United States Securities and Exchange Commission
Washington, D.C. 20549
FORM N-CSR
Certified Shareholder Report of Registered Management Investment Companies
Investment Company Act file number 811-07736
Janus Aspen Series
(Exact name of registrant as specified in charter)
151 Detroit Street, Denver, Colorado 80206
(Address of principal executive offices) (Zip code)
Kathryn L. Santoro, 151 Detroit Street, Denver, Colorado 80206
(Name and address of agent for service)
Registrant's telephone number, including area code: 303-333-3863
Date of fiscal year end: 12/31
Date of reporting period: 6/30/19
Item 1 - Reports to Shareholders
SEMIANNUAL REPORT June 30, 2019 | |||||
Janus Henderson VIT Balanced Portfolio | |||||
Janus Aspen Series | |||||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Balanced Portfolio
Janus Henderson VIT Balanced Portfolio (unaudited)
PERFRORMANCE SUMMARY
Janus Henderson VIT Balanced Portfolio’s Institutional Shares and Service Shares returned 12.86% and 12.71%, respectively, for the six-month period ended June 30, 2019. That compares with 18.54% for the Portfolio’s primary benchmark, the S&P 500® Index, and 6.11% for the Portfolio’s secondary benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. The Balanced Index, an internally calculated benchmark composed of a 55% weighting in the S&P 500 Index and a 45% weighting in the Bloomberg Barclays U.S. Aggregate Bond Index, returned 13.01%.
INVESTMENT ENVIRONMENT
Stocks gained ground during the period. Early on, the Federal Reserve (Fed) signaled it would hold rates steady in 2019, in stark contrast to its 2018 indication that it would hike this year, which supported equity markets. Resilient corporate profits and better-than-expected GDP growth also propelled stocks. Economic data, particularly related to global manufacturing, weakened later in the period, and U.S.-China trade negotiations caused some volatility, raising fear that trade tensions could dent an already-slowing global economy. But the expectation for more accommodative monetary policy from central banks, including a potential rate cut by the Fed, drove equities higher again near period end. Major equity indices ended the period with double-digit percentage gains. Within the S&P 500 Index, all sectors generated positive returns with information technology, consumer discretionary and industrials leading the pack. The health care, energy and utilities sectors lagged.
The risk appetite for corporate credit generally tracked that of equities, with investment-grade and high-yield spreads (the difference in yield between corporate securities and their underlying risk-free benchmarks) fluctuating, but ultimately finishing tighter. Treasuries also rallied, and lower yields further supported returns in corporate credit. The yield on the 10-year note closed the period at 2.01%, down from 2.68% in December.
PERFORMANCE DISCUSSION
The equity-to-fixed-income allocation ended the period approximately 60% equity, 40% fixed income and a small allocation to cash. Our equity allocation may vary based on market conditions, and currently reflects our view that on a risk-adjusted basis, equities present more attractive opportunities relative to fixed income.
The Portfolio’s equity sleeve performed in line with the S&P 500 Index. Security selection in health care weighed on relative results, with two of the Portfolio’s three largest individual detractors falling into this category. This included biopharmaceuticals company AbbVie. Early in the period, the company reported declining non-U.S. sales for its blockbuster rheumatoid arthritis drug, Humira, which now faces biosimilar competition in Europe. Further weighing on the name were uncertainties pertaining to changes to the management team and concern around whether the company’s pipeline could help replace some of the lost Humira sales. In the latter half of the period, political rhetoric around pharmaceutical drug prices and Democratic candidate proposals of health care for all pressured health care names across the board. We have been re-evaluating our health care exposure amid the uncertainty and finished the period underweight, which offset some of the losses from stock selection in the sector. We also trimmed our position in AbbVie.
Pharmaceutical company Bristol-Myers Squibb also detracted. During the period, the company announced it would acquire Celgene for $74 billion. Investors became concerned of the premium Bristol-Myers Squibb was paying for Celgene considering it is facing patent challenges of its multiple myeloma drug Revlimid and is being forced to divest two high-value drugs. We added to the position as we believe the deal should help expand Bristol-Myers’ pipeline and create cost synergies.
Janus Aspen Series | 1 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Stock selection in the industrials and consumer staples sectors also weighed on relative performance. Supermarket chain Kroger was among the top individual detractors. The company’s three-year “Restock Kroger” plan, designed to improve shareholder value, got off to a slower-than-expected start. Kroger’s investments in its omnichannel shopping initiatives and in-store grocery pickup are also likely to come at a substantially higher-than-expected cost, resulting in concerns over the company’s ability to meet its operating targets and return value to shareholders. In light of these factors, and heightened competition from Amazon and Walmart in the grocer arena, we trimmed our exposure and continue to review our position.
While the aforementioned holdings disappointed, we were pleased with other aspects of performance. Our overweight allocation and stock selection in the strong-performing information technology sector benefited relative results. Microsoft was the strongest individual contributor to performance. The company’s Azure cloud platform and subscription-based Office 365 suite continue to grow, and the demand outlook for these products remains robust.
Multinational financial services corporation Mastercard was another contributor. The company is growing faster than its competition and benefiting from smart acquisitions and its fixed-cost business model, which is resulting in high incremental margins. Payments companies continue to benefit as credit cards and electronic payments grow in popularity among consumers and businesses globally.
Membership-only warehouse club Costco also contributed. The company has been growing its grocery business and expanding its organics line, and the retailer is well positioned from a competitor standpoint to take market share. Costco’s international growth prospects are another attractive aspect as it continues to see strong customer reception in new and existing countries.
The Portfolio’s fixed income sleeve outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. The tailwind we expect from the Fed’s accommodative pivot and subsequent pledge to “act as appropriate” to sustain the economic expansion led us to add to our U.S.-based corporate credit allocation. Our expectation for limited net new issuance coupled with strong demand amid investors’ search for yield also contributed to our decision to raise our allocation off a multi-year low. While we have added selectively to what we believe are higher-quality business models in high yield, the increase has been primarily in the investment-grade sector. Given the Fed’s next move will likely be a cut, we continued to reduce our floating rate exposure, including positions in certain asset-backed securities (ABS), commercial mortgage-backed securities (CMBS) and bank loans. We also trimmed our Treasury allocation, but shifted into longer-dated Treasury exposure to help balance the risk from our increased corporate credit allocation. We expect lower Treasury yields and a relatively flat curve as U.S. yields remain attractive versus their global peers. The increase in long-dated Treasuries contributed to the lengthening of the fixed income sleeve’s overall duration (a measure of sensitivity to changes in interest rates), which ended the period at approximately 112% of the index.
The Portfolio’s out-of-index allocation to high-yield corporate bonds contributed to relative performance during the spread-tightening environment. Adding Treasury duration also proved beneficial, as our bias to longer-dated bonds benefited results during the period’s rally in rates. Our additions to investment-grade corporates, the strongest-performing benchmark sector, also supported relative results.
A modest cash balance detracted from relative performance, given the strong performance in riskier assets during the period. Although we significantly reduced our floating-rate exposure, front-end and floating rate collateralized mortgage obligations, ABS, CMBS, and collateralized loan obligations also detracted from relative performance, largely due to their lack of duration.
OUTLOOK
Myriad geopolitical and economic uncertainties continue to trouble investors – from slowing global growth to trade tensions, U.S.-Iran relations and the upcoming U.S. presidential campaign season. Political rhetoric around U.S. technology companies, drug pricing and health care for all are already creating challenges for investors. While all of these have the potential to generate bouts of market volatility, our outlook for equities remains positive overall. U.S. economic growth is relatively healthy and company growth, while slowing, is still constructive. More accommodative policy from the Fed will also serve as a tailwind for stocks. We believe there is a high probability the Fed will announce one interest rate cut this year, although second quarter earnings will provide more clarity into the underlying health of the economy. We are optimistic for a resolution to U.S.-China trade relations, which would also be a boon to equities, but even an
2 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
agreement to get the Boeing 737 Max airliner back in the air could be positive for the global economy and help to ease some concerns around geopolitical tensions.
Amid this shifting landscape, we are particularly focused on companies that are disruptors in their sectors and/or benefiting from attractive secular tailwinds such as the migration to cloud technology, the rise of Software as a Service and electronic payments, and the uptick in global consumer travel. We are focused on companies that generate high levels of free cash flow that will support them through periods of volatility in both the economy and the equity market. We seek strong growth prospects with improving fundamentals, including those making investments that should drive shareholder value over time.
Within fixed income, we think both Treasuries and credit can continue to perform well in the near term. Treasury yields can continue to rally on the back of the Fed pivot and low to negative yields abroad. Supply/demand technicals also remain favorable for U.S. investment-grade corporate credit, given limited net new issuance. Further, given the constructive state of the U.S. economy and corporate fundamentals, coupled with the Fed’s backstop, it is difficult to envision a sustained sell-off in corporate credit without recession risks and default rates trending higher. However, there is no doubt that the landscape can change quickly given the macro uncertainties at this late stage of the credit cycle. We believe a focus on higher-quality business models remains prudent and intend to remain diversified across fixed income asset classes. Thorough vetting of all opportunities, coupled with security avoidance remains critical.
Thank you for your investment in the Janus Henderson VIT Balanced Portfolio.
Janus Aspen Series | 3 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
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Contribution | Contribution | |||||
Microsoft Corp | 1.84% | AbbVie Inc | -0.27% | |||
Mastercard Inc | 1.69% | Kroger Co | -0.19% | |||
Costco Wholesale Corp | 0.80% | Bristol-Myers Squibb Co | -0.14% | |||
Apple Inc | 0.72% | EOG Resources Inc | -0.11% | |||
Adobe Inc | 0.64% | Allergan PLC | -0.09% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | S&P 500 Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Information Technology | 0.61% | 23.62% | 20.90% | |||
Financials | 0.53% | 12.67% | 13.20% | |||
Energy | 0.40% | 2.20% | 5.31% | |||
Real Estate | 0.18% | 2.81% | 3.03% | |||
Utilities | 0.13% | 0.00% | 3.27% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | S&P 500 Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Health Care | -0.61% | 12.35% | 14.49% | |||
Consumer Staples | -0.37% | 10.46% | 7.26% | |||
Industrials | -0.34% | 12.96% | 9.46% | |||
Other** | -0.29% | 1.29% | 0.00% | |||
Materials | -0.26% | 2.18% | 2.68% | |||
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. |
4 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 3.7% |
Mastercard Inc | |
Information Technology Services | 2.9% |
Boeing Co | |
Aerospace & Defense | 2.0% |
Alphabet Inc - Class C | |
Interactive Media & Services | 2.0% |
McDonald's Corp | |
Hotels, Restaurants & Leisure | 2.0% |
12.6% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 59.8% | ||||
Corporate Bonds | 17.7% | ||||
Mortgage-Backed Securities | 10.1% | ||||
United States Treasury Notes/Bonds | 9.0% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 2.6% | ||||
Investment Companies | 2.2% | ||||
Bank Loans and Mezzanine Loans | 0.1% | ||||
Other | (1.5)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2019 | As of December 31, 2018 |
Janus Aspen Series | 5 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
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| per the April 30, 2019 prospectuses | |||||||
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| Fiscal | One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 12.86% | 10.18% | 7.93% | 10.34% | 9.88% |
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| 0.63% | |
Service Shares |
| 12.71% | 9.92% | 7.66% | 10.07% | 9.70% |
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| 0.88% | |
S&P 500 Index |
| 18.54% | 10.42% | 10.71% | 14.70% | 9.58% |
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Bloomberg Barclays U.S. Aggregate Bond Index |
| 6.11% | 7.87% | 2.95% | 3.90% | 5.15% |
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Balanced Index |
| 13.01% | 9.75% | 7.36% | 9.96% | 7.83% |
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Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 1st | 1st |
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Morningstar Ranking - based on total returns for Allocation - 50% to 70% Equity Funds |
| - | 42/748 | 19/682 | 71/556 | 10/217 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See Financial Highlights for actual expense ratios during the reporting period.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
6 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
Janus Aspen Series | 7 |
Janus Henderson VIT Balanced Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,128.60 | $3.27 |
| $1,000.00 | $1,021.72 | $3.11 | 0.62% | ||
Service Shares | $1,000.00 | $1,127.10 | $4.59 |
| $1,000.00 | $1,020.48 | $4.36 | 0.87% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (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. |
8 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 2.6% | |||||||
Angel Oak Mortgage Trust I LLC 2018-2, 3.6740%, 7/27/48 (144A)‡ | $638,531 | $649,963 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.1940%, 6/7/49 (144A) | 2,871,000 | 2,911,953 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.7230%, 6/7/49 (144A) | 1,364,000 | 1,390,941 | |||||
Arroyo Mortgage Trust 2018-1, 3.7630%, 4/25/48 (144A)‡ | 1,069,504 | 1,090,039 | |||||
BAMLL Commercial Mortgage Securities Trust 2018-DSNY, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2443%, 9/15/34 (144A)‡ | 1,905,000 | 1,904,435 | |||||
BBCMS 2018-TALL Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.7220%, 3.1163%, 3/15/37 (144A)‡ | 5,200,000 | 5,182,428 | |||||
BBCMS Trust 2015-SRCH, 4.1970%, 8/10/35 (144A) | 2,528,000 | 2,781,800 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1443%, 11/15/33 (144A)‡ | 4,638,038 | 4,638,013 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 1,140,000 | 1,196,150 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 1,172,000 | 1,205,718 | |||||
CSMLT 2015-2 Trust, 3.5000%, 8/25/45 (144A)‡ | 1,545,312 | 1,568,844 | |||||
DB Master Finance LLC, 3.7870%, 5/20/49 (144A) | 1,641,000 | 1,682,195 | |||||
DB Master Finance LLC, 4.0210%, 5/20/49 (144A) | 663,000 | 681,455 | |||||
DB Master Finance LLC, 4.3520%, 5/20/49 (144A) | 1,312,000 | 1,376,425 | |||||
Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A) | 578,693 | 579,082 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 779,130 | 804,734 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 2,997,000 | 3,112,026 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 2,613,000 | 2,720,248 | |||||
Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A) | 1,458,000 | 1,484,225 | |||||
Drive Auto Receivables Trust 2019-1, 4.0900%, 6/15/26 | 613,000 | 634,281 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 3.0000%, 5.4044%, 7/25/24‡ | 4,162,292 | 4,338,279 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 3.5544%, 9/25/29‡ | 399,034 | 399,998 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.9500%, 3.3544%, 10/25/29‡ | 284,527 | 285,247 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.6000%, 3.0298%, 7/25/30‡ | 665,543 | 665,139 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.7200%, 3.1244%, 1/25/31‡ | 198,881 | 198,942 | |||||
Fannie Mae Connecticut Avenue Securities 2017-C06, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1544%, 2/25/30‡ | 236,195 | 236,229 | |||||
Fannie Mae Connecticut Avenue Securities 2018-C04, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1544%, 2/25/30‡ | 298,863 | 298,909 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 4,586,015 | 4,666,005 | |||||
