands still resonate with consumers and have strong competitive positioning.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
While broad economic growth looks more challenging in the coming months, we still see opportunity in equity markets. We see a great deal of innovation and disruption in today’s marketplace, creating a high level of dispersion between what’s happening at the macroeconomic level and the individual company level, in our view. This dispersion creates opportunity for stock pickers.
As we move into 2016, one item that will bear watching will be how companies handle rising interest rates. A number of companies that have accessed cheap debt markets in recent years may find it harder to fund their growth initiatives as the cost of capital increases. We think such an environment should favor those companies with more established growth profiles because they can rely on free cash flow, rather than access to cheap debt markets, to carry out their business plans.
Thank you for your investment in Janus Aspen Enterprise Portfolio.
2 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio (unaudited)
Portfolio At A Glance
December 31, 2015
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
| |
Contribution | Contribution | |||||
MSCI, Inc. | 0.76% | Potash Corp. of Saskatchewan, Inc. (U.S. Shares) | -0.64% | |||
Pharmacyclics, Inc. | 0.72% | Rexnord Corp. | -0.64% | |||
Verisk Analytics, Inc. - Class A | 0.63% | Wolverine World Wide, Inc. | -0.56% | |||
Masimo Corp. | 0.56% | Endo International PLC | -0.46% | |||
Crown Castle International Corp. | 0.47% | Sensata Technologies Holding NV | -0.43% | |||
5 Top Performers - Sectors* |
|
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|
| |
Portfolio | Portfolio Weighting | Russell Midcap® Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Information Technology | 2.53% | 32.30% | 19.18% | |||
Financials | 1.28% | 11.91% | 10.54% | |||
Health Care | 1.12% | 17.90% | 13.96% | |||
Energy | 0.49% | 1.11% | 2.85% | |||
Consumer Discretionary | 0.41% | 9.69% | 24.00% | |||
5 Bottom Performers - Sectors* |
|
|
|
|
| |
Portfolio | Portfolio Weighting | Russell Midcap® Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Consumer Staples | -1.05% | 1.03% | 7.94% | |||
Materials | -0.35% | 1.63% | 5.00% | |||
Industrials | -0.12% | 21.86% | 15.71% | |||
Telecommunication Services | 0.02% | 0.00% | 0.67% | |||
Utilities | 0.04% | 0.00% | 0.14% | |||
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. |
Janus Aspen Series | 3 |
Janus Aspen Enterprise Portfolio (unaudited)
Portfolio At A Glance
December 31, 2015
5 Largest Equity Holdings - (% of Net Assets) | |
Crown Castle International Corp. | |
Real Estate Investment Trusts (REITs) | 3.6% |
Sensata Technologies Holding NV | |
Electrical Equipment | 3.0% |
Verisk Analytics, Inc. - Class A | |
Professional Services | 2.7% |
Lamar Advertising Co. - Class A | |
Real Estate Investment Trusts (REITs) | 2.3% |
Varian Medical Systems, Inc. | |
Health Care Equipment & Supplies | 2.2% |
13.8% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 96.4% | ||||
Investment Companies | 9.9% | ||||
Other | (6.3)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2015 | As of December 31, 2014 |
4 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio (unaudited)
Performance
See important disclosures on the next page. |
Expense Ratios - | |||||||
Average Annual Total Return - for the periods ended December 31, 2015 |
| per the May 1, 2015 prospectuses | |||||
| One | Five | Ten | Since |
| Total Annual Fund | |
Institutional Shares | 4.03% | 12.37% | 9.81% | 10.33% |
| 0.68% | |
Service Shares | 3.77% | 12.09% | 9.53% | 10.05% |
| 0.93% | |
Russell Midcap® Growth Index | -0.20% | 11.54% | 8.16% | 9.31% |
|
| |
Morningstar Quartile - Institutional Shares | 1st | 1st | 1st | 1st |
|
| |
Morningstar Ranking - based on total returns for Mid-Cap Growth Funds | 82/748 | 72/677 | 43/613 | 35/180 |
|
|
A Portfolio's performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
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.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 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.
A Portfolio's holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
Janus Aspen Series | 5 |
Janus Aspen Enterprise Portfolio (unaudited)
Performance
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
6 | DECEMBER 31, 2015 |
Janus Aspen Enterprise 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 | $980.70 | $3.44 |
| $1,000.00 | $1,021.73 | $3.52 | 0.69% | ||
Service Shares | $1,000.00 | $979.20 | $4.74 |
| $1,000.00 | $1,020.42 | $4.84 | 0.95% | ||
† | 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 Aspen Enterprise Portfolio
Schedule of Investments
December 31, 2015
| Value | ||||||
Common Stocks – 96.4% | |||||||
Aerospace & Defense – 3.5% | |||||||
HEICO Corp. - Class A | 118,804 | $5,845,157 | |||||
Precision Castparts Corp. | 38,290 | 8,883,663 | |||||
Teledyne Technologies, Inc.* | 60,538 | 5,369,721 | |||||
TransDigm Group, Inc.* | 24,742 | 5,652,310 | |||||
25,750,851 | |||||||
Air Freight & Logistics – 1.4% | |||||||
Expeditors International of Washington, Inc. | 228,262 | 10,294,616 | |||||
Airlines – 1.5% | |||||||
Ryanair Holdings PLC (ADR) | 125,800 | 10,876,668 | |||||
Biotechnology – 2.4% | |||||||
AbbVie, Inc. | 87,753 | 5,198,488 | |||||
Celgene Corp.* | 66,758 | 7,994,938 | |||||
Medivation, Inc.* | 96,686 | 4,673,801 | |||||
17,867,227 | |||||||
Building Products – 0.8% | |||||||
AO Smith Corp. | 79,318 | 6,076,552 | |||||
Capital Markets – 3.2% | |||||||
LPL Financial Holdings, Inc.# | 308,488 | 13,157,013 | |||||
TD Ameritrade Holding Corp. | 294,470 | 10,221,054 | |||||
23,378,067 | |||||||
Chemicals – 0.6% | |||||||
Potash Corp. of Saskatchewan, Inc. (U.S. Shares) | 260,998 | 4,468,286 | |||||
Commercial Services & Supplies – 2.0% | |||||||
Edenred | 267,218 | 5,066,776 | |||||
Ritchie Bros Auctioneers, Inc. (U.S. Shares)# | 397,907 | 9,593,538 | |||||
14,660,314 | |||||||
Containers & Packaging – 0.5% | |||||||
Sealed Air Corp. | 85,391 | 3,808,439 | |||||
Diversified Consumer Services – 1.1% | |||||||
ServiceMaster Global Holdings, Inc.* | 205,699 | 8,071,629 | |||||
Diversified Financial Services – 3.4% | |||||||
FactSet Research Systems, Inc. | 30,202 | 4,909,939 | |||||
Markit, Ltd.* | 246,803 | 7,446,046 | |||||
MSCI, Inc. | 172,420 | 12,436,655 | |||||
24,792,640 | |||||||
Electrical Equipment – 3.8% | |||||||
AMETEK, Inc. | 110,692 | 5,931,984 | |||||
Sensata Technologies Holding NV* | 483,002 | 22,247,072 | |||||
28,179,056 | |||||||
Electronic Equipment, Instruments & Components – 6.1% | |||||||
Amphenol Corp. - Class A | 229,762 | 12,000,469 | |||||
Belden, Inc. | 103,973 | 4,957,433 | |||||
Flextronics International, Ltd.* | 610,556 | 6,844,333 | |||||
National Instruments Corp. | 293,541 | 8,421,691 | |||||
TE Connectivity, Ltd. (U.S. Shares) | 201,492 | 13,018,398 | |||||
45,242,324 | |||||||
Food Products – 1.0% | |||||||
Mead Johnson Nutrition Co. | 98,179 | 7,751,232 | |||||
Health Care Equipment & Supplies – 6.6% | |||||||
Boston Scientific Corp.* | 785,983 | 14,493,526 | |||||
IDEXX Laboratories, Inc.* | 48,804 | 3,558,788 | |||||
Masimo Corp.* | 106,367 | 4,415,294 | |||||
Teleflex, Inc. | 77,756 | 10,221,026 | |||||
Varian Medical Systems, Inc.* | 199,197 | 16,095,118 | |||||
48,783,752 | |||||||
Health Care Providers & Services – 1.8% | |||||||
Henry Schein, Inc.* | 86,519 | 13,686,441 | |||||
Health Care Technology – 2.6% | |||||||
athenahealth, Inc.*,# | 97,316 | 15,664,956 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Schedule of Investments
December 31, 2015
| Value | ||||||
Common Stocks – (continued) | |||||||
Health Care Technology – (continued) | |||||||
IMS Health Holdings, Inc.* | 141,728 | $3,609,812 | |||||
19,274,768 | |||||||
Hotels, Restaurants & Leisure – 2.3% | |||||||
Aramark | 129,932 | 4,190,307 | |||||
Chipotle Mexican Grill, Inc.* | 6,186 | 2,968,352 | |||||
Dunkin' Brands Group, Inc.# | 239,381 | 10,195,237 | |||||
17,353,896 | |||||||
Industrial Conglomerates – 1.0% | |||||||
Roper Industries, Inc. | 39,652 | 7,525,553 | |||||
Information Technology Services – 10.4% | |||||||
Amdocs, Ltd. (U.S. Shares) | 284,522 | 15,526,365 | |||||
Broadridge Financial Solutions, Inc. | 208,341 | 11,194,162 | |||||
Fidelity National Information Services, Inc. | 145,538 | 8,819,603 | |||||
Gartner, Inc.* | 115,977 | 10,519,114 | |||||
Global Payments, Inc. | 86,990 | 5,611,725 | |||||
Jack Henry & Associates, Inc. | 189,929 | 14,825,858 | |||||
WEX, Inc.* | 113,909 | 10,069,556 | |||||
76,566,383 | |||||||
Insurance – 1.7% | |||||||
Aon PLC | 136,556 | 12,591,829 | |||||
Internet Software & Services – 1.7% | |||||||
Cimpress NV*,# | 89,888 | 7,293,512 | |||||
CoStar Group, Inc.* | 26,171 | 5,409,284 | |||||
12,702,796 | |||||||
Leisure Products – 0.5% | |||||||
Polaris Industries, Inc. | 41,459 | 3,563,401 | |||||
Life Sciences Tools & Services – 3.4% | |||||||
Bio-Techne Corp. | 50,011 | 4,500,990 | |||||
Mettler-Toledo International, Inc.* | 15,343 | 5,203,272 | |||||
PerkinElmer, Inc. | 162,543 | 8,707,428 | |||||
Waters Corp.* | 51,560 | 6,938,945 | |||||
25,350,635 | |||||||
Machinery – 2.1% | |||||||
Middleby Corp.* | 32,308 | 3,485,064 | |||||
Rexnord Corp.* | 441,773 | 8,004,927 | |||||
Wabtec Corp. | 52,505 | 3,734,156 | |||||
15,224,147 | |||||||
Media – 1.3% | |||||||
Omnicom Group, Inc. | 130,771 | 9,894,134 | |||||
Multiline Retail – 1.0% | |||||||
Dollar General Corp. | 51,422 | 3,695,699 | |||||
Dollar Tree, Inc.* | 52,286 | 4,037,525 | |||||
7,733,224 | |||||||
Oil, Gas & Consumable Fuels – 0.9% | |||||||
World Fuel Services Corp. | 169,350 | 6,513,201 | |||||
Professional Services – 2.7% | |||||||
Verisk Analytics, Inc. - Class A*,† | 256,142 | 19,692,197 | |||||
Real Estate Investment Trusts (REITs) – 5.9% | |||||||
Crown Castle International Corp. | 307,797 | 26,609,051 | |||||
Lamar Advertising Co. - Class A | 285,346 | 17,115,053 | |||||
43,724,104 | |||||||
Road & Rail – 0.8% | |||||||
Canadian Pacific Railway, Ltd. (U.S. Shares) | 49,264 | 6,286,086 | |||||
Semiconductor & Semiconductor Equipment – 5.3% | |||||||
Atmel Corp. | 839,590 | 7,228,870 | |||||
KLA-Tencor Corp. | 141,765 | 9,831,403 | |||||
ON Semiconductor Corp.* | 945,686 | 9,267,723 | |||||
Xilinx, Inc. | 271,663 | 12,760,011 | |||||
39,088,007 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Aspen Enterprise Portfolio
Schedule of Investments
December 31, 2015
| Value | ||||||
Common Stocks – (continued) | |||||||
Software – 8.1% | |||||||
Atlassian Corp PLC - Class A* | 31,448 | $945,956 | |||||
Cadence Design Systems, Inc.* | 619,428 | 12,890,297 | |||||
Constellation Software, Inc. | 25,422 | 10,600,248 | |||||
Intuit, Inc. | 99,666 | 9,617,769 | |||||
NICE Systems, Ltd. (ADR) | 227,495 | 13,040,013 | |||||
SS&C Technologies Holdings, Inc. | 185,679 | 12,676,305 | |||||
59,770,588 | |||||||
Specialty Retail – 0.3% | |||||||
Monro Muffler Brake, Inc. | 30,104 | 1,993,487 | |||||
Textiles, Apparel & Luxury Goods – 4.1% | |||||||
Carter's, Inc. | 89,385 | 7,957,947 | |||||
Gildan Activewear, Inc. | 420,244 | 11,943,334 | |||||
Li & Fung, Ltd. | 7,049,720 | 4,793,933 | |||||
Wolverine World Wide, Inc. | 319,816 | 5,344,125 | |||||
30,039,339 | |||||||
Trading Companies & Distributors – 0.6% | |||||||
Fastenal Co.# | 107,570 | 4,391,007 | |||||
Total Common Stocks (cost $465,980,128) | 712,966,876 | ||||||
Investment Companies – 9.9% | |||||||
Investments Purchased with Cash Collateral from Securities Lending – 5.8% | |||||||
Janus Cash Collateral Fund LLC, 0.3005%ºº,£ | 43,430,390 | 43,430,390 | |||||
Money Markets – 4.1% | |||||||
Janus Cash Liquidity Fund LLC, 0.3105%ºº,£ | 30,205,955 | 30,205,954 | |||||
Total Investment Companies (cost $73,636,345) | 73,636,344 | ||||||
Total Investments (total cost $539,616,473) – 106.3% | 786,603,220 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (6.3)% | (46,963,030) | ||||||
Net Assets – 100% | $739,640,190 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $701,542,336 | 89.2 | % | ||
Canada | 42,891,492 | 5.4 | |||
Israel | 13,040,013 | 1.7 | |||
Ireland | 10,876,668 | 1.4 | |||
United Kingdom | 8,392,002 | 1.1 | |||
France | 5,066,776 | 0.6 | |||
Hong Kong | 4,793,933 | 0.6 | |||
Total | $786,603,220 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Schedule of Investments
December 31, 2015
Schedule of Foreign Currency Contracts, Open | ||||||||||||||||
Counterparty/ Currency | Settlement Date | Currency Units Sold | Currency Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Bank of America: | ||||||||||||||||
Canadian Dollar | 1/14/16 | 1,214,000 | $ | 877,510 | $ | 17,486 | ||||||||||
Euro | 1/14/16 | 2,916,000 | 3,169,290 | 32,140 | ||||||||||||
4,046,800 | 49,626 | |||||||||||||||
Citibank NA: | ||||||||||||||||
Canadian Dollar | 1/21/16 | 2,435,000 | 1,760,119 | 31,747 | ||||||||||||
Euro | 1/21/16 | 3,729,000 | 4,053,663 | 30,524 | ||||||||||||
Euro | 1/21/16 | 643,000 | 698,982 | (1,541) | ||||||||||||
6,512,764 | 60,730 | |||||||||||||||
Credit Suisse International: | ||||||||||||||||
Euro | 2/4/16 | 460,300 | 500,563 | 2,361 | ||||||||||||
HSBC Securities (USA), Inc.: | ||||||||||||||||
Canadian Dollar | 1/21/16 | 2,989,000 | 2,160,574 | 40,731 | ||||||||||||
Euro | 1/21/16 | 1,597,000 | 1,736,042 | 11,492 | ||||||||||||
3,896,616 | 52,223 | |||||||||||||||
JPMorgan Chase & Co.: | ||||||||||||||||
Euro | 1/14/16 | 442,000 | 480,393 | 4,590 | ||||||||||||
RBC Capital Markets Corp.: | ||||||||||||||||
Canadian Dollar | 2/4/16 | 1,657,000 | 1,197,809 | (7,808) | ||||||||||||
Euro | 2/4/16 | 4,139,000 | 4,501,042 | 21,619 | ||||||||||||
5,698,851 | 13,811 | |||||||||||||||
Total | $ | 21,135,987 | $ | 183,341 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Aspen Enterprise Portfolio
Notes to Schedule of Investments and Other Information
Russell Midcap® Growth Index | Measures the performance of those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
† | A portion of this security has been segregated to cover margin or segregation requirements on open futures contracts, forward currency contracts, options contracts, short sales, swap agreements, and/or securities with extended settlement dates, the value of which, as of December 31, 2015, is $18,451,200. |
ºº | Rate shown is the 7-day yield as of December 31, 2015. |
# | Loaned security; a portion of the security is on loan at December 31, 2015. |
£ | 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. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the year ended December 31, 2015. Unless otherwise indicated, all information in the table is for the year ended December 31, 2015. |
| Share | Purchases | Sales | Share | Dividend | Value |
Janus Cash Collateral Fund LLC | 22,171,100 | 231,558,738 | (210,299,448) | 43,430,390 | $ 194,990(1) | $ 43,430,390 |
Janus Cash Liquidity Fund LLC | 22,265,533 | 137,965,421 | (130,025,000) | 30,205,954 | 27,982 | 30,205,954 |
Total | $ 222,972 | $ 73,636,344 | ||||
(1) Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
12 | DECEMBER 31, 2015 |
Janus Aspen Enterprise 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, 2015. See Notes to Financial Statements for more information. | |||
Valuation Inputs Summary | |||
| Level 1 - | Level 2 - | Level 3 - |
Assets | |||
Investments in Securities: | |||
Common Stocks | $ 712,966,876 | $ - | $ - |
Investment Companies | - | 73,636,344 | - |
Total Investments in Securities | $ 712,966,876 | $ 73,636,344 | $ - |
Other Financial Instruments(a): | |||
Forward Currency Contracts | $ - | $ 192,690 | $ - |
Total Assets | $ 712,966,876 | $ 73,829,034 | $ - |
Liabilities | |||
Other Financial Instruments(a): | |||
Forward Currency Contracts | $ - | $ 9,349 | $ - |
(a) Other financial instruments include forward currency, futures, written options, and swap contracts. Forward currency contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options and swap contracts are reported at their market value at measurement date. |
Janus Aspen Series | 13 |
Janus Aspen Enterprise Portfolio
Statement of Assets and Liabilities
December 31, 2015
Assets: |
|
|
|
| ||
Investments, at cost | $ | 539,616,473 | ||||
Unaffiliated investments, at value(1) | $ | 712,966,876 | ||||
Affiliated investments, at value | 73,636,344 | |||||
Cash | 90 | |||||
Forward currency contracts | 192,690 | |||||
Closed foreign currency contracts | 28,960 | |||||
Non-interested Trustees' deferred compensation | 15,007 | |||||
Receivables: | ||||||
Investments sold | 373,660 | |||||
Dividends | 326,734 | |||||
Portfolio shares sold | 177,353 | |||||
Foreign tax reclaims | 7,163 | |||||
Dividends from affiliates | 6,687 | |||||
Other assets | 7,176 | |||||
Total Assets |
|
| 787,738,740 |
| ||
Liabilities: | ||||||
Collateral for securities loaned (Note 3) | 43,430,390 | |||||
Forward currency contracts | 9,349 | |||||
Closed foreign currency contracts | 57,008 | |||||
Payables: | — | |||||
Portfolio shares repurchased | 2,167,761 | |||||
Investments purchased | 1,821,285 | |||||
Advisory fees | 442,299 | |||||
12b-1 Distribution and shareholder servicing fees | 74,732 | |||||
Professional fees | 34,451 | |||||
Non-interested Trustees' deferred compensation fees | 15,007 | |||||
Portfolio administration fees | 6,565 | |||||
Non-interested Trustees' fees and expenses | 4,216 | |||||
Custodian fees | 632 | |||||
Transfer agent fees and expenses | 577 | |||||
Accrued expenses and other payables | 34,278 | |||||
Total Liabilities |
|
| 48,098,550 |
| ||
Net Assets |
| $ | 739,640,190 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 426,818,767 | ||||
Undistributed net investment income/(loss) | 423,315 | |||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 65,226,304 | |||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 247,171,804 | |||||
Total Net Assets |
| $ | 739,640,190 |
| ||
Net Assets - Institutional Shares | $ | 418,158,135 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 7,294,226 | |||||
Net Asset Value Per Share |
| $ | 57.33 |
| ||
Net Assets - Service Shares | $ | 321,482,055 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 5,879,951 | |||||
Net Asset Value Per Share |
| $ | 54.67 |
|
(1) Includes $42,458,143 of securities on loan. See Note 3 in Notes to Financial Statements. |
See Notes to Financial Statements. | |
14 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Statement of Operations
For the year ended December 31, 2015
Investment Income: |
|
|
| ||
| Dividends | $ | 8,128,677 | ||
Affiliated securities lending income, net | 194,990 | ||||
Dividends from affiliates | 27,892 | ||||
Other income | 533 | ||||
Foreign tax withheld | (185,437) | ||||
Total Investment Income |
| 8,166,655 |
| ||
Expenses: | |||||
Advisory fees | 4,681,885 | ||||
12b-1Distribution and shareholder servicing fees: | |||||
Service Shares | 753,211 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 2,845 | ||||
Service Shares | 1,515 | ||||
Portfolio administration fees | 65,383 | ||||
Shareholder reports expense | 54,111 | ||||
Professional fees | 46,981 | ||||
Registration fees | 25,780 | ||||
Custodian fees | 19,647 | ||||
Non-interested Trustees’ fees and expenses | 17,400 | ||||
Other expenses | 55,451 | ||||
Total Expenses |
| 5,724,209 |
| ||
Net Investment Income/(Loss) |
| 2,442,446 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 66,010,415 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 66,010,415 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (41,750,997) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| (41,750,997) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 26,701,864 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Aspen Enterprise Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 2,442,446 | $ | 2,355,377 | ||||
Net realized gain/(loss) on investments | 66,010,415 | 77,239,085 | ||||||
Change in unrealized net appreciation/depreciation | (41,750,997) | (1,208,984) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 26,701,864 |
|
| 78,385,478 | |||
Dividends and Distributions to Shareholders: | ||||||||
Institutional Shares | (2,737,465) | (640,569) | ||||||
Service Shares | (1,623,824) | (89,019) | ||||||
| Total Dividends from Net Investment Income |
| (4,361,289) |
|
| (729,588) | ||
Distributions from Net Realized Gain from Investment Transactions | ||||||||
Institutional Shares | (44,791,680) | (27,409,527) | ||||||
Service Shares | (32,958,607) | (18,585,932) | ||||||
| Total Distributions from Net Realized Gain from Investment Transactions | (77,750,287) |
|
| (45,995,459) | |||
Net Decrease from Dividends and Distributions to Shareholders |
| (82,111,576) |
|
| (46,725,047) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 31,033,269 | (8,823,119) | ||||||
Service Shares | 67,881,071 | 5,579,382 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 98,914,340 |
|
| (3,243,737) | |||
Net Increase/(Decrease) in Net Assets |
| 43,504,628 |
|
| 28,416,694 | |||
Net Assets: | ||||||||
Beginning of period | 696,135,562 | 667,718,868 | ||||||
| End of period | $ | 739,640,190 |
| $ | 696,135,562 | ||
Undistributed Net Investment Income/(Loss) | $ | 423,315 |
| $ | 2,339,738 |
See Notes to Financial Statements. | |
16 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $61.75 |
|
| $58.96 |
|
| $44.77 |
|
| $38.17 |
|
| $38.72 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.27(1) | 0.27(1) | 0.22 | 0.30 | 0.10 | |||||||||||||
Net realized and unrealized gain/(loss) | 2.55 | 6.79 | 14.23 | 6.30 | (0.65) | |||||||||||||
Total from Investment Operations |
| 2.82 |
|
| 7.06 |
|
| 14.45 |
|
| 6.60 |
|
| (0.55) |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.40) | (0.10) | (0.26) | — | — | |||||||||||||
Distributions (from capital gains) | (6.84) | (4.17) | — | — | — | |||||||||||||
Total Dividends and Distributions |
| (7.24) |
|
| (4.27) |
|
| (0.26) |
|
| — |
|
| — |
| |||
Net Asset Value, End of Period | $57.33 | $61.75 | $58.96 | $44.77 | $38.17 | |||||||||||||
Total Return* |
| 4.05% |
|
| 12.50% |
|
| 32.38% |
|
| 17.29% |
|
| (1.42)% |
| |||
Net Assets, End of Period (in thousands) | $418,158 | $417,895 | $407,049 | $341,699 | $333,094 | |||||||||||||
Average Net Assets for the Period (in thousands) | $427,941 | $402,634 | $373,893 | $344,014 | $367,307 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.68% | 0.68% | 0.69% | 0.69% | 0.68% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.68% | 0.68% | 0.69% | 0.69% | 0.68% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.44% | 0.45% | 0.28% | 0.52% | (0.17)% | |||||||||||||
Portfolio Turnover Rate | 22% | 16% | 15% | 15% | 15% | |||||||||||||
Service Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $59.26 |
|
| $56.80 |
|
| $43.18 |
|
| $36.91 |
|
| $37.53 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.11(1) | 0.12(1) | (0.03) | 0.09 | (0.17) | |||||||||||||
Net realized and unrealized gain/(loss) | 2.45 | 6.53 | 13.83 | 6.18 | (0.45) | |||||||||||||
Total from Investment Operations |
| 2.56 |
|
| 6.65 |
|
| 13.80 |
|
| 6.27 |
|
| (0.62) |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.31) | (0.02) | (0.18) | — | — | |||||||||||||
Distributions (from capital gains) | (6.84) | (4.17) | — | — | — | |||||||||||||
Total Dividends and Distributions |
| (7.15) |
|
| (4.19) |
|
| (0.18) |
|
| — |
|
| — |
| |||
Net Asset Value, End of Period | $54.67 | $59.26 | $56.80 | $43.18 | $36.91 | |||||||||||||
Total Return* |
| 3.77% |
|
| 12.24% |
|
| 32.04% |
|
| 16.99% |
|
| (1.65)% |
| |||
Net Assets, End of Period (in thousands) | $321,482 | $278,240 | $260,670 | $212,971 | $190,788 | |||||||||||||
Average Net Assets for the Period (in thousands) | $299,393 | $262,698 | $234,925 | $206,153 | $223,285 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.94% | 0.93% | 0.94% | 0.94% | 0.93% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.94% | 0.93% | 0.94% | 0.94% | 0.93% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.19% | 0.20% | 0.03% | 0.28% | (0.41)% | |||||||||||||
Portfolio Turnover Rate | 22% | 16% | 15% | 15% | 15% | |||||||||||||
* Total return not annualized for periods of less than one full year. ** 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 | 17 |
Janus Aspen Enterprise Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Aspen Enterprise Portfolio (the “Portfolio”) is a series fund. The Portfolio is part 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 twelve Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. 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
18 | DECEMBER 31, 2015 |
Janus Aspen 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, 2015 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.