Ginnie Mae II Pool, 3.5000%, 5/20/49 | 4,247,647 | 4,335,518 | |||||
Ginnie Mae II Pool, 3.5000%, 6/20/49 | 1,733,842 | 1,769,710 | |||||
Government National Mortgage Association - Class FQ, | |||||||
ICE LIBOR USD 1 Month + 0.4500%, 2.8329%, 2/20/49‡ | 4,186,291 | 4,184,050 | |||||
Government National Mortgage Association - Class QF, | |||||||
ICE LIBOR USD 1 Month + 0.4500%, 2.8329%, 2/20/49‡ | 3,693,355 | 3,691,343 | |||||
Jack in the Box Funding, LLC 2019-1A A23, 4.9700%, 8/25/49 | 3,555,000 | 3,555,000 | |||||
Jack in the Box Funding, LLC 2019-1A A2I, 3.9820%, 8/25/49 | 3,555,000 | 3,555,000 | |||||
Jack in the Box Funding, LLC 2019-1A A2II, 4.4760%, 8/25/49 | 3,605,000 | 3,605,000 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 3.3041%, 11/25/49 (144A)‡ | 624,000 | 624,399 | |||||
Mello Warehouse Securitization Trust 2018-1, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2544%, 11/25/51 (144A)‡ | 6,593,000 | 6,578,291 | |||||
New Residential Mortgage Loan Trust 2018-2, 4.5000%, 2/25/58 (144A)‡ | 1,231,886 | 1,292,568 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 570,000 | 587,122 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 566,000 | 589,190 | |||||
Santander Drive Auto Receivables Trust 2016-3, 4.2900%, 2/15/24 | 3,056,000 | 3,114,105 | |||||
Santander Drive Auto Receivables Trust 2018-1, 4.3700%, 5/15/25 (144A) | 4,050,000 | 4,098,809 | |||||
Sequoia Mortgage Trust 2018-7 A19, 4.0000%, 9/25/48 (144A)‡ | 962,324 | 975,765 | |||||
Station Place Securitization Trust 2018-7, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2796%, 9/24/19 (144A)‡ | 6,735,248 | 6,735,248 | |||||
Station Place Securitization Trust Series 2019-4, 3.3296%, 6/24/20 (144A)‡ | 6,615,000 | 6,615,000 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – (continued) | |||||||
Towd Point Asset Funding, LLC 2019-HE1 A1, 3.3410%, 4/25/48 (144A) | $4,014,000 | $4,001,235 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C34, 6.3076%, 5/15/46‡ | 205,657 | 207,897 | |||||
Wells Fargo Mortgage Backed Securities 2018-1, 3.5000%, 7/25/47 (144A)‡ | 790,075 | 791,658 | |||||
Wells Fargo Mortgage Backed Securities 2019-1 Trust, | |||||||
4.0000%, 11/25/48 (144A)‡ | 1,602,834 | 1,629,393 | |||||
Wells Fargo Mortgage Backed Securities 2019-2 Trust, | |||||||
4.0000%, 4/25/49 (144A)‡ | 1,531,059 | 1,549,753 | |||||
Wendy's Funding LLC, 3.5730%, 3/15/48 (144A) | 1,076,605 | 1,088,095 | |||||
WinWater Mortgage Loan Trust 2015-5, 3.5000%, 8/20/45 (144A)‡ | 4,855,611 | 4,929,521 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $117,707,419) | 118,787,373 | ||||||
Bank Loans and Mezzanine Loans – 0.1% | |||||||
Electric – 0.1% | |||||||
Vistra Operations Co LLC, ICE LIBOR USD 1 Month + 2.0000%, 4.4024%, 8/4/23‡ (cost $4,597,075) | 4,585,444 | 4,576,869 | |||||
Corporate Bonds – 17.7% | |||||||
Banking – 2.5% | |||||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28‡ | 13,470,000 | 14,146,763 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0700%, 3.9700%, 3/5/29‡ | 3,294,000 | 3,521,232 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.2100%, 3.9740%, 2/7/30‡ | 4,455,000 | 4,771,207 | |||||
Bank of Montreal, 3.3000%, 2/5/24 | 4,392,000 | 4,553,454 | |||||
Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28‡ | 16,551,000 | 17,503,042 | |||||
Citizens Financial Group Inc, 3.7500%, 7/1/24 | 860,000 | 873,332 | |||||
Citizens Financial Group Inc, 4.3500%, 8/1/25 | 613,000 | 643,108 | |||||
Citizens Financial Group Inc, 4.3000%, 12/3/25 | 2,207,000 | 2,333,700 | |||||
First Republic Bank/CA, 4.6250%, 2/13/47 | 1,653,000 | 1,777,437 | |||||
Goldman Sachs Capital I, 6.3450%, 2/15/34 | 3,650,000 | 4,585,165 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 7,054,000 | 7,541,187 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3370%, 3.7820%, 2/1/28‡ | 4,935,000 | 5,229,418 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3300%, 4.4520%, 12/5/29‡ | 13,273,000 | 14,761,772 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.1600%, 3.7020%, 5/6/30‡ | 4,344,000 | 4,578,270 | |||||
Morgan Stanley, 4.3500%, 9/8/26 | 3,985,000 | 4,271,516 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 6,273,000 | 6,558,554 | |||||
Morgan Stanley, ICE LIBOR USD 3 Month + 1.6280%, 4.4310%, 1/23/30‡ | 7,582,000 | 8,393,955 | |||||
Synchrony Financial, 4.3750%, 3/19/24 | 876,000 | 916,882 | |||||
Synchrony Financial, 3.9500%, 12/1/27 | 3,704,000 | 3,698,036 | |||||
Synchrony Financial, 5.1500%, 3/19/29 | 3,446,000 | 3,711,502 | |||||
114,369,532 | |||||||
Basic Industry – 1.4% | |||||||
Allegheny Technologies Inc, 5.9500%, 1/15/21 | 3,219,000 | 3,307,523 | |||||
CF Industries Inc, 4.5000%, 12/1/26 (144A) | 1,481,000 | 1,539,270 | |||||
Constellium NV, 5.7500%, 5/15/24 (144A) | 4,159,000 | 4,252,578 | |||||
Freeport-McMoRan Inc, 3.5500%, 3/1/22 | 11,389,000 | 11,403,236 | |||||
Freeport-McMoRan Inc, 3.8750%, 3/15/23 | 4,437,000 | 4,437,000 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 4,380,000 | 4,441,905 | |||||
Georgia-Pacific LLC, 3.6000%, 3/1/25 (144A) | 2,291,000 | 2,404,537 | |||||
Hudbay Minerals Inc, 7.2500%, 1/15/23 (144A) | 4,363,000 | 4,493,890 | |||||
Novelis Corp, 5.8750%, 9/30/26 (144A) | 8,146,000 | 8,247,825 | |||||
Nutrien Ltd, 4.2000%, 4/1/29 | 794,000 | 856,818 | |||||
Nutrien Ltd, 5.0000%, 4/1/49 | 962,000 | 1,090,835 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 2,242,000 | 2,353,200 | |||||
Steel Dynamics Inc, 5.5000%, 10/1/24 | 4,065,000 | 4,212,356 | |||||
WRKCo Inc, 3.7500%, 3/15/25 | 258,000 | 268,325 | |||||
WRKCo Inc, 4.6500%, 3/15/26 | 1,563,000 | 1,699,139 | |||||
WRKCo Inc, 3.3750%, 9/15/27 | 280,000 | 280,326 | |||||
WRKCo Inc, 4.0000%, 3/15/28 | 940,000 | 975,614 | |||||
WRKCo Inc, 4.9000%, 3/15/29 | 6,824,000 | 7,456,750 | |||||
63,721,127 | |||||||
Brokerage – 0.3% | |||||||
Cboe Global Markets Inc, 3.6500%, 1/12/27 | 2,983,000 | 3,130,272 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Brokerage – (continued) | |||||||
E*TRADE Financial Corp, 3.8000%, 8/24/27 | $2,631,000 | $2,648,002 | |||||
E*TRADE Financial Corp, 4.5000%, 6/20/28 | 988,000 | 1,038,423 | |||||
Raymond James Financial Inc, 5.6250%, 4/1/24 | 1,553,000 | 1,756,276 | |||||
Raymond James Financial Inc, 4.9500%, 7/15/46 | 2,715,000 | 3,059,379 | |||||
11,632,352 | |||||||
Capital Goods – 0.8% | |||||||
Arconic Inc, 5.4000%, 4/15/21 | 1,566,000 | 1,623,332 | |||||
Ball Corp, 4.3750%, 12/15/20 | 2,079,000 | 2,124,738 | |||||
Boeing Co, 2.2500%, 6/15/26 | 504,000 | 490,579 | |||||
Boeing Co, 3.2500%, 3/1/28 | 623,000 | 645,978 | |||||
Boeing Co, 3.2000%, 3/1/29 | 3,650,000 | 3,764,908 | |||||
Boeing Co, 3.6000%, 5/1/34 | 4,246,000 | 4,429,094 | |||||
Entegris Inc, 4.6250%, 2/10/26 (144A) | 2,520,000 | 2,538,900 | |||||
Huntington Ingalls Industries Inc, 5.0000%, 11/15/25 (144A) | 5,403,000 | 5,592,105 | |||||
Masonite International Corp, 5.6250%, 3/15/23 (144A) | 809,000 | 833,270 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 3,516,000 | 3,720,771 | |||||
Wabtec Corp, 3.4500%, 11/15/26 | 975,000 | 952,340 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 10,704,000 | 11,471,661 | |||||
38,187,676 | |||||||
Communications – 2.4% | |||||||
AT&T Inc, 3.6000%, 7/15/25 | 1,905,000 | 1,974,292 | |||||
AT&T Inc, 4.3500%, 3/1/29 | 7,523,000 | 8,070,575 | |||||
AT&T Inc, 5.2500%, 3/1/37 | 865,000 | 969,991 | |||||
AT&T Inc, 4.8500%, 3/1/39 | 2,536,000 | 2,720,046 | |||||
AT&T Inc, 4.7500%, 5/15/46 | 2,777,000 | 2,919,606 | |||||
AT&T Inc, 5.1500%, 11/15/46 | 2,001,000 | 2,210,230 | |||||
AT&T Inc, 4.5000%, 3/9/48 | 2,575,000 | 2,638,120 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 5.2500%, 3/15/21 | 2,235,000 | 2,244,778 | |||||
CenturyLink Inc, 6.4500%, 6/15/21 | 2,658,000 | 2,810,835 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 1,479,000 | 1,541,858 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | |||||||
4.9080%, 7/23/25 | 2,823,000 | 3,063,099 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | |||||||
5.0500%, 3/30/29 | 14,387,000 | 15,849,899 | |||||
Comcast Corp, 3.1500%, 3/1/26 | 1,836,000 | 1,896,611 | |||||
Comcast Corp, 4.1500%, 10/15/28 | 2,251,000 | 2,481,074 | |||||
Comcast Corp, 4.2500%, 10/15/30 | 2,459,000 | 2,738,871 | |||||
Comcast Corp, 4.6000%, 10/15/38 | 2,000,000 | 2,287,986 | |||||
Comcast Corp, 4.9500%, 10/15/58 | 2,059,000 | 2,509,466 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 1,958,000 | 2,015,444 | |||||
Crown Castle International Corp, 4.3000%, 2/15/29 | 2,227,000 | 2,394,335 | |||||
Crown Castle International Corp, 5.2000%, 2/15/49 | 2,475,000 | 2,843,994 | |||||
CSC Holdings LLC, 6.5000%, 2/1/29 (144A) | 4,508,000 | 4,919,355 | |||||
Fox Corp, 4.0300%, 1/25/24 (144A) | 1,479,000 | 1,572,442 | |||||
Sirius XM Radio Inc, 5.5000%, 7/1/29 (144A) | 3,526,000 | 3,614,855 | |||||
T-Mobile USA Inc, 6.3750%, 3/1/25 | 4,820,000 | 5,005,570 | |||||
UBM PLC, 5.7500%, 11/3/20 (144A) | 3,003,000 | 3,109,559 | |||||
Verizon Communications Inc, 2.6250%, 8/15/26 | 3,269,000 | 3,246,432 | |||||
Verizon Communications Inc, 4.3290%, 9/21/28 | 7,718,000 | 8,534,837 | |||||
Verizon Communications Inc, 3.8750%, 2/8/29 | 1,308,000 | 1,402,279 | |||||
Verizon Communications Inc, 4.8620%, 8/21/46 | 1,321,000 | 1,537,422 | |||||
Verizon Communications Inc, 4.5220%, 9/15/48 | 975,000 | 1,088,971 | |||||
Verizon Communications Inc, 5.0120%, 8/21/54 | 1,983,000 | 2,370,615 | |||||
Viacom Inc, 5.8500%, 9/1/43 | 3,769,000 | 4,446,776 | |||||
107,030,223 | |||||||
Consumer Cyclical – 1.2% | |||||||
AutoZone Inc, 3.7500%, 4/18/29 | 3,471,000 | 3,607,537 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Cyclical – (continued) | |||||||
Fiat Chrysler Automobiles NV, 4.5000%, 4/15/20 | $808,000 | $817,050 | |||||
Ford Motor Credit Co LLC, 4.3890%, 1/8/26 | 3,643,000 | 3,660,644 | |||||
Ford Motor Credit Co LLC, 3.8150%, 11/2/27 | 5,675,000 | 5,434,747 | |||||
Ford Motor Credit Co LLC, 5.1130%, 5/3/29 | 4,412,000 | 4,509,726 | |||||
General Motors Co, 5.0000%, 10/1/28 | 2,955,000 | 3,103,427 | |||||
General Motors Financial Co Inc, 4.3500%, 4/9/25 | 2,570,000 | 2,651,173 | |||||
General Motors Financial Co Inc, 4.3000%, 7/13/25 | 790,000 | 814,290 | |||||
General Motors Financial Co Inc, 4.3500%, 1/17/27 | 1,380,000 | 1,405,149 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 1,284,000 | 1,375,678 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 1,489,000 | 1,610,026 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,475,000 | 1,562,763 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 2,588,000 | 2,775,889 | |||||
Lowe's Cos Inc, 3.6500%, 4/5/29 | 2,720,000 | 2,841,503 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 2,249,000 | 2,395,185 | |||||
MGM Resorts International, 6.6250%, 12/15/21 | 1,515,000 | 1,636,200 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 544,000 | 606,560 | |||||
O'Reilly Automotive Inc, 3.6000%, 9/1/27 | 90,000 | 92,498 | |||||
O'Reilly Automotive Inc, 4.3500%, 6/1/28 | 696,000 | 752,179 | |||||
O'Reilly Automotive Inc, 3.9000%, 6/1/29 | 4,040,000 | 4,234,504 | |||||
Service Corp International/US, 5.1250%, 6/1/29 | 4,366,000 | 4,595,215 | |||||
Starbucks Corp, 4.4500%, 8/15/49 | 2,631,000 | 2,877,543 | |||||
53,359,486 | |||||||
Consumer Non-Cyclical – 3.6% | |||||||
Allergan Finance LLC, 3.2500%, 10/1/22 | 2,482,000 | 2,522,452 | |||||
Allergan Funding SCS, 3.4500%, 3/15/22 | 4,584,000 | 4,678,946 | |||||
Allergan Funding SCS, 3.8000%, 3/15/25 | 2,964,000 | 3,074,473 | |||||
Allergan Inc/United States, 2.8000%, 3/15/23 | 197,000 | 196,391 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.1500%, 1/23/25 | 8,281,000 | 8,961,678 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.7500%, 1/23/29 | 3,842,000 | 4,352,079 | |||||
Bausch Health Cos Inc, 7.0000%, 3/15/24 (144A) | 3,581,000 | 3,805,171 | |||||
Boston Scientific Corp, 3.7500%, 3/1/26 | 1,940,000 | 2,062,173 | |||||
Boston Scientific Corp, 4.0000%, 3/1/29 | 1,009,000 | 1,090,820 | |||||
Boston Scientific Corp, 4.7000%, 3/1/49 | 1,617,000 | 1,853,578 | |||||
Bristol-Myers Squibb Co, 3.4000%, 7/26/29 (144A) | 1,857,000 | 1,942,192 | |||||
Bristol-Myers Squibb Co, 4.1250%, 6/15/39 (144A) | 1,340,000 | 1,451,494 | |||||
Bristol-Myers Squibb Co, 4.2500%, 10/26/49 (144A) | 2,303,000 | 2,534,879 | |||||
Campbell Soup Co, 3.9500%, 3/15/25 | 1,915,000 | 1,991,010 | |||||
Campbell Soup Co, 4.1500%, 3/15/28 | 2,853,000 | 2,977,117 | |||||
Campbell Soup Co, 4.8000%, 3/15/48 | 3,568,000 | 3,606,580 | |||||
CVS Health Corp, 4.7500%, 12/1/22 | 1,192,000 | 1,265,398 | |||||
CVS Health Corp, 4.1000%, 3/25/25 | 4,076,000 | 4,296,618 | |||||
CVS Health Corp, 4.3000%, 3/25/28 | 2,045,000 | 2,155,287 | |||||
CVS Health Corp, 5.0500%, 3/25/48 | 2,664,000 | 2,833,336 | |||||
Elanco Animal Health Inc, 4.2720%, 8/28/23 (144A) | 1,436,000 | 1,506,565 | |||||
Elanco Animal Health Inc, 4.9000%, 8/28/28 (144A) | 1,339,000 | 1,494,710 | |||||
Eli Lilly & Co, 3.3750%, 3/15/29 | 8,418,000 | 8,961,381 | |||||
General Mills Inc, 4.2000%, 4/17/28 | 4,448,000 | 4,790,871 | |||||
GlaxoSmithKline Capital PLC, 3.3750%, 6/1/29 | 4,819,000 | 5,093,232 | |||||
HCA Inc, 4.7500%, 5/1/23 | 3,958,000 | 4,218,560 | |||||
HCA Inc, 4.5000%, 2/15/27 | 4,199,000 | 4,477,986 | |||||
HCA Inc, 4.1250%, 6/15/29 | 10,474,000 | 10,717,484 | |||||
HCA Inc, 5.1250%, 6/15/39 | 1,836,000 | 1,907,079 | |||||
HCA Inc, 5.2500%, 6/15/49 | 2,672,000 | 2,778,105 | |||||
IQVIA Inc, 5.0000%, 5/15/27 (144A) | 2,302,000 | 2,376,815 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 5.8750%, 7/15/24 (144A) | 1,013,000 | 1,042,124 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 5.7500%, 6/15/25 (144A) | 1,821,000 | 1,893,840 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | 559,000 | 607,214 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.5000%, 4/15/29 (144A) | 796,000 | 864,655 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Non-Cyclical – (continued) | |||||||
Keurig Dr Pepper Inc, 4.5970%, 5/25/28 | $4,089,000 | $4,473,639 | |||||
Keurig Dr Pepper Inc, 5.0850%, 5/25/48 | 1,621,000 | 1,802,865 | |||||
Kraft Heinz Foods Co, 4.0000%, 6/15/23 | 1,124,000 | 1,175,588 | |||||
Kraft Heinz Foods Co, 3.0000%, 6/1/26 | 7,557,000 | 7,350,689 | |||||
Kraft Heinz Foods Co, 4.6250%, 1/30/29 | 1,422,000 | 1,529,327 | |||||
Kraft Heinz Foods Co, 5.0000%, 6/4/42 | 1,208,000 | 1,239,823 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 3,225,000 | 3,060,787 | |||||
Mars Inc, 2.7000%, 4/1/25 (144A) | 1,642,000 | 1,674,458 | |||||
Mars Inc, 3.2000%, 4/1/30 (144A) | 2,004,000 | 2,081,089 | |||||
Mars Inc, 3.9500%, 4/1/49 (144A) | 2,685,000 | 2,885,279 | |||||
Mars Inc, 4.2000%, 4/1/59 (144A) | 1,714,000 | 1,860,468 | |||||
Newell Brands Inc, 4.2000%, 4/1/26 | 4,615,000 | 4,584,813 | |||||
Newell Brands Inc, 5.3750%, 4/1/36 | 5,291,000 | 5,222,016 | |||||
Sysco Corp, 2.5000%, 7/15/21 | 629,000 | 631,544 | |||||
Tenet Healthcare Corp, 6.0000%, 10/1/20 | 2,508,000 | 2,586,375 | |||||
Teva Pharmaceutical Finance Co BV, 3.6500%, 11/10/21 | 2,004,000 | 1,928,850 | |||||
Teva Pharmaceutical Finance IV LLC, 2.2500%, 3/18/20 | 3,815,000 | 3,778,758 | |||||
Valvoline Inc, 5.5000%, 7/15/24 | 1,310,000 | 1,354,540 | |||||
Valvoline Inc, 4.3750%, 8/15/25 | 2,942,000 | 2,934,645 | |||||
162,537,846 | |||||||
Electric – 1.2% | |||||||
NRG Energy Inc, 3.7500%, 6/15/24 (144A) | 4,582,000 | 4,705,110 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 3,525,000 | 3,881,906 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 4,756,000 | 5,166,205 | |||||
NRG Energy Inc, 5.7500%, 1/15/28 | 885,000 | 949,163 | |||||
NRG Energy Inc, 4.4500%, 6/15/29 (144A) | 4,416,000 | 4,592,445 | |||||
NRG Energy Inc, 5.2500%, 6/15/29 (144A) | 1,741,000 | 1,856,341 | |||||
Oncor Electric Delivery Co LLC, 2.7500%, 6/1/24 (144A) | 3,561,000 | 3,625,801 | |||||
Oncor Electric Delivery Co LLC, 3.7000%, 11/15/28 (144A) | 2,856,000 | 3,074,091 | |||||
Oncor Electric Delivery Co LLC, 3.8000%, 6/1/49 (144A) | 4,370,000 | 4,606,328 | |||||
PPL WEM Ltd / Western Power Distribution Ltd, 5.3750%, 5/1/21 (144A) | 2,553,000 | 2,641,698 | |||||
Southern Co, 2.9500%, 7/1/23 | 1,972,000 | 1,999,751 | |||||
Vistra Operations Co LLC, 5.5000%, 9/1/26 (144A) | 1,597,000 | 1,686,831 | |||||
Vistra Operations Co LLC, 5.6250%, 2/15/27 (144A) | 8,915,000 | 9,438,756 | |||||
Vistra Operations Co LLC, 5.0000%, 7/31/27 (144A) | 5,891,000 | 6,093,326 | |||||
54,317,752 | |||||||
Energy – 1.7% | |||||||
AmeriGas Partners LP / AmeriGas Finance Corp, 5.6250%, 5/20/24 | 152,000 | 161,880 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp, 5.5000%, 5/20/25 | 5,719,000 | 6,019,248 | |||||
Cenovus Energy Inc, 4.2500%, 4/15/27 | 1,450,000 | 1,499,461 | |||||
Cheniere Energy Partners LP, 5.6250%, 10/1/26 (144A) | 2,107,000 | 2,222,885 | |||||
Continental Resources Inc/OK, 5.0000%, 9/15/22 | 4,439,000 | 4,473,821 | |||||
Continental Resources Inc/OK, 4.5000%, 4/15/23 | 3,628,000 | 3,810,533 | |||||
Energy Transfer Operating LP, 4.2500%, 3/15/23 | 1,660,000 | 1,732,303 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 1,589,000 | 1,765,981 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 1,185,000 | 1,324,085 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 184,000 | 201,078 | |||||
Energy Transfer Operating LP, 6.1250%, 12/15/45 | 1,005,000 | 1,150,539 | |||||
Energy Transfer Operating LP, 6.0000%, 6/15/48 | 3,145,000 | 3,586,090 | |||||
EnLink Midstream Partners LP, 4.1500%, 6/1/25 | 3,556,000 | 3,484,880 | |||||
EQM Midstream Partners LP, 5.5000%, 7/15/28 | 3,699,000 | 3,899,115 | |||||
Hess Corp, 4.3000%, 4/1/27 | 9,059,000 | 9,392,840 | |||||
HollyFrontier Corp, 5.8750%, 4/1/26 | 3,598,000 | 3,953,499 | |||||
Kinder Morgan Energy Partners LP, 5.0000%, 10/1/21 | 1,292,000 | 1,354,398 | |||||
Kinder Morgan Inc/DE, 6.5000%, 9/15/20 | 133,000 | 139,371 | |||||
Kinder Morgan Inc/DE, 4.3000%, 3/1/28 | 937,000 | 1,003,238 | |||||