The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year. The following describes the amounts of transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year.
Financial assets of $11,858,563 were transferred out of Level 2 to Level 1 since certain foreign equity prices were applied a fair valuation adjustment factor at the end of the prior fiscal year and no factor was applied at the end of the current period.
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 on the accrual basis and includes amortization of premiums and accretion of discounts. 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, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. 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
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Notes to Financial Statements
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.
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, 2015 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of this section.
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.
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Notes to Financial Statements
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, 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 of 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. There is no guarantee that counterparty exposure is reduced and these arrangements are dependent on Janus Capital’s ability to establish and maintain appropriate systems and trading.
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
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Notes to Financial Statements
forward currency contracts for nonhedging 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 year, 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.
During the year ended December 31, 2015, the average ending monthly currency value amounts on sold forward currency contracts $22,797,892.
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, 2015.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of December 31, 2015 | ||||
|
|
|
| Currency |
Asset Derivatives: | ||||
Forward currency contracts | $ 192,690 | |||
|
|
|
|
|
Liability Derivatives: | ||||
Forward currency contracts | $ 9,349 |
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, 2015.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the year ended December 31, 2015 | ||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
|
| Currency | |
Investments and foreign currency transactions | $ 3,040,097 | |||
|
|
|
|
|
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||
Derivative |
|
| Currency | |
Investments, foreign currency translations and non-interested Trustees' deferred compensation | $ (400,266) |
Please see the Portfolio’s Statement of Operations for the Portfolio’s “Net Realized and Unrealized Gain/(Loss) on Investments.”
22 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Notes to Financial Statements
3. Other Investments and Strategies
Additional Investment Risk
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. 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. 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. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
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, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. 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. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more "bailouts" from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/or withdraw from the EU, placing its currency and banking system in jeopardy.
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. See the "Offsetting Assets and Liabilities" section of this Note for further details.
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Notes to Financial Statements
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 may enter 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. For financial reporting purposes, the Portfolio does not offset certain derivative financial instruments’ payables and receivables and related collateral on the Statement of Assets and Liabilities.
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 either the “Fair Value of Derivative Instruments as of December 31, 2015” table located in Note 2 of these Notes to Financial Statements and/or the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | ||||||
Counterparty | Gross Amounts of Recognized Assets | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||
Bank of America | $ 49,626 | $ - | $ - | $ 49,626 | ||
Citibank NA | 62,271 | (1,541) | - | 60,730 | ||
Credit Suisse International | 2,361 | - | - | 2,361 | ||
Deutsche Bank AG | 42,458,143 | - | (42,458,143) | - | ||
HSBC Securities (USA,) Inc. | 52,223 | - | - | 52,223 | ||
JPMorgan Chase & Co. | 4,590 | - | - | 4,590 | ||
RBC Capital Markets Corp. | 21,619 | (7,808) | - | 13,811 | ||
Total | $ 42,650,833 | $ (9,349) | $ (42,458,143) | $ 183,341 | ||
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||
Counterparty | Gross Amounts of Recognized Liabilities | Offsetting Asset or Liability(a) | Collateral Pledged(b) | Net Amount | ||
Citibank NA | $ 1,541 | $ (1,541) | $ - | $ - | ||
RBC Capital Markets Corp. | 7,808 | (7,808) | - | - | ||
Total | $ 9,349 | $ (9,349) | $ - | $ - | ||
(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. |
24 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Notes to Financial Statements
Deutsche Bank AG 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. 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. 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. Upon receipt of cash collateral, Janus Capital intends to invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. 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 Portfolio does not exchange collateral on its forward currency contracts with its counterparties; however, the Portfolio may segregate cash or high-grade securities in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Such segregated assets, if with the Portfolio’s custodian, are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their market value equals or exceeds the current market value of the Portfolio’s corresponding forward currency contracts.
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 qualified parties. Deutsche Bank AG 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. 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.
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 invest the cash collateral in a cash management vehicle for which Janus Capital serves as investment adviser, Janus Cash Collateral Fund LLC. An investment in Janus 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 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 Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus 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
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Notes to Financial Statements
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. 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, 2015, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $42,458,143 in equity securities. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2015 is $43,430,390, resulting in the net amount due to the counterparty of $972,247.
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%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing, and other shareholder services for the Portfolio. Janus Services is not compensated for its 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 fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain 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 provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $43,224 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2015. 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 funds
26 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Notes to Financial Statements
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, 2015 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 “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2015 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 $317,200 were paid by the Trust to a Trustee under the Deferred Plan during the year ended December 31, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. 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 Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio's ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged 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, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital Management LLC 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, 2015, the Portfolio engaged in cross trades amounting to $1,614,472 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 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 | Net Tax | ||||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | Other Book | Appreciation/ | |
$ 5,730,971 | $ 60,185,274 | $ - | $ - | $ - | $ (13,290) | $246,918,468 |
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Janus Aspen 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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. 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/ |
$ 539,684,752 | $268,486,764 | $(21,568,296) | $ 246,918,468 |
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. 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, 2015 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 6,036,918 | $ 76,074,658 | $ - | $ - |
For the year ended December 31, 2014 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 729,588 | $ 45,995,459 | $ - | $ - |
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 | |
$ - | $ 2,420 | $ (2,420) |
6. Capital Share Transactions
Year ended December 31, 2015 | Year ended December 31, 2014 | |||||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: | ||||||
Shares sold | 814,112 | $49,077,557 | 378,818 | $22,332,377 | ||
Reinvested dividends and distributions | 789,910 | 47,529,145 | 487,573 | 28,050,096 | ||
Shares repurchased | (1,076,851) | (65,573,433) | (1,003,722) | (59,205,592) | ||
Net Increase/(Decrease) | 527,171 | $31,033,269 |
| (137,331) | $ (8,823,119) | |
Service Shares: | ||||||
Shares sold | 1,538,508 | $89,152,188 | 824,572 | $46,862,838 | ||
Reinvested dividends and distributions | 602,094 | 34,582,431 | 337,825 | 18,674,951 | ||
Shares repurchased | (955,872) | (55,853,548) | (1,056,210) | (59,958,407) | ||
Net Increase/(Decrease) | 1,184,730 | $67,881,071 |
| 106,187 | $ 5,579,382 |
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Janus Aspen Enterprise Portfolio
Notes to Financial Statements
7. Purchases and Sales of Investment Securities
For the year ended December 31, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$170,823,249 | $ 157,575,058 | $ - | $ - |
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2015 and through the date of issuance of the Portfolio’s financial statements and determined that there were material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements, as discussed below.
Effective May 1, 2016, the Portfolio pays Janus Services a fee at an annual rate of up to 0.05% of the average daily net assets of the Portfolio’s Institutional Shares and Service Shares to compensate insurance companies for services provided to contract owners. Any unused portion will be reimbursed back to the respective share class.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Aspen Enterprise Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Janus Aspen Enterprise Portfolio (one of the portfolios constituting Janus Aspen Series, hereafter referred to as the “Portfolio”) at December 31, 2015, 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 then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.
Denver, Colorado
February 12, 2016
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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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.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 janus.com/ proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is 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) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each 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 9, 2015, 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 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 Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2016 through January 1 or February 1, 2017, respectively, 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 any administration fees (excluding out of pocket costs), net of any waivers.
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 Funds, taking into account the investment objective, strategies and policies of each 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 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 Funds. The Trustees also considered other services provided to the 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 Funds, noting that Janus Capital does not receive a fee
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Additional Information (unaudited)
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 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 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 Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, 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 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 Funds whose performance lagged that of their peers for certain periods, the 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 Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each 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 Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has been strong: for the 36 months ended September 30, 2015, approximately 70% of the Funds were in the top two Broadridge quartiles of performance, and for the 12 months ended September 30, 2015, approximately 61% of the Funds were in the top two Broadridge quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history.
· For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Multi-Sector Income Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
· For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
Value Funds
· For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
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Additional Information (unaudited)
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
· For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH International Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. 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.
· For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Forty Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and in the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Research Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
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Additional Information (unaudited)
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
In consideration of each 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 Fund’s performance warranted continuation of the Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each 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 (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers,
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Additional Information (unaudited)
was below the mean 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 Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the 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 Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 14% below the mean total expenses of their respective Broadridge Expense Group peers and 24% below the mean total expenses for their Broadridge Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 19% below the mean for their Expense Universes; and (4) Fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered the total expenses for each share class of each Fund compared to the mean total expenses for its Broadridge Expense Group peers and to mean total expenses for its Broadridge Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such 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 Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the 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 Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) by one estimation methodology, the fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to the estimated fee margins in the industry and relative to estimated fee margins of fund managers using Janus Capital as a subadviser.
The Trustees considered the fees for each Fund for its fiscal year ended in 2014, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Global Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Multi-Sector Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus has contractually agreed to limit the Fund’s expenses.
· For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
· For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Value Funds
· For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Global Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Perkins Value Plus Income Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For INTECH International Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had 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 INTECH U.S. Core Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean 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 INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for one share class. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Forty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
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Additional Information (unaudited)
· For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Venture Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Emerging Markets Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Select Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
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Additional Information (unaudited)
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Allocation Portfolio - Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for its sole share class.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, 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. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was reasonable.
The independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised 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 Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services
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Additional Information (unaudited)
provided by Janus Capital and any subadviser, the investment performance of the 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 Funds increase. They noted that their independent fee consultant provided an analysis of economies of scale, which included discussion of analysis from prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, their independent fee consultant concluded that 85% of these Funds have contractual management fees (gross of waivers) below their Broadridge expense group averages and, overall, 80% of the Funds are below their respective expense group averages for contractual management fees. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of some of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the 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 Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
The independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, its analyses could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a 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 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 Fund therefor, the 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/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the 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 Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the 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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus 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, 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. The total return does not include any charges at the separate account level or contract level. 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, 2015:
Capital Gain Distributions | $76,074,658 |
Dividends Received Deduction Percentage | 85% |
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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.
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. Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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 | Chairman Trustee | 1/08-Present 6/02-Present | Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations). Formerly, Chief Executive Officer, Imprint Capital (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 | Chairman of the Board and Director of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds), and Director of the F.B. Heron Foundation (a private grantmaking foundation). |
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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 |
Alan A. Brown | Trustee | 1/13-Present | Executive Vice President, Institutional Markets, of Dividend Capital Group (private equity real estate investment management firm) (since 2012). Formerly, 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 MotiveQuest LLC (strategic social market research company) (since 2003), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of Nuveen Global Investors LLC (2007-2011); Director of Communities in Schools (2004-2010); and Director of Mutual Fund Education Alliance (until 2010). |
William D. Cvengros | Trustee | 1/11-Present | Managing Member and 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 of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014) and Managing Trustee of National Retirement Partners Liquidating Trust (since 2013). Formerly, 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, 2015 |
Janus Aspen 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 |
James T. Rothe | Trustee | 1/97-Present | Co-founder and Managing Director of Roaring Fork Capital SBIC, L.P. (SBA, SBIC fund focusing on private investment in public equity firms) and Professor Emeritus of Business of the University of Colorado, Colorado Springs, CO (since 2004). Formerly, Professor of Business of the University of Colorado (2002-2004); and Distinguished Visiting Professor of Business (2001-2002) of Thunderbird (American Graduate School of International Management), Glendale, AZ. | 58 | Formerly, Director of Red Robin Gourmet Burgers, Inc. (RRGB) (2004- 2014). |
William D. Stewart | Trustee | 9/93-Present | Retired. Formerly, Corporate Vice President and General Manager of MKS Instruments - HPS Products, Boulder, CO (a manufacturer of vacuum fittings and valves) and PMFC Division, Andover, MA (manufacturing pressure measurement and flow products) (1976-2012). | 58 | None |
Janus Aspen Series | 49 |
Janus Aspen 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 |
Linda S. Wolf | Trustee | 12/05-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), Chicago Council on Global Affairs, InnerWorkings (U.S. provider of print procurement solutions to corporate clients), Lurie Children’s Hospital (Chicago, IL), Rehabilitation Institute of Chicago, Walmart, and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Convention & Tourism Bureau (until 2014) and The Field Museum of Natural History (Chicago, IL) (until 2014). |
Trustee Consultant | |||||
Raudline Etienne* | Consultant | 6/14-Present | 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). | N/A | Director of Brightwood Capital Advisors, LLC (since 2014). |
* Raudline Etienne was appointed consultant to the Trustees effective June 2, 2014. Shareholders of the Janus Funds are expected to be asked to elect Ms. Etienne as a Trustee at a future shareholder meeting.
50 | DECEMBER 31, 2015 |
Janus Aspen 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 Portfolio Manager | 11/07-Present | Vice President of Janus Capital and Portfolio Manager for other Janus accounts. |
Stephanie Grauerholz 151 Detroit Street | Chief Legal Counsel and Secretary | 1/06-Present | Senior Vice President and Chief Legal Counsel of Janus Capital and Senior Vice President of Janus Services LLC (since 2015). Formerly, Vice President and Assistant General Counsel of Janus Capital, Vice President and Assistant Secretary of Janus Distributors LLC, and Vice President of Janus Services LLC (2007-2015). |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | President of Janus Capital Group Inc. and Janus Capital Management LLC (since 2013); Executive Vice President and Director of Janus International Holding LLC (since 2011); Executive Vice President of Janus Distributors LLC (since 2011); Executive Vice President and Working Director of INTECH Investment Management LLC (since 2011); Executive Vice President and Director of Perkins Investment Management LLC (since 2011); and Executive Vice President and Director of Janus Management Holdings Corporation (since 2011). Formerly, 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). |
David R. Kowalski | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 6/02-Present | Senior Vice President and Chief Compliance Officer of Janus Capital, Janus Distributors LLC, and Janus Services LLC; Vice President of INTECH Investment Management LLC and Perkins Investment Management LLC; and Director of The Janus Foundation. |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
* 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 | 51 |
Janus Aspen Enterprise Portfolio
Notes
NotesPage1
52 | DECEMBER 31, 2015 |
Janus Aspen Enterprise Portfolio
Notes
NotesPage2
Janus Aspen Series | 53 |
Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH® (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins® (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money. | ||||||||||||
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC. Funds distributed by Janus Distributors LLC | ||||||||||||
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | |||||||||
C-0216-108431 | 109-02-81116 02-16 |
ANNUAL REPORT December 31, 2015 | |||
Janus Aspen Flexible Bond Portfolio | |||
Janus Aspen Series | |||
| |||
HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your fund · Portfolio performance, characteristics | |||
Table of Contents
Janus Aspen Flexible Bond Portfolio
Janus Aspen Flexible Bond Portfolio (unaudited)
PERFORMANCE OVERVIEW
During the 12-month period ended December 31, 2015, Janus Aspen Flexible Bond Portfolio’s Institutional Shares and Service Shares returned 0.22% and -0.06%, respectively, compared with 0.55% for the Portfolio’s benchmark, the Barclays U.S. Aggregate Bond Index.
INVESTMENT ENVIRONMENT
U.S. fixed income markets endured a volatile 2015, with investor angst driven by the prospect of diverging monetary policy and varying growth trajectories among major economies. Early on, worries about slowing global growth drove demand for Treasurys, pushing yields to 1.64%. Another source of risk was Europe, as an anti-austerity party won elections in Greece. Investors’ attention stayed focused on Europe as the European Central Bank (ECB) announced its own version of quantitative easing (QE). By spring, improving U.S. data that confirmed the winter slowdown was ephemeral resulted in a rise in Treasury yields.
Markets also took cues from the Federal Reserve (Fed) as investors anticipated when the central bank would move off its zero-percent interest rate policy. Volatility emanating from China, as that country struggled with slowing growth, was among the factors that caused the Fed to delay raising rates at its September meeting. Improving jobs data increased expectations of a December increase, which ultimately occurred. This sent the yield on the 2-year Treasury above 1%. The yield on the 10-year, however, dipped as inflation data remained muted.
Investment-grade corporate spreads widened in the spring and stayed range-bound for much of the remainder of the year. High-yield credits, on the other hand, widened considerably between June and December. For the year, the Treasury yield curve steepened, with upward pressure felt most on the front end of the curve.
PERFORMANCE DISCUSSION
We believe that the most effective way to generate consistent risk-adjusted outperformance long-term is by bottom-up security selection based on fundamental research. Conditions in fixed income markets during the period, in our view, continued to merit defensive positioning. Among the factors that concern us most are company actions indicative of the later stages of a credit cycle and alarmingly low market liquidity. While we aim at maximizing risk-adjusted returns, we believed that it was in our clients’ best interest to focus on capital preservation during the year.
Detracting most from relative performance was our yield curve positioning within Treasurys. The front-end of the Treasury yield curve steepened during the period as the market anticipated an eventual interest rate hike by the Fed. Treasury duration is a tool utilized to adjust the overall duration of the Portfolio in a liquid and cost-effective manner. While lowering Portfolio duration to a level below the benchmark during the year, we raised it to in line with the benchmark by the end of the period. We view our allocation to intermediate and longer dated Treasurys as a buffer against volatility in risk assets while short-term Treasurys provide liquidity.
Also detracting from performance was yield curve positioning within mortgage-backed securities (MBS). Rate volatility early in the period impacted MBS performance as mixed economic data and lack of clarity on the timing of the Fed’s initial rate hike made it difficult for investors to gauge prepayment risks on these securities. Toward the end of the period, we slightly increased our positioning in MBS. We view this asset class as portfolio ballast, and emphasize generic agency pass-throughs with high coupons, high loan-to-value (LTV), and pre-payment resistant characteristics.
Our out-of-benchmark allocation to high-yield corporate credit contributed most to relative returns. Performance was largely generated by spread carry, a measure of
Janus Aspen Series | 1 |
Janus Aspen Flexible Bond Portfolio (unaudited)
excess income generated by the Portfolio’s holdings. Also, performance was concentrated in the highest tier of the high-yield segment. We believe this “crossover” segment represents some of the most attractive risk-adjusted returns as management teams instill balance sheet discipline with the aim of a credit ratings upgrade. Another out-of-benchmark allocation – preferred equity – also contributed to relative performance.
The credit sectors that weighed most on relative performance were independent and midstream energy. After having stabilized during the first half of 2015, global energy prices resumed their downward slide through the end of the period. Spread carry and security selection within banking contributed to performance. The prospect of rising rates caused many to project that banks would soon be able to generate higher operating margins. Our overweight positioning, along with spread carry, in brokerages, asset managers and exchanges aided results for similar reasons.
OUTLOOK
We believe that many of the clouds that hung over fixed income markets in 2015 remain with us. As such, we consider it prudent to maintain a defensive stance within our portfolios. Yes, the Fed removed lingering uncertainty about whether it would raise interest rates, but the timing of future hikes is a matter of debate. It is our view that the Fed’s economic growth projections for 2016 are too optimistic. Therefore, we doubt that the four 0.25% increases the central bank anticipates for the year will come to fruition.
While the change in nonfarm payrolls rebounded after subpar late-summer readings, and the unemployment rate, at 5%, is roughly what the Fed considers optimal, the other part of its dual mandate – inflation – remains frustratingly low. It is difficult to identify future sources of inflationary pressure. Hourly wage growth is mired in the 2% to 2.5% range and there are only incipient signs that consumers are spending a portion of their “gasoline dividend,” while much of the windfall created by multi-year lows in energy prices is finding its way into savings. Weak global growth and a strengthening U.S. dollar could further keep upward price pressure at bay.
Company developments, we believe, validate our view that we are in the later stages of the credit cycle. Shareholder-friendly activities continue and balance sheet strength has become more fleeting across a range of sectors, most notably energy. A chief concern is that much of the financial engineering that has occurred is aimed at compensating for lower revenue growth. With economic acceleration remaining elusive and rates still low, we expect management teams to continue to purchase growth, with these acquisitions often financed by debt issuance. We see less room for margin expansion, and with extended balance sheets, suboptimal results may be met with harsh market reaction.
Given this environment, we have minimized our exposure to the riskiest tiers of high-yield credit as we suspect the market may experience an uptick in defaults. Instead, we have increased our credit allocation by focusing on high-yield issuers with higher ratings.
By utilizing our Treasury allocation, we ended the period with the Portfolio’s duration in line with that of the benchmark. We believe that our increased exposure to longer dated Treasurys may counteract the volatility we expect risk assets to experience over the coming quarters. At the same time, our exposure to shorter dated Treasurys stands to be a source of liquidity, which may enable us to capitalize on attractive buying opportunities.
Despite the Fed’s move away from its zero-interest-rate policy, fixed income markets are no less fraught with risks. The potential price dislocations associated with illiquid markets becomes more of a threat as stretched balance sheets and low growth may lead to earnings misses and investor redemptions. We believe that security avoidance will be a central driver of performance as the asymmetric risk of holding risky credits far outweighs the potential upside. Perhaps at no other time since the economy emerged from the financial crisis have our core tenets of capital preservation and risk-adjusted returns been so essential to meeting the investment goals of our clients.
Thank you for your investment in Janus Aspen Flexible Bond Portfolio.
2 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio (unaudited)
Portfolio Profile |
|
|
30-day Current Yield* | Without | With |
Institutional Shares | 2.50% | 2.50% |
Service Shares | 2.25% | 2.25% |
Weighted Average Maturity | 9.6 Years | |
Average Effective Duration** | 5.7 Years | |
* Yield will fluctuate. | ||
** A theoretical measure of price volatility. |
Ratings† Summary - (% of Total Investments) |
|
AAA | 0.1% |
AA | 51.2% |
A | 4.2% |
BBB | 28.3% |
BB | 9.4% |
B | 0.8% |
Not Rated | 2.0% |
Other | 4.0% |
† 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 ratings 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 | 37.9% | ||||
U.S. Treasury Notes/Bonds | 28.5% | ||||
Mortgage-Backed Securities | 21.3% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 5.8% | ||||
Investment Companies | 3.6% | ||||
Bank Loans and Mezzanine Loans | 1.6% | ||||
Preferred Stocks | 1.1% | ||||
Other | 0.2% | ||||
100.0% |
Janus Aspen Series | 3 |
Janus Aspen Flexible Bond Portfolio (unaudited)
Performance
See important disclosures on the next page. |
Expense Ratios - | ||||||||
Average Annual Total Return - for the periods ended December 31, 2015 |
| per the May 1, 2015 prospectuses | ||||||
| One | Five | Ten | Since |
| Total Annual Fund | Net Annual Fund | |
Institutional Shares | 0.22% | 3.96% | 5.79% | 6.64% |
| 0.59% | 0.57% | |
Service Shares | -0.06% | 3.70% | 5.53% | 6.41% |
| 0.85% | 0.82% | |
Barclays U.S. Aggregate Bond Index | 0.55% | 3.25% | 4.51% | 5.41% |
|
|
| |
Morningstar Quartile - Institutional Shares | 2nd | 1st | 1st | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Intermediate-Term Bond Funds | 401/1,088 | 161/992 | 22/862 | 2/420 |
|
|
|
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 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Fixed income securities are subject to interest rate, inflation, credit and default risk. The bond market is volatile. As interest rates rise, bond prices usually fall, and vice versa. The return of principal is not guaranteed, and prices may decline if an issuer fails to make timely payments or its credit strength weakens.
High-yield/high-risk bonds, also known as "junk" bonds, involve a greater risk of default and price volatility than investment grade bonds. High-yield/high-risk bonds can experience sudden and sharp price swings which will affect net asset value.
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.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
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.
4 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio (unaudited)
Performance
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 or yield, and therefore the ranking for the period.
© 2015 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.
A Portfolio's holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
Effective December 31, 2015, Michael Keough, Mayur Saigal, Gibson Smith and Darrell Watters are Co-Portfolio Managers of the Portfolio.
* The Portfolio’s inception date – September 13, 1993
Janus Aspen Series | 5 |
Janus Aspen 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 | $997.00 | $2.92 |
| $1,000.00 | $1,022.28 | $2.96 | 0.58% | ||
Service Shares | $1,000.00 | $995.60 | $4.23 |
| $1,000.00 | $1,020.97 | $4.28 | 0.84% | ||
† | 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, 2015 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 5.8% | |||||||
AmeriCredit Automobile Receivables Trust 2012-4, 3.8200%, 2/10/20 (144A) | $413,000 | $418,022 | |||||
AmeriCredit Automobile Receivables Trust 2013-4, 3.3100%, 10/8/19 | 401,000 | 407,571 | |||||
AmeriCredit Automobile Receivables Trust 2015-2, 3.0000%, 6/8/21 | 737,000 | 727,221 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.2770%, 9/5/44 (144A) | 2,630,000 | 2,663,254 | |||||
Aventura Mall Trust 2013-AVM, 3.7427%, 12/5/32 (144A)‡ | 791,000 | 775,441 | |||||
BAMLL Commercial Mortgage Securities Trust 2015-200P, | |||||||
3.5958%, 4/14/33 (144A)‡ | 949,000 | 823,831 | |||||
Banc of America Commercial Mortgage Trust 2006-6, 5.4210%, 10/10/45 | 576,416 | 584,485 | |||||
Boca Hotel Portfolio Trust 2013-BOCA, 3.3805%, 8/15/26 (144A)‡ | 634,000 | 632,888 | |||||
CGBAM Commercial Mortgage Trust 2014-HD, 3.3305%, 2/15/31 (144A)‡ | 332,000 | 330,629 | |||||
CKE Restaurant Holdings, Inc., 4.4740%, 3/20/43 (144A) | 1,580,020 | 1,570,988 | |||||
COMM 2007-C9 Mortgage Trust, 5.6500%, 12/10/49‡ | 708,000 | 717,186 | |||||
Commercial Mortgage Trust 2007-GG11, 5.8670%, 12/10/49‡ | 397,000 | 412,409 | |||||
Core Industrial Trust 2015-TEXW, 3.8487%, 2/10/34 (144A)‡ | 1,041,000 | 971,856 | |||||
DB Master Finance LLC 2015-1, 3.2620%, 2/20/45 (144A) | 729,488 | 721,820 | |||||
Domino's Pizza Master Issuer LLC, 5.2160%, 1/25/42 (144A) | 708,439 | 728,722 | |||||
Domino's Pizza Master Issuer LLC, 3.4840%, 10/25/45 (144A) | 1,956,000 | 1,916,880 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.6210%, 10/25/24‡ | 304,000 | 304,875 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.8710%, 10/25/24‡ | 275,000 | 278,695 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes, 2.6216%, 3/25/25‡ | 1,212,000 | 1,208,506 | |||||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 (144A)§ | 1,436,842 | 1,288,730 | |||||
GAHR Commercial Mortgage Trust 2015-NRF, 3.3822%, 12/15/19 (144A)‡ | 489,000 | 470,357 | |||||
GS Mortgage Securities Corp. II, 3.4350%, 12/10/27 (144A)‡ | 1,125,000 | 1,074,549 | |||||
GS Mortgage Securities Corp. Trust 2013-NYC5, 3.6490%, 1/10/30 (144A)‡ | 514,000 | 510,884 | |||||
Hilton USA Trust 2013-HLT, 4.4533%, 11/5/30 (144A)‡ | 338,000 | 337,867 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-WT, | |||||||
2.8044%, 2/16/25 (144A) | 675,800 | 682,481 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-WT, | |||||||
4.8447%, 2/16/25 (144A) | 760,000 | 770,424 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, | |||||||
2.9305%, 12/15/28 (144A)‡ | 337,000 | 336,997 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, | |||||||
3.8305%, 12/15/28 (144A)‡ | 289,000 | 288,959 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, | |||||||
2.1305%, 1/15/32 (144A)‡ | 567,000 | 563,102 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, | |||||||
4.2805%, 1/15/32 (144A)‡ | 615,000 | 604,822 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, | |||||||
3.0805%, 7/15/36 (144A)‡ | 303,000 | 302,488 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP, | |||||||
4.8305%, 7/15/36 (144A)‡ | 873,000 | 872,877 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES, | |||||||
3.6210%, 9/5/32 (144A)‡ | 675,000 | 631,552 | |||||
LB-UBS Commercial Mortgage Trust 2007-C1, 5.4840%, 2/15/40 | 371,000 | 374,725 | |||||
LB-UBS Commercial Mortgage Trust 2007-C2, 5.4930%, 2/15/40‡ | 385,000 | 394,080 | |||||
Santander Drive Auto Receivables Trust 2012-6, 2.5200%, 9/17/18 | 499,000 | 501,302 | |||||
Santander Drive Auto Receivables Trust 2013-4, 4.6700%, 1/15/20 (144A) | 1,191,000 | 1,222,310 | |||||
Santander Drive Auto Receivables Trust 2013-A, 4.7100%, 1/15/21 (144A) | 798,000 | 816,035 | |||||
Santander Drive Auto Receivables Trust 2015-1, 3.2400%, 4/15/21 | 756,000 | 754,541 | |||||
Santander Drive Auto Receivables Trust 2015-4, 3.5300%, 8/16/21 | 1,251,000 | 1,239,605 | |||||
Starwood Retail Property Trust 2014-STAR, 3.5805%, 11/15/27 (144A)‡ | 1,187,000 | 1,169,786 | |||||
Starwood Retail Property Trust 2014-STAR, 4.4805%, 11/15/27 (144A)‡ | 582,000 | 577,624 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30, 5.3830%, 12/15/43 | 944,992 | 976,465 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31, 5.6600%, 4/15/47‡ | 1,739,000 | 1,737,366 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C33, 5.9524%, 2/15/51‡ | 547,000 | 557,478 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 3.0805%, 1/15/27 (144A)‡ | 346,000 | 336,281 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 2.5805%, 2/15/27 (144A)‡ | 480,000 | 466,062 | |||||
Wells Fargo Commercial Mortgage Trust 2014-TISH, 3.5805%, 2/15/27 (144A)‡ | 141,000 | 136,363 | |||||
Wendy's Funding LLC 2015-1, 3.3710%, 6/15/45 (144A) | 2,162,580 | 2,110,054 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $38,803,860) | 38,301,445 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Bank Loans and Mezzanine Loans – 1.6% | |||||||
Communications – 0.3% | |||||||
CCO Safari III LLC, 3.5000%, 1/24/23‡ | $1,252,000 | $1,249,396 | |||||
Tribune Media Co., 3.7500%, 12/27/20‡ | 759,800 | 747,218 | |||||
1,996,614 | |||||||
Consumer Cyclical – 0.1% | |||||||
Staples, Inc., 0%, 4/23/21(a),‡ | 414,000 | 408,651 | |||||
Consumer Non-Cyclical – 0.1% | |||||||
IMS Health, Inc., 3.5000%, 3/17/21‡ | 1,086,645 | 1,059,479 | |||||
Technology – 1.1% | |||||||
Avago Technologies Cayman Finance, Ltd., 0%, 11/11/22(a),‡ | 3,178,000 | 3,140,277 | |||||
Avago Technologies Cayman, Ltd., 3.7500%, 5/6/21‡ | 4,053,240 | 4,039,742 | |||||
7,180,019 | |||||||
Total Bank Loans and Mezzanine Loans (cost $10,708,637) | 10,644,763 | ||||||
Corporate Bonds – 37.9% | |||||||
Asset-Backed Securities – 0.2% | |||||||
American Tower Trust I, 1.5510%, 3/15/18 (144A) | 1,531,000 | 1,495,064 | |||||
Banking – 5.3% | |||||||
Ally Financial, Inc., 8.0000%, 12/31/18 | 259,000 | 283,605 | |||||
Ally Financial, Inc., 4.1250%, 3/30/20 | 1,454,000 | 1,446,730 | |||||
Ally Financial, Inc., 5.7500%, 11/20/25 | 454,000 | 459,675 | |||||
American Express Co., 6.8000%, 9/1/66‡ | 1,036,000 | 1,043,770 | |||||
Bank of America Corp., 5.7500%, 8/15/16 | 475,000 | 486,643 | |||||
Bank of America Corp., 8.0000%µ | 2,199,000 | 2,237,482 | |||||
Citigroup, Inc., 4.4500%, 9/29/27 | 2,487,000 | 2,470,534 | |||||
Citizens Financial Group, Inc., 4.3000%, 12/3/25 | 1,622,000 | 1,630,528 | |||||
Discover Financial Services, 3.9500%, 11/6/24 | 516,000 | 508,651 | |||||
Discover Financial Services, 3.7500%, 3/4/25 | 1,110,000 | 1,065,940 | |||||
Goldman Sachs Capital I, 6.3450%, 2/15/34 | 2,023,000 | 2,366,679 | |||||
Goldman Sachs Group, Inc., 5.6250%, 1/15/17 | 549,000 | 570,233 | |||||
Goldman Sachs Group, Inc., 4.2500%, 10/21/25 | 1,359,000 | 1,348,613 | |||||
Intesa Sanpaolo SpA, 5.0170%, 6/26/24 (144A) | 2,188,000 | 2,152,662 | |||||
Morgan Stanley, 4.8750%, 11/1/22 | 559,000 | 593,240 | |||||
Morgan Stanley, 4.3500%, 9/8/26 | 509,000 | 510,664 | |||||
Morgan Stanley, 5.5500%µ | 1,388,000 | 1,388,000 | |||||
Royal Bank of Scotland Group PLC, 6.1000%, 6/10/23 | 2,070,000 | 2,224,099 | |||||
Royal Bank of Scotland Group PLC, 6.0000%, 12/19/23 | 1,707,000 | 1,838,465 | |||||
Royal Bank of Scotland Group PLC, 5.1250%, 5/28/24 | 3,218,000 | 3,260,333 | |||||
Santander UK PLC, 5.0000%, 11/7/23 (144A) | 3,504,000 | 3,647,492 | |||||
SVB Financial Group, 5.3750%, 9/15/20 | 1,188,000 | 1,299,723 | |||||
Synchrony Financial, 3.0000%, 8/15/19 | 1,484,000 | 1,481,940 | |||||
Wells Fargo & Co., 5.8750%µ | 395,000 | 415,738 | |||||
Zions Bancorporation, 5.8000%µ | 375,000 | 359,063 | |||||
35,090,502 | |||||||
Basic Industry – 1.9% | |||||||
Albemarle Corp., 4.1500%, 12/1/24 | 1,965,000 | 1,877,895 | |||||
Albemarle Corp., 5.4500%, 12/1/44 | 1,464,000 | 1,415,947 | |||||
Alcoa, Inc., 5.1250%, 10/1/24 | 1,774,000 | 1,614,340 | |||||
Ashland, Inc., 3.8750%, 4/15/18 | 805,000 | 821,100 | |||||
Ashland, Inc., 6.8750%, 5/15/43 | 1,059,000 | 1,006,050 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 2,285,000 | 2,281,522 | |||||
Georgia-Pacific LLC, 3.6000%, 3/1/25 (144A) | 1,203,000 | 1,188,690 | |||||
LyondellBasell Industries NV, 4.6250%, 2/26/55 | 1,454,000 | 1,179,165 | |||||
Reliance Steel & Aluminum Co., 4.5000%, 4/15/23 | 1,216,000 | 1,131,925 | |||||
12,516,634 | |||||||
Brokerage – 3.5% | |||||||
Ameriprise Financial, Inc., 7.5180%, 6/1/66‡ | 2,259,000 | 2,208,172 | |||||
Carlyle Holdings Finance LLC, 3.8750%, 2/1/23 (144A) | 750,000 | 759,542 | |||||
Charles Schwab Corp., 3.0000%, 3/10/25 | 829,000 | 815,333 | |||||
Charles Schwab Corp., 7.0000%µ | 1,116,000 | 1,266,660 | |||||
E*TRADE Financial Corp., 5.3750%, 11/15/22 | 1,513,000 | 1,584,867 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Brokerage – (continued) | |||||||
E*TRADE Financial Corp., 4.6250%, 9/15/23 | $2,013,000 | $2,045,711 | |||||
Intercontinental Exchange, Inc., 3.7500%, 12/1/25 | 1,311,000 | 1,314,605 | |||||
Lazard Group LLC, 6.8500%, 6/15/17 | 33,000 | 35,136 | |||||
Lazard Group LLC, 4.2500%, 11/14/20 | 1,429,000 | 1,480,124 | |||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp., | |||||||
5.8750%, 3/15/22 (144A) | 1,487,000 | 1,546,480 | |||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp., | |||||||
4.8750%, 4/15/45 (144A) | 1,691,000 | 1,425,814 | |||||
Raymond James Financial, Inc., 5.6250%, 4/1/24 | 3,354,000 | 3,712,043 | |||||
Stifel Financial Corp., 4.2500%, 7/18/24 | 1,025,000 | 1,018,385 | |||||
TD Ameritrade Holding Corp., 2.9500%, 4/1/22 | 1,276,000 | 1,263,930 | |||||
TD Ameritrade Holding Corp., 3.6250%, 4/1/25 | 2,705,000 | 2,737,368 | |||||
23,214,170 | |||||||
Capital Goods – 2.7% | |||||||
Ball Corp., 4.3750%, 12/15/20 | 793,000 | 805,391 | |||||
CNH Industrial Capital LLC, 3.6250%, 4/15/18 | 865,000 | 851,593 | |||||
Exelis, Inc., 4.2500%, 10/1/16 | 941,000 | 957,882 | |||||
Exelis, Inc., 5.5500%, 10/1/21 | 407,000 | 446,316 | |||||
FLIR Systems, Inc., 3.7500%, 9/1/16 | 1,269,000 | 1,287,319 | |||||
GE Capital Trust I, 6.3750%, 11/15/67‡ | 1,610,000 | 1,673,394 | |||||
General Electric Capital Corp., 6.3750%, 11/15/67‡ | 1,043,000 | 1,089,205 | |||||
General Electric Co., 4.0000%µ | 617,000 | 617,000 | |||||
General Electric Co., 4.1000%µ | 2,368,000 | 2,362,080 | |||||
Hanson, Ltd., 6.1250%, 8/15/16 | 877,000 | 900,021 | |||||
Harris Corp., 3.8320%, 4/27/25 | 523,000 | 515,118 | |||||
Harris Corp., 5.0540%, 4/27/45 | 814,000 | 797,042 | |||||
Martin Marietta Materials, Inc., 4.2500%, 7/2/24 | 673,000 | 660,512 | |||||
Owens Corning, 4.2000%, 12/1/24 | 557,000 | 542,100 | |||||
Vulcan Materials Co., 7.0000%, 6/15/18 | 934,000 | 1,036,740 | |||||
Vulcan Materials Co., 7.5000%, 6/15/21 | 503,000 | 585,995 | |||||
Vulcan Materials Co., 4.5000%, 4/1/25 | 2,362,000 | 2,338,380 | |||||
17,466,088 | |||||||
Communications – 1.1% | |||||||
CCO Safari II LLC, 4.4640%, 7/23/22 (144A) | 1,018,000 | 1,014,447 | |||||
CCO Safari II LLC, 4.9080%, 7/23/25 (144A) | 3,532,000 | 3,528,563 | |||||
Nielsen Finance LLC / Nielsen Finance Co., 4.5000%, 10/1/20 | 510,000 | 517,650 | |||||
SBA Tower Trust, 2.9330%, 12/15/17 (144A) | 847,000 | 857,017 | |||||
UBM PLC, 5.7500%, 11/3/20 (144A) | 1,287,000 | 1,375,463 | |||||
7,293,140 | |||||||
Consumer Cyclical – 4.0% | |||||||
1011778 BC ULC / New Red Finance, Inc., 4.6250%, 1/15/22 (144A) | 1,618,000 | 1,622,045 | |||||
Brinker International, Inc., 3.8750%, 5/15/23 | 2,552,000 | 2,461,144 | |||||
CVS Health Corp., 2.8000%, 7/20/20 | 2,462,000 | 2,473,059 | |||||
CVS Health Corp., 3.5000%, 7/20/22 | 1,382,000 | 1,406,262 | |||||
CVS Health Corp., 4.7500%, 12/1/22 (144A) | 604,000 | 647,191 | |||||
CVS Health Corp., 5.0000%, 12/1/24 (144A) | 745,000 | 805,978 | |||||
CVS Health Corp., 3.8750%, 7/20/25 | 2,456,000 | 2,506,544 | |||||
DR Horton, Inc., 4.7500%, 5/15/17 | 496,000 | 510,260 | |||||
DR Horton, Inc., 3.7500%, 3/1/19 | 873,000 | 873,000 | |||||
Ford Motor Credit Co. LLC, 3.9840%, 6/15/16 | 2,215,000 | 2,239,589 | |||||
General Motors Co., 3.5000%, 10/2/18 | 512,000 | 517,140 | |||||
General Motors Co., 4.8750%, 10/2/23 | 3,611,000 | 3,692,822 | |||||
General Motors Co., 4.0000%, 4/1/25 | 128,000 | 121,264 | |||||
General Motors Financial Co., Inc., 3.1000%, 1/15/19 | 1,306,000 | 1,304,102 | |||||
Macy's Retail Holdings, Inc., 5.9000%, 12/1/16 | 351,000 | 364,203 | |||||
MDC Holdings, Inc., 5.5000%, 1/15/24 | 993,000 | 1,002,930 | |||||
Schaeffler Finance BV, 4.2500%, 5/15/21 (144A) | 417,000 | 413,873 | |||||
Toll Brothers Finance Corp., 4.0000%, 12/31/18 | 427,000 | 435,540 | |||||
Toll Brothers Finance Corp., 5.8750%, 2/15/22 | 347,000 | 364,350 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Cyclical – (continued) | |||||||
Toll Brothers Finance Corp., 4.3750%, 4/15/23 | $237,000 | $229,890 | |||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.2500%, 5/30/23 (144A) | 642,000 | 549,311 | |||||
ZF North America Capital, Inc., 4.0000%, 4/29/20 (144A) | 619,000 | 624,107 | |||||
ZF North America Capital, Inc., 4.5000%, 4/29/22 (144A) | 439,000 | 429,123 | |||||
ZF North America Capital, Inc., 4.7500%, 4/29/25 (144A) | 622,000 | 592,455 | |||||
26,186,182 | |||||||
Consumer Non-Cyclical – 3.3% | |||||||
Actavis Funding SCS, 3.0000%, 3/12/20 | 1,933,000 | 1,931,463 | |||||
Actavis Funding SCS, 3.8000%, 3/15/25 | 1,558,000 | 1,550,043 | |||||
Actavis Funding SCS, 4.5500%, 3/15/35 | 1,517,000 | 1,474,307 | |||||
Becton Dickinson and Co., 1.8000%, 12/15/17 | 1,277,000 | 1,275,143 | |||||
Fresenius Medical Care US Finance II, Inc., 5.8750%, 1/31/22 (144A) | 1,692,000 | 1,810,440 | |||||
HCA, Inc., 3.7500%, 3/15/19 | 626,000 | 630,695 | |||||
Kraft Heinz Foods Co., 2.8000%, 7/2/20 (144A) | 961,000 | 958,515 | |||||
Kraft Heinz Foods Co., 3.5000%, 7/15/22 (144A) | 823,000 | 828,675 | |||||
Laboratory Corp. of America Holdings, 3.2000%, 2/1/22 | 1,555,000 | 1,526,119 | |||||
Life Technologies Corp., 6.0000%, 3/1/20 | 1,051,000 | 1,165,090 | |||||
Life Technologies Corp., 5.0000%, 1/15/21 | 270,000 | 287,242 | |||||
Smithfield Foods, Inc., 5.2500%, 8/1/18 (144A) | 218,000 | 220,725 | |||||
Thermo Fisher Scientific, Inc., 3.3000%, 2/15/22 | 711,000 | 709,253 | |||||
Tyson Foods, Inc., 6.6000%, 4/1/16 | 638,000 | 646,441 | |||||
Wm Wrigley Jr Co., 2.4000%, 10/21/18 (144A) | 1,772,000 | 1,776,729 | |||||
Wm Wrigley Jr Co., 3.3750%, 10/21/20 (144A) | 1,022,000 | 1,041,908 | |||||
Zimmer Biomet Holdings, Inc., 2.7000%, 4/1/20 | 1,449,000 | 1,430,789 | |||||
Zimmer Biomet Holdings, Inc., 3.1500%, 4/1/22 | 1,646,000 | 1,618,150 | |||||
Zimmer Biomet Holdings, Inc., 3.5500%, 4/1/25 | 1,030,000 | 1,000,874 | |||||