Kinder Morgan Inc/DE, 5.5500%, 6/1/45 | 842,000 | 973,626 | |||||
Kinder Morgan Inc/DE, 5.2000%, 3/1/48 | 562,000 | 634,365 | |||||
NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A) | 3,174,000 | 3,269,220 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Energy – (continued) | |||||||
NGPL PipeCo LLC, 4.8750%, 8/15/27 (144A) | $1,911,000 | $2,023,271 | |||||
NuStar Logistics LP, 5.6250%, 4/28/27 | 1,764,000 | 1,777,230 | |||||
Plains All American Pipeline LP / PAA Finance Corp, 4.6500%, 10/15/25 | 4,020,000 | 4,279,358 | |||||
Range Resources Corp, 5.7500%, 6/1/21 | 1,653,000 | 1,669,530 | |||||
Range Resources Corp, 5.8750%, 7/1/22 | 2,727,000 | 2,699,730 | |||||
Range Resources Corp, 5.0000%, 3/15/23 | 3,701,000 | 3,483,566 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
4.7500%, 10/1/23 (144A) | 3,401,000 | 3,447,832 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
5.5000%, 9/15/24 (144A) | 1,268,000 | 1,309,210 | |||||
76,742,183 | |||||||
Finance Companies – 0.1% | |||||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | 4,725,000 | 4,659,604 | |||||
Financial Institutions – 0.1% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 2,938,000 | 3,054,022 | |||||
Industrial Conglomerates – 0.1% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 5.0000%‡,µ | 6,050,000 | 5,803,523 | |||||
Insurance – 0.3% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | 2,000,000 | 2,099,920 | |||||
Centene Corp, 4.7500%, 5/15/22 | 180,000 | 183,825 | |||||
Centene Corp, 6.1250%, 2/15/24 | 2,096,000 | 2,195,560 | |||||
Centene Corp, 5.3750%, 6/1/26 (144A) | 5,442,000 | 5,720,903 | |||||
Cigna Corp, 3.4000%, 9/17/21 (144A) | 600,000 | 611,510 | |||||
Cigna Corp, 3.7500%, 7/15/23 (144A) | 2,442,000 | 2,541,086 | |||||
13,352,804 | |||||||
Real Estate Investment Trusts (REITs) – 0.2% | |||||||
Reckson Operating Partnership LP, 7.7500%, 3/15/20 | 3,885,000 | 4,022,529 | |||||
Ventas Realty LP, 3.5000%, 4/15/24 | 3,997,000 | 4,144,877 | |||||
8,167,406 | |||||||
Technology – 1.8% | |||||||
Broadcom Corp / Broadcom Cayman Finance Ltd, 3.8750%, 1/15/27 | 2,001,000 | 1,961,727 | |||||
Broadcom Inc, 4.2500%, 4/15/26 (144A) | 2,605,000 | 2,639,075 | |||||
Broadcom Inc, 4.7500%, 4/15/29 (144A) | 3,562,000 | 3,649,889 | |||||
CommScope Inc, 5.5000%, 3/1/24 (144A) | 2,870,000 | 2,945,338 | |||||
CommScope Inc, 6.0000%, 3/1/26 (144A) | 4,737,000 | 4,855,425 | |||||
Dell International LLC / EMC Corp, 5.8750%, 6/15/21 (144A) | 7,363,000 | 7,485,188 | |||||
Dell International LLC / EMC Corp, 5.3000%, 10/1/29 (144A) | 2,172,000 | 2,285,833 | |||||
Fidelity National Information Services Inc, 3.7500%, 5/21/29 | 1,238,000 | 1,314,412 | |||||
Lam Research Corp, 4.0000%, 3/15/29 | 758,000 | 806,849 | |||||
Marvell Technology Group Ltd, 4.2000%, 6/22/23 | 1,361,000 | 1,416,771 | |||||
Marvell Technology Group Ltd, 4.8750%, 6/22/28 | 5,671,000 | 6,009,168 | |||||
Micron Technology Inc, 5.5000%, 2/1/25 | 1,280,000 | 1,316,800 | |||||
Micron Technology Inc, 4.9750%, 2/6/26 | 1,668,000 | 1,759,284 | |||||
Micron Technology Inc, 5.3270%, 2/6/29 | 4,281,000 | 4,529,923 | |||||
Oracle Corp, 3.9000%, 5/15/35 | 1,801,000 | 1,948,195 | |||||
Qorvo Inc, 5.5000%, 7/15/26 | 2,825,000 | 2,989,698 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 3,189,000 | 3,502,633 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 5,123,000 | 5,383,670 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 9,542,000 | 10,218,658 | |||||
Verisk Analytics Inc, 5.8000%, 5/1/21 | 2,947,000 | 3,124,818 | |||||
Verisk Analytics Inc, 4.1250%, 9/12/22 | 613,000 | 643,698 | |||||
Verisk Analytics Inc, 5.5000%, 6/15/45 | 1,616,000 | 1,893,869 | |||||
Western Digital Corp, 4.7500%, 2/15/26 | 11,448,000 | 11,231,060 | |||||
83,911,981 | |||||||
Total Corporate Bonds (cost $766,179,772) | 800,847,517 | ||||||
Mortgage-Backed Securities – 10.1% | |||||||
Fannie Mae: | |||||||
4.0000%, 5/25/48 | 13,274,000 | 13,716,157 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae – (continued) | |||||||
4.5000%, 7/25/48 | $5,599,000 | $5,848,603 | |||||
19,564,760 | |||||||
Fannie Mae Pool: | |||||||
6.0000%, 2/1/37 | 94,034 | 108,574 | |||||
4.5000%, 9/1/37 | 2,262,493 | 2,390,009 | |||||
4.5000%, 5/1/38 | 923,095 | 971,959 | |||||
4.5000%, 7/1/38 | 1,781,703 | 1,876,019 | |||||
4.5000%, 8/1/38 | 58,762 | 61,872 | |||||
4.5000%, 11/1/38 | 2,048,579 | 2,157,022 | |||||
3.5000%, 10/1/42 | 1,244,810 | 1,289,576 | |||||
4.5000%, 11/1/42 | 400,418 | 429,152 | |||||
3.5000%, 12/1/42 | 2,886,460 | 2,990,263 | |||||
3.0000%, 2/1/43 | 100,719 | 102,358 | |||||
3.5000%, 2/1/43 | 2,866,579 | 2,969,667 | |||||
3.5000%, 2/1/43 | 1,386,297 | 1,434,372 | |||||
3.5000%, 3/1/43 | 1,956,687 | 2,024,543 | |||||
3.5000%, 4/1/43 | 7,329,771 | 7,583,959 | |||||
3.0000%, 5/1/43 | 728,313 | 739,876 | |||||
3.5000%, 11/1/43 | 4,012,475 | 4,156,772 | |||||
3.5000%, 4/1/44 | 1,434,357 | 1,495,496 | |||||
5.0000%, 7/1/44 | 90,547 | 98,468 | |||||
4.5000%, 10/1/44 | 912,924 | 992,938 | |||||
3.5000%, 2/1/45 | 6,469,067 | 6,693,407 | |||||
3.5000%, 2/1/45 | 1,107,401 | 1,145,805 | |||||
4.5000%, 3/1/45 | 1,450,560 | 1,577,696 | |||||
4.5000%, 6/1/45 | 928,126 | 993,600 | |||||
3.0000%, 10/1/45 | 1,468,328 | 1,490,921 | |||||
3.0000%, 10/1/45 | 941,863 | 956,355 | |||||
3.5000%, 12/1/45 | 918,654 | 958,587 | |||||
3.0000%, 1/1/46 | 211,666 | 214,923 | |||||
4.5000%, 2/1/46 | 2,382,130 | 2,553,073 | |||||
3.0000%, 3/1/46 | 6,662,342 | 6,751,664 | |||||
3.0000%, 3/1/46 | 4,575,891 | 4,637,241 | |||||
3.5000%, 5/1/46 | 616,290 | 636,268 | |||||
3.5000%, 7/1/46 | 3,071,304 | 3,177,724 | |||||
3.5000%, 7/1/46 | 1,689,935 | 1,754,684 | |||||
3.5000%, 8/1/46 | 9,537,506 | 9,846,676 | |||||
3.5000%, 8/1/46 | 1,011,215 | 1,043,994 | |||||
4.0000%, 10/1/46 | 92,978 | 98,794 | |||||
3.0000%, 11/1/46 | 1,551,661 | 1,572,464 | |||||
3.0000%, 11/1/46 | 471,716 | 478,040 | |||||
3.0000%, 11/1/46 | 461,183 | 467,367 | |||||
3.5000%, 12/1/46 | 313,196 | 323,349 | |||||
3.0000%, 2/1/47 | 4,222,818 | 4,299,575 | |||||
3.0000%, 3/1/47 | 3,237,350 | 3,280,754 | |||||
4.0000%, 5/1/47 | 606,879 | 631,844 | |||||
4.5000%, 5/1/47 | 336,079 | 361,086 | |||||
4.5000%, 5/1/47 | 282,210 | 299,354 | |||||
4.5000%, 5/1/47 | 264,727 | 282,891 | |||||
4.5000%, 5/1/47 | 198,299 | 213,055 | |||||
4.5000%, 5/1/47 | 196,889 | 208,850 | |||||
4.5000%, 5/1/47 | 159,367 | 170,301 | |||||
4.5000%, 5/1/47 | 97,031 | 103,688 | |||||
4.5000%, 5/1/47 | 65,350 | 70,213 | |||||
4.5000%, 5/1/47 | 63,925 | 68,681 | |||||
4.0000%, 6/1/47 | 333,061 | 346,762 | |||||
4.0000%, 6/1/47 | 161,183 | 167,814 | |||||
4.0000%, 6/1/47 | 160,877 | 167,807 | |||||
4.0000%, 6/1/47 | 80,985 | 84,317 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.5000%, 6/1/47 | $1,195,924 | $1,259,930 | |||||
4.5000%, 6/1/47 | 117,156 | 125,873 | |||||
4.0000%, 7/1/47 | 298,602 | 310,885 | |||||
4.0000%, 7/1/47 | 264,921 | 275,819 | |||||
4.0000%, 7/1/47 | 123,554 | 128,637 | |||||
4.0000%, 7/1/47 | 86,759 | 90,328 | |||||
4.5000%, 7/1/47 | 865,351 | 911,665 | |||||
4.5000%, 7/1/47 | 732,864 | 772,087 | |||||
4.5000%, 7/1/47 | 726,954 | 765,861 | |||||
3.5000%, 8/1/47 | 1,484,196 | 1,532,206 | |||||
3.5000%, 8/1/47 | 887,900 | 913,538 | |||||
3.5000%, 8/1/47 | 509,677 | 532,221 | |||||
4.0000%, 8/1/47 | 7,475,069 | 7,843,092 | |||||
4.0000%, 8/1/47 | 1,669,169 | 1,737,834 | |||||
4.0000%, 8/1/47 | 529,038 | 550,801 | |||||
4.0000%, 8/1/47 | 327,683 | 341,163 | |||||
4.0000%, 8/1/47 | 144,160 | 150,090 | |||||
4.5000%, 8/1/47 | 1,032,566 | 1,087,829 | |||||
4.5000%, 8/1/47 | 190,800 | 201,011 | |||||
4.0000%, 9/1/47 | 3,796,442 | 4,038,600 | |||||
4.0000%, 9/1/47 | 157,973 | 164,471 | |||||
4.5000%, 9/1/47 | 1,054,870 | 1,111,327 | |||||
4.5000%, 9/1/47 | 649,251 | 683,999 | |||||
4.5000%, 9/1/47 | 227,902 | 240,099 | |||||
4.0000%, 10/1/47 | 813,085 | 846,533 | |||||
4.0000%, 10/1/47 | 672,362 | 700,021 | |||||
4.0000%, 10/1/47 | 628,118 | 653,957 | |||||
4.0000%, 10/1/47 | 434,134 | 451,993 | |||||
4.0000%, 10/1/47 | 363,994 | 378,968 | |||||
4.5000%, 10/1/47 | 170,353 | 179,470 | |||||
4.5000%, 10/1/47 | 68,355 | 72,013 | |||||
4.0000%, 11/1/47 | 1,779,105 | 1,866,696 | |||||
4.0000%, 11/1/47 | 1,079,366 | 1,123,768 | |||||
4.0000%, 11/1/47 | 898,770 | 935,742 | |||||
4.0000%, 11/1/47 | 338,620 | 352,550 | |||||
4.5000%, 11/1/47 | 770,893 | 812,151 | |||||
3.5000%, 12/1/47 | 2,884,733 | 2,997,551 | |||||
3.5000%, 12/1/47 | 1,360,731 | 1,400,528 | |||||
3.5000%, 12/1/47 | 278,963 | 291,302 | |||||
3.5000%, 12/1/47 | 139,729 | 145,909 | |||||
4.0000%, 12/1/47 | 2,152,058 | 2,240,588 | |||||
3.5000%, 1/1/48 | 2,099,681 | 2,166,692 | |||||
3.5000%, 1/1/48 | 1,978,682 | 2,031,702 | |||||
4.0000%, 1/1/48 | 8,960,986 | 9,343,250 | |||||
4.0000%, 1/1/48 | 7,379,381 | 7,704,514 | |||||
4.0000%, 1/1/48 | 4,098,607 | 4,267,212 | |||||
4.0000%, 1/1/48 | 774,594 | 818,856 | |||||
4.0000%, 1/1/48 | 629,147 | 655,029 | |||||
4.0000%, 1/1/48 | 485,760 | 513,518 | |||||
3.5000%, 3/1/48 | 1,299,426 | 1,348,175 | |||||
3.5000%, 3/1/48 | 240,172 | 250,299 | |||||
4.0000%, 3/1/48 | 3,150,060 | 3,285,362 | |||||
4.0000%, 3/1/48 | 427,155 | 451,482 | |||||
4.5000%, 3/1/48 | 1,353,874 | 1,424,931 | |||||
3.5000%, 4/1/48 | 2,782,952 | 2,872,974 | |||||
3.5000%, 4/1/48 | 2,417,699 | 2,518,824 | |||||
4.0000%, 4/1/48 | 916,017 | 968,185 | |||||
4.5000%, 4/1/48 | 1,055,139 | 1,110,518 | |||||
4.0000%, 5/1/48 | 4,159,047 | 4,309,528 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.0000%, 5/1/48 | $3,997,764 | $4,142,409 | |||||
4.5000%, 5/1/48 | 829,724 | 873,272 | |||||
4.5000%, 5/1/48 | 736,347 | 774,994 | |||||
4.0000%, 6/1/48 | 1,714,215 | 1,776,238 | |||||
4.5000%, 6/1/48 | 842,688 | 886,916 | |||||
4.0000%, 10/1/48 | 730,948 | 765,770 | |||||
3.5000%, 11/1/48 | 3,962,209 | 4,127,936 | |||||
3.5000%, 1/1/49 | 920,391 | 949,272 | |||||
4.5000%, 1/1/49 | 7,331,016 | 7,720,355 | |||||
4.0000%, 2/1/49 | 766,014 | 792,416 | |||||
3.5000%, 8/1/56 | 5,026,021 | 5,191,766 | |||||
3.0000%, 2/1/57 | 3,529,595 | 3,555,669 | |||||
3.5000%, 2/1/57 | 10,301,782 | 10,667,930 | |||||
221,487,619 | |||||||
Freddie Mac Gold Pool: | |||||||
4.5000%, 5/1/38 | 2,978,357 | 3,137,061 | |||||
4.5000%, 7/1/38 | 2,300,965 | 2,423,574 | |||||
4.5000%, 8/1/38 | 1,823,325 | 1,920,482 | |||||
4.5000%, 9/1/38 | 1,514,422 | 1,595,119 | |||||
4.5000%, 10/1/38 | 324,391 | 341,677 | |||||
6.0000%, 4/1/40 | 1,704,471 | 1,973,937 | |||||
3.5000%, 2/1/43 | 1,127,178 | 1,166,995 | |||||
3.5000%, 2/1/44 | 1,123,683 | 1,163,377 | |||||
4.5000%, 5/1/44 | 43,719 | 46,836 | |||||
3.5000%, 12/1/44 | 7,914,388 | 8,193,651 | |||||
3.0000%, 1/1/45 | 2,504,584 | 2,547,363 | |||||
4.0000%, 5/1/46 | 747,364 | 781,150 | |||||
3.5000%, 7/1/46 | 8,451,151 | 8,823,860 | |||||
3.5000%, 7/1/46 | 1,867,732 | 1,923,882 | |||||
3.0000%, 10/1/46 | 3,907,114 | 3,961,804 | |||||
3.5000%, 10/1/46 | 6,218,499 | 6,423,887 | |||||
3.0000%, 12/1/46 | 4,637,460 | 4,702,373 | |||||
3.5000%, 2/1/47 | 3,854,150 | 3,981,448 | |||||
4.0000%, 3/1/47 | 790,977 | 831,520 | |||||
3.0000%, 9/1/47 | 2,653,683 | 2,690,828 | |||||
3.5000%, 9/1/47 | 5,787,355 | 5,957,946 | |||||
3.5000%, 9/1/47 | 3,275,404 | 3,371,952 | |||||
3.5000%, 9/1/47 | 3,166,143 | 3,277,430 | |||||
3.5000%, 9/1/47 | 995,117 | 1,024,449 | |||||
3.5000%, 11/1/47 | 2,434,940 | 2,531,720 | |||||
3.5000%, 11/1/47 | 791,824 | 822,515 | |||||
3.5000%, 12/1/47 | 4,342,698 | 4,511,021 | |||||
3.5000%, 12/1/47 | 1,824,842 | 1,895,573 | |||||
3.5000%, 12/1/47 | 1,724,873 | 1,793,431 | |||||
3.5000%, 2/1/48 | 1,891,166 | 1,963,333 | |||||
3.5000%, 2/1/48 | 1,866,761 | 1,918,144 | |||||
3.5000%, 3/1/48 | 4,576,458 | 4,753,841 | |||||
3.5000%, 3/1/48 | 1,114,793 | 1,152,676 | |||||
4.0000%, 3/1/48 | 2,133,525 | 2,226,503 | |||||
3.5000%, 4/1/48 | 397,208 | 410,706 | |||||
4.0000%, 4/1/48 | 5,889,381 | 6,095,899 | |||||
4.0000%, 4/1/48 | 2,365,392 | 2,465,475 | |||||
4.0000%, 5/1/48 | 4,681,272 | 4,853,439 | |||||
4.0000%, 5/1/48 | 2,931,531 | 3,034,329 | |||||
4.0000%, 6/1/48 | 1,233,852 | 1,279,230 | |||||
3.5000%, 8/1/48 | 4,301,371 | 4,447,544 | |||||
4.0000%, 8/1/48 | 15,831,734 | 16,413,993 | |||||
4.0000%, 8/1/48 | 5,682,816 | 6,009,698 | |||||
4.5000%, 8/1/48 | 2,114,613 | 2,219,316 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Gold Pool – (continued) | |||||||
5.0000%, 9/1/48 | $361,218 | $383,002 | |||||
3.5000%, 11/1/48 | 5,556,547 | 5,751,855 | |||||
4.5000%, 12/1/48 | 1,762,612 | 1,872,552 | |||||
4.0000%, 1/1/49 | 3,777,333 | 4,007,742 | |||||
155,076,138 | |||||||
Ginnie Mae: | |||||||
4.5000%, 8/20/48 | 4,631,000 | 4,825,456 | |||||
5.0000%, 8/20/48 | 24,756,679 | 25,876,176 | |||||
30,701,632 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 7,862,053 | 8,344,377 | |||||
4.5000%, 8/15/46 | 8,086,283 | 8,714,162 | |||||
4.0000%, 7/15/47 | 2,265,838 | 2,373,820 | |||||
4.0000%, 8/15/47 | 444,050 | 465,212 | |||||
4.0000%, 11/15/47 | 1,020,615 | 1,069,254 | |||||
4.0000%, 12/15/47 | 1,267,526 | 1,327,932 | |||||
22,294,757 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 777,623 | 815,678 | |||||
4.0000%, 8/20/47 | 178,125 | 188,137 | |||||
4.0000%, 8/20/47 | 86,002 | 90,211 | |||||
4.5000%, 5/20/48 | 4,228,544 | 4,410,785 | |||||
4.5000%, 5/20/48 | 575,287 | 606,409 | |||||
4.5000%, 1/20/49 | 3,573,877 | 3,727,903 | |||||
9,839,123 | |||||||
Total Mortgage-Backed Securities (cost $450,500,704) | 458,964,029 | ||||||
United States Treasury Notes/Bonds – 9.0% | |||||||
2.3750%, 4/30/20 | 28,380,000 | 28,462,036 | |||||
2.5000%, 1/15/22 | 679,000 | 691,625 | |||||
2.7500%, 5/31/23 | 9,686,000 | 10,052,630 | |||||
2.8750%, 9/30/23 | 31,740,000 | 33,191,857 | |||||
2.8750%, 10/31/23 | 20,680,900 | 21,642,239 | |||||
2.8750%, 11/30/23 | 18,175,000 | 19,039,732 | |||||
2.3750%, 2/29/24 | 1,831,000 | 1,881,710 | |||||
2.1250%, 3/31/24 | 703,000 | 714,396 | |||||
2.2500%, 4/30/24 | 3,588,000 | 3,667,749 | |||||
2.0000%, 5/31/24 | 25,064,000 | 25,345,970 | |||||
2.8750%, 11/30/25 | 27,000 | 28,659 | |||||
2.3750%, 4/30/26 | 1,590,000 | 1,641,054 | |||||
2.7500%, 2/15/28 | 3,223,000 | 3,425,067 | |||||
2.8750%, 8/15/28 | 12,256,500 | 13,164,247 | |||||
3.1250%, 11/15/28 | 32,214,000 | 35,314,597 | |||||
2.6250%, 2/15/29 | 31,054,000 | 32,729,218 | |||||
2.3750%, 5/15/29 | 25,527,000 | 26,364,605 | |||||
2.2500%, 8/15/46 | 8,075,000 | 7,618,573 | |||||
2.7500%, 8/15/47 | 823,000 | 857,688 | |||||
2.7500%, 11/15/47 | 18,771,000 | 19,564,368 | |||||
3.0000%, 2/15/48 | 15,703,000 | 17,176,996 | |||||
3.0000%, 8/15/48 | 3,189,000 | 3,492,204 | |||||
3.3750%, 11/15/48 | 13,542,800 | 15,919,138 | |||||
3.0000%, 2/15/49 | 16,327,000 | 17,906,127 | |||||
2.8750%, 5/15/49 | 64,970,000 | 69,588,961 | |||||
Total United States Treasury Notes/Bonds (cost $389,153,406) | 409,481,446 | ||||||
Common Stocks – 59.8% | |||||||
Aerospace & Defense – 3.4% | |||||||
Boeing Co | 252,161 | 91,789,126 | |||||
General Dynamics Corp | 345,451 | 62,809,901 | |||||
154,599,027 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
18 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Air Freight & Logistics – 0.5% | |||||||
United Parcel Service Inc | 203,274 | $20,992,106 | |||||
Airlines – 0.6% | |||||||
Delta Air Lines Inc | 485,935 | 27,576,811 | |||||
Automobiles – 0.5% | |||||||
General Motors Co | 539,291 | 20,778,882 | |||||
Banks – 2.5% | |||||||
Bank of America Corp | 1,056,200 | 30,629,800 | |||||
US Bancorp | 1,543,674 | 80,888,518 | |||||
111,518,318 | |||||||
Biotechnology – 0.4% | |||||||
AbbVie Inc | 263,036 | 19,127,978 | |||||
Capital Markets – 3.0% | |||||||
Blackstone Group LP | 718,725 | 31,925,764 | |||||
CME Group Inc | 206,297 | 40,044,311 | |||||
Morgan Stanley | 659,566 | 28,895,586 | |||||
TD Ameritrade Holding Corp | 733,226 | 36,602,642 | |||||
137,468,303 | |||||||
Chemicals – 1.2% | |||||||
LyondellBasell Industries NV | 655,560 | 56,463,383 | |||||
Consumer Finance – 1.5% | |||||||
American Express Co | 225,037 | 27,778,567 | |||||
Synchrony Financial | 1,200,738 | 41,629,586 | |||||
69,408,153 | |||||||
Electronic Equipment, Instruments & Components – 0.6% | |||||||
Corning Inc | 878,302 | 29,185,975 | |||||
Entertainment – 0.9% | |||||||
Walt Disney Co | 285,558 | 39,875,319 | |||||
Equity Real Estate Investment Trusts (REITs) – 1.2% | |||||||
Crown Castle International Corp | 190,800 | 24,870,780 | |||||
MGM Growth Properties LLC | 583,302 | 17,878,206 | |||||
Outfront Media Inc | 524,425 | 13,524,921 | |||||
56,273,907 | |||||||
Food & Staples Retailing – 3.0% | |||||||
Costco Wholesale Corp | 292,616 | 77,326,704 | |||||
Kroger Co | 633,238 | 13,747,597 | |||||
Sysco Corp | 627,120 | 44,349,926 | |||||
135,424,227 | |||||||
Food Products – 0.6% | |||||||
Hershey Co | 196,863 | 26,385,548 | |||||
Health Care Equipment & Supplies – 1.7% | |||||||
Abbott Laboratories | 524,359 | 44,098,592 | |||||
Medtronic PLC | 345,427 | 33,641,136 | |||||
77,739,728 | |||||||
Health Care Providers & Services – 1.7% | |||||||
UnitedHealth Group Inc | 313,325 | 76,454,433 | |||||
Hotels, Restaurants & Leisure – 3.2% | |||||||
Hilton Worldwide Holdings Inc | 360,152 | 35,201,256 | |||||
McDonald's Corp | 429,554 | 89,201,184 | |||||
Norwegian Cruise Line Holdings Ltd* | 248,455 | 13,324,642 | |||||
Six Flags Entertainment Corp | 187,719 | 9,325,880 | |||||
147,052,962 | |||||||
Household Products – 0.4% | |||||||
Clorox Co | 128,559 | 19,683,668 | |||||
Industrial Conglomerates – 0.7% | |||||||
Honeywell International Inc | 168,441 | 29,408,114 | |||||
Information Technology Services – 4.1% | |||||||
Accenture PLC | 305,692 | 56,482,711 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Common Stocks – (continued) | |||||||
Information Technology Services – (continued) | |||||||
Mastercard Inc | 490,103 | $129,646,947 | |||||
186,129,658 | |||||||
Insurance – 0.7% | |||||||
Progressive Corp | 367,877 | 29,404,409 | |||||
Interactive Media & Services – 2.0% | |||||||
Alphabet Inc - Class C* | 83,199 | 89,930,631 | |||||
Internet & Direct Marketing Retail – 0.9% | |||||||