21,882,601 | |||||||
Electric – 0.4% | |||||||
IPALCO Enterprises, Inc., 5.0000%, 5/1/18 | 593,000 | 621,168 | |||||
PPL WEM, Ltd. / Western Power Distribution, Ltd., 3.9000%, 5/1/16 (144A) | 793,000 | 796,166 | |||||
PPL WEM, Ltd. / Western Power Distribution, Ltd., 5.3750%, 5/1/21 (144A) | 1,167,000 | 1,273,135 | |||||
2,690,469 | |||||||
Energy – 3.9% | |||||||
Chevron Corp., 1.3450%, 11/15/17 | 1,034,000 | 1,030,746 | |||||
Cimarex Energy Co., 5.8750%, 5/1/22 | 3,191,000 | 3,055,344 | |||||
Cimarex Energy Co., 4.3750%, 6/1/24 | 3,054,000 | 2,709,356 | |||||
DCP Midstream Operating LP, 4.9500%, 4/1/22 | 975,000 | 797,947 | |||||
DCP Midstream Operating LP, 5.6000%, 4/1/44 | 298,000 | 180,982 | |||||
Devon Energy Corp., 2.2500%, 12/15/18 | 977,000 | 891,672 | |||||
Energy Transfer Partners LP, 4.1500%, 10/1/20 | 648,000 | 597,775 | |||||
EnLink Midstream Partners LP, 4.4000%, 4/1/24 | 860,000 | 680,946 | |||||
EnLink Midstream Partners LP, 5.6000%, 4/1/44 | 691,000 | 481,278 | |||||
Helmerich & Payne International Drilling Co., 4.6500%, 3/15/25 | 2,026,000 | 2,026,916 | |||||
Kinder Morgan Energy Partners LP, 5.0000%, 10/1/21 | 605,000 | 571,049 | |||||
Kinder Morgan Energy Partners LP, 4.3000%, 5/1/24 | 598,000 | 514,168 | |||||
Kinder Morgan, Inc., 6.5000%, 9/15/20 | 70,000 | 69,692 | |||||
Kinder Morgan, Inc., 7.7500%, 1/15/32 | 715,000 | 678,473 | |||||
Motiva Enterprises LLC, 5.7500%, 1/15/20 (144A) | 573,000 | 616,844 | |||||
NGL Energy Partners LP / NGL Energy Finance Corp., 5.1250%, 7/15/19 | 1,274,000 | 1,006,460 | |||||
Oceaneering International, Inc., 4.6500%, 11/15/24 | 2,460,000 | 2,064,311 | |||||
Phillips 66 Partners LP, 3.6050%, 2/15/25 | 416,000 | 357,859 | |||||
Shell International Finance BV, 2.2500%, 11/10/20 | 2,404,000 | 2,368,635 | |||||
Southern Star Central Gas Pipeline, Inc., 6.0000%, 6/1/16 (144A) | 147,000 | 148,443 | |||||
Spectra Energy Partners LP, 4.7500%, 3/15/24 | 1,580,000 | 1,530,510 | |||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | |||||||
4.1250%, 11/15/19 | 1,233,000 | 1,026,472 | |||||
Western Gas Partners LP, 5.3750%, 6/1/21 | 2,483,000 | 2,513,248 | |||||
25,919,126 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Finance Companies – 1.5% | |||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, | |||||||
4.6250%, 10/30/20 | $1,382,000 | $1,414,822 | |||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust, | |||||||
4.6250%, 7/1/22 | 762,000 | 770,573 | |||||
CIT Group, Inc., 4.2500%, 8/15/17 | 3,388,000 | 3,464,230 | |||||
CIT Group, Inc., 5.5000%, 2/15/19 (144A) | 2,337,000 | 2,442,165 | |||||
International Lease Finance Corp., 6.7500%, 9/1/16 (144A) | 1,293,000 | 1,328,557 | |||||
International Lease Finance Corp., 8.7500%, 3/15/17 | 537,000 | 571,905 | |||||
9,992,252 | |||||||
Financial – 1.0% | |||||||
Jones Lang LaSalle, Inc., 4.4000%, 11/15/22 | 1,820,000 | 1,866,115 | |||||
Kennedy-Wilson, Inc., 5.8750%, 4/1/24 | 1,813,000 | 1,749,545 | |||||
LeasePlan Corp. NV, 2.5000%, 5/16/18 (144A) | 3,128,000 | 3,080,683 | |||||
6,696,343 | |||||||
Industrial – 0.2% | |||||||
Cintas Corp. No 2, 2.8500%, 6/1/16 | 439,000 | 440,734 | |||||
Cintas Corp. No 2, 4.3000%, 6/1/21 | 491,000 | 518,342 | |||||
959,076 | |||||||
Insurance – 1.0% | |||||||
ACE INA Holdings, Inc., 3.3500%, 5/3/26 | 1,484,000 | 1,479,453 | |||||
CNO Financial Group, Inc., 4.5000%, 5/30/20 | 368,000 | 375,360 | |||||
CNO Financial Group, Inc., 5.2500%, 5/30/25 | 1,196,000 | 1,216,930 | |||||
Primerica, Inc., 4.7500%, 7/15/22 | 2,571,000 | 2,716,295 | |||||
Voya Financial, Inc., 5.6500%, 5/15/53‡ | 982,000 | 967,270 | |||||
6,755,308 | |||||||
Owned No Guarantee – 0.1% | |||||||
Korea National Oil Corp., 4.0000%, 10/27/16 (144A) | 781,000 | 796,621 | |||||
Real Estate Investment Trusts (REITs) – 1.6% | |||||||
Alexandria Real Estate Equities, Inc., 2.7500%, 1/15/20 | 365,000 | 358,829 | |||||
Alexandria Real Estate Equities, Inc., 4.6000%, 4/1/22 | 1,833,000 | 1,901,635 | |||||
Alexandria Real Estate Equities, Inc., 4.5000%, 7/30/29 | 835,000 | 816,683 | |||||
Goodman Funding Pty, Ltd., 6.3750%, 4/15/21 (144A) | 1,893,000 | 2,149,129 | |||||
Post Apartment Homes LP, 4.7500%, 10/15/17 | 817,000 | 849,636 | |||||
Reckson Operating Partnership LP, 6.0000%, 3/31/16 | 257,000 | 259,397 | |||||
Retail Opportunity Investments Partnership LP, 5.0000%, 12/15/23 | 261,000 | 266,486 | |||||
Retail Opportunity Investments Partnership LP, 4.0000%, 12/15/24 | 552,000 | 521,473 | |||||
Senior Housing Properties Trust, 6.7500%, 4/15/20 | 379,000 | 419,152 | |||||
Senior Housing Properties Trust, 6.7500%, 12/15/21 | 443,000 | 498,633 | |||||
SL Green Realty Corp., 5.0000%, 8/15/18 | 817,000 | 857,277 | |||||
SL Green Realty Corp., 7.7500%, 3/15/20 | 1,454,000 | 1,697,074 | |||||
10,595,404 | |||||||
Technology – 5.6% | |||||||
Autodesk, Inc., 3.6000%, 12/15/22 | 863,000 | 838,302 | |||||
Cadence Design Systems, Inc., 4.3750%, 10/15/24 | 2,422,000 | 2,404,588 | |||||
Fidelity National Information Services, Inc., 3.6250%, 10/15/20 | 3,207,000 | 3,248,778 | |||||
Fidelity National Information Services, Inc., 5.0000%, 3/15/22 | 256,000 | 266,071 | |||||
Fidelity National Information Services, Inc., 4.5000%, 10/15/22 | 1,599,000 | 1,627,595 | |||||
Fidelity National Information Services, Inc., 5.0000%, 10/15/25 | 5,472,000 | 5,622,425 | |||||
Molex Electronic Technologies LLC, 2.8780%, 4/15/20 (144A) | 661,000 | 644,019 | |||||
Seagate HDD Cayman, 4.7500%, 6/1/23 | 269,000 | 235,451 | |||||
Seagate HDD Cayman, 4.7500%, 1/1/25 | 4,352,000 | �� | 3,623,923 | ||||
Seagate HDD Cayman, 4.8750%, 6/1/27 (144A) | 1,423,000 | 1,091,955 | |||||
Seagate HDD Cayman, 5.7500%, 12/1/34 (144A) | 1,682,000 | 1,177,018 | |||||
Trimble Navigation, Ltd., 4.7500%, 12/1/24 | 2,836,000 | 2,817,909 | |||||
TSMC Global, Ltd., 1.6250%, 4/3/18 (144A) | 3,985,000 | 3,905,798 | |||||
Verisk Analytics, Inc., 4.8750%, 1/15/19 | 748,000 | 782,400 | |||||
Verisk Analytics, Inc., 5.8000%, 5/1/21 | 3,092,000 | 3,426,292 | |||||
Verisk Analytics, Inc., 4.1250%, 9/12/22 | 932,000 | 939,050 | |||||
Verisk Analytics, Inc., 4.0000%, 6/15/25 | 2,739,000 | 2,660,396 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Technology – (continued) | |||||||
Verisk Analytics, Inc., 5.5000%, 6/15/45 | $1,493,000 | $1,425,463 | |||||
36,737,433 | |||||||
Transportation – 0.6% | |||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.5000%, 3/15/16 (144A) | 170,000 | 170,294 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 3.3750%, 3/15/18 (144A) | 1,571,000 | 1,595,819 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 2.5000%, 6/15/19 (144A) | 653,000 | 642,335 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.8750%, 7/11/22 (144A) | 104,000 | 108,170 | |||||
Penske Truck Leasing Co. LP / PTL Finance Corp., 4.2500%, 1/17/23 (144A) | 721,000 | 725,465 | |||||
Southwest Airlines Co., 5.1250%, 3/1/17 | 772,000 | 802,337 | |||||
4,044,420 | |||||||
Total Corporate Bonds (cost $253,651,265) | 250,330,833 | ||||||
Mortgage-Backed Securities – 21.3% | |||||||
Fannie Mae Pool: | |||||||
5.5000%, 1/1/25 | 133,201 | 143,486 | |||||
4.0000%, 6/1/29 | 203,928 | 218,048 | |||||
4.0000%, 9/1/29 | 564,965 | 604,060 | |||||
5.0000%, 9/1/29 | 480,925 | 528,949 | |||||
3.5000%, 10/1/29 | 2,636,441 | 2,765,308 | |||||
5.0000%, 1/1/30 | 196,010 | 215,583 | |||||
5.5000%, 1/1/33 | 89,762 | 100,889 | |||||
3.5000%, 5/1/33 | 6,407,930 | 6,713,821 | |||||
4.0000%, 4/1/34 | 598,292 | 644,699 | |||||
6.0000%, 10/1/35 | 447,134 | 507,825 | |||||
6.0000%, 12/1/35 | 358,562 | 407,970 | |||||
6.0000%, 2/1/37 | 173,334 | 199,264 | |||||
6.0000%, 9/1/37 | 440,154 | 475,971 | |||||
6.0000%, 10/1/38 | 380,723 | 430,435 | |||||
7.0000%, 2/1/39 | 152,885 | 176,474 | |||||
5.5000%, 12/1/39 | 870,868 | 971,114 | |||||
5.5000%, 3/1/40 | 526,041 | 598,170 | |||||
5.5000%, 4/1/40 | 1,170,977 | 1,306,365 | |||||
4.5000%, 10/1/40 | 137,872 | 149,325 | |||||
5.0000%, 10/1/40 | 148,025 | 165,572 | |||||
5.0000%, 2/1/41 | 1,250,882 | 1,388,530 | |||||
5.5000%, 2/1/41 | 293,048 | 333,234 | |||||
5.0000%, 4/1/41 | 233,606 | 257,019 | |||||
5.0000%, 5/1/41 | 241,251 | 266,431 | |||||
5.5000%, 5/1/41 | 387,188 | 431,358 | |||||
5.5000%, 6/1/41 | 886,848 | 1,004,103 | |||||
5.5000%, 6/1/41 | 333,089 | 371,741 | |||||
5.0000%, 7/1/41 | 603,706 | 669,612 | |||||
5.5000%, 7/1/41 | 1,348,041 | 1,501,980 | |||||
4.5000%, 8/1/41 | 598,929 | 648,786 | |||||
5.0000%, 10/1/41 | 280,243 | 308,760 | |||||
5.5000%, 12/1/41 | 752,547 | 843,655 | |||||
5.5000%, 2/1/42 | 3,868,025 | 4,311,186 | |||||
4.0000%, 6/1/42 | 847,866 | 902,661 | |||||
3.5000%, 7/1/42 | 1,661,881 | 1,721,300 | |||||
4.0000%, 7/1/42 | 533,668 | 568,121 | |||||
4.0000%, 8/1/42 | 371,568 | 395,584 | |||||
4.0000%, 9/1/42 | 475,568 | 506,487 | |||||
4.0000%, 9/1/42 | 437,800 | 466,094 | |||||
4.0000%, 11/1/42 | 548,699 | 584,099 | |||||
4.0000%, 12/1/42 | 228,231 | 243,968 | |||||
3.5000%, 1/1/43 | 1,063,277 | 1,098,684 | |||||
3.5000%, 2/1/43 | 2,441,518 | 2,522,508 | |||||
3.5000%, 2/1/43 | 2,223,158 | 2,297,261 | |||||
4.5000%, 2/1/43 | 2,378,044 | 2,578,921 | |||||
3.5000%, 3/1/43 | 1,161,219 | 1,199,978 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.5000%, 3/1/43 | $819,602 | $899,387 | |||||
4.0000%, 5/1/43 | 1,179,835 | 1,255,978 | |||||
4.0000%, 7/1/43 | 1,578,859 | 1,681,223 | |||||
4.0000%, 8/1/43 | 1,395,760 | 1,486,411 | |||||
4.0000%, 9/1/43 | 415,522 | 442,506 | |||||
3.5000%, 1/1/44 | 1,620,498 | 1,685,608 | |||||
3.5000%, 1/1/44 | 643,299 | 668,926 | |||||
4.0000%, 2/1/44 | 837,556 | 891,779 | |||||
3.5000%, 4/1/44 | 785,457 | 814,109 | |||||
3.5000%, 5/1/44 | 2,663,140 | 2,768,931 | |||||
4.5000%, 5/1/44 | 4,095,011 | 4,515,893 | |||||
5.5000%, 5/1/44 | 891,738 | 994,847 | |||||
4.0000%, 6/1/44 | 1,325,612 | 1,411,264 | |||||
4.0000%, 7/1/44 | 2,451,039 | 2,624,705 | |||||
5.0000%, 7/1/44 | 990,079 | 1,113,064 | |||||
4.0000%, 8/1/44 | 1,363,456 | 1,460,067 | |||||
4.0000%, 8/1/44 | 510,973 | 547,177 | |||||
4.5000%, 8/1/44 | 1,806,657 | 1,992,354 | |||||
4.5000%, 10/1/44 | 1,385,582 | 1,528,210 | |||||
4.5000%, 10/1/44 | 754,149 | 829,319 | |||||
3.5000%, 2/1/45 | 1,962,248 | 2,027,535 | |||||
4.5000%, 3/1/45 | 1,388,674 | 1,527,343 | |||||
4.5000%, 6/1/45 | 1,536,479 | 1,690,055 | |||||
4.0000%, 9/1/45 | 4,622,884 | 4,923,721 | |||||
4.5000%, 10/1/45 | 1,554,884 | 1,706,296 | |||||
86,232,097 | |||||||
Freddie Mac Gold Pool: | |||||||
5.0000%, 1/1/19 | 76,800 | 79,429 | |||||
5.5000%, 8/1/19 | 67,220 | 69,617 | |||||
5.0000%, 6/1/20 | 165,802 | 175,655 | |||||
5.5000%, 12/1/28 | 303,619 | 335,376 | |||||
3.5000%, 7/1/29 | 494,212 | 517,358 | |||||
3.5000%, 9/1/29 | 415,948 | 435,477 | |||||
5.5000%, 10/1/36 | 327,642 | 367,131 | |||||
5.5000%, 4/1/40 | 761,704 | 851,624 | |||||
6.0000%, 4/1/40 | 1,784,185 | 2,031,548 | |||||
4.5000%, 1/1/41 | 341,726 | 371,425 | |||||
5.0000%, 5/1/41 | 552,820 | 615,743 | |||||
5.5000%, 5/1/41 | 463,129 | 512,493 | |||||
5.5000%, 8/1/41 | 1,132,967 | 1,278,586 | |||||
3.5000%, 2/1/44 | 835,103 | 862,820 | |||||
4.5000%, 5/1/44 | 897,921 | 987,575 | |||||
4.0000%, 8/1/44 | 225,466 | 240,661 | |||||
4.5000%, 9/1/44 | 2,672,512 | 2,942,036 | |||||
4.5000%, 6/1/45 | 2,730,922 | 3,006,669 | |||||
15,681,223 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 8/15/24 | 268,079 | 284,891 | |||||
5.1000%, 1/15/32 | 580,983 | 658,605 | |||||
4.9000%, 10/15/34 | 667,328 | 735,693 | |||||
5.5000%, 9/15/35 | 173,812 | 200,129 | |||||
5.5000%, 3/15/36 | 259,156 | 293,162 | |||||
5.5000%, 6/15/39 | 1,260,517 | 1,444,396 | |||||
5.5000%, 8/15/39 | 713,584 | 811,188 | |||||
5.5000%, 8/15/39 | 473,509 | 536,090 | |||||
5.0000%, 9/15/39 | 914,654 | 1,026,154 | |||||
5.0000%, 9/15/39 | 401,551 | 449,145 | |||||
5.0000%, 10/15/39 | 253,485 | 281,208 | |||||
5.0000%, 11/15/39 | 458,919 | 508,105 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Ginnie Mae I Pool – (continued) | |||||||
5.0000%, 1/15/40 | $143,265 | $158,457 | |||||
5.0000%, 5/15/40 | 586,939 | 651,893 | |||||
5.0000%, 5/15/40 | 161,153 | 179,608 | |||||
5.0000%, 5/15/40 | 46,291 | 51,661 | |||||
5.0000%, 7/15/40 | 482,308 | 534,000 | |||||
5.0000%, 7/15/40 | 140,674 | 155,695 | |||||
4.5000%, 9/15/40 | 479,841 | 523,701 | |||||
5.0000%, 2/15/41 | 469,723 | 519,945 | |||||
5.0000%, 4/15/41 | 161,017 | 178,293 | |||||
4.5000%, 5/15/41 | 571,649 | 623,054 | |||||
5.0000%, 5/15/41 | 187,319 | 210,243 | |||||
4.5000%, 7/15/41 | 427,992 | 462,284 | |||||
4.5000%, 7/15/41 | 137,165 | 149,580 | |||||
4.5000%, 8/15/41 | 1,096,038 | 1,207,784 | |||||
5.0000%, 9/15/41 | 256,673 | 284,266 | |||||
5.0000%, 11/15/43 | 1,009,355 | 1,118,144 | |||||
4.5000%, 5/15/44 | 578,118 | 630,781 | |||||
5.0000%, 6/15/44 | 1,194,025 | 1,338,850 | |||||
5.0000%, 6/15/44 | 1,170,621 | 1,310,121 | |||||
4.0000%, 1/15/45 | 3,359,702 | 3,588,358 | |||||
4.0000%, 4/15/45 | 1,450,734 | 1,562,145 | |||||
22,667,629 | |||||||
Ginnie Mae II Pool: | |||||||
6.0000%, 11/20/34 | 244,301 | 273,321 | |||||
5.5000%, 3/20/35 | 1,063,269 | 1,186,184 | |||||
5.5000%, 3/20/36 | 276,190 | 307,831 | |||||
5.5000%, 11/20/37 | 303,355 | 335,875 | |||||
6.0000%, 1/20/39 | 110,888 | 123,988 | |||||
7.0000%, 5/20/39 | 53,986 | 61,687 | |||||
5.0000%, 6/20/41 | 592,553 | 648,983 | |||||
5.0000%, 6/20/41 | 135,322 | 148,132 | |||||
6.0000%, 10/20/41 | 48,222 | 54,660 | |||||
6.0000%, 12/20/41 | 217,830 | 246,066 | |||||
5.5000%, 1/20/42 | 354,756 | 394,429 | |||||
6.0000%, 1/20/42 | 134,999 | 152,920 | |||||
6.0000%, 2/20/42 | 208,217 | 235,755 | |||||
6.0000%, 3/20/42 | 126,283 | 143,038 | |||||
6.0000%, 4/20/42 | 514,331 | 582,452 | |||||
3.5000%, 5/20/42 | 324,384 | 340,141 | |||||
5.5000%, 5/20/42 | 415,582 | 463,210 | |||||
6.0000%, 5/20/42 | 348,152 | 389,345 | |||||
5.5000%, 7/20/42 | 653,330 | 720,108 | |||||
6.0000%, 7/20/42 | 146,197 | 165,235 | |||||
6.0000%, 8/20/42 | 151,418 | 171,492 | |||||
6.0000%, 9/20/42 | 177,288 | 200,816 | |||||
6.0000%, 11/20/42 | 146,461 | 164,990 | |||||
6.0000%, 2/20/43 | 178,354 | 201,643 | |||||
5.0000%, 12/20/44 | 2,956,197 | 3,310,751 | |||||
5.0000%, 9/20/45 | 1,434,274 | 1,578,514 | |||||
4.0000%, 11/20/45 | 2,875,928 | 3,110,022 | |||||
15,711,588 | |||||||
Total Mortgage-Backed Securities (cost $140,618,788) | 140,292,537 | ||||||
U.S. Treasury Notes/Bonds – 28.5% | |||||||
0.5000%, 1/31/17 | 7,453,000 | 7,425,633 | |||||
0.8750%, 1/31/17 | 10,167,000 | 10,167,793 | |||||
0.8750%, 2/28/17 | 1,189,000 | 1,189,465 | |||||
0.5000%, 4/30/17 | 8,978,000 | 8,931,009 | |||||
0.6250%, 6/30/17 | 3,858,000 | 3,838,560 | |||||
0.7500%, 6/30/17 | 1,890,000 | 1,884,094 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Shares or | Value | ||||||
U.S. Treasury Notes/Bonds – (continued) | |||||||
0.8750%, 7/15/17 | $591,000 | $590,007 | |||||
1.0000%, 9/15/17 | 63,000 | 62,963 | |||||
0.8750%, 10/15/17 | 107,000 | 106,678 | |||||
0.7500%, 10/31/17 | 633,000 | 629,638 | |||||
1.0000%, 12/15/17 | 12,771,000 | 12,753,543 | |||||
0.7500%, 12/31/17 | 776,000 | 770,756 | |||||
0.8750%, 1/31/18 | 1,236,000 | 1,229,820 | |||||
0.7500%, 3/31/18 | 932,000 | 923,663 | |||||
2.3750%, 5/31/18 | 1,251,000 | 1,286,233 | |||||
0.8750%, 7/15/18 | 90,000 | 89,188 | |||||
1.3750%, 7/31/18 | 4,085,000 | 4,100,637 | |||||
1.5000%, 8/31/18 | 14,379,000 | 14,485,082 | |||||
1.0000%, 9/15/18 | 12,471,000 | 12,382,344 | |||||
1.6250%, 7/31/19 | 7,768,000 | 7,795,009 | |||||
1.7500%, 9/30/19 | 4,732,000 | 4,763,979 | |||||
1.5000%, 10/31/19 | 6,665,000 | 6,644,172 | |||||
1.5000%, 11/30/19 | 13,098,000 | 13,045,818 | |||||
1.6250%, 12/31/19 | 1,416,000 | 1,416,055 | |||||
1.3750%, 3/31/20 | 156,000 | 154,080 | |||||
1.3750%, 9/30/20 | 10,604,000 | 10,420,911 | |||||
2.1250%, 9/30/21 | 4,039,000 | 4,081,599 | |||||
2.2500%, 11/15/24 | 3,625,000 | 3,623,158 | |||||
2.0000%, 8/15/25 | 3,332,000 | 3,248,830 | |||||
2.2500%, 11/15/25 | 8,344,000 | 8,325,418 | |||||
3.7500%, 11/15/43 | 785,000 | 904,161 | |||||
3.6250%, 2/15/44 | 5,657,000 | 6,363,684 | |||||
3.3750%, 5/15/44 | 90,000 | 96,588 | |||||
3.1250%, 8/15/44 | 7,302,000 | 7,462,586 | |||||
3.0000%, 11/15/44 | 2,002,000 | 1,994,727 | |||||
2.5000%, 2/15/45 | 880,000 | 789,560 | |||||
3.0000%, 5/15/45 | 10,355,000 | 10,307,678 | |||||
2.8750%, 8/15/45 | 1,372,000 | 1,332,501 | |||||
3.0000%, 11/15/45 | 12,458,000 | 12,420,526 | |||||
Total U.S. Treasury Notes/Bonds (cost $187,702,366) | 188,038,146 | ||||||
Preferred Stocks – 1.1% | |||||||
Capital Markets – 0.5% | |||||||
Morgan Stanley, 6.8750% | 49,225 | 1,365,994 | |||||
Morgan Stanley, 7.1250% | 48,000 | 1,372,800 | |||||
Morgan Stanley Capital Trust III, 6.2500% | 8,000 | 203,840 | |||||
Morgan Stanley Capital Trust IV, 6.2500% | 1,000 | 25,370 | |||||
Morgan Stanley Capital Trust V, 5.7500% | 1,000 | 25,180 | |||||
Morgan Stanley Capital Trust VIII, 6.4500% | 4,000 | 101,240 | |||||
3,094,424 | |||||||
Commercial Banks – 0.3% | |||||||
Citigroup Capital XIII, 6.6919% | 29,000 | 753,710 | |||||
Wells Fargo & Co., 6.6250% | 46,000 | 1,321,580 | |||||
2,075,290 | |||||||
Consumer Finance – 0.3% | |||||||
Discover Financial Services, 6.5000% | 66,000 | 1,747,020 | |||||
Diversified Financial Services – 0% | |||||||
General Electric Capital Corp., 4.7000% | 6,000 | 152,820 | |||||
Total Preferred Stocks (cost $6,606,168) | 7,069,554 | ||||||
Investment Companies – 3.6% | |||||||
Money Markets – 3.6% | |||||||
Janus Cash Liquidity Fund LLC, 0.3105%ºº,£ (cost $23,621,659) | 23,621,659 | 23,621,659 | |||||
Total Investments (total cost $661,712,743) – 99.8% | 658,298,937 | ||||||
Cash, Receivables and Other Assets, net of Liabilities – 0.2% | 1,143,070 | ||||||
Net Assets – 100% | $659,442,007 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Aspen Flexible Bond Portfolio
Schedule of Investments
December 31, 2015
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $613,672,778 | 93.2 | % | ||
United Kingdom | 14,415,153 | 2.2 | |||
Netherlands | 7,634,713 | 1.2 | |||
Singapore | 7,180,019 | 1.1 | |||
Germany | 4,770,019 | 0.7 | |||
Taiwan | 3,905,798 | 0.6 | |||
Italy | 2,152,662 | 0.3 | |||
Australia | 2,149,129 | 0.3 | |||
Canada | 1,622,045 | 0.3 | |||
South Korea | 796,621 | 0.1 | |||
Total | $658,298,937 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information
Barclays U.S. Aggregate Bond Index | A broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
ULC | Unlimited Liability Company |
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. 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, 2015 is $83,411,382, which represents 12.6% of net assets. |
(a) | All or a portion of this position has not settled, or is not funded. Upon settlement or funding date, interest rates for unsettled or unfunded amounts will be determined. Interest and dividends will not be accrued until time of settlement or funding. |
‡ | The interest rate on floating rate notes is based on an index or market interest rates and is subject to change. Rate in the security description is as of December 31, 2015. |
ºº | Rate shown is the 7-day yield as of December 31, 2015. |
µ | This variable rate security is a perpetual bond. Perpetual bonds have no contractual maturity date, are not redeemable, and pay an indefinite stream of interest. The coupon rate shown represents the current interest 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. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the year ended December 31, 2015. Unless otherwise indicated, all information in the table is for the year ended December 31, 2015. |
| Share | Purchases | Sales | Share | Dividend | Value |
Janus Cash Liquidity Fund LLC | 2,952,000 | 491,731,439 | (471,061,780) | 23,621,659 | $17,814 | $ 23,621,659 |
§ | Schedule of Restricted and Illiquid Securities (as of December 31, 2015) | |||||||||
Value as a | ||||||||||
Acquisition | % of Net | |||||||||
Date | Cost | Value | Assets | |||||||
FREMF 2010 K-SCT Mortgage Trust, 2.0000%, 1/25/20 | 4/29/13 | $ | 1,296,154 | $ | 1,288,730 | 0.2 | % | |||
The Portfolio has registration rights for certain restricted securities held as of December 31, 2015. The issuer incurs all registration costs. |