Amazon.com Inc* | 20,684 | 39,167,843 | |||||
Leisure Products – 0.6% | |||||||
Hasbro Inc | 252,322 | 26,665,389 | |||||
Life Sciences Tools & Services – 0.4% | |||||||
Thermo Fisher Scientific Inc | 62,678 | 18,407,275 | |||||
Machinery – 1.4% | |||||||
Deere & Co | 181,028 | 29,998,150 | |||||
Parker-Hannifin Corp | 78,981 | 13,427,560 | |||||
Stanley Black & Decker Inc | 130,694 | 18,899,659 | |||||
62,325,369 | |||||||
Media – 1.4% | |||||||
Comcast Corp | 1,467,383 | 62,040,953 | |||||
Oil, Gas & Consumable Fuels – 1.1% | |||||||
EOG Resources Inc | 214,143 | 19,949,562 | |||||
Suncor Energy Inc | 520,100 | 16,206,316 | |||||
Suncor Energy Incž | 470,171 | 14,668,157 | |||||
50,824,035 | |||||||
Personal Products – 0.4% | |||||||
Estee Lauder Cos Inc | 108,888 | 19,938,482 | |||||
Pharmaceuticals – 3.2% | |||||||
Bristol-Myers Squibb Co | 802,537 | 36,395,053 | |||||
Eli Lilly & Co | 359,599 | 39,839,973 | |||||
Merck & Co Inc | 810,521 | 67,962,186 | |||||
144,197,212 | |||||||
Real Estate Management & Development – 0.6% | |||||||
CBRE Group Inc* | 525,455 | 26,955,841 | |||||
Road & Rail – 1.4% | |||||||
CSX Corp | 834,818 | 64,589,869 | |||||
Semiconductor & Semiconductor Equipment – 2.8% | |||||||
Intel Corp | 848,584 | 40,621,716 | |||||
Lam Research Corp | 172,271 | 32,359,385 | |||||
NVIDIA Corp | 122,767 | 20,162,024 | |||||
Texas Instruments Inc | 312,235 | 35,832,089 | |||||
128,975,214 | |||||||
Software – 5.6% | |||||||
Adobe Inc* | 216,050 | 63,659,132 | |||||
Microsoft Corp | 1,260,826 | 168,889,048 | |||||
salesforce.com Inc* | 134,773 | 20,449,107 | |||||
252,997,287 | |||||||
Specialty Retail – 1.6% | |||||||
Home Depot Inc | 358,581 | 74,574,091 | |||||
Technology Hardware, Storage & Peripherals – 1.8% | |||||||
Apple Inc | 401,892 | 79,542,465 | |||||
Textiles, Apparel & Luxury Goods – 0.8% | |||||||
NIKE Inc | 438,012 | 36,771,107 | |||||
Tobacco – 1.4% | |||||||
Altria Group Inc | 1,300,378 | 61,572,898 | |||||
Total Common Stocks (cost $1,875,394,720) | 2,710,426,870 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
20 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Investment Companies – 2.2% | |||||||
Money Markets – 2.2% | |||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº,£ (cost $98,638,618) | 98,636,288 | $98,636,288 | |||||
Total Investments (total cost $3,702,171,714) – 101.5% | 4,601,720,392 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.5)% | (68,760,518) | ||||||
Net Assets – 100% | $4,532,959,874 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $4,527,668,557 | 98.4 | % | ||
Canada | 43,368,931 | 0.9 | |||
Belgium | 13,313,757 | 0.3 | |||
United Kingdom | 11,661,539 | 0.3 | |||
Israel | 5,707,608 | 0.1 |
Total | $4,601,720,392 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/19 | |||||||
Investment Companies - 2.2% | ||||||||||
Money Markets - 2.2% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | $ | 647,261 | $ | 3,005 | $ | (2,330) | $ | 98,636,288 | ||
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 6/30/19 | |||||||
Investment Companies - 2.2% | ||||||||||
Money Markets - 2.2% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 36,969,146 | 673,419,764 | (611,752,622) | 98,636,288 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Balanced Index | Balanced Index is an internally-calculated, hypothetical combination of total returns from the S&P 500® Index (55%) and the Bloomberg Barclays U.S. Aggregate Bond Index (45%). |
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2019 is $240,461,935, which represents 5.3% of net assets. |
* | Non-income producing security. |
‡ | Variable or floating rate security. Rate shown is the current rate as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ž | Issued by the same entity and traded on separate exchanges. |
ºº | Rate shown is the 7-day yield as of June 30, 2019. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated represents the next call date. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
22 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
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 June 30, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 118,787,373 | $ | - | ||||||
Bank Loans and Mezzanine Loans | - | 4,576,869 | - | |||||||||
Corporate Bonds | - | 800,847,517 | - | |||||||||
Mortgage-Backed Securities | - | 458,964,029 | - | |||||||||
United States Treasury Notes/Bonds | - | 409,481,446 | - | |||||||||
Common Stocks | 2,710,426,870 | - | - | |||||||||
Investment Companies | - | 98,636,288 | - | |||||||||
Total Assets | $ | 2,710,426,870 | $ | 1,891,293,522 | $ | - | ||||||
Janus Aspen Series | 23 |
Janus Henderson VIT Balanced Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1) | $ | 4,503,084,104 | ||||
Affiliated investments, at value(2) | 98,636,288 | |||||
Cash | 25,112 | |||||
Non-interested Trustees' deferred compensation | 114,629 | |||||
Receivables: | ||||||
Interest | 12,791,196 | |||||
Investments sold | 3,202,110 | |||||
Dividends | 2,714,387 | |||||
Portfolio shares sold | 1,935,789 | |||||
Dividends from affiliates | 168,101 | |||||
Foreign tax reclaims | 105,143 | |||||
Other assets | 7,227 | |||||
Total Assets |
|
| 4,622,784,086 |
| ||
Liabilities: | ||||||
Due to custodian | 618,845 | |||||
Foreign cash due to custodian | 140,247 | |||||
Payables: | — | |||||
Investments purchased | 84,460,617 | |||||
Advisory fees | 2,016,002 | |||||
Portfolio shares repurchased | 1,249,255 | |||||
12b-1 Distribution and shareholder servicing fees | 829,238 | |||||
Transfer agent fees and expenses | 187,153 | |||||
Non-interested Trustees' deferred compensation fees | 114,629 | |||||
Non-interested Trustees' fees and expenses | 28,173 | |||||
Professional fees | 19,723 | |||||
Affiliated portfolio administration fees payable | 9,164 | |||||
Custodian fees | 5,666 | |||||
Accrued expenses and other payables | 145,500 | |||||
Total Liabilities |
|
| 89,824,212 |
| ||
Net Assets |
| $ | 4,532,959,874 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 3,614,214,862 | ||||
Total distributable earnings (loss) | 918,745,012 | |||||
Total Net Assets |
| $ | 4,532,959,874 |
| ||
Net Assets - Institutional Shares | $ | 427,226,608 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 11,651,141 | |||||
Net Asset Value Per Share |
| $ | 36.67 |
| ||
Net Assets - Service Shares | $ | 4,105,733,266 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 106,009,435 | |||||
Net Asset Value Per Share |
| $ | 38.73 |
|
(1) Includes cost of $3,603,533,096. (2) Includes cost of $98,638,618. |
See Notes to Financial Statements. | |
24 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Interest | $ | 30,091,090 | ||
Dividends | 26,744,801 | ||||
Dividends from affiliates | 647,261 | ||||
Other income | 261,625 | ||||
Foreign tax withheld | (46,067) | ||||
Total Investment Income |
| 57,698,710 |
| ||
Expenses: | |||||
Advisory fees | 11,475,288 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 4,698,238 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 103,560 | ||||
Service Shares | 939,648 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 4,939 | ||||
Service Shares | 25,243 | ||||
Shareholder reports expense | 66,487 | ||||
Non-interested Trustees’ fees and expenses | 56,653 | ||||
Professional fees | 53,399 | ||||
Affiliated portfolio administration fees | 46,649 | ||||
Custodian fees | 20,346 | ||||
Registration fees | 7,413 | ||||
Other expenses | 247,599 | ||||
Total Expenses |
| 17,745,462 |
| ||
Net Investment Income/(Loss) |
| 39,953,248 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 16,076,626 | ||||
Investments in affiliates | 3,005 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 16,079,631 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 440,876,704 | ||||
Investments in affiliates | (2,330) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 440,874,374 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 496,907,253 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 25 |
Janus Henderson VIT Balanced Portfolio
Statements of Changes in Net Assets
|
|
| Period ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 39,953,248 | $ | 60,362,993 | ||||
Net realized gain/(loss) on investments | 16,079,631 | 111,771,989 | ||||||
Change in unrealized net appreciation/depreciation | 440,874,374 | (176,189,448) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 496,907,253 |
|
| (4,054,466) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (15,827,390) | (20,863,874) | ||||||
Service Shares | (139,029,945) | (137,724,495) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (154,857,335) |
|
| (158,588,369) | |||
Capital Share Transactions: (Note 5) | ||||||||
Institutional Shares | (10,130,231) | (9,713,852) | ||||||
Service Shares | 352,548,266 | 703,833,070 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 342,418,035 |
|
| 694,119,218 | |||
Net Increase/(Decrease) in Net Assets |
| 684,467,953 |
|
| 531,476,383 | |||
Net Assets: | ||||||||
Beginning of period | 3,848,491,921 | 3,317,015,538 | ||||||
| End of period | $ | 4,532,959,874 |
| $ | 3,848,491,921 | ||
See Notes to Financial Statements. | |
26 | JUNE 30, 2019 |
Janus Henderson VIT Balanced Portfolio
Financial Highlights
Institutional Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 | |||||
Net Asset Value, Beginning of Period |
| $33.75 |
|
| $35.27 |
|
| $30.32 |
|
| $30.08 |
|
| $31.43 |
|
| $30.26 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.38 | 0.66 | 0.64 | 0.58 | 0.63 | 0.62 | |||||||||||||||
Net realized and unrealized gain/(loss) | 3.95 | (0.42) | 4.92 | 0.77 | (0.41) | 1.92 | |||||||||||||||
Total from Investment Operations |
| 4.33 |
|
| 0.24 |
|
| 5.56 |
|
| 1.35 |
|
| 0.22 |
|
| 2.54 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.38) | (0.77) | (0.54) | (0.67) | (0.50) | (0.55) | |||||||||||||||
Distributions (from capital gains) | (1.03) | (0.99) | (0.07) | (0.44) | (1.07) | (0.82) | |||||||||||||||
Total Dividends and Distributions |
| (1.41) |
|
| (1.76) |
|
| (0.61) |
|
| (1.11) |
|
| (1.57) |
|
| (1.37) |
| |||
Net Asset Value, End of Period | $36.67 | $33.75 | $35.27 | $30.32 | $30.08 | $31.43 | |||||||||||||||
Total Return* |
| 12.86% |
|
| 0.68% |
|
| 18.43% |
|
| 4.60% |
|
| 0.62% |
|
| 8.54% |
| |||
Net Assets, End of Period (in thousands) | $427,227 | $402,796 | $429,403 | $403,833 | $444,472 | $475,807 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $419,888 | $429,843 | $417,575 | $413,338 | $467,346 | $472,445 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.62% | 0.63% | 0.63% | 0.62% | 0.58% | 0.58% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.62% | 0.63% | 0.63% | 0.62% | 0.58% | 0.58% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 2.13% | 1.85% | 1.94% | 1.94% | 2.03% | 2.01% | |||||||||||||||
Portfolio Turnover Rate | 41%(2) | 97%(2) | 67%(2) | 80% | 73% | 87% | |||||||||||||||
Service Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 |
| ||||
Net Asset Value, Beginning of Period |
| $35.59 |
|
| $37.09 |
|
| $31.89 |
|
| $31.61 |
|
| $32.97 |
|
| $31.72 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.36 | 0.60 | 0.58 | 0.53 | 0.58 | 0.57 | |||||||||||||||
Net realized and unrealized gain/(loss) | 4.15 | (0.44) | 5.17 | 0.80 | (0.42) | 2.00 | |||||||||||||||
Total from Investment Operations |
| 4.51 |
|
| 0.16 |
|
| 5.75 |
|
| 1.33 |
|
| 0.16 |
|
| 2.57 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.34) | (0.67) | (0.48) | (0.61) | (0.45) | (0.50) | |||||||||||||||
�� | Distributions (from capital gains) | (1.03) | (0.99) | (0.07) | (0.44) | (1.07) | (0.82) | ||||||||||||||
Total Dividends and Distributions |
| (1.37) |
|
| (1.66) |
|
| (0.55) |
|
| (1.05) |
|
| (1.52) |
|
| (1.32) |
| |||
Net Asset Value, End of Period | $38.73 | $35.59 | $37.09 | $31.89 | $31.61 | $32.97 | |||||||||||||||
Total Return* |
| 12.71% |
|
| 0.43% |
|
| 18.13% |
|
| 4.32% |
|
| 0.41% |
|
| 8.24% |
| |||
Net Assets, End of Period (in thousands) | $4,105,733 | $3,445,696 | $2,887,613 | $2,227,878 | $1,831,930 | $1,228,244 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $3,808,650 | $3,235,435 | $2,523,514 | $1,938,234 | $1,645,283 | $1,013,680 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.87% | 0.88% | 0.88% | 0.87% | 0.84% | 0.84% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.87% | 0.88% | 0.88% | 0.87% | 0.84% | 0.84% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 1.88% | 1.62% | 1.69% | 1.71% | 1.79% | 1.77% | |||||||||||||||
Portfolio Turnover Rate | 41%(2) | 97%(2) | 67%(2) | 80% | 73% | 87% | |||||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
Janus Aspen Series | 27 |
Janus Henderson VIT Balanced Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Balanced Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
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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 June 30, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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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.
On December 22, 2017, the Tax Cuts and Jobs Act was signed into law. Currently, Management does not believe the bill will have a material impact on the Portfolio’s intention to continue to qualify as a regulated investment company, which is generally not subject to U.S. federal income tax.
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
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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”) of 2010 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. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will proceed, or how financial markets will react. In addition, one or more other countries may also 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 June 30, 2019.
· 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
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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.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer loans or receivables. The Portfolio may purchase fixed or variable rate commercial or residential mortgage-backed securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed by the full faith and credit of the U.S. Government, which means that the U.S. Government guarantees that the interest and principal will be paid when due. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases, and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital Management LLC (“Janus Capital”) an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.55% of its average daily net assets.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust
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is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $19,642 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “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 period ended June 30, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $231,325 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates as an “institutional” money market fund and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The units of the Sweep Vehicle are not charged any management fee, sales charge or service fee.
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Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the period ended June 30, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2019, the Portfolio engaged in cross trades amounting to $83,316,806 in purchases.
4. Federal Income Tax
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.
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.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 3,708,886,657 | $915,804,490 | $(22,970,755) | $ 892,833,735 |
5. Capital Share Transactions
Period ended June 30, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 321,191 | $ 11,647,191 | 726,691 | $ 25,520,230 | ||
Shares from the Acquisition (See Note 9) | - | - | 2,240 | 76,489 | ||
Reinvested dividends and distributions | 436,738 | 15,827,390 | 611,981 | 20,863,874 | ||
Shares repurchased | (1,040,845) | (37,604,812) | (1,582,300) | (56,174,445) | ||
Net Increase/(Decrease) | (282,916) | $ (10,130,231) |
| (241,388) | $ (9,713,852) | |
Service Shares: | ||||||
Shares sold | 8,795,403 | $336,070,161 | 20,226,560 | $756,832,931 | ||
Shares from the Acquisition (See Note 9) | - | - | 228,198 | 8,210,624 | ||
Reinvested dividends and distributions | 3,631,921 | 139,029,945 | 3,834,282 | 137,724,495 | ||
Shares repurchased | (3,232,460) | (122,551,840) | (5,336,065) | (198,934,980) | ||
Net Increase/(Decrease) | 9,194,864 | $352,548,266 |
| 18,952,975 | $703,833,070 |
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Notes to Financial Statements (unaudited)
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$1,252,043,758 | $ 773,632,703 | $ 621,744,183 | $ 919,203,073 |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for portfolios with fiscal years ending after December 15, 2018. Management is currently evaluating the impacts of ASU 2017-08 on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Notes to Financial Statements (unaudited)
9. Fund Acquisition
Shareholders of the Janus Henderson Global Allocation Portfolio – Moderate (the “Target Portfolio”) approved an Agreement and Plan of Reorganization (the “Merger”) that provided for the merger of the Target Portfolio with and into the Portfolio, effective at the close of business on April 27, 2018. The Merger resulted in shareholders of the Target Portfolio receiving shares of the Portfolio which investment strategy is focused on a dynamic approach to asset allocation that leverages Janus Capital’s bottom-up, fundamental equity and fixed-income research, combined with a greater asset size that should create greater opportunity to benefit from long-term economies of scale and lower total expenses. The Merger was tax-free for federal income purposes. The table below reflects merger activity.
Target Portfolio’s Shares | Target Portfolio’s Net | Portfolio’s | Portfolio’s Net | Combined Net Assets after Merger | Target Portfolio’s Unrealized |
644,959 | $8,287,113 | 230,438 | $3,432,633,526 | $3,440,920,639 | $522,786 |
Unaudited pro forma information:
Assuming the Merger had been completed on January 1, 2018, the pro forma results of operations for the year ended December 31, 2018, are as follows:
Net investment income $6,402,168
Net gain/(loss) on investments $58,297,962
Change in unrealized net appreciation/depreciation $17,543,651
Net increase/(decrease) in net assets resulting from operations $82,243,781
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Portfolio that have been included in the Portfolio’s accompanying Statement of Operations since the close of business on April 27, 2018.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings on Form N-Q within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. These reports (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Funds that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and each subadviser 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 the information provided, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 6, 2018, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2019 through February 1, 2020, 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, refer to actual annual advisory fees (and, for the purposes of peer comparisons any administration fees excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees
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Additional Information (unaudited)
reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also expressed the view 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 and the subadviser to each Janus Henderson Fund that utilizes a subadviser were appropriate and consistent with the terms of the respective investment advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2018, approximately 48% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2018, approximately 56% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a
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Additional Information (unaudited)
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 Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the management fee rate (investment advisory and any administration fees, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, net of waivers, was below the average management fee rate of the respective peer group of funds selected by Broadridge. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
The independent fee consultant expressed the view that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. At the fund complex level, the independent fee consultant found: (1) the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual
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Additional Information (unaudited)
funds; (2) total expenses, on average, were 10% under the average total expenses for the respective Broadridge Expense Group peers and 19% under the average total expenses for the respective Broadridge Expense Universes; (3) management fees for the Janus Henderson Funds, on average, were 8% under the average management fees for the respective Expense Groups and 10% under the average for the respective Expense Universes; and (4) Janus Henderson Fund expenses by function for each asset and share class category were reasonable relative to peer benchmarks.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual share class level, Janus Henderson Fund expenses were found to be reasonable relative to peer benchmarks. Further, for certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to investors in each Janus Henderson Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such “focus list” 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 comparable subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, while subadviser fee rates charged to the Janus Henderson Funds were generally within a reasonable range of the fee rates that the subadviser charges to comparable separate account clients or non-affiliated funds. The Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to its institutional clients and to the fees Janus Capital charges to funds subadvised by Janus Capital; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson institutional and subadvised fund investors; (4) in three of five product categories, the Janus Henderson Funds receive proportionally better pricing than the industry in relation to Janus Henderson institutional clients; and (5) in six of seven strategies, Janus Capital has lower management fees than the management fees charged to funds subadvised by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2017, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
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Additional Information (unaudited)
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded fund managers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, differences in product mix, differences in types of business (mutual fund, institutional and other), differences in the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provides to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant concluded that (1) the expense allocation methodology utilized by Janus Capital was reasonable and (2) the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund was reasonable. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted the independent fee consultant’s analysis of economies of scale in prior years. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, the independent fee consultant concluded that 74% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their
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Additional Information (unaudited)
Broadridge Expense Group averages. They also noted that for those Janus Henderson Funds whose expenses are being reduced by contractual expense limitations with Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale. Moreover, as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered information provided by the independent fee consultant, which concluded that, given the limitations of various analytical approaches to economies of scale it had considered in prior years, and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. The independent consultant further concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant expressed the view that Janus Henderson Fund investors are well-served by the performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information they reviewed, including past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s and each subadviser’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by certain other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds, and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was June 30, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under ��Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the
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Janus Henderson VIT Balanced Portfolio
Useful Information About Your Portfolio Report (unaudited)
period. The next line reflects the total return for the period. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Janus Henderson VIT Balanced Portfolio
Notes
NotesPage1
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Janus Henderson VIT Balanced Portfolio
Notes
NotesPage2
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Janus Henderson VIT Balanced Portfolio
Notes
NotesPage3
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-24-81113 08-19 |
SEMIANNUAL REPORT June 30, 2019 | ||
Janus Henderson VIT Enterprise Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Enterprise Portfolio
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
PERFORMANCE OVERVIEW
During the six months ended June 30, 2019, Janus Henderson VIT Enterprise Portfolio’s Institutional Shares and Service Shares returned 26.55% and 26.41%, respectively. Meanwhile, the Portfolio’s benchmark, the Russell Midcap® Growth Index, returned 26.08%.
INVESTMENT ENVIRONMENT
Stocks rebounded in the first quarter after the Federal Reserve indicated it would take a cautious approach to raising interest rates while inflation remained low. Increasing hopes that the U.S. and China were making progress toward a trade deal also supported stocks in the first quarter. In the second quarter stocks were volatile. Equities lost ground in May as setbacks in U.S.-China trade negotiations raised fears that trade tensions will further dent global economic growth. Economic data also pointed to a weakening global economy during the period. Stocks then rebounded in June, driven in part by expectations of more accommodative monetary policy from central banks.
PERFORMANCE DISCUSSION
Our Portfolio tends to emphasize “durable growth” companies that we believe have more predictable business models, recurring revenue streams, strong free-cash-flow growth and strong competitive positioning that should allow them to take market share and experience sustainable long-term growth across a variety of economic environments. We believe a collection of these higher-quality growth companies can help the Portfolio outperform when markets are down and drive relative outperformance over full market cycles. This period, we were pleased to see many of the companies in our portfolio continue to put up impressive results, validating the durability of their business models and collectively driving our relative outperformance.
Global Payments was one of our largest contributors. Consolidation among payments companies, including a recently announced merger between Global Payments and Total System Services, has highlighted the value of payments networks and also created enthusiasm for these companies to produce considerable cost synergies. We continue to see upside for the stock. As frictionless transactions become a customer expectation of every retailer and service provider, payments services become increasingly more important to every business. Global Payments is one of a handful of companies that has benefited from this trend.
Constellation Software was another large contributor. The diversified software company has a long history of making strategic acquisitions and becoming the leading software provider for a host of niche industries. Strong organic revenue growth helped drive the stock. The software company deployed a lot of capital toward acquisitions in recent months, which the market has viewed favorably, given Constellation’s history of creating value with the companies it targets. We continue to like the company’s strategy. By creating “mission critical” software for niche industries, it operates with relatively little competition and has a high degree of pricing power for its services.
CoStar Group was another top contributor. Consistent, strong operating results have continued to drive the stock higher in recent months. Going forward, we like the recurring revenue streams associated with its subscription-based commercial real estate database and see positive optionality around its business in the apartment rental market.
While pleased with the results of many stocks in our portfolio, we still held companies that disappointed. Cimpress was our largest detractor. The company largely focuses on producing marketing collateral for small businesses, but also has a small business-to-consumer segment. Growth for that segment has been slow and the company made a decision to pull back and reassess advertising spending for that business. While this will be a headwind to near-term growth for the business-to-
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
consumer unit, we believe the changes will help improve long-term profitability. We continue to like the stock and believe Cimpress has a unique business model, using its scale and high-volume printing presses to manage and produce small-volume printing orders of marketing collateral and business cards.
National Instruments was another detractor. The company provides measurement solutions that allow other businesses to test their sensors and digital equipment. The company experienced some weakness in demand from China at the beginning of the year, which weighed on the stock, but doesn’t change our long-term views on the company. We believe the flexibility of the company’s software-based measurement solutions is poised to take share from other companies that offer specific hardware to test various sensors and other digital equipment. We also like the potential durability of National Instruments’ earnings streams: once an engineer is trained on its software, we believe it is likely the software of choice for testing equipment over the rest of the engineer’s career.
RyanAir also detracted from performance. Heightened competition in Europe has weighed on the stock of the airline company. However, we believe Ryanair is the best operator in Europe, with the lowest cost base. Over time, we expect it to gain market share in the European short-haul market.
DERIVATIVES USE
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
We believe markets continue to demonstrate a high level of complacency. The number of promising but exceptionally valued companies going public this year speaks to the risk appetite. Excessive valuations of stocks tied to popular growth trends also speak to the market’s exuberance.
Our concerns about high valuations are not new, and were also expressed in previous commentaries. We see excessive valuations for many Software as a Service companies. We own a few of these companies – and like the business models and management teams associated with others – but valuation discipline remains a hallmark of our investment process and we remain concerned about excessive valuations associated with many of these businesses.
Some of these highly valued stocks were weaker in the second quarter and our underexposure to them helped relative performance, but valuations still remain high, in our view, so our positioning in the technology sector remains the same. We continue to favor tech hardware companies, many of which trade at attractive earnings multiples, in our view, yet operate in favorable industry structures and have secular tailwinds supporting their businesses as we grow more dependent on connected devices.
In the coming months, we would not be surprised to see trade conflict and slow global economic growth create bouts of volatility again. As the election season approaches, we don’t expect business-friendly political rhetoric from either side of the aisle. This, too, could be a source of volatility. We plan to use that volatility to our advantage, using our cash position to add positions of attractive growth companies when attractive valuation opportunities present themselves.
Thank you for your investment in Janus Henderson VIT Enterprise Portfolio.
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Portfolio At A Glance
June 30, 2019
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
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Contribution | Contribution | |||||
Global Payments Inc | 1.06% | Cimpress NV | -0.15% | |||
Constellation Software Inc/Canada | 1.02% | National Instruments Corp | -0.10% | |||
CoStar Group Inc | 0.99% | Ryanair Holdings PLC (ADR) | -0.07% | |||
WEX Inc | 0.81% | Alkermes PLC | -0.04% | |||
STERIS PLC | 0.68% | Visteon Corp | -0.03% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell Midcap Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Health Care | 0.92% | 16.98% | 14.27% | |||
Consumer Discretionary | 0.58% | 7.97% | 16.27% | |||
Consumer Staples | 0.53% | 0.00% | 3.04% | |||
Energy | 0.22% | 0.61% | 1.45% | |||
Communication Services | 0.18% | 1.21% | 3.93% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell Midcap Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Other** | -1.38% | 5.43% | 0.00% | |||
Real Estate | -0.22% | 3.66% | 2.27% | |||
Information Technology | -0.05% | 32.52% | 32.75% | |||
Financials | 0.00% | 11.04% | 6.66% | |||
Materials | 0.05% | 1.41% | 3.56% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Portfolio At A Glance
June 30, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Global Payments Inc | |
Information Technology Services | 2.3% |
Constellation Software Inc/Canada | |
Software | 2.3% |
Nice Ltd (ADR) | |
Software | 2.3% |
Cooper Cos Inc | |
Health Care Equipment & Supplies | 2.1% |
Aon PLC | |
Insurance | 2.1% |
11.1% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 93.6% | ||||
Investment Companies | 6.6% | ||||
Preferred Stocks | 0.0% | ||||
Other | (0.2)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2019 | As of December 31, 2018 |
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
|
| per the April 30, 2019 prospectuses | |||||||
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| Fiscal | One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares(1) |
| 26.55% | 17.30% | 14.95% | 17.82% | 11.39% |
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| 0.72% | |
Service Shares(1) |
| 26.41% | 17.02% | 14.66% | 17.53% | 11.11% |
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| 0.97% | |
Russell Midcap Growth Index |
| 26.08% | 13.94% | 11.10% | 16.02% | 10.02% |
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Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 1st | 1st |
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Morningstar Ranking - based on total returns for Mid-Cap Growth Funds |
| - | 69/609 | 22/550 | 7/504 | 20/147 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See Financial Highlights for actual expense ratios during the reporting period.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
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Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Performance
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
(1) Closed to certain new investors.
6 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio (unaudited)(closed to certain new investors)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,265.50 | $4.04 |
| $1,000.00 | $1,021.22 | $3.61 | 0.72% | ||
Service Shares | $1,000.00 | $1,264.10 | $5.45 |
| $1,000.00 | $1,019.98 | $4.86 | 0.97% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (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 Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – 93.6% | |||||||
Aerospace & Defense – 3.6% | |||||||
Harris Corp* | 105,294 | $19,914,254 | |||||
HEICO Corp | 90,459 | 9,350,747 | |||||
Teledyne Technologies Inc* | 88,061 | 24,117,266 | |||||
53,382,267 | |||||||
Airlines – 0.6% | |||||||
Ryanair Holdings PLC (ADR)* | 135,999 | 8,722,976 | |||||
Auto Components – 0.3% | |||||||
Visteon Corp* | 80,376 | 4,708,426 | |||||
Banks – 0.4% | |||||||
SVB Financial Group* | 26,896 | 6,040,573 | |||||
Biotechnology – 2.4% | |||||||
Alkermes PLC* | 4,413 | 99,469 | |||||
Celgene Corp* | 157,065 | 14,519,089 | |||||
Neurocrine Biosciences Inc* | 128,843 | 10,878,214 | |||||
Sage Therapeutics Inc* | 22,623 | 4,142,045 | |||||
Sarepta Therapeutics Inc* | 43,187 | 6,562,265 | |||||
36,201,082 | |||||||
Capital Markets – 5.0% | |||||||
Cboe Global Markets Inc | 84,590 | 8,766,062 | |||||
LPL Financial Holdings Inc | 319,066 | 26,026,214 | |||||
MSCI Inc | 46,208 | 11,034,008 | |||||
TD Ameritrade Holding Corp | 562,144 | 28,062,228 | |||||
73,888,512 | |||||||
Commercial Services & Supplies – 2.6% | |||||||
Cimpress NV* | 150,495 | 13,678,491 | |||||
Edenred | 251,829 | 12,842,518 | |||||
Ritchie Bros Auctioneers Inc | 377,759 | 12,549,154 | |||||
39,070,163 | |||||||
Consumer Finance – 0.6% | |||||||
Synchrony Financial | 233,256 | 8,086,986 | |||||
Containers & Packaging – 1.3% | |||||||
Sealed Air Corp | 451,026 | 19,294,892 | |||||
Diversified Consumer Services – 1.8% | |||||||
frontdoor Inc* | 181,704 | 7,913,209 | |||||
ServiceMaster Global Holdings Inc* | 363,409 | 18,929,975 | |||||
26,843,184 | |||||||
Electrical Equipment – 1.9% | |||||||
Sensata Technologies Holding PLC* | 581,594 | 28,498,106 | |||||
Electronic Equipment, Instruments & Components – 5.5% | |||||||
Belden Inc | 138,953 | 8,277,430 | |||||
Dolby Laboratories Inc | 235,424 | 15,208,390 | |||||
Flex Ltd* | 1,103,036 | 10,556,055 | |||||
National Instruments Corp | 424,583 | 17,828,240 | |||||
TE Connectivity Ltd | 313,876 | 30,063,043 | |||||
81,933,158 | |||||||
Entertainment – 0.5% | |||||||
Liberty Media Corp-Liberty Formula One* | 184,442 | 6,899,975 | |||||
Equity Real Estate Investment Trusts (REITs) – 3.5% | |||||||
Crown Castle International Corp | 207,128 | 26,999,135 | |||||
Lamar Advertising Co | 314,915 | 25,416,790 | |||||
52,415,925 | |||||||
Health Care Equipment & Supplies – 8.5% | |||||||
Boston Scientific Corp (144A)* | 733,376 | 31,520,500 | |||||
Cooper Cos Inc | 93,802 | 31,600,956 | |||||
ICU Medical Inc* | 55,143 | 13,891,073 | |||||
STERIS PLC | 180,575 | 26,884,006 | |||||
Teleflex Inc | 39,161 | 12,968,165 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Health Care Equipment & Supplies – (continued) | |||||||
Varian Medical Systems Inc* | 72,022 | $9,804,355 | |||||
126,669,055 | |||||||
Hotels, Restaurants & Leisure – 3.1% | |||||||
Aramark | 333,527 | 12,026,984 | |||||
Dunkin' Brands Group Inc | 245,287 | 19,539,562 | |||||
Norwegian Cruise Line Holdings Ltd* | 254,860 | 13,668,142 | |||||
45,234,688 | |||||||
Industrial Conglomerates – 1.2% | |||||||
Carlisle Cos Inc | 123,208 | 17,299,635 | |||||
Information Technology Services – 11.5% | |||||||
Amdocs Ltd | 333,458 | 20,704,407 | |||||
Broadridge Financial Solutions Inc | 192,145 | 24,533,074 | |||||
Euronet Worldwide Inc* | 45,657 | 7,681,334 | |||||
Fidelity National Information Services Inc | 188,370 | 23,109,232 | |||||
Gartner Inc* | 69,825 | 11,237,636 | |||||
Global Payments Inc | 216,278 | 34,632,596 | |||||
GoDaddy Inc* | 287,838 | 20,191,836 | |||||
WEX Inc* | 138,445 | 28,810,404 | |||||
170,900,519 | |||||||
Insurance – 5.2% | |||||||
Aon PLC | 163,736 | 31,597,773 | |||||
Intact Financial Corp | 233,355 | 21,567,605 | |||||
WR Berkley Corp | 357,570 | 23,574,590 | |||||
76,739,968 | |||||||
Internet & Direct Marketing Retail – 0.4% | |||||||
Wayfair Inc* | 44,803 | 6,541,238 | |||||
Life Sciences Tools & Services – 4.6% | |||||||
IQVIA Holdings Inc* | 142,379 | 22,908,781 | |||||
PerkinElmer Inc | 286,676 | 27,618,366 | |||||
Waters Corp* | 82,234 | 17,700,046 | |||||
68,227,193 | |||||||
Machinery – 3.0% | |||||||
Middleby Corp* | 79,613 | 10,803,484 | |||||
Rexnord Corp* | 561,124 | 16,957,167 | |||||
Wabtec Corp | 230,728 | 16,557,041 | |||||
44,317,692 | |||||||
Media – 0.7% | |||||||
Omnicom Group Inc | 131,359 | 10,764,870 | |||||
Oil, Gas & Consumable Fuels – 1.6% | |||||||
Magellan Midstream Partners LP | 372,669 | 23,850,816 | |||||
Pharmaceuticals – 1.3% | |||||||
Catalent Inc* | 297,473 | 16,126,011 | |||||
Elanco Animal Health Inc* | 103,188 | 3,487,754 | |||||
19,613,765 | |||||||
Professional Services – 4.6% | |||||||
CoStar Group Inc* | 53,172 | 29,460,478 | |||||
IHS Markit Ltd* | 204,021 | 13,000,218 | |||||
Verisk Analytics Inc | 172,072 | 25,201,665 | |||||
67,662,361 | |||||||
Road & Rail – 0.7% | |||||||
Old Dominion Freight Line Inc | 71,430 | 10,661,642 | |||||
Semiconductor & Semiconductor Equipment – 6.3% | |||||||
KLA-Tencor Corp | 152,971 | 18,081,172 | |||||
Lam Research Corp | 91,546 | 17,196,001 | |||||
Microchip Technology Inc# | 324,634 | 28,145,768 | |||||
ON Semiconductor Corp* | 1,043,946 | 21,098,149 | |||||
Xilinx Inc | 79,866 | 9,417,799 | |||||
93,938,889 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Software – 8.5% | |||||||
Atlassian Corp PLC* | 146,675 | $19,190,957 | |||||
Constellation Software Inc/Canada | 36,314 | 34,229,842 | |||||
Intuit Inc | 38,480 | 10,055,978 | |||||
Nice Ltd (ADR)* | 246,748 | 33,804,476 | |||||
SS&C Technologies Holdings Inc | 488,553 | 28,145,538 | |||||
125,426,791 | |||||||
Specialty Retail – 0.5% | |||||||
Williams-Sonoma Inc | 111,577 | 7,252,505 | |||||
Textiles, Apparel & Luxury Goods – 1.3% | |||||||
Gildan Activewear Inc | 503,751 | 19,485,089 | |||||
Trading Companies & Distributors – 0.6% | |||||||
Ferguson PLC | 124,438 | 8,847,913 | |||||
Total Common Stocks (cost $774,845,201) | 1,389,420,854 | ||||||
Preferred Stocks – 0% | |||||||
Electronic Equipment, Instruments & Components – 0% | |||||||
Belden Inc, 6.7500%, 7/15/19 (cost $1,200,000) | 12,000 | 946,320 | |||||
Investment Companies – 6.6% | |||||||
Investments Purchased with Cash Collateral from Securities Lending – 0.4% | |||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº,£ | 5,663,871 | 5,663,871 | |||||
Money Markets – 6.2% | |||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº,£ | 91,884,139 | 91,884,139 | |||||
Total Investment Companies (cost $97,548,403) | 97,548,010 | ||||||
Total Investments (total cost $873,593,604) – 100.2% | 1,487,915,184 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.2)% | (3,456,533) | ||||||
Net Assets – 100% | $1,484,458,651 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $1,325,522,567 | 89.1 | % | ||
Canada | 87,831,690 | 5.9 | |||
Israel | 33,804,476 | 2.3 | |||
Australia | 19,190,957 | 1.3 | |||
France | 12,842,518 | 0.8 | |||
Ireland | 8,722,976 | 0.6 |
Total | $1,487,915,184 | 100.0 | % |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/19 | |||||||
Investment Companies - 6.6% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.4% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | $ | 57,979∆ | $ | - | $ | - | $ | 5,663,871 | ||
Money Markets - 6.2% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 892,818 | (208) | (393) | 91,884,139 | ||||||
Total Affiliated Investments - 6.6% | $ | 950,797 | $ | (208) | $ | (393) | $ | 97,548,010 |
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 6/30/19 | |||||||
Investment Companies - 6.6% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.4% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | 2,758,029 | 92,719,998 | (89,814,156) | 5,663,871 | ||||||
Money Markets - 6.2% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 63,166,325 | 99,743,539 | (71,025,725) | 91,884,139 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Schedule of Forward Foreign Currency Exchange Contracts, Open |
Counterparty/ Foreign Currency | Settlement Date | Foreign Currency Amount (Sold)/ Purchased | USD Currency Amount (Sold)/ Purchased | Market Value and Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital, Inc.: | ||||||||
Canadian Dollar | 8/8/19 | (4,268,000) | $ | 3,187,704 | $ | (74,777) | ||
Euro | 8/8/19 | (36,000) | 40,535 | (528) | ||||
(75,305) | ||||||||
Citibank NA: | ||||||||
Canadian Dollar | 8/8/19 | (6,896,000) | 5,150,761 | (120,577) | ||||
Euro | 8/8/19 | (6,111,000) | 6,883,472 | (86,827) | ||||
(207,404) | ||||||||
Credit Suisse International: | ||||||||
Canadian Dollar | 9/12/19 | (8,420,000) | 6,409,134 | (30,444) | ||||
HSBC Securities (USA), Inc.: | ||||||||
Canadian Dollar | 7/11/19 | (7,635,000) | 5,687,270 | (144,988) | ||||
Euro | 7/11/19 | (5,588,000) | 6,298,468 | (59,382) | ||||
(204,370) | ||||||||
JPMorgan Chase & Co.: | ||||||||
Euro | 8/8/19 | (6,019,000) | 6,771,969 | (93,393) | ||||
Total | $ | (610,916) |
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 June 30, 2019.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2019 | |||||
|
|
|
|
| Currency |
| |||||
Liability Derivatives: | |||||
Forward foreign currency exchange contracts | $610,916 | ||||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Schedule of Investments (unaudited)
June 30, 2019