Janus Aspen Series | 17 |
Janus Aspen Flexible Bond 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, 2015. See Notes to Financial Statements for more information. | |||
Valuation Inputs Summary | |||
| Level 1 - | Level 2 - | Level 3 - |
Assets | |||
Investments in Securities: | |||
Asset-Backed/Commercial Mortgage-Backed Securities | $ - | $ 38,301,445 | $ - |
Bank Loans and Mezzanine Loans | - | 10,644,763 | - |
Corporate Bonds | - | 250,330,833 | - |
Mortgage-Backed Securities | - | 140,292,537 | - |
U.S. Treasury Notes/Bonds | - | 188,038,146 | - |
Preferred Stocks | - | 7,069,554 | - |
Investment Companies | - | 23,621,659 | - |
Total Assets | $ - | $ 658,298,937 | $ - |
18 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Statement of Assets and Liabilities
December 31, 2015
Assets: |
|
|
|
| ||
Investments, at cost | $ | 661,712,743 | ||||
Unaffiliated investments, at value | $ | 634,677,278 | ||||
Affiliated investments, at value | 23,621,659 | |||||
Cash | 278,049 | |||||
Non-interested Trustees' deferred compensation | 13,329 | |||||
Receivables: | ||||||
Interest | 4,181,576 | |||||
Portfolio shares sold | 956,952 | |||||
Dividends | 44,889 | |||||
Dividends from affiliates | 3,611 | |||||
Other assets | 7,989 | |||||
Total Assets |
|
| 663,785,332 |
| ||
Liabilities: | ||||||
Payables: | — | |||||
Investments purchased | 3,558,150 | |||||
Advisory fees | 299,068 | |||||
Portfolio shares repurchased | 258,123 | |||||
12b-1 Distribution and shareholder servicing fees | 69,640 | |||||
Professional fees | 41,751 | |||||
Non-interested Trustees' deferred compensation fees | 13,329 | |||||
Portfolio administration fees | 5,766 | |||||
Non-interested Trustees' fees and expenses | 3,624 | |||||
Transfer agent fees and expenses | 514 | |||||
Custodian fees | 219 | |||||
Accrued expenses and other payables | 93,141 | |||||
Total Liabilities |
|
| 4,343,325 |
| ||
Net Assets |
| $ | 659,442,007 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 663,071,636 | ||||
Undistributed net investment income/(loss) | 4,020,003 | |||||
Undistributed net realized gain/(loss) from investments | (4,235,826) | |||||
Unrealized net appreciation/(depreciation) of investments and non-interested Trustees’ deferred compensation | (3,413,806) | |||||
Total Net Assets |
| $ | 659,442,007 |
| ||
Net Assets - Institutional Shares | $ | 355,568,679 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 30,471,330 | |||||
Net Asset Value Per Share |
| $ | 11.67 |
| ||
Net Assets - Service Shares | $ | 303,873,328 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 24,005,396 | |||||
Net Asset Value Per Share |
| $ | 12.66 |
|
See Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Aspen Flexible Bond Portfolio
Statement of Operations
For the year ended December 31, 2015
Investment Income: |
|
|
|
| ||
Interest | $ | 16,748,909 | ||||
Dividends | 544,384 | |||||
Dividends from affiliates | 17,814 | |||||
Other income | 69,843 | |||||
Total Investment Income |
|
| 17,380,950 |
| ||
Expenses: | ||||||
Advisory fees | 3,009,286 | |||||
12b-1Distribution and shareholder servicing fees: | ||||||
Service Shares | 631,133 | |||||
Other transfer agent fees and expenses: | ||||||
Institutional Shares | 2,530 | |||||
Service Shares | 1,209 | |||||
Shareholder reports expense | 120,825 | |||||
Portfolio administration fees | 53,868 | |||||
Professional fees | 49,172 | |||||
Registration fees | 24,700 | |||||
Custodian fees | 18,909 | |||||
Non-interested Trustees’ fees and expenses | 14,670 | |||||
Other expenses | 135,184 | |||||
Total Expenses |
|
| 4,061,486 |
| ||
Less: Excess Expense Reimbursement |
|
| (2,011) |
| ||
Net Expenses |
|
| 4,059,475 |
| ||
Net Investment Income/(Loss) |
|
| 13,321,475 |
| ||
Net Realized Gain/(Loss) on Investments: | ||||||
Investments | (2,224,950) | |||||
Total Net Realized Gain/(Loss) on Investments |
|
| (2,224,950) |
| ||
Change in Unrealized Net Appreciation/Depreciation: | ||||||
Investments and non-interested Trustees’ deferred compensation | (11,126,272) | |||||
Total Change in Unrealized Net Appreciation/Depreciation |
|
| (11,126,272) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| $ | (29,747) |
|
See Notes to Financial Statements. | |
20 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 13,321,475 | $ | 13,111,273 | ||||
Net realized gain/(loss) on investments | (2,224,950) | 5,765,516 | ||||||
Change in unrealized net appreciation/depreciation | (11,126,272) | 3,705,948 | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| (29,747) |
|
| 22,582,737 | |||
Dividends and Distributions to Shareholders: | ||||||||
Institutional Shares | (8,293,120) | (12,284,719) | ||||||
Service Shares | (5,184,329) | (4,923,698) | ||||||
| Total Dividends from Net Investment Income |
| (13,477,449) |
|
| (17,208,417) | ||
Distributions from Net Realized Gain from Investment Transactions | ||||||||
Institutional Shares | (1,662,607) | — | ||||||
Service Shares | (1,012,843) | — | ||||||
| Total Distributions from Net Realized Gain from Investment Transactions | (2,675,450) |
|
| — | |||
Net Decrease from Dividends and Distributions to Shareholders |
| (16,152,899) |
|
| (17,208,417) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 762,616 | 15,661,855 | ||||||
Service Shares | 103,035,167 | 89,224,055 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 103,797,783 |
|
| 104,885,910 | |||
Net Increase/(Decrease) in Net Assets |
| 87,615,137 |
|
| 110,260,230 | |||
Net Assets: | ||||||||
Beginning of period | 571,826,870 | 461,566,640 | ||||||
| End of period | $ | 659,442,007 |
| $ | 571,826,870 | ||
Undistributed Net Investment Income/(Loss) | $ | 4,020,003 |
| $ | 2,636,720 |
See Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Aspen Flexible Bond Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $11.98 |
|
| $11.82 |
|
| $12.59 |
|
| $12.27 |
|
| $12.70 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.28(1) | 0.33(1) | 0.38 | 0.43 | 0.49 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.25) | 0.25 | (0.40) | 0.57 | 0.32 | |||||||||||||
Total from Investment Operations |
| 0.03 |
|
| 0.58 |
|
| (0.02) |
|
| 1.00 |
|
| 0.81 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.28) | (0.42) | (0.30) | (0.44) | (0.49) | |||||||||||||
Distributions (from capital gains) | (0.06) | — | (0.45) | (0.24) | (0.75) | |||||||||||||
Total Dividends and Distributions |
| (0.34) |
|
| (0.42) |
|
| (0.75) |
|
| (0.68) |
|
| (1.24) |
| |||
Net Asset Value, End of Period | $11.67 | $11.98 | $11.82 | $12.59 | $12.27 | |||||||||||||
Total Return* |
| 0.22% |
|
| 4.94% |
|
| (0.06)% |
|
| 8.34% |
|
| 6.66% |
| |||
Net Assets, End of Period (in thousands) | $355,569 | $363,977 | $344,028 | $381,593 | $376,299 | |||||||||||||
Average Net Assets for the Period (in thousands) | $347,338 | $345,064 | $360,706 | $378,140 | $364,656 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.57% | 0.59% | 0.56% | 0.57% | 0.57% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.57% | 0.58% | 0.55% | 0.55% | 0.55% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 2.33% | 2.74% | 2.35% | 2.87% | 3.82% | |||||||||||||
Portfolio Turnover Rate | 111% | 144% | 138% | 140% | 164% | |||||||||||||
1 |
Service Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $12.98 |
|
| $12.78 |
|
| $13.56 |
|
| $13.17 |
|
| $13.54 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.27(1) | 0.32(1) | 0.38 | 0.40 | 0.48 | |||||||||||||
Net realized and unrealized gain/(loss) | (0.27) | 0.28 | (0.44) | 0.65 | 0.36 | |||||||||||||
Total from Investment Operations |
| — |
|
| 0.60 |
|
| (0.06) |
|
| 1.05 |
|
| 0.84 |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | (0.26) | (0.40) | (0.27) | (0.42) | (0.46) | |||||||||||||
Distributions (from capital gains) | (0.06) | — | (0.45) | (0.24) | (0.75) | |||||||||||||
Total Dividends and Distributions |
| (0.32) |
|
| (0.40) |
|
| (0.72) |
|
| (0.66) |
|
| (1.21) |
| |||
Net Asset Value, End of Period | $12.66 | $12.98 | $12.78 | $13.56 | $13.17 | |||||||||||||
Total Return* |
| (0.06)% |
|
| 4.69% |
|
| (0.32)% |
|
| 8.09% |
|
| 6.47% |
| |||
Net Assets, End of Period (in thousands) | $303,873 | $207,850 | $117,539 | $128,665 | $98,058 | |||||||||||||
Average Net Assets for the Period (in thousands) | $250,537 | $146,672 | $124,401 | $109,071 | $90,661 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.82% | 0.85% | 0.81% | 0.82% | 0.82% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.82% | 0.84% | 0.80% | 0.80% | 0.80% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 2.09% | 2.49% | 2.10% | 2.60% | 3.57% | |||||||||||||
Portfolio Turnover Rate | 111% | 144% | 138% | 140% | 164% | |||||||||||||
* Total return not annualized for periods of less than one full year. ** 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) Less than $0.005 on a per share basis. |
See Notes to Financial Statements. | |
22 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Aspen Flexible Bond Portfolio (the “Portfolio”) is a series fund. The Portfolio is part 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 twelve Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in income-producing securities. 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 | 23 |
Janus Aspen 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, 2015 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.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
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 on the accrual basis and includes amortization of premiums and accretion of discounts. 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, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. 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.
24 | DECEMBER 31, 2015 |
Janus Aspen 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.
The financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. 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. 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. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
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, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. 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,
Janus Aspen Series | 25 |
Janus Aspen Flexible Bond Portfolio
Notes to Financial Statements
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. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more "bailouts" from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/or withdraw from the EU, placing its currency and banking system in jeopardy.
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.
Loans
The Portfolio may invest in various commercial loans, including bank loans, bridge loans, debtor-in-possession (“DIP”) loans, mezzanine loans, and other fixed and floating rate loans. These loans may be acquired through loan participations and assignments or on a when-issued basis. Commercial loans will comprise no more than 20% of the Portfolio’s total assets. Below are descriptions of the types of loans held by the Portfolio as of December 31, 2015.
· Bank Loans - Bank loans are obligations of companies or other entities entered into in connection with recapitalizations, acquisitions, and refinancings. The Portfolio’s investments in bank loans are generally acquired as a participation interest in, or assignment of, loans originated by a lender or other financial institution. These investments may include institutionally-traded floating and fixed-rate debt securities.
· Floating Rate Loans – Floating rate loans are debt securities that have floating interest rates, that adjust periodically, and are tied to a benchmark lending rate, such as London Interbank Offered Rate (“LIBOR”). In other cases, the lending rate could be tied to the prime rate offered by one or more major U.S. banks or the rate paid on large certificates of deposit traded in the secondary markets. If the benchmark lending rate changes, the rate payable to lenders under the loan will change at the next scheduled adjustment date specified in the loan agreement. Floating rate loans are typically issued to companies (‘‘borrowers’’) in connection with recapitalizations, acquisitions, and refinancings. Floating rate loan investments are generally below investment grade. Senior floating rate loans are secured by specific collateral of a borrower and are senior in the borrower’s capital structure. The senior position in the borrower’s capital structure generally gives holders of senior loans a claim on certain of the borrower’s assets that is senior to subordinated debt and preferred and common stock in the case of a borrower’s default. Floating rate loan investments may involve foreign borrowers, and investments may be denominated in foreign currencies. Floating rate loans often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Portfolio may invest in obligations of borrowers who are in bankruptcy proceedings. While the Portfolio generally expects to invest in fully funded term loans, certain of the loans in which the Portfolio may invest include revolving loans, bridge loans, and delayed draw term loans.
Purchasers of floating rate loans may pay and/or receive certain fees. The Portfolio may receive fees such as covenant waiver fees or prepayment penalty fees. The Portfolio may pay fees such as facility fees. Such fees may affect the Portfolio’s return.
· Mezzanine Loans - Mezzanine loans are secured by the stock of the company that owns the assets. Mezzanine loans are a hybrid of debt and equity financing that is typically used to fund the expansion of existing companies. A mezzanine loan is composed of debt capital that gives the lender the right to convert to an ownership or equity interest in the company if the loan is not paid back in time and in full. Mezzanine loans typically are the most subordinated debt obligation in an issuer’s capital structure.
26 | DECEMBER 31, 2015 |
Janus Aspen Flexible Bond Portfolio
Notes to Financial Statements
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 the Portfolio’s yield and 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.
Restricted Security Transactions
Restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933, as amended. The risk of investing in such securities is generally greater than the risk of investing in the securities of widely held, publicly traded companies. Lack of a secondary market and resale restrictions may result in the inability of the Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, these securities may exhibit greater price volatility than securities for which secondary markets exist.
Sovereign Debt
The Portfolio may invest in U.S. and foreign government debt securities (“sovereign debt”). Investments in U.S. sovereign debt are considered low risk. However, investments in non-U.S. sovereign debt 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 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
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Notes to Financial Statements
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.
When-Issued and Delayed Delivery Securities
The Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. When-issued and delayed delivery securities in which the Portfolio may invest include U.S. Treasury Securities, municipal bonds, bank loans, and other similar instruments. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio may hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
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 |
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 normal operating expenses in any fiscal year, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer 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%. Janus Capital has agreed to continue the waiver until at least May 1, 2016. The previous expense limit (until May 1, 2015) was 0.65%. If applicable, amounts reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing, and other shareholder services for the Portfolio. Janus Services is not compensated for its 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 fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain 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
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Notes to Financial Statements
are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $43,224 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2015. 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 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, 2015 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 “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2015 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 $317,200 were paid by the Trust to a Trustee under the Deferred Plan during the year ended December 31, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. 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 Cash Liquidity Fund LLC is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio's ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged 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, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital Management LLC 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, 2015, the Portfolio engaged in cross trades amounting to $77,056,811 in purchases and $73,046,632 in sales, resulting in a net realized gain of $1,062,923. The net realized gain is included in “Investments and foreign currency transactions” within the “Net Realized and Unrealized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
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Notes to Financial Statements
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 | Net Tax | ||||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | Other Book | Appreciation/ | |
$ 4,033,330 | $ - | $ (3,370,379) | $ - | $ - | $ (13,328) | $ (4,279,252) |
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2015, 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, 2015 | ||||||
No Expiration | ||||||
Short-Term | Long-Term | Accumulated Capital Losses | ||||
| $ (3,370,379) | $ - | $ (3,370,379) |
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. 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/ |
$ 662,578,189 | $ 5,468,074 | $ (9,747,326) | $ (4,279,252) |
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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, net investment 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, 2015 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 13,477,370 | $ 2,675,529 | $ - | $ - |
For the year ended December 31, 2014 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 17,208,417 | $ - | $ - | $ - |
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 | |
$ - | $ 1,539,257 | $ (1,539,257) |
5. Capital Share Transactions
Year ended December 31, 2015 | Year ended December 31, 2014 | |||||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: | ||||||
Shares sold | 9,346,283 | $ 112,663,618 | 5,343,180 | $ 64,729,908 | ||
Reinvested dividends and distributions | 842,906 | 9,955,727 | 1,023,406 | 12,284,719 | ||
Shares repurchased | (10,095,656) | (121,856,729) | (5,092,096) | (61,352,772) | ||
Net Increase/(Decrease) | 93,533 | $ 762,616 |
| 1,274,490 | $ 15,661,855 | |
Service Shares: | ||||||
Shares sold | 14,834,525 | $ 192,168,046 | 9,611,775 | $ 125,752,126 | ||
Reinvested dividends and distributions | 483,987 | 6,197,172 | 378,929 | 4,923,698 | ||
Shares repurchased | (7,330,112) | (95,330,051) | (3,171,646) | (41,451,769) | ||
Net Increase/(Decrease) | 7,988,400 | $ 103,035,167 |
| 6,819,058 | $ 89,224,055 |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$ 292,549,632 | $ 191,112,679 | $ 443,698,903 | $ 460,540,313 |
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7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2015 and through the date of issuance of the Portfolio’s financial statements and determined that there were material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements, as discussed below.
Effective May 1, 2016, the Portfolio pays Janus Services a fee at an annual rate of up to 0.05% of the average daily net assets of the Portfolio’s Institutional Shares and Service Shares to compensate insurance companies for services provided to contract owners. Any unused portion will be reimbursed back to the respective share class.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Aspen Flexible Bond Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Janus Aspen Flexible Bond Portfolio (one of the portfolios constituting Janus Aspen Series, hereafter referred to as the “Portfolio”) at December 31, 2015, 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 then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.
Denver, Colorado
February 12, 2016
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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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.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 janus.com/ proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is 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) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each 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 9, 2015, 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 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 Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2016 through January 1 or February 1, 2017, respectively, 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 any administration fees (excluding out of pocket costs), net of any waivers.
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 Funds, taking into account the investment objective, strategies and policies of each 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 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 Funds. The Trustees also considered other services provided to the 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 Funds, noting that Janus Capital does not receive a fee
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Additional Information (unaudited)
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 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 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 Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, 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 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 Funds whose performance lagged that of their peers for certain periods, the 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 Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each 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 Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has been strong: for the 36 months ended September 30, 2015, approximately 70% of the Funds were in the top two Broadridge quartiles of performance, and for the 12 months ended September 30, 2015, approximately 61% of the Funds were in the top two Broadridge quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history.
· For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Multi-Sector Income Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
· For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
Value Funds
· For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
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Additional Information (unaudited)
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
· For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH International Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. 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.
· For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Forty Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and in the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Research Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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Additional Information (unaudited)
· For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
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Additional Information (unaudited)
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
In consideration of each 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 Fund’s performance warranted continuation of the Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each 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 (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers,
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Additional Information (unaudited)
was below the mean 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 Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the 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 Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 14% below the mean total expenses of their respective Broadridge Expense Group peers and 24% below the mean total expenses for their Broadridge Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 19% below the mean for their Expense Universes; and (4) Fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered the total expenses for each share class of each Fund compared to the mean total expenses for its Broadridge Expense Group peers and to mean total expenses for its Broadridge Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such 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 Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the 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 Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) by one estimation methodology, the fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to the estimated fee margins in the industry and relative to estimated fee margins of fund managers using Janus Capital as a subadviser.
The Trustees considered the fees for each Fund for its fiscal year ended in 2014, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Global Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Multi-Sector Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus has contractually agreed to limit the Fund’s expenses.
· For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
· For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Value Funds
· For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Global Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable.
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Janus Aspen Flexible Bond Portfolio
Additional Information (unaudited)
· For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Perkins Value Plus Income Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For INTECH International Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had 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 INTECH U.S. Core Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean 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 INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for one share class. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Forty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
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Additional Information (unaudited)
· For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Venture Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Emerging Markets Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Select Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
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Additional Information (unaudited)
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Allocation Portfolio - Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for its sole share class.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, 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. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was reasonable.
The independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised 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 Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services
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Additional Information (unaudited)
provided by Janus Capital and any subadviser, the investment performance of the 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 Funds increase. They noted that their independent fee consultant provided an analysis of economies of scale, which included discussion of analysis from prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, their independent fee consultant concluded that 85% of these Funds have contractual management fees (gross of waivers) below their Broadridge expense group averages and, overall, 80% of the Funds are below their respective expense group averages for contractual management fees. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of some of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the 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 Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
The independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, its analyses could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a 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 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 Fund therefor, the 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/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the 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 Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the 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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus 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, 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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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. The total return does not include any charges at the separate account level or contract level. 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, 2015:
Capital Gain Distributions | $2,675,529 |
Dividends Received Deduction Percentage | 2% |
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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.
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. Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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 | Chairman Trustee | 1/08-Present 6/02-Present | Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations). Formerly, Chief Executive Officer, Imprint Capital (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 | Chairman of the Board and Director of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds), and Director of the F.B. Heron Foundation (a private grantmaking foundation). |
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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 |
Alan A. Brown | Trustee | 1/13-Present | Executive Vice President, Institutional Markets, of Dividend Capital Group (private equity real estate investment management firm) (since 2012). Formerly, 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 MotiveQuest LLC (strategic social market research company) (since 2003), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of Nuveen Global Investors LLC (2007-2011); Director of Communities in Schools (2004-2010); and Director of Mutual Fund Education Alliance (until 2010). |
William D. Cvengros | Trustee | 1/11-Present | Managing Member and 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 of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014) and Managing Trustee of National Retirement Partners Liquidating Trust (since 2013). Formerly, 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 |
James T. Rothe | Trustee | 1/97-Present | Co-founder and Managing Director of Roaring Fork Capital SBIC, L.P. (SBA, SBIC fund focusing on private investment in public equity firms) and Professor Emeritus of Business of the University of Colorado, Colorado Springs, CO (since 2004). Formerly, Professor of Business of the University of Colorado (2002-2004); and Distinguished Visiting Professor of Business (2001-2002) of Thunderbird (American Graduate School of International Management), Glendale, AZ. | 58 | Formerly, Director of Red Robin Gourmet Burgers, Inc. (RRGB) (2004- 2014). |
William D. Stewart | Trustee | 9/93-Present | Retired. Formerly, Corporate Vice President and General Manager of MKS Instruments - HPS Products, Boulder, CO (a manufacturer of vacuum fittings and valves) and PMFC Division, Andover, MA (manufacturing pressure measurement and flow products) (1976-2012). | 58 | None |
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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 |
Linda S. Wolf | Trustee | 12/05-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), Chicago Council on Global Affairs, InnerWorkings (U.S. provider of print procurement solutions to corporate clients), Lurie Children’s Hospital (Chicago, IL), Rehabilitation Institute of Chicago, Walmart, and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Convention & Tourism Bureau (until 2014) and The Field Museum of Natural History (Chicago, IL) (until 2014). |
Trustee Consultant | |||||
Raudline Etienne* | Consultant | 6/14-Present | 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). | N/A | Director of Brightwood Capital Advisors, LLC (since 2014). |
* Raudline Etienne was appointed consultant to the Trustees effective June 2, 2014. Shareholders of the Janus Funds are expected to be asked to elect Ms. Etienne as a Trustee at a future shareholder meeting.
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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 |
Michael Keough | Executive Vice President and Co-Portfolio Manager | 12/15-Present | Portfolio Manager for other Janus accounts and Research Analyst for Janus Capital. |
Mayur Saigal | Executive Vice President and Co-Portfolio Manager | 12/15-Present | Portfolio Manager for other Janus accounts and Research Analyst for Janus Capital. |
Gibson Smith | Executive Vice President and Co-Portfolio Manager | 5/07-Present | Chief Investment Officer Fixed Income and Executive Vice President of Janus Capital; Director of Perkins Investment Management LLC; and Portfolio Manager for other Janus accounts. Formerly, Executive Vice President of Janus Distributors LLC and Janus Services LLC (2007-2013). |
Darrell Watters | Executive Vice President and Co-Portfolio Manager | 5/07-Present | Vice President of Janus Capital and Portfolio Manager for other Janus accounts. |
Stephanie Grauerholz 151 Detroit Street | Chief Legal Counsel and Secretary | 1/06-Present | Senior Vice President and Chief Legal Counsel of Janus Capital and Senior Vice President of Janus Services LLC (since 2015). Formerly, Vice President and Assistant General Counsel of Janus Capital, Vice President and Assistant Secretary of Janus Distributors LLC, and Vice President of Janus Services LLC (2007-2015). |
* 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 | President of Janus Capital Group Inc. and Janus Capital Management LLC (since 2013); Executive Vice President and Director of Janus International Holding LLC (since 2011); Executive Vice President of Janus Distributors LLC (since 2011); Executive Vice President and Working Director of INTECH Investment Management LLC (since 2011); Executive Vice President and Director of Perkins Investment Management LLC (since 2011); and Executive Vice President and Director of Janus Management Holdings Corporation (since 2011). Formerly, 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). |
David R. Kowalski | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 6/02-Present | Senior Vice President and Chief Compliance Officer of Janus Capital, Janus Distributors LLC, and Janus Services LLC; Vice President of INTECH Investment Management LLC and Perkins Investment Management LLC; and Director of The Janus Foundation. |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
* 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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Notes
NotesPage1
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Notes
NotesPage2
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH® (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins® (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money. | ||||||||||||
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC. Funds distributed by Janus Distributors LLC | ||||||||||||
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | |||||||||
C-0216-108539 | 109-02-81114 02-16 |
ANNUAL REPORT December 31, 2015 | |||
Janus Aspen Forty Portfolio | |||
Janus Aspen Series | |||
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your fund · Portfolio performance, characteristics | |||
Table of Contents
Janus Aspen Forty Portfolio
Janus Aspen Forty Portfolio (unaudited)
PERFORMANCE OVERVIEW
For the 12-month period ended December 31, 2015, Janus Aspen Forty Portfolio’s Institutional Shares and Service Shares returned 12.22% and 11.94%, respectively, versus a return of 5.67% for the Portfolio’s primary benchmark, the Russell 1000 Growth Index. The Portfolio’s secondary benchmark, the S&P 500 Index, returned 1.38% for the period.
INVESTMENT ENVIRONMENT
The multi-year equities rally encountered significant turbulence during 2015. Cooling growth, weak commodities prices, a surging U.S. dollar and a shift in monetary policy were some of the factors investors had to consider when valuing stock portfolios. Volatility began early in the year as the slide in crude prices started being considered a potential harbinger for sagging demand rather than solely a consequence of overproduction. Global volatility was in the minds of Federal Reserve (Fed) officials when they chose to delay raising interest rates at their September meeting. However, improving U.S. employment data later led to a consensus that rates would indeed rise by the end of the year, and investors digested their first hike in nearly a decade with relative ease. Although markets were again roiled late year by energy prices coming under renewed pressure, bringing back the prospect that global growth may fall short of projections, large caps ended the year up.
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 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. During the year, we saw a number of companies in our portfolio put up impressive results, further validating our view that they are well positioned to grow in excess of the market.
Amazon was the largest individual contributor to performance. The company benefited as its gross merchandise volume (GMV) sales accelerated. Continued improvements in operating leverage in its core retail business also aided results. We believe Amazon is a good example of the types of competitively advantaged companies we tend to seek in our portfolio. Amazon has already rewritten the rules for retail shopping and we believe it will continue to gain consumers’ wallet share as more shopping moves from physical stores to online and mobile purchases. Meanwhile, Amazon’s cloud business, Amazon Web Services, has come to market with scale and a disruptive pricing model for businesses seeking cloud-based services, and has continued to experience rapid growth.
Alphabet Inc., formerly known as Google, was also a strong contributor to performance. The company continued to benefit from the acceleration of its core business. Strong earnings also continued to indicate that the company is well positioned to consolidate advertising spending as advertising becomes increasingly connected and personalized, and as it transitions from offline channels such as print and television to more measurable online channels such as mobile and online video. The market continued to be encouraged by the new CFO’s focus on expense discipline. The stock also benefited from increased visibility of the monetization of YouTube after the completion of Google’s restructuring under
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Alphabet. As the network effects around Alphabet’s advertising business and Android ecosystem grow, we believe it further deepens the company’s competitive moat and enables it to better understand users’ context and intent and connect those users with suppliers of products and services.
Pharmacyclics was another top contributor to performance during the period. The stock was up significantly in the first quarter after it was announced that AbbVie had won a bidding war to acquire the company. The high interest Pharmacyclics received from other companies bidding for it validated our view that its blood cancer treatments are truly innovative and offer significant growth potential. We sold the stock after the announcement.
While pleased with our performance during the year, we did hold companies that detracted from performance. Canadian Pacific Railway was a large detractor. Softer rail volumes due to a weaker commodity market had a broad impact on the railroad industry, and Canadian Pacific was not immune to the slowdown. However, we continue to have a high level of conviction in the long-term potential of the company. We believe Canadian Pacific’s railroad network across Canada and the U.S. is a valuable asset that would be nearly impossible for other transportation and logistics companies to replicate. The company also has a significant cost advantage over the trucking industry. Going forward, we believe Canadian Pacific can continue to grow revenues and railroad volumes as it improves execution around its railroad network. The company has made substantial investments to improve its service and reliability to customers, and as service improves, which should drive more shippers to use Canadian Pacific instead of trucking services.
Chipotle Mexican Grill also detracted after news about food-related illnesses created volatility and headwinds for the company during the period. However, we continue to like the stock; we believe Chipotle’s higher throughput rates, which have led to higher unit economics at each store, still separate it from most competitors in the fast-food or fast-casual industry. We believe that, in time, the company will be able to re-establish its reputation for food integrity.
Alibaba also detracted. The Chinese e-commerce company provides consumer-to-consumer, business-to-consumer and business-to-business sales services via Web and mobile platforms. The weakness of the Chinese economy weighed on the stock’s performance and we exited our position during the period.
OUTLOOK
We believe that volatility will stay elevated amid continuing questions about global economic growth. While household balance sheets are strong and improving employment and early signs of wage growth are supportive of U.S consumer spending, the modern consumer is also sober minded, as shown by their long-term focus on using savings from cheaper gas and utilities to build up their personal savings. We expect this mindset to continue for the foreseeable future.
While there are concerns about the global economy, we think it underscores the importance of finding those select companies with truly sustainable competitive advantages that can take market share and continue to grow earnings, even without the backdrop of a strong global economy. Such companies are more appreciated in a world where growth is harder to come by, as they can create their own path to creating value.
Thank you for your investment in Janus Aspen Forty Portfolio.
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Janus Aspen Forty Portfolio (unaudited)
Portfolio At A Glance
December 31, 2015
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Casey's General Stores, Inc. | 2.47% | Canadian Pacific Railway Limited | -1.16% | |||
Amazon.com, Inc. | 2.03% | Chipotle Mexican Grill, Inc. | -0.99% | |||
Alphabet Inc. - Class C | 1.31% | Alibaba Group Holding Ltd. Sponsored ADR | -0.70% | |||
Pharmacyclics, Inc. | 1.21% | Precision Castparts Corp. | -0.64% | |||
Starbucks Corp. | 1.05% | Biogen Inc. | -0.40% | |||
5 Top Performers - Sectors* |
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Portfolio Weighting | Russell 1000® Growth Index | |||||
Portfolio Contribution | (Average % of Equity) | Weighting | ||||
Health Care | 2.46% | 17.64% | 15.88% | |||
Consumer Discretionary | 2.43% | 26.07% | 20.02% | |||
Information Technology | 1.17% | 26.69% | 28.15% | |||
Materials | 1.03% | 2.85% | 3.79% | |||
Financials | 1.00% | 12.68% | 5.33% | |||
5 Bottom Performers - Sectors* |
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Portfolio Weighting | Russell 1000® Growth Index | |||||
Portfolio Contribution | (Average % of Equity) | Weighting | ||||
Consumer Discretionary | -0.69% | 0.25% | 10.74% | |||
Industrials | -0.46% | 9.46% | 11.37% | |||
Other** | -0.30% | 3.43% | 0.00% | |||
Utilities | 0.02% | 0.00% | 0.06% | |||
Telecommunication Services | 0.18% | 0.30% | 2.07% | |||
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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Portfolio At A Glance
December 31, 2015
5 Largest Equity Holdings - (% of Net Assets) | |
Alphabet, Inc. - Class C | |
Internet Software & Services | 6.1% |
Lowe's Cos., Inc. | |
Specialty Retail | 4.8% |
General Electric Co. | |
Industrial Conglomerates | 4.1% |
MasterCard, Inc. - Class A | |
Information Technology Services | 4.0% |
Adobe Systems, Inc. | |
Software | 3.7% |
22.7% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 97.0% | ||||
Investment Companies | 3.1% | ||||
Other | (0.1)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of December 31, 2015 | As of December 31, 2014 |
4 | DECEMBER 31, 2015 |
Janus Aspen Forty Portfolio (unaudited)
Performance
See important disclosures on the next page. |
Expense Ratios - | |||||||
Average Annual Total Return - for the periods ended December 31, 2015 |
| per the May 1, 2015 prospectuses | |||||
| One | Five | Ten | Since |
| Total Annual Fund | |
Institutional Shares | 12.22% | 13.15% | 9.26% | 11.02% |
| 0.57% | |
Service Shares | 11.94% | 12.87% | 8.99% | 10.71% |
| 0.82% | |
Russell 1000® Growth Index | 5.67% | 13.53% | 8.53% | 6.61% |
|
| |
S&P 500® Index | 1.38% | 12.57% | 7.31% | 7.13% |
|
| |
Morningstar Quartile - Institutional Shares | 1st | 1st | 1st | 1st |
|
| |
Morningstar Ranking - based on total returns for Large Growth Funds | 15/1,745 | 361/1,548 | 116/1,331 | 17/741 |
|
|
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
A Portfolio’s performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, Portfolio holdings and other details.
Foreign securities are subject to additional risks including currency fluctuations, political and economic uncertainty, increased volatility, lower liquidity and differing financial and information reporting standards, all of which are magnified in emerging markets.
These returns do not reflect the charges and expenses of any particular insurance product or qualified plan. Returns shown would have been lower had they included insurance charges.
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.
Returns shown for Service Shares for periods prior to December 31, 1999 are derived from the historical performance of Institutional Shares, adjusted to reflect the higher operating expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2015 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.