The following tables provide information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the period ended June 30, 2019.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the period ended June 30, 2019 | ||||||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||||||
Derivative |
| Currency |
| Interest Rate |
| Total | ||
Forward foreign currency exchange contracts | $ - | $ 676,806 | $ 676,806 | |||||
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||||||
Derivative |
| Currency |
| Interest Rate |
| Total | ||
Forward foreign currency exchange contracts | $(950,350) | $ - | $(950,350) | |||||
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
Average Ending Monthly Market Value of Derivative Instruments During the Period Ended June 30, 2019 | |
| Market Value(a) |
Forward foreign currency exchange contracts, sold | $ 36,580,133 |
(a) Forward foreign currency exchange contracts are reported as the average ending monthly currency amount sold. |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Enterprise Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell Midcap® Growth Index | Russell Midcap® Growth Index reflects the performance of U.S. mid-cap equities with higher price-to-book ratios and higher forecasted growth values. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2019 is $31,520,500, which represents 2.1% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2019. |
# | Loaned security; a portion of the security is on loan at June 30, 2019. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2019. See Notes to Financial Statements for more information. | |||||||||||||
Valuation Inputs Summary | |||||||||||||
Level 2 - | Level 3 - | ||||||||||||
Level 1 - | Other Significant | Significant | |||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | |||||||||||
Assets | |||||||||||||
Investments In Securities: | |||||||||||||
Common Stocks | $ | 1,389,420,854 | $ | - | $ | - | |||||||
Preferred Stocks | - | 946,320 | - | ||||||||||
Investment Companies | - | 97,548,010 | - | ||||||||||
Total Assets | $ | 1,389,420,854 | $ | 98,494,330 | $ | - | |||||||
Liabilities | |||||||||||||
Other Financial Instruments(a): | |||||||||||||
Forward Foreign Currency Exchange Contracts | $ | - | $ | 610,916 | $ | - | |||||||
(a) | Other financial instruments include forward foreign currency exchange, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Futures, certain written options on futures, and centrally cleared swap contracts are reported at their variation margin at measurement date, which represents the amount due to/from the Portfolio at that date. Written options, written swaptions, and other swap contracts are reported at their market value at measurement date. |
14 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1)(2) | $ | 1,390,367,174 | ||||
Affiliated investments, at value(3) | 97,548,010 | |||||
Cash | 53,964 | |||||
Cash denominated in foreign currency(4) | 27 | |||||
Closed foreign currency contracts | 380 | |||||
Non-interested Trustees' deferred compensation | 37,478 | |||||
Receivables: | ||||||
Portfolio shares sold | 3,168,649 | |||||
Dividends | 653,109 | |||||
Investments sold | 387,405 | |||||
Dividends from affiliates | 161,834 | |||||
Foreign tax reclaims | 16,930 | |||||
Other assets | 5,663 | |||||
Total Assets |
|
| 1,492,400,623 |
| ||
Liabilities: | ||||||
Collateral for securities loaned (Note 3) | 5,663,871 | |||||
Forward foreign currency exchange contracts | 610,916 | |||||
Closed foreign currency contracts | 500 | |||||
Payables: | — | |||||
Advisory fees | 760,727 | |||||
Portfolio shares repurchased | 525,180 | |||||
12b-1 Distribution and shareholder servicing fees | 151,452 | |||||
Transfer agent fees and expenses | 61,103 | |||||
Non-interested Trustees' deferred compensation fees | 37,478 | |||||
Professional fees | 15,785 | |||||
Non-interested Trustees' fees and expenses | 8,846 | |||||
Affiliated portfolio administration fees payable | 2,972 | |||||
Custodian fees | 2,108 | |||||
Accrued expenses and other payables | 101,034 | |||||
Total Liabilities |
|
| 7,941,972 |
| ||
Net Assets |
| $ | 1,484,458,651 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 809,537,860 | ||||
Total distributable earnings (loss) | 674,920,791 | |||||
Total Net Assets |
| $ | 1,484,458,651 |
| ||
Net Assets - Institutional Shares | $ | 728,128,735 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 9,114,612 | |||||
Net Asset Value Per Share |
| $ | 79.89 |
| ||
Net Assets - Service Shares | $ | 756,329,916 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 10,114,647 | |||||
Net Asset Value Per Share |
| $ | 74.78 |
|
(1) Includes cost of $776,045,201. (2) Includes $5,545,502 of securities on loan. See Note 3 in Notes to Financial Statements. (3) Includes cost of $97,548,403. (4) Includes cost of $27. |
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Enterprise Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Dividends | $ | 6,728,697 | ||
Dividends from affiliates | 892,818 | ||||
Affiliated securities lending income, net | 57,979 | ||||
Interest | 827 | ||||
Foreign tax withheld | (248,686) | ||||
Total Investment Income |
| 7,431,635 |
| ||
Expenses: | |||||
Advisory fees | 4,319,764 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 854,668 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 166,548 | ||||
Service Shares | 170,934 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 8,253 | ||||
Service Shares | 5,061 | ||||
Shareholder reports expense | 58,066 | ||||
Professional fees | 27,380 | ||||
Custodian fees | 18,666 | ||||
Non-interested Trustees’ fees and expenses | 17,050 | ||||
Affiliated portfolio administration fees | 14,989 | ||||
Registration fees | 14,029 | ||||
Other expenses | 58,557 | ||||
Total Expenses |
| 5,733,965 |
| ||
Net Investment Income/(Loss) |
| 1,697,670 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 59,385,343 | ||||
Investments in affiliates | (208) | ||||
Forward foreign currency exchange contracts | 676,806 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 60,061,941 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 248,639,652 | ||||
Investments in affiliates | (393) | ||||
Forward foreign currency exchange contracts | (950,350) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 247,688,909 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 309,448,520 |
| ||
See Notes to Financial Statements. | |
16 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Statements of Changes in Net Assets
|
|
| Period ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 1,697,670 | $ | 2,074,204 | ||||
Net realized gain/(loss) on investments | 60,061,941 | 84,724,787 | ||||||
Change in unrealized net appreciation/depreciation | 247,688,909 | (94,627,700) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 309,448,520 |
|
| (7,828,709) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (41,294,425) | (30,474,258) | ||||||
Service Shares | (45,165,219) | (30,628,519) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (86,459,644) |
|
| (61,102,777) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 38,763,288 | (10,085,696) | ||||||
Service Shares | 56,257,181 | 71,166,601 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 95,020,469 |
|
| 61,080,905 | |||
Net Increase/(Decrease) in Net Assets |
| 318,009,345 |
|
| (7,850,581) | |||
Net Assets: | ||||||||
Beginning of period | 1,166,449,306 | 1,174,299,887 | ||||||
| End of period | $ | 1,484,458,651 |
| $ | 1,166,449,306 | ||
See Notes to Financial Statements. | |
Janus Aspen Series | 17 |
Janus Henderson VIT Enterprise Portfolio
Financial Highlights
Institutional Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 | |||||
Net Asset Value, Beginning of Period |
| $67.02 |
|
| $70.65 |
|
| $59.27 |
|
| $57.33 |
|
| $61.75 |
|
| $58.96 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.15 | 0.21 | 0.11 | 0.28 | 0.27 | 0.27 | |||||||||||||||
Net realized and unrealized gain/(loss) | 17.56 | (0.16) | 15.67 | 6.50 | 2.55 | 6.79 | |||||||||||||||
Total from Investment Operations |
| 17.71 |
|
| 0.05 |
|
| 15.78 |
|
| 6.78 |
|
| 2.82 |
|
| 7.06 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.09) | (0.18) | (0.17) | (0.09) | (0.40) | (0.10) | |||||||||||||||
Distributions (from capital gains) | (4.75) | (3.50) | (4.23) | (4.75) | (6.84) | (4.17) | |||||||||||||||
Total Dividends and Distributions |
| (4.84) |
|
| (3.68) |
|
| (4.40) |
|
| (4.84) |
|
| (7.24) |
|
| (4.27) |
| |||
Net Asset Value, End of Period | $79.89 | $67.02 | $70.65 | $59.27 | $57.33 | $61.75 | |||||||||||||||
Total Return* |
| 26.55% |
|
| (0.41)% |
|
| 27.42% |
|
| 12.36% |
|
| 4.05% |
|
| 12.50% |
| |||
Net Assets, End of Period (in thousands) | $728,129 | $577,477 | $618,750 | $459,250 | $418,158 | $417,895 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $674,876 | $641,390 | $556,940 | $435,190 | $427,941 | $402,634 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.72% | 0.72% | 0.73% | 0.72% | 0.68% | 0.68% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.72% | 0.72% | 0.73% | 0.72% | 0.68% | 0.68% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 0.38% | 0.29% | 0.17% | 0.48% | 0.44% | 0.45% | |||||||||||||||
Portfolio Turnover Rate | 7% | 14% | 14% | 20% | 22% | 16% | |||||||||||||||
Service Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 |
| ||||
Net Asset Value, Beginning of Period |
| $63.00 |
|
| $66.67 |
|
| $56.22 |
|
| $54.67 |
|
| $59.26 |
|
| $56.80 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.05 | 0.03 | (0.05) | 0.12 | 0.11 | 0.12 | |||||||||||||||
Net realized and unrealized gain/(loss) | 16.50 | (0.12) | 14.82 | 6.19 | 2.45 | 6.53 | |||||||||||||||
Total from Investment Operations |
| 16.55 |
|
| (0.09) |
|
| 14.77 |
|
| 6.31 |
|
| 2.56 |
|
| 6.65 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.02) | (0.08) | (0.09) | (0.01) | (0.31) | (0.02) | |||||||||||||||
Distributions (from capital gains) | (4.75) | (3.50) | (4.23) | (4.75) | (6.84) | (4.17) | |||||||||||||||
Total Dividends and Distributions |
| (4.77) |
|
| (3.58) |
|
| (4.32) |
|
| (4.76) |
|
| (7.15) |
|
| (4.19) |
| |||
Net Asset Value, End of Period | $74.78 | $63.00 | $66.67 | $56.22 | $54.67 | $59.26 | |||||||||||||||
Total Return* |
| 26.39% |
|
| (0.65)% |
|
| 27.09% |
|
| 12.10% |
|
| 3.77% |
|
| 12.24% |
| |||
Net Assets, End of Period (in thousands) | $756,330 | $588,973 | $555,550 | $419,251 | $321,482 | $278,240 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $692,620 | $612,433 | $489,237 | $373,400 | $299,393 | $262,698 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.97% | 0.97% | 0.98% | 0.97% | 0.94% | 0.93% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.97% | 0.97% | 0.98% | 0.97% | 0.94% | 0.93% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 0.13% | 0.04% | (0.08)% | 0.22% | 0.19% | 0.20% | |||||||||||||||
Portfolio Turnover Rate | 7% | 14% | 14% | 20% | 22% | 16% | |||||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
18 | JUNE 30, 2019 |
Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Enterprise Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
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Notes to Financial Statements (unaudited)
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 June 30, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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Notes to Financial Statements (unaudited)
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.
On December 22, 2017, the Tax Cuts and Jobs Act was signed into law. Currently, Management does not believe the bill will have a material impact on the Portfolio’s intention to continue to qualify as a regulated investment company, which is generally not subject to U.S. federal income tax.
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 period ended June 30, 2019 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it
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Notes to Financial Statements (unaudited)
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 or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced
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Notes to Financial Statements (unaudited)
and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") 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 forward currency contracts for non-hedging purposes such as seeking to enhance returns. The Portfolio is subject to currency risk and counterparty risk in the normal course of pursuing its investment objective through its investments in forward currency contracts.
Forward currency contracts are valued by converting the foreign value to U.S. dollars by using the current spot U.S. dollar exchange rate and/or forward rate for that currency. Exchange and forward rates as of the close of the NYSE shall be used to value the forward currency contracts. The unrealized appreciation/(depreciation) for forward currency contracts is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations for the change in unrealized net appreciation/depreciation (if applicable). The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a forward currency contract is reported on the Statement of Operations (if applicable).
During the period, the Portfolio entered into forward currency contracts with the obligation to sell foreign currencies in the future at an agreed upon rate in order to decrease exposure to currency risk associated with foreign currency denominated securities held by the Portfolio.
3. Other Investments and Strategies
Additional Investment Risk
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”) of 2010 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
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Notes to Financial Statements (unaudited)
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. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will proceed, or how financial markets will react. In addition, one or more other countries may also 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.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following tables present gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of instrument, see the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2019” table located in the Portfolio’s Schedule of Investments.
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Notes to Financial Statements (unaudited)
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
Deutsche Bank AG | $ | 5,545,502 | $ | — | $ | (5,545,502) | $ | — | |
Offsetting of Financial Liabilities and Derivative Liabilities | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Liabilities | or Liability(a) | Pledged(b) | Net Amount | |||||
Barclays Capital, Inc. | $ | 75,305 | $ | — | $ | — | $ | 75,305 | |
Citibank NA | 207,404 | — | — | 207,404 | |||||
Credit Suisse International | 30,444 | — | — | 30,444 | |||||
HSBC Securities (USA), Inc. | 204,370 | — | — | 204,370 | |||||
JPMorgan Chase & Co. | 93,393 | — | — | 93,393 | |||||
Total | $ | 610,916 | $ | — | $ | — | $ | 610,916 | |
(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. |
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 in accordance with the Agency Securities Lending and Repurchase Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. See “Securities Lending” in the notes to financial statements for additional information.
The Portfolio generally does not exchange collateral on its forward foreign currency contracts with its counterparties; however, all liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to these contracts. Certain securities may be segregated at the Portfolio’s custodian. These segregated securities are denoted on the accompanying Schedule of Investments and are evaluated daily to ensure their cover and/or market value equals or exceeds the Portfolio’s corresponding forward foreign currency exchange contract's obligation value.
The Portfolio may require the counterparty to pledge securities as collateral daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized gain on OTC derivative contracts with a particular counterparty. The Portfolio may deposit cash as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. The collateral amounts are subject to minimum exposure requirements and initial margin requirements. Collateral amounts are monitored and subsequently adjusted up or down as valuations fluctuate by at least the minimum exposure requirement. Collateral may reduce the risk of loss.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
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Notes to Financial Statements (unaudited)
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. 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 in accordance with the Agency Securities Lending and Repurchase Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
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 Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2019, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $5,545,502. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2019 is $5,663,871, resulting in the net amount due to the counterparty of $118,369.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s contractual investment advisory fee rate (expressed as an annual rate) is 0.64% of its average daily net assets.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
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Notes to Financial Statements (unaudited)
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $19,642 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “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 period ended June 30, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $231,325 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash
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Notes to Financial Statements (unaudited)
Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates as an “institutional” money market fund and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The units of the Sweep Vehicle 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 period ended June 30, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2019, the Portfolio engaged in cross trades amounting to $442,227 in sales, resulting in a net realized gain of $129,305. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
5. Federal Income Tax
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.
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.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 873,639,844 | $623,006,382 | $ (8,731,042) | $ 614,275,340 |
Information on the tax components of derivatives as of June 30, 2019 is as follows:
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ - | $ - | $ (610,916) | $ (610,916) |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
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Janus Henderson VIT Enterprise Portfolio
Notes to Financial Statements (unaudited)
6. Capital Share Transactions
Period ended June 30, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 669,775 | $51,955,851 | 1,094,919 | $ 81,180,091 | ||
Reinvested dividends and distributions | 525,910 | 41,294,425 | 411,872 | 30,474,258 | ||
Shares repurchased | (697,713) | (54,486,988) | (1,648,195) | (121,740,045) | ||
Net Increase/(Decrease) | 497,972 | $38,763,288 |
| (141,404) | $ (10,085,696) | |
Service Shares: | ||||||
Shares sold | 1,153,580 | $83,941,612 | 2,327,514 | $162,490,283 | ||
Reinvested dividends and distributions | 614,493 | 45,165,219 | 439,794 | 30,628,519 | ||
Shares repurchased | (1,002,915) | (72,849,650) | (1,750,080) | (121,952,201) | ||
Net Increase/(Decrease) | 765,158 | $56,257,181 |
| 1,017,228 | $ 71,166,601 |
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$94,789,981 | $ 118,046,744 | $ - | $ - |
8. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for portfolios with fiscal years ending after December 15, 2018. Management is currently evaluating the impacts of ASU 2017-08 on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings on Form N-Q within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. These reports (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Funds that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and each subadviser 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 the information provided, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 6, 2018, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2019 through February 1, 2020, 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, refer to actual annual advisory fees (and, for the purposes of peer comparisons any administration fees excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
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Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also expressed the view 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 and the subadviser to each Janus Henderson Fund that utilizes a subadviser were appropriate and consistent with the terms of the respective investment advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2018, approximately 48% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2018, approximately 56% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31,
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Additional Information (unaudited)
2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the management fee rate (investment advisory and any administration fees, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, net of waivers, was below the average management fee rate of the respective peer group of funds selected by Broadridge. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
The independent fee consultant expressed the view that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. At the fund complex level, the independent fee consultant found: (1)
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Additional Information (unaudited)
the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 10% under the average total expenses for the respective Broadridge Expense Group peers and 19% under the average total expenses for the respective Broadridge Expense Universes; (3) management fees for the Janus Henderson Funds, on average, were 8% under the average management fees for the respective Expense Groups and 10% under the average for the respective Expense Universes; and (4) Janus Henderson Fund expenses by function for each asset and share class category were reasonable relative to peer benchmarks.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual share class level, Janus Henderson Fund expenses were found to be reasonable relative to peer benchmarks. Further, for certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to investors in each Janus Henderson Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such “focus list” 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 comparable subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, while subadviser fee rates charged to the Janus Henderson Funds were generally within a reasonable range of the fee rates that the subadviser charges to comparable separate account clients or non-affiliated funds. The Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to its institutional clients and to the fees Janus Capital charges to funds subadvised by Janus Capital; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson institutional and subadvised fund investors; (4) in three of five product categories, the Janus Henderson Funds receive proportionally better pricing than the industry in relation to Janus Henderson institutional clients; and (5) in six of seven strategies, Janus Capital has lower management fees than the management fees charged to funds subadvised by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2017, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded fund managers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, differences in product mix, differences in types of business (mutual fund, institutional and other), differences in the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provides to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant concluded that (1) the expense allocation methodology utilized by Janus Capital was reasonable and (2) the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund was reasonable. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted the independent fee consultant’s analysis of economies of scale
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Additional Information (unaudited)
in prior years. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, the independent fee consultant concluded that 74% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted that for those Janus Henderson Funds whose expenses are being reduced by contractual expense limitations with Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale. Moreover, as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered information provided by the independent fee consultant, which concluded that, given the limitations of various analytical approaches to economies of scale it had considered in prior years, and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. The independent consultant further concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant expressed the view that Janus Henderson Fund investors are well-served by the performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information they reviewed, including past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s and each subadviser’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by certain other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds,
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Janus Henderson VIT Enterprise Portfolio
Additional Information (unaudited)
and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Janus Henderson VIT Enterprise Portfolio
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 June 30, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the
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Janus Henderson VIT Enterprise Portfolio
Useful Information About Your Portfolio Report (unaudited)
period. The next line reflects the total return for the period. 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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Notes
NotesPage1
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Notes
NotesPage2
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-24-81116 08-19 |
SEMIANNUAL REPORT June 30, 2019 | |||||
Janus Henderson VIT Flexible Bond Portfolio | |||||
Janus Aspen Series | |||||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Flexible Bond Portfolio
Janus Henderson VIT Flexible Bond Portfolio (unaudited)
PERFORMANCE SUMMARY
During the six-month period ended June 30, 2019, Janus Henderson VIT Flexible Bond Portfolio’s Institutional Shares and Service Shares returned 6.21% and 6.14%, respectively, compared with a 6.11% return for the Portfolio’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index.
INVESTMENT ENVIRONMENT
Early in the period, the Federal Reserve (Fed) signaled it would hold rates steady in 2019, in stark contrast to its 2018 indication that it would hike this year, which helped risk assets rebound from the fourth quarter’s sell-off. Resilient corporate profits and better-than-expected GDP growth also supported corporate credit. Economic data, particularly related to global manufacturing, weakened later in the period, and U.S.-China trade negotiations caused some volatility, raising fear that trade tensions could dent an already slowing global economy. But the expectation for more accommodative monetary policy from central banks, including a potential rate cut by the Fed, supported corporate credit near period end.
Investment-grade and high-yield spreads (the difference in yield between corporate securities and their underlying risk-free benchmarks) fluctuated but ultimately finishing tighter. Treasuries also rallied, and lower yields further supported corporate credit returns. The yield on the 10-year note closed the period at 2.01%, down from 2.68% in December.
PERFORMANCE DISCUSSION
The Portfolio outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. The tailwind we expect from the Fed’s accommodative pivot and subsequent pledge to “act as appropriate” to sustain the economic expansion led us to add to our U.S.-based corporate credit allocation. Our expectation for limited net new issuance coupled with strong demand amid investors’ search for yield also contributed to our decision to raise our allocation off a multi-year low. While we have added selectively to what we believe are higher-quality business models in high yield, the increase has been primarily in the investment-grade sector. Given the Fed’s next move will likely be a cut, we continued to reduce our floating rate exposure, including positions in certain asset-backed securities, commercial mortgage-backed securities and bank loans. We also trimmed our Treasury allocation, but shifted into longer-dated Treasury exposure to help balance the risk from our increased corporate credit allocation. We expect lower Treasury yields and a relatively flat curve as U.S. yields remain attractive versus their global peers. The increase in long-dated Treasuries contributed to the lengthening of the fixed income sleeve’s overall duration (a measure of sensitivity to changes in interest rates), which ended the period at approximately 111% of the index.
Adding Treasury duration proved beneficial, as our bias to longer-dated bonds aided results during the period’s rally in rates. The Portfolio’s out-of-index allocation to high-yield corporate bonds also contributed to relative performance during the spread-tightening environment. Our additions to investment-grade corporates, the strongest-performing benchmark sector, also supported relative results.
At the sector level, our food and beverage holdings were among the strongest contributors to relative results. We maintain an overall positive view on the sector given valuations (which we feel reasonably reflect the challenges posed from a generational shift in consumer habits), improving fundamentals (as we believe the worst of the sector’s consolidation activity is likely behind us) and the fact that the majority of companies in the sector are looking to delever. Further, in the event of a downturn, we believe the steady cash flow of these consumer staples should face minimal impact. We increased our allocation to the sector, and our overweight aided relative performance. At the issuer level, a position in Campbell’s Soup was a top relative contributor. The company executed a small asset sale and is benefiting from its plans to sell additional assets, the proceeds of which are expected to be used for deleveraging.
An underweight to the banking sector detracted from relative results. A position in Citigroup also modestly held back relative results.
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Janus Henderson VIT Flexible Bond Portfolio (unaudited)
A small cash balance detracted from relative performance, given the strong performance in riskier assets during the period. Although we significantly reduced our floating rate exposure, front-end and floating rate securitized credit, including mortgage-backed and other asset-backed securities, also detracted from relative performance, largely due to their lack of duration.
OUTLOOK
The Fed has struck an accommodative tone, seeking to stabilize the economic decline and engineer a soft landing. The prospect of the Fed having investors’ backs is appealing to market participants, and reminiscent of 2012, when the European Central Bank vowed to do whatever it takes to preserve the euro; we think both rates and credit can continue to perform well in the near term. Treasury yields have trended significantly lower, and can go lower still. In fact, we would argue that higher U.S. yields are not sustainable given the Fed pivot in combination with low to negative yields abroad and the convergence of accommodative monetary policy in the developed world. U.S. rates also remain attractive on a hedged basis for foreign investors in search of yield.
Supply/demand technicals also remain favorable for U.S. investment-grade corporate credit, given limited net new issuance. After a wave of mergers and acquisitions, we are witnessing a heightened focus on debt paydown, and less willingness by management teams to take debt and leverage higher as they have in recent years. Further, while the U.S. economy is slowing, employment and corporate fundamentals remain relatively healthy. Given these conditions, it is difficult to envision a sustained sell-off in corporate credit without recession risks and default rates trending higher. We will continue to seek attractively valued new issues where we believe we can capitalize on price dislocations our analysts identify in issuers with free-cash-flow generative business models and management teams focused on prudent balance sheet management. Spreads (the difference in yield between a corporate security and its underlying risk-free benchmark) remain fairly tight, however, leading us to believe carry (a measure of excess interest income generated by the Portfolio’s holdings) will be a strong driver of returns going forward. We continue to look for attractive carry positions to round out our corporate allocation.
There is no doubt that the landscape can change quickly, particularly at this late stage of the credit cycle. Macro uncertainty remains, with slower global growth and trade policy top of mind for investors, making bouts of volatility likely. We will continue to closely monitor economic data releases and the impact trade rhetoric is having on companies, as well as its potential impact on the economy. Brexit and upcoming U.S. elections could also challenge the investment landscape. We believe a focus on higher-quality business models remains prudent and intend to remain diversified across fixed income asset classes. Thorough vetting of all opportunities coupled with security avoidance remains critical as we strive to deliver on our core tenets of capital preservation and strong risk-adjusted returns.
Thank you for your investment in the Janus Henderson VIT Flexible Bond Portfolio.
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Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
Fund Profile |
|
|
30-day Current Yield* | Without | With |
Institutional Shares | 2.47% | 2.47% |
Service Shares | 2.22% | 2.22% |
Weighted Average Maturity | 9.2 Years | |
Average Effective Duration** | 6.3 Years | |
* Yield will fluctuate. | ||
** A theoretical measure of price volatility. |
Ratings† Summary - (% of Total Investments) |
|
AAA | 0.6% |
AA | 45.4% |
A | 7.4% |
BBB | 30.1% |
BB | 9.4% |
B | 1.4% |
Not Rated | 5.2% |
Other | 0.5% |
† Credit ratings provided by Standard & Poor's (S&P), an independent credit rating agency. Credit ratings range from AAA (highest) to D (lowest) based on S&P's measures. Further information on S&P's rating methodology may be found at www.standardandpoors.com. Other rating agencies may rate the same securities differently. Ratings are relative and subjective and are not absolute standards of quality. Credit quality does not remove market risk and is subject to change. "Not Rated" securities are not rated by S&P, but may be rated by other rating agencies and do not necessarily indicate low quality. "Other" includes cash equivalents, equity securities, and certain derivative instruments. |
Asset Allocation - (% of Net Assets) | |||||
Corporate Bonds | 45.8% | ||||
Mortgage-Backed Securities | 26.2% | ||||
United States Treasury Notes/Bonds | 18.1% | ||||
Asset-Backed/Commercial Mortgage-Backed Securities | 8.1% | ||||
Investment Companies | 3.2% | ||||
Bank Loans and Mezzanine Loans | 0.3% | ||||
Other | (1.7)% | ||||
100.0% |
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Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
|
| per the April 30, 2019 prospectuses | |||||||
|
| Fiscal | One | Five | Ten | Since |
|
| Total Annual Fund | |
Institutional Shares |
| 6.21% | 6.96% | 2.42% | 4.68% | 6.16% |
|
| 0.61% | |
Service Shares |
| 6.14% | 6.73% | 2.16% | 4.43% | 5.93% |
|
| 0.86% | |
Bloomberg Barclays U.S. Aggregate Bond Index |
| 6.11% | 7.87% | 2.95% | 3.90% | 5.15% |
|
|
| |
Morningstar Quartile - Institutional Shares |
| - | 3rd | 4th | 3rd | 1st |
|
|
| |
Morningstar Ranking - based on total returns for Intermediate Core - Plus Bond Funds |
| - | 464/631 | 401/533 | 280/473 | 7/196 |
|
|
|
Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See Financial Highlights for actual expense ratios during the reporting period.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
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Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for indexfor index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
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Janus Henderson VIT Flexible Bond Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,062.10 | $3.17 |
| $1,000.00 | $1,021.72 | $3.11 | 0.62% | ||
Service Shares | $1,000.00 | $1,061.40 | $4.40 |
| $1,000.00 | $1,020.53 | $4.31 | 0.86% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (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 Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – 8.1% | |||||||
Angel Oak Mortgage Trust I LLC 2018-2, 3.6740%, 7/27/48 (144A)‡ | $290,637 | $295,840 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.1940%, 6/7/49 (144A) | 988,000 | 1,002,093 | |||||
Applebee's Funding LLC / IHOP Funding LLC, 4.7230%, 6/7/49 (144A) | 465,000 | 474,184 | |||||
Arroyo Mortgage Trust 2018-1, 3.7630%, 4/25/48 (144A)‡ | 498,061 | 507,624 | |||||
BAMLL Commercial Mortgage Securities Trust 2018-DSNY, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2443%, 9/15/34 (144A)‡ | 769,000 | 768,772 | |||||
BBCMS 2018-TALL Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.7220%, 3.1163%, 3/15/37 (144A)‡ | 1,799,000 | 1,792,921 | |||||
BBCMS Trust 2015-SRCH, 4.1970%, 8/10/35 (144A) | 1,447,000 | 1,592,272 | |||||
BX Commercial Mortgage Trust 2018-IND, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1443%, 11/15/33 (144A)‡ | 1,871,133 | 1,871,123 | |||||
BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 696,000 | 730,281 | |||||
Cenovus Energy Inc, 5.7000%, 10/15/19 | 15,000 | 15,108 | |||||
Credit Acceptance Auto Loan Trust 2018-2, 3.9400%, 7/15/27 (144A) | 563,000 | 579,197 | |||||
CSMLT 2015-2 Trust, 3.5000%, 8/25/45 (144A)‡ | 693,858 | 704,424 | |||||
DB Master Finance LLC, 3.7870%, 5/20/49 (144A) | 581,000 | 595,585 | |||||
DB Master Finance LLC, 4.0210%, 5/20/49 (144A) | 235,000 | 241,541 | |||||
DB Master Finance LLC, 4.3520%, 5/20/49 (144A) | 465,000 | 487,834 | |||||
Domino's Pizza Master Issuer LLC, 3.0820%, 7/25/47 (144A) | 190,605 | 190,733 | |||||
Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 263,340 | 271,994 | |||||
Drive Auto Receivables Trust 2017-1, 5.1700%, 9/16/24 | 1,590,000 | 1,651,025 | |||||
Drive Auto Receivables Trust 2017-2, 5.2700%, 11/15/24 | 1,400,000 | 1,457,461 | |||||
Drive Auto Receivables Trust 2017-A, 4.1600%, 5/15/24 (144A) | 508,000 | 517,137 | |||||
Drive Auto Receivables Trust 2019-1, 4.0900%, 6/15/26 | 220,000 | 227,638 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 3.0000%, 5.4044%, 7/25/24‡ | 2,217,287 | 2,311,037 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 1.1500%, 3.5544%, 9/25/29‡ | 134,663 | 134,988 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.9500%, 3.3544%, 10/25/29‡ | 94,842 | 95,082 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.6000%, 3.0298%, 7/25/30‡ | 219,459 | 219,326 | |||||
Fannie Mae Connecticut Avenue Securities, | |||||||
ICE LIBOR USD 1 Month + 0.7200%, 3.1244%, 1/25/31‡ | 65,685 | 65,705 | |||||
Fannie Mae Connecticut Avenue Securities 2017-C06, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1544%, 2/25/30‡ | 79,579 | 79,591 | |||||
Fannie Mae Connecticut Avenue Securities 2018-C04, | |||||||
ICE LIBOR USD 1 Month + 0.7500%, 3.1544%, 2/25/30‡ | 99,621 | 99,636 | |||||
Fannie Mae REMICS, 3.0000%, 5/25/48 | 2,116,720 | 2,153,640 | |||||
Ginnie Mae II Pool, 3.5000%, 5/20/49 | 1,430,597 | 1,460,192 | |||||
Ginnie Mae II Pool, 3.5000%, 6/20/49 | 569,031 | 580,803 | |||||
Government National Mortgage Association - Class FQ, | |||||||
ICE LIBOR USD 1 Month + 0.4500%, 2.8329%, 2/20/49‡ | 1,508,451 | 1,507,643 | |||||
Government National Mortgage Association - Class QF, | |||||||
ICE LIBOR USD 1 Month + 0.4500%, 2.8329%, 2/20/49‡ | 1,322,801 | 1,322,080 | |||||
Jack in the Box Funding, LLC 2019-1A A23, 4.9700%, 8/25/49 | 1,191,000 | 1,191,000 | |||||
Jack in the Box Funding, LLC 2019-1A A2I, 3.9820%, 8/25/49 | 1,191,000 | 1,191,000 | |||||
Jack in the Box Funding, LLC 2019-1A A2II, 4.4760%, 8/25/49 | 1,191,000 | 1,191,000 | |||||
JP Morgan Mortgage Trust, | |||||||
ICE LIBOR USD 1 Month + 0.9000%, 3.3041%, 11/25/49 (144A)‡ | 205,000 | 205,131 | |||||
Mello Warehouse Securitization Trust 2018-1, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2544%, 11/25/51 (144A)‡ | 2,658,000 | 2,652,070 | |||||
New Residential Mortgage Loan Trust 2018-2, 4.5000%, 2/25/58 (144A)‡ | 595,012 | 624,322 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 3.8500%, 10/14/25 (144A) | 254,000 | 261,630 | |||||
OneMain Direct Auto Receivables Trust 2018-1, 4.4000%, 1/14/28 (144A) | 252,000 | 262,325 | |||||
Santander Drive Auto Receivables Trust 2016-3, 4.2900%, 2/15/24 | 1,868,000 | 1,903,517 | |||||
Santander Drive Auto Receivables Trust 2018-1, 4.3700%, 5/15/25 (144A) | 2,500,000 | 2,530,129 | |||||
Sequoia Mortgage Trust 2018-7 A19, 4.0000%, 9/25/48 (144A)‡ | 394,760 | 400,273 | |||||
Station Place Securitization Trust 2018-7, | |||||||
ICE LIBOR USD 1 Month + 0.8500%, 3.2796%, 9/24/19 (144A)‡ | 2,541,000 | 2,541,000 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 7 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Asset-Backed/Commercial Mortgage-Backed Securities – (continued) | |||||||
Station Place Securitization Trust Series 2019-4, 3.3296%, 6/24/20 (144A)‡ | $2,254,000 | $2,254,000 | |||||
Towd Point Asset Funding, LLC 2019-HE1 A1, 3.3410%, 4/25/48 (144A) | 1,176,000 | 1,172,260 | |||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C34, 6.3076%, 5/15/46‡ | 162,669 | 164,441 | |||||
Wells Fargo Mortgage Backed Securities 2018-1, 3.5000%, 7/25/47 (144A)‡ | 314,971 | 315,603 | |||||
Wells Fargo Mortgage Backed Securities 2019-1 Trust, | |||||||
4.0000%, 11/25/48 (144A)‡ | 613,328 | 623,491 | |||||
Wells Fargo Mortgage Backed Securities 2019-2 Trust, | |||||||
4.0000%, 4/25/49 (144A)‡ | 525,205 | 531,618 | |||||
Wendy's Funding LLC, 3.5730%, 3/15/48 (144A) | 368,390 | 372,322 | |||||
WinWater Mortgage Loan Trust 2015-5, 3.5000%, 8/20/45 (144A)‡ | 2,176,899 | 2,210,035 | |||||
Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $48,096,136) | 48,601,677 | ||||||
Bank Loans and Mezzanine Loans – 0.3% | |||||||
Electric – 0.3% | |||||||
Vistra Operations Co LLC, ICE LIBOR USD 1 Month + 2.0000%, 4.4024%, 8/4/23‡ (cost $1,811,896) | 1,807,317 | 1,803,937 | |||||
Corporate Bonds – 45.8% | |||||||
Banking – 4.0% | |||||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.0600%, 3.5590%, 4/23/27‡ | 2,421,000 | 2,521,856 | |||||
Bank of America Corp, ICE LIBOR USD 3 Month + 1.2100%, 3.9740%, 2/7/30‡ | 1,686,000 | 1,805,669 | |||||
Bank of Montreal, 3.3000%, 2/5/24 | 1,681,000 | 1,742,795 | |||||
Citizens Financial Group Inc, 3.7500%, 7/1/24 | 613,000 | 622,503 | |||||
Citizens Financial Group Inc, 4.3500%, 8/1/25 | 427,000 | 447,972 | |||||
Citizens Financial Group Inc, 4.3000%, 12/3/25 | 1,435,000 | 1,517,381 | |||||
Goldman Sachs Capital I, 6.3450%, 2/15/34 | 2,366,000 | 2,972,192 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.2450%, 3.9600%, 1/29/27‡ | 2,660,000 | 2,843,714 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.3300%, 4.4520%, 12/5/29‡ | 584,000 | 649,505 | |||||
JPMorgan Chase & Co, ICE LIBOR USD 3 Month + 1.1600%, 3.7020%, 5/6/30‡ | 1,484,000 | 1,564,032 | |||||
Morgan Stanley, 3.9500%, 4/23/27 | 1,526,000 | 1,595,465 | |||||
Morgan Stanley, ICE LIBOR USD 3 Month + 1.6280%, 4.4310%, 1/23/30‡ | 1,232,000 | 1,363,935 | |||||
SVB Financial Group, 5.3750%, 9/15/20 | 1,360,000 | 1,405,506 | |||||
Synchrony Financial, 4.3750%, 3/19/24 | 312,000 | 326,561 | |||||
Synchrony Financial, 3.9500%, 12/1/27 | 1,266,000 | 1,263,961 | |||||