Janus Aspen Series | 5 |
Janus Aspen Forty Portfolio (unaudited)
Performance
A Portfolio's holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 1, 1997
6 | DECEMBER 31, 2015 |
Janus Aspen 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 | $1,038.50 | $3.55 |
| $1,000.00 | $1,021.73 | $3.52 | 0.69% | ||
Service Shares | $1,000.00 | $1,037.30 | $4.88 |
| $1,000.00 | $1,020.42 | $4.84 | 0.95% | ||
† | 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 Aspen Forty Portfolio
Schedule of Investments
December 31, 2015
| Value | ||||||
Common Stocks – 97.0% | |||||||
Auto Components – 1.2% | |||||||
Delphi Automotive PLC | 110,403 | $9,464,849 | |||||
Automobiles – 0.8% | |||||||
Tesla Motors, Inc.* | 28,037 | 6,729,160 | |||||
Biotechnology – 7.8% | |||||||
Amgen, Inc. | 156,550 | 25,412,761 | |||||
Celgene Corp.* | 164,836 | 19,740,759 | |||||
Regeneron Pharmaceuticals, Inc.* | 31,539 | 17,121,577 | |||||
62,275,097 | |||||||
Capital Markets – 4.1% | |||||||
Charles Schwab Corp. | 323,118 | 10,640,276 | |||||
E*TRADE Financial Corp.* | 732,151 | 21,700,956 | |||||
32,341,232 | |||||||
Commercial Banks – 2.8% | |||||||
US Bancorp | 520,892 | 22,226,462 | |||||
Construction Materials – 2.8% | |||||||
Vulcan Materials Co. | 237,016 | 22,509,410 | |||||
Consumer Finance – 1.8% | |||||||
Synchrony Financial* | 477,389 | 14,517,399 | |||||
Diversified Financial Services – 2.6% | |||||||
Intercontinental Exchange, Inc. | 82,257 | 21,079,179 | |||||
Food & Staples Retailing – 1.8% | |||||||
Costco Wholesale Corp. | 89,163 | 14,399,824 | |||||
Health Care Equipment & Supplies – 2.4% | |||||||
Boston Scientific Corp.* | 1,023,484 | 18,873,045 | |||||
Hotels, Restaurants & Leisure – 7.6% | |||||||
Chipotle Mexican Grill, Inc.* | 40,531 | 19,448,800 | |||||
Norwegian Cruise Line Holdings, Ltd.* | 397,003 | 23,264,376 | |||||
Starbucks Corp. | 291,393 | 17,492,322 | |||||
60,205,498 | |||||||
Industrial Conglomerates – 4.1% | |||||||
General Electric Co. | 1,035,125 | 32,244,144 | |||||
Information Technology Services – 4.0% | |||||||
MasterCard, Inc. - Class A | 327,413 | 31,876,930 | |||||
Internet & Catalog Retail – 7.3% | |||||||
Amazon.com, Inc.* | 36,511 | 24,677,420 | |||||
Ctrip.com International, Ltd. (ADR)* | 261,982 | 12,137,626 | |||||
Priceline Group, Inc.* | 16,738 | 21,340,113 | |||||
58,155,159 | |||||||
Internet Software & Services – 11.5% | |||||||
Alphabet, Inc. - Class C | 64,479 | 48,931,823 | |||||
CoStar Group, Inc.* | 98,349 | 20,327,755 | |||||
Facebook, Inc. - Class A* | 214,474 | 22,446,849 | |||||
91,706,427 | |||||||
Pharmaceuticals – 6.1% | |||||||
Bristol-Myers Squibb Co. | 334,705 | 23,024,357 | |||||
Zoetis, Inc. | 526,336 | 25,222,021 | |||||
48,246,378 | |||||||
Professional Services – 3.1% | |||||||
Nielsen Holdings PLC | 531,940 | 24,788,404 | |||||
Real Estate Investment Trusts (REITs) – 2.8% | |||||||
Crown Castle International Corp. | 256,023 | 22,133,188 | |||||
Road & Rail – 2.2% | |||||||
Canadian Pacific Railway, Ltd. (U.S. Shares) | 136,946 | 17,474,310 | |||||
Semiconductor & Semiconductor Equipment – 1.8% | |||||||
NXP Semiconductor NV* | 174,083 | 14,666,493 | |||||
Software – 8.0% | |||||||
Adobe Systems, Inc.* | 316,907 | 29,770,243 | |||||
Salesforce.com, Inc.* | 307,693 | 24,123,131 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | DECEMBER 31, 2015 |
Janus Aspen Forty Portfolio
Schedule of Investments
December 31, 2015
| Value | ||||||
Common Stocks – (continued) | |||||||
Software – (continued) | |||||||
Workday, Inc. - Class A* | 120,450 | $9,597,456 | |||||
63,490,830 | |||||||
Specialty Retail – 8.0% | |||||||
Advance Auto Parts, Inc. | 117,407 | 17,670,928 | |||||
Lowe's Cos., Inc. | 499,089 | 37,950,728 | |||||
TJX Cos., Inc. | 116,507 | 8,261,511 | |||||
63,883,167 | |||||||
Technology Hardware, Storage & Peripherals – 2.4% | |||||||
Apple, Inc. | 182,489 | 19,208,792 | |||||
Total Common Stocks (cost $602,378,484) | 772,495,377 | ||||||
Investment Companies – 3.1% | |||||||
Money Markets – 3.1% | |||||||
Janus Cash Liquidity Fund LLC, 0.3105%ºº,£ (cost $24,691,025) | 24,691,025 | 24,691,025 | |||||
Total Investments (total cost $627,069,509) – 100.1% | 797,186,402 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.1)% | (457,568) | ||||||
Net Assets – 100% | $796,728,834 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $752,907,974 | 94.5 | % | ||
Canada | 17,474,310 | 2.2 | |||
Netherlands | 14,666,493 | 1.8 | |||
China | 12,137,626 | 1.5 | |||
Total | $797,186,403 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Aspen Forty Portfolio
Notes to Schedule of Investments and Other Information
Russell 1000® Growth Index | Measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | Measures broad U.S. equity performance. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
PLC | Public Limited Company |
U.S. Shares | Securities of foreign companies trading on an American stock exchange. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of December 31, 2015. |
£ | 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. Based on the Portfolio’s relative ownership, the following securities were considered affiliated companies for all or some portion of the year ended December 31, 2015. Unless otherwise indicated, all information in the table is for the year ended December 31, 2015. |
| Share | Purchases | Sales | Share | Dividend | Value |
Janus Cash Liquidity Fund LLC | 18,546,315 | 309,351,610 | (303,206,900) | 24,691,025 | $ 36,825 | $ 24,691,025 |
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, 2015. See Notes to Financial Statements for more information. | |||
Valuation Inputs Summary | |||
| Level 1 - | Level 2 - | Level 3 - |
Assets | |||
Investments in Securities: | |||
Common Stocks | $ 772,495,377 | $ - | $ - |
Investment Companies | - | 24,691,025 | - |
Total Assets | $ 772,495,377 | $ 24,691,025 | $ - |
10 | DECEMBER 31, 2015 |
Janus Aspen Forty Portfolio
Statement of Assets and Liabilities
December 31, 2015
Assets: |
|
|
|
| ||
Investments, at cost | $ | 627,069,509 | ||||
Unaffiliated investments, at value | $ | 772,495,377 | ||||
Affiliated investments, at value | 24,691,025 | |||||
Cash | 591 | |||||
Non-interested Trustees' deferred compensation | 16,127 | |||||
Receivables: | ||||||
Dividends | 528,372 | |||||
Portfolio shares sold | 143,057 | |||||
Foreign tax reclaims | 68,884 | |||||
Dividends from affiliates | 6,179 | |||||
Other assets | 7,840 | |||||
Total Assets |
|
| 797,957,452 |
| ||
Liabilities: | ||||||
Payables: | — | |||||
Advisory fees | 476,858 | |||||
Portfolio shares repurchased | 433,035 | |||||
12b-1 Distribution and shareholder servicing fees | 117,013 | |||||
Postage fees | 57,170 | |||||
Printing fees | 53,000 | |||||
Professional fees | 35,334 | |||||
Non-interested Trustees' deferred compensation fees | 16,127 | |||||
Portfolio administration fees | 7,078 | |||||
Non-interested Trustees' fees and expenses | 4,587 | |||||
Custodian fees | 3,384 | |||||
Transfer agent fees and expenses | 547 | |||||
Accrued expenses and other payables | 24,485 | |||||
Total Liabilities |
|
| 1,228,618 |
| ||
Net Assets |
| $ | 796,728,834 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 524,549,471 | ||||
Undistributed net investment income/(loss) | (16,127) | |||||
Undistributed net realized gain/(loss) from investments and foreign currency transactions | 102,080,853 | |||||
Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation | 170,114,637 | |||||
Total Net Assets |
| $ | 796,728,834 |
| ||
Net Assets - Institutional Shares | $ | 295,725,406 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 8,130,623 | |||||
Net Asset Value Per Share |
| $ | 36.37 |
| ||
Net Assets - Service Shares | $ | 501,003,428 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 14,280,847 | |||||
Net Asset Value Per Share |
| $ | 35.08 |
|
See Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Aspen Forty Portfolio
Statement of Operations
For the year ended December 31, 2015
Investment Income: |
|
|
| ||
| Dividends | $ | 5,603,044 | ||
Dividends from affiliates | 36,825 | ||||
Other income | 427 | ||||
Foreign tax withheld | (66,797) | ||||
Total Investment Income |
| 5,573,499 |
| ||
Expenses: | |||||
Advisory fees | 5,265,418 | ||||
12b-1Distribution and shareholder servicing fees: | |||||
Service Shares | 1,261,640 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 2,180 | ||||
Service Shares | 2,148 | ||||
Portfolio administration fees | 69,313 | ||||
Professional fees | 48,955 | ||||
Registration fees | 37,350 | ||||
Custodian fees | 21,870 | ||||
Non-interested Trustees’ fees and expenses | 18,687 | ||||
Shareholder reports expense | 4,436 | ||||
Other expenses | 58,514 | ||||
Total Expenses |
| 6,790,511 |
| ||
Net Investment Income/(Loss) |
| (1,217,012) |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 103,601,643 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 103,601,643 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | (11,093,868) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| (11,093,868) |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 91,290,763 |
| ||
See Notes to Financial Statements. | |
12 | DECEMBER 31, 2015 |
Janus Aspen Forty Portfolio
Statements of Changes in Net Assets
|
|
| Year ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | (1,217,012) | $ | (637,518) | ||||
Net realized gain/(loss) on investments | 103,601,643 | 160,492,743 | ||||||
Change in unrealized net appreciation/depreciation | (11,093,868) | (96,604,872) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 91,290,763 |
|
| 63,250,353 | |||
Dividends and Distributions to Shareholders: | ||||||||
Institutional Shares | — | (503,982) | ||||||
Service Shares | — | (154,665) | ||||||
| Total Dividends from Net Investment Income |
| — |
|
| (658,647) | ||
Distributions from Net Realized Gain from Investment Transactions | ||||||||
Institutional Shares | (57,445,111) | (93,285,383) | ||||||
Service Shares | (102,554,820) | (152,735,352) | ||||||
| Total Distributions from Net Realized Gain from Investment Transactions | (159,999,931) |
|
| (246,020,735) | |||
Net Decrease from Dividends and Distributions to Shareholders |
| (159,999,931) |
|
| (246,679,382) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 18,828,189 | 13,703,390 | ||||||
Service Shares | 54,810,568 | 79,125,154 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 73,638,757 |
|
| 92,828,544 | |||
Net Increase/(Decrease) in Net Assets |
| 4,929,589 |
|
| (90,600,485) | |||
Net Assets: | ||||||||
Beginning of period | 791,799,245 | 882,399,730 | ||||||
| End of period | $ | 796,728,834 |
| $ | 791,799,245 | ||
Undistributed Net Investment Income/(Loss) | $ | (16,127) |
| $ | (16,251) |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Aspen Forty Portfolio
Financial Highlights
Institutional Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $40.27 |
|
| $53.34 |
|
| $40.95 |
|
| $33.22 |
|
| $35.74 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | 0.03(1) | 0.03(1) | 0.38 | 0.47 | 0.23 | |||||||||||||
Net realized and unrealized gain/(loss) | 4.77 | 3.08 | 12.34 | 7.54 | (2.62) | |||||||||||||
Total from Investment Operations |
| 4.80 |
|
| 3.11 |
|
| 12.72 |
|
| 8.01 |
|
| (2.39) |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | — | (0.09) | (0.33) | (0.28) | (0.13) | |||||||||||||
Distributions (from capital gains) | (8.70) | (16.09) | — | — | — | |||||||||||||
Total Dividends and Distributions |
| (8.70) |
|
| (16.18) |
|
| (0.33) |
|
| (0.28) |
|
| (0.13) |
| |||
Net Asset Value, End of Period | $36.37 | $40.27 | $53.34 | $40.95 | $33.22 | |||||||||||||
Total Return* |
| 12.22% |
|
| 8.73% |
|
| 31.23% |
|
| 24.16% |
|
| (6.69)% |
| |||
Net Assets, End of Period (in thousands) | $295,725 | $299,546 | $355,429 | $488,374 | $459,459 | |||||||||||||
Average Net Assets for the Period (in thousands) | $298,904 | $307,359 | $491,231 | $512,799 | $518,818 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.69% | 0.57% | 0.55% | 0.55% | 0.70% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.69% | 0.57% | 0.55% | 0.55% | 0.70% | |||||||||||||
Ratio of Net Investment Income/(Loss) | 0.08% | 0.07% | 0.31% | 1.03% | 0.56% | |||||||||||||
Portfolio Turnover Rate | 55% | 46% | 61% | 10% | 46% | |||||||||||||
1 |
Service Shares | ||||||||||||||||||
For a share outstanding during each year ended December 31 |
| 2015 |
|
| 2014 |
|
| 2013 |
|
| 2012 |
|
| 2011 |
| |||
Net Asset Value, Beginning of Period |
| $39.21 |
|
| $52.40 |
|
| $40.28 |
|
| $32.72 |
|
| $35.24 |
| |||
Income/(Loss) from Investment Operations: | ||||||||||||||||||
Net investment income/(loss) | (0.06)(1) | (0.07)(1) | —(2) | 0.31 | 0.09 | |||||||||||||
Net realized and unrealized gain/(loss) | 4.63 | 2.99 | 12.38 | 7.47 | (2.52) | |||||||||||||
Total from Investment Operations |
| 4.57 |
|
| 2.92 |
|
| 12.38 |
|
| 7.78 |
|
| (2.43) |
| |||
Less Dividends and Distributions: | ||||||||||||||||||
Dividends (from net investment income) | — | (0.02) | (0.26) | (0.22) | (0.09) | |||||||||||||
Distributions (from capital gains) | (8.70) | (16.09) | — | — | — | |||||||||||||
Total Dividends and Distributions |
| (8.70) |
|
| (16.11) |
|
| (0.26) |
|
| (0.22) |
|
| (0.09) |
| |||
Net Asset Value, End of Period | $35.08 | $39.21 | $52.40 | $40.28 | $32.72 | |||||||||||||
Total Return* |
| 11.94% |
|
| 8.47% |
|
| 30.89% |
|
| 23.82% |
|
| (6.91)% |
| |||
Net Assets, End of Period (in thousands) | $501,003 | $492,253 | $526,971 | $471,002 | $417,408 | |||||||||||||
Average Net Assets for the Period (in thousands) | $501,868 | $493,575 | $486,845 | $468,967 | $475,743 | |||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.94% | 0.82% | 0.81% | 0.80% | 0.95% | |||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.94% | 0.82% | 0.81% | 0.80% | 0.95% | |||||||||||||
Ratio of Net Investment Income/(Loss) | (0.17)% | (0.17)% | 0.04% | 0.81% | 0.31% | |||||||||||||
Portfolio Turnover Rate | 55% | 46% | 61% | 10% | 46% | |||||||||||||
* Total return not annualized for periods of less than one full year. ** 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) Less than $0.005 on a per share basis. |
See Notes to Financial Statements. | |
14 | DECEMBER 31, 2015 |
Janus Aspen Forty Portfolio
Notes to Financial Statements
1. Organization and Significant Accounting Policies
Janus Aspen Forty Portfolio (the “Portfolio”) is a series fund. The Portfolio is part 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 twelve Portfolios which include multiple series of shares, with differing investment objectives and policies. The Portfolio invests primarily in common stocks. 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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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, 2015 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.
There were no transfers between Level 1, Level 2 and Level 3 of the fair value hierarchy during the year. The Portfolio recognizes transfers between the levels as of the beginning of the fiscal year.
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 on the accrual basis and includes amortization of premiums and accretion of discounts. 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, as well as a portion of general expenses, which may be allocated pro rata to the Portfolio. 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 financial crisis in both the U.S. and global economies over the past several years has resulted, and may continue to result, in a significant decline in the value and liquidity of many securities of issuers worldwide in the equity and fixed-income/credit markets. 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. 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. The effect of these changes on the markets, and the practical implications for market participants, including the Portfolio, may not be fully known for some time. As a result, it may also be unusually difficult to identify both investment risks and opportunities, which could limit or preclude the Portfolio’s ability to achieve its investment objective. Therefore, it is important to understand that the value of your investment may fall, sometimes sharply, and you could lose money.
The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provided for widespread regulation of financial institutions, consumer financial products and services, broker-dealers, OTC derivatives, investment advisers, credit rating agencies, and mortgage lending, which expanded federal oversight in the financial sector, including the investment management industry. Many provisions of the Dodd-Frank Act remain pending
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Notes to Financial Statements
and will be implemented through future rulemaking. Therefore, the ultimate impact of the Dodd-Frank Act and the regulations under the Dodd-Frank Act on the Portfolio and the investment management industry as a whole, is not yet certain.
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, notably due to investments in sovereign debt of countries such as Greece, Italy, Spain, Portugal, and Ireland. 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. Further defaults or restructurings by governments and others of their debt could have additional adverse effects on economies, financial markets, and asset valuations around the world. Greece, Ireland, and Portugal have already received one or more "bailouts" from other Eurozone member states, and it is unclear how much additional funding they will require or if additional Eurozone member states will require bailouts in the future. One or more countries may abandon the euro and/or withdraw from the EU, placing its currency and banking system in jeopardy.
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.
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.
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 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.
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 during the applicable performance measurement period, which is generally the previous 36 months.
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
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Rate plus/minus any Performance Adjustment. For the year ended December 31, 2015, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.65%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. In addition, Janus Services provides or arranges for the provision of certain other administrative services including, but not limited to, recordkeeping, accounting, order processing, and other shareholder services for the Portfolio. Janus Services is not compensated for its 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 fees and shareholder servicing fees” in the Statement of Operations.
Janus Capital furnishes certain administration, compliance, and accounting services for the Portfolio and is reimbursed by the Portfolio for certain of its costs in providing those services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). The Portfolio also pays for salaries, fees, and expenses of certain 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 provides to the Portfolio. These amounts are disclosed as “Portfolio administration fees” on the Statement of Operations. In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. Some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and compliance staff are shared with the Portfolio. Total compensation of $43,224 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the year ended December 31, 2015. 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 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, 2015 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 “Unrealized net appreciation/(depreciation) of investments, foreign currency translations and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the year ended December 31, 2015 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 $317,200 were paid by the Trust to a Trustee under the Deferred Plan during the year ended December 31, 2015.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or nonaffiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or nonaffiliated money market funds or cash management pooled investment vehicles. 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 Cash Liquidity Fund LLC is an affiliated unregistered cash
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Notes to Financial Statements
management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. Janus Cash Liquidity Fund LLC currently maintains a NAV of $1.00 per share and distributes income daily in a manner consistent with a registered product compliant with Rule 2a-7 under the 1940 Act. There are no restrictions on the Portfolio's ability to withdraw investments from Janus Cash Liquidity Fund LLC at will, and there are no unfunded capital commitments due from the Portfolio to Janus Cash Liquidity Fund LLC. The units of Janus Cash Liquidity Fund LLC are not charged 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, 2015 can be found in a table located in the Notes to Schedule of Investments and Other Information.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital Management LLC 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, 2015, the Portfolio engaged in cross trades amounting to $30,619,365 in sales, resulting in a net realized gain/loss of $5,861,179. The net realized gain/loss is included in “Investments and foreign currency transactions” within the “Net Realized and Unrealized 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 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 | Net Tax | ||||||
Undistributed | Undistributed | Accumulated | Late-Year | Post-October | Other Book | Appreciation/ | |
$ 6,437,226 | $ 95,750,642 | $ - | $ - | $ - | $ (18,380) | $170,009,875 |
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, 2015 are noted below.
Unrealized appreciation and unrealized depreciation in the table below exclude appreciation/depreciation on foreign currency translations. The primary differences between book and tax appreciation or depreciation of investments is wash sale loss deferrals
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 627,176,527 | $183,969,994 | $(13,960,119) | $ 170,009,875 |
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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, foreign currency transactions, net investment 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, 2015 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 9,606,802 | $ 150,393,129 | $ - | $ - |
For the year ended December 31, 2014 | ||||
Distributions | ||||
From Ordinary Income | From Long-Term Capital Gains | Tax Return of Capital | Net Investment Loss | |
$ 658,647 | $ 246,020,735 | $ - | $ - |
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 | |
$ - | $ 1,217,136 | $ (1,217,136) |
5. Capital Share Transactions
Year ended December 31, 2015 | Year ended December 31, 2014 | |||||
|
| Shares | Amount |
| Shares | Amount |
Institutional Shares: | ||||||
Shares sold | 1,146,883 | $ 44,193,370 | 438,521 | $19,546,852 | ||
Reinvested dividends and distributions | 1,601,927 | 57,445,111 | 2,552,786 | 93,789,365 | ||
Shares repurchased | (2,057,242) | (82,810,292) | (2,216,104) | (99,632,827) | ||
Net Increase/(Decrease) | 691,568 | $ 18,828,189 |
| 775,203 | $13,703,390 | |
Service Shares: | ||||||
Shares sold | 1,444,396 | $ 53,479,766 | 568,799 | $25,026,559 | ||
Reinvested dividends and distributions | 2,961,444 | 102,554,820 | 4,268,286 | 152,890,017 | ||
Shares repurchased | (2,680,089) | (101,224,018) | (2,338,393) | (98,791,422) | ||
Net Increase/(Decrease) | 1,725,751 | $ 54,810,568 |
| 2,498,692 | $79,125,154 |
6. Purchases and Sales of Investment Securities
For the year ended December 31, 2015, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, and in-kind transactions) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$423,573,271 | $ 516,653,749 | $ - | $ - |
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Notes to Financial Statements
7. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to December 31, 2015 and through the date of issuance of the Portfolio’s financial statements and determined that there were material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements, as discussed below.
Effective May 1, 2016, the Portfolio pays Janus Services a fee at an annual rate of up to 0.05% of the average daily net assets of the Portfolio’s Institutional Shares and Service Shares to compensate insurance companies for services provided to contract owners. Any unused portion will be reimbursed back to the respective share class.
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Janus Aspen Forty Portfolio
Independent Auditor’s Report
To the Board of Trustees of Janus Aspen Series and Shareholders of Janus Aspen Forty Portfolio:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Janus Aspen Forty Portfolio (one of the portfolios constituting Janus Aspen Series, hereafter referred to as the “Portfolio”) at December 31, 2015, 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 then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian and transfer agent, provide a reasonable basis for our opinion.
Denver, Colorado
February 12, 2016
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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 1-800-525-0020 (toll free); (ii) on the Portfolio’s website at janus.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 janus.com/ proxyvoting and from the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Holdings
The Portfolio files its complete portfolio holdings (schedule of investments) with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days of the end of such fiscal quarter. The Portfolio’s Form N-Q: (i) is 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) is available without charge, upon request, by calling Janus at 1-800-525-0020 (toll free).
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Investment Fund and Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Fund of Janus Investment Fund and each Portfolio of Janus Aspen Series (each, a “Fund” and collectively, the “Funds”), and as required by law, determine annually whether to continue the investment advisory agreement for each Fund and the subadvisory agreements for the 16 Funds that utilize subadvisers.
In connection with their most recent consideration of those agreements for each 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 9, 2015, 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 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 Fund, and the subadvisory agreement for each subadvised Fund, for the period from either January 1 or February 1, 2016 through January 1 or February 1, 2017, respectively, 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 any administration fees (excluding out of pocket costs), net of any waivers.
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 Funds, taking into account the investment objective, strategies and policies of each 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 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 Funds. The Trustees also considered other services provided to the 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 Funds, noting that Janus Capital does not receive a fee
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Additional Information (unaudited)
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 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 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 Funds and Fund shareholders, ranging from investment management services to various other servicing functions, and that, in its opinion, 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 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 Funds whose performance lagged that of their peers for certain periods, the 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 Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Fund over various time periods. They noted that they considered Fund performance data throughout the year, including periodic meetings with each Fund’s portfolio manager(s), and also reviewed information comparing each 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 Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Funds’ performance has been strong: for the 36 months ended September 30, 2015, approximately 70% of the Funds were in the top two Broadridge quartiles of performance, and for the 12 months ended September 30, 2015, approximately 61% of the Funds were in the top two Broadridge quartiles of performance.
The Trustees considered the performance of each Fund, noting that performance may vary by share class, and noted the following:
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, the steps Janus Capital had taken or was taking to improve performance, and its limited performance history.
· For Janus High-Yield Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Multi-Sector Income Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Real Return Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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· For Janus Short-Term Bond Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
· For Janus Money Market Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
Value Funds
· For Perkins International Value Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Perkins Global Value Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Large Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Mid Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
· For Perkins Select Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
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Additional Information (unaudited)
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital and Perkins had taken or were taking to improve performance, and that the performance trend was improving.
· For Perkins Value Plus Income Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH International Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. 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.
· For INTECH U.S. Core Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Contrarian Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Enterprise Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Forty Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Growth and Income Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and in the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Research Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
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· For Janus Triton Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Twenty Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Venture Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Emerging Markets Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Real Estate Fund, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Research Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Select Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance and the steps Janus Capital had taken or was taking to improve performance.
· For Janus International Equity Fund, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Overseas Fund, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
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Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Allocation Portfolio – Moderate, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2015 and the second Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the third Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, due to limited performance for the Fund, performance history was not a material factor.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2015 and the first Broadridge quartile for the 12 months ended May 31, 2015.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, 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.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2015 and the bottom Broadridge quartile for the 12 months ended May 31, 2015. The Trustees noted the reasons for the Fund’s underperformance, noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital and Perkins had taken or were taking to improve performance.
In consideration of each 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 Fund’s performance warranted continuation of the Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each 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 (investment advisory and any administration, but excluding out-of-pocket costs) fees for many of the Funds, after applicable waivers,
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Additional Information (unaudited)
was below the mean 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 Fund.
The independent fee consultant provided its belief that the management fees charged by Janus Capital to each of the 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 Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 14% below the mean total expenses of their respective Broadridge Expense Group peers and 24% below the mean total expenses for their Broadridge Expense Universes; (3) management fees for the Funds, on average, were 15% below the mean management fees for their Expense Groups and 19% below the mean for their Expense Universes; and (4) Fund expenses at the functional level for each asset and share class category were reasonable. The Trustees also considered the total expenses for each share class of each Fund compared to the mean total expenses for its Broadridge Expense Group peers and to mean total expenses for its Broadridge Expense Universe.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual fund level, Fund expenses were found to be reasonable relative to both Expense Group and Expense Universe benchmarks. Further, for certain Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to each set of investors in each share class in each selected Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Funds and share classes were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such 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 Funds having a similar strategy, the Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Funds, Janus Capital performs significant additional services for the Funds that it does not provide to those other clients, including administration services, oversight of the Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the 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 Funds are reasonable in relation to the management fees Janus Capital charges to its institutional and subadvised accounts; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) the average spread between management fees charged to the Funds and those charged to Janus Capital’s institutional accounts is reasonable relative to the average spreads seen in the industry; and (4) by one estimation methodology, the fee margins implied by Janus Capital’s subadvised fees when compared to its mutual fund fees are reasonable relative to the estimated fee margins in the industry and relative to estimated fee margins of fund managers using Janus Capital as a subadviser.
The Trustees considered the fees for each Fund for its fiscal year ended in 2014, and noted the following with regard to each Fund’s total expenses, net of applicable fee waivers (the Fund’s “total expenses”):
Fixed-Income Funds and Money Market Funds
· For Janus Flexible Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Global Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Unconstrained Bond Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus High-Yield Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Multi-Sector Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus has contractually agreed to limit the Fund’s expenses.
· For Janus Real Return Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Short-Term Bond Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for all share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Government Money Market Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for both share classes. The Trustees considered that management fees for this Fund are higher than the peer group mean due to the Fund’s management fee including other costs, such as custody and transfer agent services, while many funds in the peer group pay these expenses separately from their management fee. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
· For Janus Money Market Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes. In addition, the Trustees considered that Janus Capital voluntarily waives one-half of its advisory fee and other expenses in order to maintain a positive yield.
Asset Allocation Funds
· For Janus Global Allocation Fund – Conservative, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Growth, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Allocation Fund – Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
Alternative Fund
· For Janus Diversified Alternatives Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Value Funds
· For Perkins International Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Global Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Perkins Large Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Perkins Mid Cap Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Perkins Select Value Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Perkins Small Cap Value Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Perkins Value Plus Income Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Mathematical Funds
· For INTECH Emerging Markets Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For INTECH Global Income Managed Volatility Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For INTECH International Managed Volatility Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had 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 INTECH U.S. Core Fund, the Trustees noted that although the Fund’s total expenses exceeded the peer group mean 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 INTECH U.S. Managed Volatility Fund, the Trustees noted that the Fund’s total expenses exceeded the peer group mean for one share class. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
Growth and Core Funds
· For Janus Balanced Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Contrarian Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Enterprise Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Forty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
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Additional Information (unaudited)
· For Janus Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Growth and Income Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, 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 Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Triton Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Twenty Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Venture Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
Global and International Funds
· For Janus Asia Equity Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Emerging Markets Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for certain share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Global Life Sciences Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Real Estate Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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.
· For Janus Global Research Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Select Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus Global Technology Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
· For Janus International Equity Fund, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean 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 Overseas Fund, the Trustees noted that the Fund’s total expenses were below the peer group mean for all share classes.
Janus Aspen Series
· For Janus Aspen Balanced Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
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Additional Information (unaudited)
· For Janus Aspen Enterprise Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Forty Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Allocation Portfolio - Moderate, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses.
· For Janus Aspen Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group mean for both share classes, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital had contractually agreed to limit the Fund’s expenses.
· For Janus Aspen INTECH U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for its sole share class.
· For Janus Aspen Janus Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
· For Janus Aspen Perkins Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group mean for both share classes.
The Trustees reviewed information on the profitability to Janus Capital and its affiliates of their relationships with each Fund, as well as an explanation of the methodology utilized by Janus Capital when allocating various expenses of Janus Capital and its affiliates with respect to contractual relationships with the Funds and other clients. The Trustees also reviewed the financial statements and corporate structure of Janus Capital’s parent company. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Funds effectively. The Trustees recognized that profitability comparisons among fund managers are difficult because very little comparative information is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, 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. However, taking into account those factors and the analysis provided by the Trustees’ independent fee consultant, and based on the information available, the Trustees concluded that Janus Capital’s profitability with respect to each Fund in relation to the services rendered was reasonable.
The independent fee consultant found that, while assessing the reasonableness of expenses in light of Janus Capital’s profits is dependent on comparisons with other publicly-traded mutual fund advisers, and that these comparisons are limited in accuracy by differences in complex size, business mix, institutional account orientation, and other factors, after accepting these limitations, the level of profit earned by Janus Capital from managing the Funds is reasonable.
The Trustees concluded that the management fees payable by each Fund to Janus Capital and its affiliates, as well as the fees paid by Janus Capital to the subadvisers of subadvised 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 Funds. The Trustees also concluded that each Fund’s total expenses were reasonable, taking into account the size of the Fund, the quality of services
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Additional Information (unaudited)
provided by Janus Capital and any subadviser, the investment performance of the 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 Funds increase. They noted that their independent fee consultant provided an analysis of economies of scale, which included discussion of analysis from prior years. They also noted that, although many Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints, their independent fee consultant concluded that 85% of these Funds have contractual management fees (gross of waivers) below their Broadridge expense group averages and, overall, 80% of the Funds are below their respective expense group averages for contractual management fees. They also noted that for those Funds whose expenses are being reduced by the contractual expense limitations of Janus Capital, Janus Capital is subsidizing the Funds because they have not reached adequate scale. Moreover, as the assets of some of the Funds have declined in the past few years, certain Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Funds that have caused the effective rate of advisory fees payable by such a Fund to vary depending on the investment performance of the Fund relative to its benchmark index over the measurement period; and a few Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the 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 Funds. Based on all of the information they reviewed, including research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Fund of any economies of scale that may be present at the current asset level of the Fund.
The independent fee consultant concluded that, given the limitations of various analytical approaches to economies of scale considered in prior years, and their conflicting results, its analyses could not confirm or deny the existence of economies of scale in the Janus complex. Further, the independent fee consultant provided its belief that Fund investors are well-served by the fee levels and performance fee structures in place on the Funds in light of any economies of scale that may be present at Janus Capital.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Funds from their relationships with the Funds. They recognized that two affiliates of Janus Capital separately serve the Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided. The Trustees also considered Janus Capital’s past and proposed use of commissions paid by the Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a 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 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 Fund therefor, the 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/or the subadvisers benefits from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Funds and that the 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 Fund could attract other business to Janus Capital, the subadvisers or other Janus funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the 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, 2015. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus 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, 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 Aspen Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
generally accepted accounting principles required at the period end for financial reporting purposes. The total return does not include any charges at the separate account level or contract level. 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, 2015:
Capital Gain Distributions | $150,393,129 |
Dividends Received Deduction Percentage | 39% |
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Janus Aspen 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.
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. Portfolio officers receive no compensation from the Portfolio, except for the Portfolio’s Chief Compliance Officer, as authorized by the Trustees.
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 | Chairman Trustee | 1/08-Present 6/02-Present | Managing Director, Holos Consulting LLC (provides consulting services to foundations and other nonprofit organizations). Formerly, Chief Executive Officer, Imprint Capital (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 | Chairman of the Board and Director of The Investment Fund for Foundations Investment Program (TIP) (consisting of 2 funds), and Director of the F.B. Heron Foundation (a private grantmaking foundation). |
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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 |
Alan A. Brown | Trustee | 1/13-Present | Executive Vice President, Institutional Markets, of Dividend Capital Group (private equity real estate investment management firm) (since 2012). Formerly, 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 MotiveQuest LLC (strategic social market research company) (since 2003), and Director of WTTW (PBS affiliate) (since 2003). Formerly, Director of Nuveen Global Investors LLC (2007-2011); Director of Communities in Schools (2004-2010); and Director of Mutual Fund Education Alliance (until 2010). |
William D. Cvengros | Trustee | 1/11-Present | Managing Member and 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 of Pacific Life Insurance Company (a mutual life insurance and annuity company) (1987-1994). | 58 | Advisory Board Member, Innovate Partners Emerging Growth and Equity Fund I (early stage venture capital fund) (since 2014) and Managing Trustee of National Retirement Partners Liquidating Trust (since 2013). Formerly, 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 |
James T. Rothe | Trustee | 1/97-Present | Co-founder and Managing Director of Roaring Fork Capital SBIC, L.P. (SBA, SBIC fund focusing on private investment in public equity firms) and Professor Emeritus of Business of the University of Colorado, Colorado Springs, CO (since 2004). Formerly, Professor of Business of the University of Colorado (2002-2004); and Distinguished Visiting Professor of Business (2001-2002) of Thunderbird (American Graduate School of International Management), Glendale, AZ. | 58 | Formerly, Director of Red Robin Gourmet Burgers, Inc. (RRGB) (2004- 2014). |
William D. Stewart | Trustee | 9/93-Present | Retired. Formerly, Corporate Vice President and General Manager of MKS Instruments - HPS Products, Boulder, CO (a manufacturer of vacuum fittings and valves) and PMFC Division, Andover, MA (manufacturing pressure measurement and flow products) (1976-2012). | 58 | None |
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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 |
Linda S. Wolf | Trustee | 12/05-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), Chicago Council on Global Affairs, InnerWorkings (U.S. provider of print procurement solutions to corporate clients), Lurie Children’s Hospital (Chicago, IL), Rehabilitation Institute of Chicago, Walmart, and Wrapports, LLC (digital communications company). Formerly, Director of Chicago Convention & Tourism Bureau (until 2014) and The Field Museum of Natural History (Chicago, IL) (until 2014). |
Trustee Consultant | |||||
Raudline Etienne* | Consultant | 6/14-Present | 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). | N/A | Director of Brightwood Capital Advisors, LLC (since 2014). |
* Raudline Etienne was appointed consultant to the Trustees effective June 2, 2014. Shareholders of the Janus Funds are expected to be asked to elect Ms. Etienne as a Trustee at a future shareholder meeting.
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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 |
A. Douglas Rao | Executive Vice President and Co-Portfolio Manager | 6/13-Present | Portfolio Manager for other Janus accounts. Formerly, Partner and Portfolio Manager for Chautauqua Capital Management (2012-2013) and Portfolio Manager for Marsico Capital Management, LLC (2007-2012). |
Stephanie Grauerholz 151 Detroit Street | Chief Legal Counsel and Secretary | 1/06-Present | Senior Vice President and Chief Legal Counsel of Janus Capital and Senior Vice President of Janus Services LLC (since 2015). Formerly, Vice President and Assistant General Counsel of Janus Capital, Vice President and Assistant Secretary of Janus Distributors LLC, and Vice President of Janus Services LLC (2007-2015). |
Bruce L. Koepfgen | President and Chief Executive Officer | 7/14-Present | President of Janus Capital Group Inc. and Janus Capital Management LLC (since 2013); Executive Vice President and Director of Janus International Holding LLC (since 2011); Executive Vice President of Janus Distributors LLC (since 2011); Executive Vice President and Working Director of INTECH Investment Management LLC (since 2011); Executive Vice President and Director of Perkins Investment Management LLC (since 2011); and Executive Vice President and Director of Janus Management Holdings Corporation (since 2011). Formerly, 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). |
David R. Kowalski | Vice President, Chief Compliance Officer, and Anti-Money Laundering Officer | 6/02-Present | Senior Vice President and Chief Compliance Officer of Janus Capital, Janus Distributors LLC, and Janus Services LLC; Vice President of INTECH Investment Management LLC and Perkins Investment Management LLC; and Director of The Janus Foundation. |
Jesper Nergaard | Chief Financial Officer | 3/05-Present | Vice President of Janus Capital and Janus Services LLC. |
* 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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Notes
NotesPage1
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Janus provides access to a wide range of investment disciplines.
Alternative
Janus alternative funds seek to deliver strong risk-adjusted returns over a full market cycle with lower correlation to equity markets than traditional investments.
Asset Allocation
Janus’ asset allocation funds utilize our fundamental, bottom-up research to balance risk over the long term. From fund options that meet investors’ risk tolerance and objectives to a method that incorporates non-traditional investment choices to seek non-correlated sources of risk and return, Janus’ asset allocation funds aim to allocate risk more effectively.
Fixed Income
Janus fixed income funds attempt to provide less risk relative to equities while seeking to deliver a competitive total return through high current income and appreciation. Janus money market funds seek capital preservation and liquidity with current income as a secondary objective.
Global & International
Janus global and international funds seek to leverage Janus’ research capabilities by taking advantage of inefficiencies in foreign markets, where accurate information and analytical insight are often at a premium.
Growth & Core
Janus growth funds focus on companies believed to be the leaders in their respective industries, with solid management teams, expanding market share, margins and efficiencies. Janus core funds seek investments in more stable and predictable companies. Our core funds look for a strategic combination of steady growth and, for certain funds, some degree of income.
Mathematical
Our mathematical funds seek to outperform their respective indices while maintaining a risk profile equal to or lower than the index itself. Managed by INTECH® (a Janus subsidiary), these funds use a mathematical process in an attempt to build a more “efficient” portfolio than the index.
Value
Our value funds, managed by Perkins® (a Janus subsidiary), seek to identify companies with favorable reward to risk characteristics by conducting rigorous downside analysis before determining upside potential.
For more information about our funds, contact your investment professional or go to janus.com/variable-insurance.
Please consider the charges, risks, expenses and investment objectives carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, please call Janus at 877.33JANUS (52687) or download the file from janus.com/variable-insurance. Read it carefully before you invest or send money. | ||||||||||||
Janus, INTECH and Perkins are registered trademarks of Janus International Holding LLC. © Janus International Holding LLC. Funds distributed by Janus Distributors LLC | ||||||||||||
Investment products offered are: | NOT FDIC-INSURED | MAY LOSE VALUE | NO BANK GUARANTEE | |||||||||
C-0216-108236 | 109-02-81115 02-16 |
ANNUAL REPORT December 31, 2015 | |||
Janus Aspen Global Allocation Portfolio - Moderate | |||
Janus Aspen Series | |||
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your fund · Portfolio performance, characteristics | |||
Table of Contents
Janus Aspen Global Allocation Portfolio - Moderate
Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
PERFORMANCE OVERVIEW
For the 12 months ended December 31, 2015, Janus Aspen Global Allocation Portfolio – Moderate’s Institutional Shares and Service Shares returned -2.08% and -2.37%, respectively. This compares with a return of
-2.36% for its primary benchmark, the MSCI All Country World Index, and a -2.47% return for its secondary benchmark, the Global Moderate Allocation Index, an internally calculated, hypothetical combination of total returns from the MSCI All Country World Index (60%) and the Barclays Global Aggregate Bond Index (40%).
INVESTMENT ENVIRONMENT
Global equities ended the year down. Broad U.S. indices posted modest gains, while small- and mid-cap indices ended the year in negative territory. Growth stocks outperformed value during the year. Accommodative monetary policies from major central banks around the world provided a supportive environment for equities during the first half of 2015. However, concerns over China’s slowing economy, weakness in emerging markets, and falling oil and other commodity prices negatively impacted equities in the back half of the year.
U.S. fixed income markets endured a volatile 2015, with investor angst driven by the prospect of diverging monetary policy and varying growth trajectories among major economies. Investment-grade corporate spreads began to widen in the spring and as fear gripped the market in late summer the widening not only accelerated but became very volatile. High-yield credits followed a similar pattern but with greater widening, with the riskiest credits selling off the most, in particular energy, industrials and materials. For the year, the Treasury yield curve flattened with upward pressure felt most on the front end of the curve.
INVESTMENT PROCESS
Janus Aspen Global Allocation Portfolio – Moderate invests across a broad set of Janus, INTECH and Perkins funds that span a wide range of global asset categories with a base allocation of 45% to 65% equity investments, 30% to 45% fixed income investments and 5% to 20% alternative investments that are rebalanced quarterly. The Portfolio is structured as a “fund of funds” portfolio that provides investors with broad, diversified exposure to various types of investments with an emphasis on managing investment risk. The Portfolio is also designed to blend the three core competencies that Janus practices as an organization: mathematically driven strategies, risk-managed strategies and fundamentally-driven, growth and value-oriented strategies. We believe that combining these very different approaches in a single investment can potentially produce a portfolio with a unique and powerful performance profile.
The investment process involves setting return expectations for a broad range of Janus mutual funds that we believe best represent the full opportunity set available to today’s investor. We then establish an ideal “model” portfolio based upon the specific risk/return objective of Janus Aspen Global Allocation Portfolio – Moderate. The Janus Asset Allocation Committee also provides input on the overall allocation. Finally, we select the appropriate Janus, Perkins and INTECH funds that replicate our desired exposure. The allocations assigned to each selected underlying fund are consistent with our view of current market conditions and the long-term trade-off between risk and reward potential that each of these investment types represent. However, as a result of changing market conditions, both the mix of underlying funds and the allocations to these funds will change from time to time.
PERFORMANCE DISCUSSION
The Portfolio outperformed its benchmark and also its secondary benchmark during the period. On an absolute basis, our top contributors to performance included the Janus Forty Fund, INTECH U.S. Managed Volatility Fund, Janus Fund and Janus Twenty Fund. Each of those Funds has a lot of exposure to U.S. large cap equities, which
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Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
generally outperformed U.S. small-caps and broader global equity markets during the period.
Our largest detractors included the Janus Contrarian Fund, Janus Emerging Markets Fund, Janus Overseas Fund and Janus Asia Equity Fund. The Janus Contrarian Fund underperformed its benchmark this year. The other funds have high exposure toward emerging markets and international equities, which suffered steeper losses than U.S. equities or other asset classes, so we were not surprised to see those funds weigh on absolute performance.
OUTLOOK
As we look ahead to 2016, we see a number of potential tipping points for financial markets. Risk premiums are yet to adjust to a likely increase in real interest rates. Questions remain about China’s economic growth and just how far oil prices could decline. Geopolitical tension remains in various regions and countries and the U.S. is in an election year.
While these sources of uncertainty will create volatility in financial markets, they also create opportunities for asset allocators. We will be watchful for market dislocations, and look forward to the opportunities volatility may provide both for the underlying funds we invest in, and our ability to change our exposure across those different funds.
Thank you for investing in Janus Aspen Global Allocation Portfolio – Moderate.
2 | DECEMBER 31, 2015 |
Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
Portfolio At A Glance
December 31, 2015
Holdings - (% of Net Assets) | |||
Janus Global Bond Fund - Class N Shares | 25.1% | ||
Janus International Equity Fund - Class N Shares | 11.5 | ||
Perkins Large Cap Value Fund - Class N Shares | 9.1 | ||
INTECH U.S. Managed Volatility Fund - Class N Shares | 8.6 | ||
Janus Diversified Alternatives Fund - Class N Shares | 7.9 | ||
INTECH International Managed Volatility Fund - Class I Shares | 7.4 | ||
Janus Adaptive Global Allocation Fund - Class N Shares | 5.1 | ||
Janus Short-Term Bond Fund - Class N Shares | 4.5 | ||
Janus Overseas Fund - Class N Shares | 3.0 | ||
Janus Global Real Estate Fund - Class I Shares | 2.8 | ||
Janus Triton Fund - Class N Shares | 2.5 | ||
Perkins Small Cap Value Fund - Class N Shares | 2.2 | ||
Janus Emerging Markets Fund - Class I Shares | 2.1 | ||
Janus Forty Fund - Class N Shares | 1.8 | ||
Janus Fund - Class N Shares | 1.7 | ||
Janus Twenty Fund - Class D Shares | 1.5 | ||
Janus Aspen Global Research Portfolio - Institutional Shares | 1.2 | ||
Janus Contrarian Fund - Class I Shares | 1.1 | ||
Janus Global Select Fund - Class I Shares | 0.9 | ||
Janus Asia Equity Fund - Class I Shares | 0.3 |
Asset Allocation - (% of Net Assets) | ||||
Equity Funds | 60.0% | |||
Fixed Income Funds | 29.6% | |||
Alternative Funds | 10.7% | |||
Other | (0.3)% | |||
100.0% |
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Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
Performance
See important disclosures on the next page. |
Expense Ratios - | ||||||
Average Annual Total Return - for the periods ended December 31, 2015 |
| per the May 1, 2015 prospectuses | ||||
| One | Since |
| Total Annual Fund | Net Annual Fund | |
Institutional Shares | -2.08% | 6.94% |
| 1.80% | 1.02% | |
Service Shares | -2.37% | 6.78% |
| 1.89% | 1.14% | |
MSCI All Country World IndexSM | -2.36% | 8.21% |
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Global Moderate Allocation Index | -2.47% | 4.72% |
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Morningstar Quartile - Institutional Shares | 2nd | 1st |
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Morningstar Ranking - based on total returns for World Allocation Funds | 202/584 | 56/442 |
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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 877.33JANUS(52687) or visit janus.com/variable-insurance.
A Portfolio's performance may be affected by risks that include those associated with nondiversification, non-investment grade debt securities, high-yield/high-risk securities, undervalued or overlooked companies, investments in specific industries or countries and potential conflicts of interest. Additional risks to a Portfolio may also include, but are not limited to, those associated with investing in foreign securities, emerging markets, initial public offerings, real estate investment trusts (REITs), derivatives, short sales, commodity-linked investments and companies with relatively small market capitalizations. Each Portfolio has different risks. Please see a Janus prospectus for more information about risks, portfolio holdings and other details.
Performance of the Janus Aspen Global Allocation Portfolio depends on that of the underlying funds. They are subject to the volatility of the financial markets. Because Janus Capital is the adviser to the Fund and to the underlying affiliated funds held within the Fund, it is subject to certain potential conflicts of interest.
Returns shown do not represent actual returns since they do not include insurance charges. Returns shown would have been lower had they included insurance charges.
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.
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.
© 2015 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
4 | DECEMBER 31, 2015 |
Janus Aspen Global Allocation Portfolio - Moderate (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
A Portfolio’s holdings may differ significantly from the securities held in an index. An index is unmanaged and not available for direct investment; therefore its performance does not reflect the expenses associated with the active management of an actual portfolio.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – August 31, 2011
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Janus Aspen Global Allocation Portfolio - Moderate (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 | $968.50 | ($0.74) |
| $1,000.00 | $1,025.96 | ($0.77) | -0.15% | ||
Service Shares | $1,000.00 | $965.50 | $1.98 |
| $1,000.00 | $1,023.19 | $2.04 | 0.40% | ||
† | 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. | |||||||||
†† | Ratios do not include indirect expenses of the underlying funds and/or investment companies in which the Portfolio invests. |
6 | DECEMBER 31, 2015 |
Janus Aspen Global Allocation Portfolio - Moderate
Schedule of Investments
December 31, 2015
| Value | ||||||
Investment Companies£ – 100.3% | |||||||
Alternative Funds – 10.7% | |||||||
Janus Diversified Alternatives Fund - Class N Shares | 91,237 | $867,661 | |||||
Janus Global Real Estate Fund - Class I Shares | 30,702 | 316,538 | |||||
1,184,199 | |||||||
Equity Funds – 60.0% | |||||||
INTECH International Managed Volatility Fund - Class I Shares | 105,740 | 819,482 | |||||
INTECH U.S. Managed Volatility Fund - Class N Shares | 104,839 | 947,740 | |||||
Janus Adaptive Global Allocation Fund - Class N Shares | 59,602 | 557,870 | |||||
Janus Asia Equity Fund - Class I Shares | 3,628 | 30,656 | |||||
Janus Aspen Global Research Portfolio - Institutional Shares | 3,436 | 138,247 | |||||
Janus Contrarian Fund - Class I Shares | 6,478 | 120,548 | |||||
Janus Emerging Markets Fund - Class I Shares | 31,079 | 231,539 | |||||
Janus Forty Fund - Class N Shares | 6,605 | 196,777 | |||||
Janus Fund - Class N Shares | 5,545 | 193,949 | |||||
Janus Global Select Fund - Class I Shares | 7,596 | 96,466 | |||||
Janus International Equity Fund - Class N Shares | 109,645 | 1,266,401 | |||||
Janus Overseas Fund - Class N Shares | 12,065 | 331,542 | |||||
Janus Triton Fund - Class N Shares | 12,678 | 281,956 | |||||
Janus Twenty Fund - Class D Shares | 2,937 | 160,988 | |||||
Perkins Large Cap Value Fund - Class N Shares | 66,912 | 1,001,670 | |||||
Perkins Small Cap Value Fund - Class N Shares | 13,093 | 238,297 | |||||
6,614,128 | |||||||
Fixed Income Funds – 29.6% | |||||||
Janus Global Bond Fund - Class N Shares | 295,375 | 2,767,668 | |||||
Janus Short-Term Bond Fund - Class N Shares | 162,534 | 489,226 | |||||
3,256,894 | |||||||
Total Investments (total cost $11,748,975) – 100.3% | 11,055,221 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.3)% | (38,529) | ||||||
Net Assets – 100% | $11,016,692 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
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Janus Aspen Global Allocation Portfolio - Moderate
Notes to Schedule of Investments and Other Information
Barclays Global Aggregate Bond Index | A broad-based measure of the global investment grade fixed-rate debt markets. |
Global Moderate Allocation Index | An internally calculated, hypothetical combination of total returns from the MSCI All Country World Index |