Synchrony Financial, 5.1500%, 3/19/29 | 1,178,000 | 1,268,761 | |||||
23,911,808 | |||||||
Basic Industry – 3.6% | |||||||
Allegheny Technologies Inc, 5.9500%, 1/15/21 | 2,062,000 | 2,118,705 | |||||
Constellium NV, 5.7500%, 5/15/24 (144A) | 1,428,000 | 1,460,130 | |||||
Freeport-McMoRan Inc, 3.5500%, 3/1/22 | 2,746,000 | 2,749,432 | |||||
Freeport-McMoRan Inc, 3.8750%, 3/15/23 | 1,745,000 | 1,745,000 | |||||
Georgia-Pacific LLC, 3.1630%, 11/15/21 (144A) | 2,870,000 | 2,910,563 | |||||
Georgia-Pacific LLC, 3.6000%, 3/1/25 (144A) | 1,106,000 | 1,160,811 | |||||
Novelis Corp, 5.8750%, 9/30/26 (144A) | 2,820,000 | 2,855,250 | |||||
Nutrien Ltd, 4.2000%, 4/1/29 | 281,000 | 303,232 | |||||
Nutrien Ltd, 5.0000%, 4/1/49 | 341,000 | 386,668 | |||||
Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 1,564,000 | 1,641,572 | |||||
Steel Dynamics Inc, 5.5000%, 10/1/24 | 403,000 | 417,609 | |||||
WRKCo Inc, 3.7500%, 3/15/25 | 89,000 | 92,562 | |||||
WRKCo Inc, 4.6500%, 3/15/26 | 571,000 | 620,735 | |||||
WRKCo Inc, 3.3750%, 9/15/27 | 101,000 | 101,117 | |||||
WRKCo Inc, 4.0000%, 3/15/28 | 341,000 | 353,920 | |||||
WRKCo Inc, 4.9000%, 3/15/29 | 2,367,000 | 2,586,478 | |||||
21,503,784 | |||||||
Brokerage – 1.2% | |||||||
Cboe Global Markets Inc, 3.6500%, 1/12/27 | 1,805,000 | 1,894,113 | |||||
E*TRADE Financial Corp, 3.8000%, 8/24/27 | 1,680,000 | 1,690,857 | |||||
E*TRADE Financial Corp, 4.5000%, 6/20/28 | 446,000 | 468,762 | |||||
Raymond James Financial Inc, 5.6250%, 4/1/24 | 841,000 | 951,080 | |||||
Raymond James Financial Inc, 4.9500%, 7/15/46 | 1,723,000 | 1,941,551 | |||||
6,946,363 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Capital Goods – 2.7% | |||||||
Ball Corp, 4.3750%, 12/15/20 | $1,174,000 | $1,199,828 | |||||
Boeing Co, 2.2500%, 6/15/26 | 291,000 | 283,251 | |||||
Boeing Co, 3.2500%, 3/1/28 | 262,000 | 271,663 | |||||
Boeing Co, 3.2000%, 3/1/29 | 1,958,000 | 2,019,641 | |||||
Boeing Co, 3.6000%, 5/1/34 | 1,447,000 | 1,509,397 | |||||
Entegris Inc, 4.6250%, 2/10/26 (144A) | 877,000 | 883,578 | |||||
Huntington Ingalls Industries Inc, 5.0000%, 11/15/25 (144A) | 2,760,000 | 2,856,600 | |||||
Masonite International Corp, 5.6250%, 3/15/23 (144A) | 473,000 | 487,190 | |||||
Wabtec Corp, 4.4000%, 3/15/24 | 1,276,000 | 1,350,314 | |||||
Wabtec Corp, 3.4500%, 11/15/26 | 1,888,000 | 1,844,121 | |||||
Wabtec Corp, 4.9500%, 9/15/28 | 3,090,000 | 3,311,606 | |||||
16,017,189 | |||||||
Communications – 5.8% | |||||||
AT&T Inc, 3.6000%, 7/15/25 | 1,055,000 | 1,093,374 | |||||
AT&T Inc, 4.3500%, 3/1/29 | 2,682,000 | 2,877,214 | |||||
AT&T Inc, 4.8500%, 3/1/39 | 1,058,000 | 1,134,782 | |||||
AT&T Inc, 4.7500%, 5/15/46 | 1,205,000 | 1,266,880 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp, 5.2500%, 3/15/21 | 1,318,000 | 1,323,766 | |||||
CenturyLink Inc, 6.4500%, 6/15/21 | 928,000 | 981,360 | |||||
CenturyLink Inc, 5.8000%, 3/15/22 | 516,000 | 537,930 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | |||||||
4.9080%, 7/23/25 | 1,079,000 | 1,170,770 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | |||||||
5.0500%, 3/30/29 | 2,610,000 | 2,875,390 | |||||
Comcast Corp, 3.1500%, 3/1/26 | 735,000 | 759,264 | |||||
Comcast Corp, 4.1500%, 10/15/28 | 358,000 | 394,591 | |||||
Comcast Corp, 4.2500%, 10/15/30 | 1,153,000 | 1,284,229 | |||||
Comcast Corp, 4.6000%, 10/15/38 | 800,000 | 915,194 | |||||
Comcast Corp, 4.9500%, 10/15/58 | 824,000 | 1,004,274 | |||||
Crown Castle International Corp, 3.6500%, 9/1/27 | 653,000 | 672,158 | |||||
Crown Castle International Corp, 4.3000%, 2/15/29 | 807,000 | 867,637 | |||||
Crown Castle International Corp, 5.2000%, 2/15/49 | 1,178,000 | 1,353,626 | |||||
CSC Holdings LLC, 6.5000%, 2/1/29 (144A) | 1,805,000 | 1,969,706 | |||||
Sirius XM Radio Inc, 5.5000%, 7/1/29 (144A) | 1,222,000 | 1,252,794 | |||||
T-Mobile USA Inc, 6.3750%, 3/1/25 | 1,562,000 | 1,622,137 | |||||
UBM PLC, 5.7500%, 11/3/20 (144A) | 1,726,000 | 1,787,246 | |||||
Verizon Communications Inc, 2.6250%, 8/15/26 | 1,552,000 | 1,541,286 | |||||
Verizon Communications Inc, 4.3290%, 9/21/28 | 1,929,000 | 2,133,156 | |||||
Verizon Communications Inc, 3.8750%, 2/8/29 | 491,000 | 526,391 | |||||
Verizon Communications Inc, 4.8620%, 8/21/46 | 479,000 | 557,475 | |||||
Verizon Communications Inc, 4.5220%, 9/15/48 | 353,000 | 394,263 | |||||
Verizon Communications Inc, 5.0120%, 8/21/54 | 718,000 | 858,347 | |||||
Viacom Inc, 5.8500%, 9/1/43 | 1,551,000 | 1,829,915 | |||||
34,985,155 | |||||||
Consumer Cyclical – 3.7% | |||||||
AutoZone Inc, 3.7500%, 4/18/29 | 1,214,000 | 1,261,755 | |||||
Ford Motor Credit Co LLC, 4.3890%, 1/8/26 | 1,604,000 | 1,611,768 | |||||
Ford Motor Credit Co LLC, 3.8150%, 11/2/27 | 1,551,000 | 1,485,338 | |||||
Ford Motor Credit Co LLC, 5.1130%, 5/3/29 | 1,503,000 | 1,536,292 | |||||
General Motors Co, 5.0000%, 10/1/28 | 1,242,000 | 1,304,384 | |||||
General Motors Financial Co Inc, 4.3500%, 4/9/25 | 896,000 | 924,300 | |||||
General Motors Financial Co Inc, 4.3000%, 7/13/25 | 276,000 | 284,486 | |||||
General Motors Financial Co Inc, 4.3500%, 1/17/27 | 900,000 | 916,401 | |||||
GLP Capital LP / GLP Financing II Inc, 5.2500%, 6/1/25 | 440,000 | 471,416 | |||||
GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 512,000 | 553,615 | |||||
IHS Markit Ltd, 5.0000%, 11/1/22 (144A) | 1,034,000 | 1,095,523 | |||||
IHS Markit Ltd, 4.7500%, 2/15/25 (144A) | 1,793,000 | 1,923,172 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Cyclical – (continued) | |||||||
IHS Markit Ltd, 4.0000%, 3/1/26 (144A) | $1,081,000 | $1,118,489 | |||||
Lowe's Cos Inc, 3.6500%, 4/5/29 | 953,000 | 995,571 | |||||
MDC Holdings Inc, 5.5000%, 1/15/24 | 1,101,000 | 1,172,565 | |||||
MGM Resorts International, 6.6250%, 12/15/21 | 783,000 | 845,640 | |||||
MGM Resorts International, 7.7500%, 3/15/22 | 281,000 | 313,315 | |||||
O'Reilly Automotive Inc, 3.6000%, 9/1/27 | 31,000 | 31,860 | |||||
O'Reilly Automotive Inc, 4.3500%, 6/1/28 | 237,000 | 256,130 | |||||
O'Reilly Automotive Inc, 3.9000%, 6/1/29 | 1,384,000 | 1,450,632 | |||||
Service Corp International/US, 5.1250%, 6/1/29 | 1,493,000 | 1,571,382 | |||||
Starbucks Corp, 4.4500%, 8/15/49 | 903,000 | 987,618 | |||||
22,111,652 | |||||||
Consumer Non-Cyclical – 8.6% | |||||||
Allergan Finance LLC, 3.2500%, 10/1/22 | 958,000 | 973,613 | |||||
Allergan Funding SCS, 3.4500%, 3/15/22 | 1,770,000 | 1,806,661 | |||||
Allergan Funding SCS, 3.8000%, 3/15/25 | 1,089,000 | 1,129,589 | |||||
Allergan Inc/United States, 2.8000%, 3/15/23 | 75,000 | 74,768 | |||||
Anheuser-Busch InBev Worldwide Inc, 4.7500%, 1/23/29 | 2,099,000 | 2,377,671 | |||||
Bausch Health Cos Inc, 7.0000%, 3/15/24 (144A) | 1,207,000 | 1,282,558 | |||||
Boston Scientific Corp, 3.7500%, 3/1/26 | 704,000 | 748,335 | |||||
Boston Scientific Corp, 4.0000%, 3/1/29 | 366,000 | 395,679 | |||||
Boston Scientific Corp, 4.7000%, 3/1/49 | 587,000 | 672,882 | |||||
Bristol-Myers Squibb Co, 3.4000%, 7/26/29 (144A) | 634,000 | 663,085 | |||||
Bristol-Myers Squibb Co, 4.1250%, 6/15/39 (144A) | 458,000 | 496,108 | |||||
Bristol-Myers Squibb Co, 4.2500%, 10/26/49 (144A) | 786,000 | 865,139 | |||||
Campbell Soup Co, 3.9500%, 3/15/25 | 797,000 | 828,634 | |||||
Campbell Soup Co, 4.1500%, 3/15/28 | 1,130,000 | 1,179,159 | |||||
Campbell Soup Co, 4.8000%, 3/15/48# | 1,171,000 | 1,183,662 | |||||
CVS Health Corp, 4.7500%, 12/1/22 | 759,000 | 805,736 | |||||
CVS Health Corp, 4.1000%, 3/25/25 | 2,020,000 | 2,129,335 | |||||
CVS Health Corp, 4.3000%, 3/25/28 | 1,413,000 | 1,489,203 | |||||
CVS Health Corp, 5.0500%, 3/25/48 | 911,000 | 968,907 | |||||
Elanco Animal Health Inc, 4.2720%, 8/28/23 (144A) | 621,000 | 651,516 | |||||
Elanco Animal Health Inc, 4.9000%, 8/28/28 (144A) | 579,000 | 646,331 | |||||
General Mills Inc, 4.2000%, 4/17/28 | 1,629,000 | 1,754,570 | |||||
GlaxoSmithKline Capital PLC, 3.3750%, 6/1/29 | 1,710,000 | 1,807,310 | |||||
HCA Inc, 4.5000%, 2/15/27 | 1,456,000 | 1,552,738 | |||||
HCA Inc, 4.1250%, 6/15/29 | 3,512,000 | 3,593,642 | |||||
HCA Inc, 5.1250%, 6/15/39 | 636,000 | 660,622 | |||||
HCA Inc, 5.2500%, 6/15/49 | 925,000 | 961,732 | |||||
IQVIA Inc, 5.0000%, 5/15/27 (144A) | 786,000 | 811,545 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 5.8750%, 7/15/24 (144A) | 350,000 | 360,063 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 5.7500%, 6/15/25 (144A) | 630,000 | 655,200 | |||||
JBS USA LUX SA / JBS USA Finance Inc, 6.7500%, 2/15/28 (144A) | 194,000 | 210,733 | |||||
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, | |||||||
6.5000%, 4/15/29 (144A) | 275,000 | 298,719 | |||||
Keurig Dr Pepper Inc, 4.5970%, 5/25/28 | 1,404,000 | 1,536,070 | |||||
Keurig Dr Pepper Inc, 5.0850%, 5/25/48# | 570,000 | 633,950 | |||||
Kraft Heinz Foods Co, 3.0000%, 6/1/26 | 2,630,000 | 2,558,199 | |||||
Kraft Heinz Foods Co, 4.6250%, 1/30/29 | 496,000 | 533,436 | |||||
Kraft Heinz Foods Co, 5.0000%, 6/4/42 | 414,000 | 424,906 | |||||
Kraft Heinz Foods Co, 4.3750%, 6/1/46 | 1,108,000 | 1,051,582 | |||||
Life Technologies Corp, 6.0000%, 3/1/20 | 1,195,000 | 1,220,218 | |||||
Mars Inc, 2.7000%, 4/1/25 (144A) | 710,000 | 724,035 | |||||
Mars Inc, 3.2000%, 4/1/30 (144A) | 840,000 | 872,313 | |||||
Mars Inc, 3.9500%, 4/1/49 (144A) | 1,025,000 | 1,101,456 | |||||
Mars Inc, 4.2000%, 4/1/59 (144A) | 795,000 | 862,936 | |||||
Newell Brands Inc, 4.2000%, 4/1/26 | 1,580,000 | 1,569,665 | |||||
Newell Brands Inc, 5.3750%, 4/1/36 | 1,805,000 | 1,781,466 | |||||
Teva Pharmaceutical Finance Co BV, 3.6500%, 11/10/21 | 471,000 | 453,338 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Consumer Non-Cyclical – (continued) | |||||||
Teva Pharmaceutical Finance IV BV, 3.6500%, 11/10/21 | $520,000 | $502,060 | |||||
Valvoline Inc, 5.5000%, 7/15/24 | 454,000 | 469,436 | |||||
Valvoline Inc, 4.3750%, 8/15/25 | 1,018,000 | 1,015,455 | |||||
51,345,966 | |||||||
Electric – 3.4% | |||||||
NRG Energy Inc, 3.7500%, 6/15/24 (144A) | 1,551,000 | 1,592,673 | |||||
NRG Energy Inc, 7.2500%, 5/15/26 | 2,024,000 | 2,228,930 | |||||
NRG Energy Inc, 6.6250%, 1/15/27 | 1,328,000 | 1,442,540 | |||||
NRG Energy Inc, 5.7500%, 1/15/28 | 308,000 | 330,330 | |||||
NRG Energy Inc, 4.4500%, 6/15/29 (144A) | 1,494,000 | 1,553,694 | |||||
NRG Energy Inc, 5.2500%, 6/15/29 (144A) | 595,000 | 634,419 | |||||
Oncor Electric Delivery Co LLC, 2.7500%, 6/1/24 (144A) | 1,225,000 | 1,247,292 | |||||
Oncor Electric Delivery Co LLC, 3.7000%, 11/15/28 (144A) | 982,000 | 1,056,988 | |||||
Oncor Electric Delivery Co LLC, 3.8000%, 6/1/49 (144A) | 1,503,000 | 1,584,282 | |||||
PPL WEM Ltd / Western Power Distribution Ltd, 5.3750%, 5/1/21 (144A) | 1,336,000 | 1,382,416 | |||||
Southern Co, 2.9500%, 7/1/23 | 1,222,000 | 1,239,197 | |||||
Vistra Operations Co LLC, 5.5000%, 9/1/26 (144A) | 611,000 | 645,369 | |||||
Vistra Operations Co LLC, 5.6250%, 2/15/27 (144A) | 3,023,000 | 3,200,601 | |||||
Vistra Operations Co LLC, 5.0000%, 7/31/27 (144A) | 2,031,000 | 2,100,755 | |||||
20,239,486 | |||||||
Energy – 5.1% | |||||||
AmeriGas Partners LP / AmeriGas Finance Corp, 5.6250%, 5/20/24 | 53,000 | 56,445 | |||||
AmeriGas Partners LP / AmeriGas Finance Corp, 5.5000%, 5/20/25 | 1,993,000 | 2,097,632 | |||||
Cenovus Energy Inc, 4.2500%, 4/15/27 | 497,000 | 513,953 | |||||
Cheniere Energy Partners LP, 5.6250%, 10/1/26 (144A) | 880,000 | 928,400 | |||||
Continental Resources Inc/OK, 5.0000%, 9/15/22 | 2,091,000 | 2,107,402 | |||||
Continental Resources Inc/OK, 4.5000%, 4/15/23 | 1,754,000 | 1,842,248 | |||||
Energy Transfer Operating LP, 4.2500%, 3/15/23 | 943,000 | 984,073 | |||||
Energy Transfer Operating LP, 5.8750%, 1/15/24 | 1,015,000 | 1,128,050 | |||||
Energy Transfer Operating LP, 5.5000%, 6/1/27 | 106,000 | 118,441 | |||||
Energy Transfer Operating LP, 4.9500%, 6/15/28 | 172,000 | 187,964 | |||||
Energy Transfer Operating LP, 6.1250%, 12/15/45 | 403,000 | 461,360 | |||||
Energy Transfer Operating LP, 6.0000%, 6/15/48 | 1,383,000 | 1,576,967 | |||||
EnLink Midstream Partners LP, 4.1500%, 6/1/25 | 1,527,000 | 1,496,460 | |||||
EQM Midstream Partners LP, 5.5000%, 7/15/28 | 1,855,000 | 1,955,355 | |||||
Hess Corp, 4.3000%, 4/1/27 | 2,970,000 | 3,079,450 | |||||
HollyFrontier Corp, 5.8750%, 4/1/26 | 1,222,000 | 1,342,739 | |||||
Kinder Morgan Energy Partners LP, 5.0000%, 10/1/21 | 728,000 | 763,159 | |||||
Kinder Morgan Inc/DE, 6.5000%, 9/15/20 | 84,000 | 88,024 | |||||
Kinder Morgan Inc/DE, 4.3000%, 3/1/28 | 378,000 | 404,721 | |||||
Kinder Morgan Inc/DE, 5.5500%, 6/1/45 | 376,000 | 434,778 | |||||
Kinder Morgan Inc/DE, 5.2000%, 3/1/48 | 250,000 | 282,191 | |||||
NGPL PipeCo LLC, 4.3750%, 8/15/22 (144A) | 2,001,000 | 2,061,030 | |||||
NGPL PipeCo LLC, 4.8750%, 8/15/27 (144A) | 901,000 | 953,934 | |||||
NuStar Logistics LP, 5.6250%, 4/28/27 | 1,029,000 | 1,036,717 | |||||
Plains All American Pipeline LP / PAA Finance Corp, 4.6500%, 10/15/25 | 1,985,000 | 2,113,066 | |||||
Range Resources Corp, 5.0000%, 8/15/22 | 452,000 | 430,530 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
4.7500%, 10/1/23 (144A) | 1,303,000 | 1,320,942 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp, | |||||||
5.5000%, 9/15/24 (144A) | 485,000 | 500,763 | |||||
30,266,794 | |||||||
Finance Companies – 0.3% | |||||||
GE Capital International Funding Co Unlimited Co, 4.4180%, 11/15/35 | 1,581,000 | 1,559,118 | |||||
Financial Institutions – 0.4% | |||||||
Jones Lang LaSalle Inc, 4.4000%, 11/15/22 | 2,121,000 | 2,204,758 | |||||
Industrial Conglomerates – 0.3% | |||||||
General Electric Co, ICE LIBOR USD 3 Month + 3.3300%, 5.0000%‡,µ | 2,043,000 | 1,959,768 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Corporate Bonds – (continued) | |||||||
Insurance – 0.6% | |||||||
Brown & Brown Inc, 4.5000%, 3/15/29 | $707,000 | $742,322 | |||||
Centene Corp, 4.7500%, 5/15/22 | 124,000 | 126,635 | |||||
Centene Corp, 6.1250%, 2/15/24 | 1,641,000 | 1,718,947 | |||||
Cigna Corp, 3.4000%, 9/17/21 (144A) | 250,000 | 254,796 | |||||
Cigna Corp, 3.7500%, 7/15/23 (144A) | 1,019,000 | 1,060,347 | |||||
3,903,047 | |||||||
Real Estate Investment Trusts (REITs) – 0.3% | |||||||
Reckson Operating Partnership LP, 7.7500%, 3/15/20 | 1,681,000 | 1,740,508 | |||||
Technology – 5.8% | |||||||
Broadcom Corp / Broadcom Cayman Finance Ltd, 3.8750%, 1/15/27 | 166,000 | 162,742 | |||||
Broadcom Inc, 4.2500%, 4/15/26 (144A) | 894,000 | 905,694 | |||||
Broadcom Inc, 4.7500%, 4/15/29 (144A) | 848,000 | 868,924 | |||||
Cadence Design Systems Inc, 4.3750%, 10/15/24 | 2,887,000 | 3,069,873 | |||||
CommScope Inc, 5.5000%, 3/1/24 (144A) | 1,002,000 | 1,028,303 | |||||
CommScope Inc, 6.0000%, 3/1/26 (144A) | 1,657,000 | 1,698,425 | |||||
Dell International LLC / EMC Corp, 5.3000%, 10/1/29 (144A) | 759,000 | 798,779 | |||||
Fidelity National Information Services Inc, 3.6250%, 10/15/20 | 508,000 | 515,418 | |||||
Fidelity National Information Services Inc, 4.5000%, 10/15/22 | 601,000 | 637,537 | |||||
Fidelity National Information Services Inc, 3.7500%, 5/21/29 | 420,000 | 445,923 | |||||
Lam Research Corp, 4.0000%, 3/15/29 | 255,000 | 271,434 | |||||
Marvell Technology Group Ltd, 4.2000%, 6/22/23 | 619,000 | 644,366 | |||||
Marvell Technology Group Ltd, 4.8750%, 6/22/28 | 2,115,000 | 2,241,120 | |||||
Micron Technology Inc, 5.5000%, 2/1/25 | 447,000 | 459,851 | |||||
Micron Technology Inc, 4.9750%, 2/6/26 | 582,000 | 613,851 | |||||
Micron Technology Inc, 5.3270%, 2/6/29 | 1,461,000 | 1,545,951 | |||||
Qorvo Inc, 5.5000%, 7/15/26 | 984,000 | 1,041,367 | |||||
Total System Services Inc, 4.8000%, 4/1/26 | 2,691,000 | 2,955,656 | |||||
Trimble Inc, 4.7500%, 12/1/24 | 3,448,000 | 3,623,442 | |||||
Trimble Inc, 4.9000%, 6/15/28 | 3,140,000 | 3,362,669 | |||||
Verisk Analytics Inc, 5.8000%, 5/1/21 | 2,506,000 | 2,657,209 | |||||
Verisk Analytics Inc, 4.1250%, 9/12/22 | 386,000 | 405,330 | |||||
Verisk Analytics Inc, 5.5000%, 6/15/45 | 969,000 | 1,135,618 | |||||
Western Digital Corp, 4.7500%, 2/15/26 | 3,882,000 | 3,808,436 | |||||
34,897,918 | |||||||
Total Corporate Bonds (cost $261,728,052) | 273,593,314 | ||||||
Mortgage-Backed Securities – 26.2% | |||||||
Fannie Mae: | |||||||
4.5000%, 7/25/48 | 2,354,000 | 2,458,941 | |||||
Fannie Mae Pool: | |||||||
6.0000%, 2/1/37 | 128,281 | 148,116 | |||||
4.5000%, 5/1/38 | 793,746 | 835,763 | |||||
3.5000%, 10/1/42 | 643,364 | 666,501 | |||||
4.5000%, 11/1/42 | 317,538 | 340,325 | |||||
3.5000%, 12/1/42 | 1,453,917 | 1,506,203 | |||||
3.0000%, 2/1/43 | 51,701 | 52,542 | |||||
3.5000%, 2/1/43 | 1,999,971 | 2,071,894 | |||||
3.5000%, 2/1/43 | 506,929 | 524,509 | |||||
3.5000%, 3/1/43 | 1,470,822 | 1,521,829 | |||||
3.5000%, 4/1/43 | 722,269 | 747,316 | |||||
3.0000%, 5/1/43 | 262,917 | 267,091 | |||||
3.5000%, 11/1/43 | 1,638 | 1,697 | |||||
3.5000%, 4/1/44 | 748,446 | 780,347 | |||||
5.0000%, 7/1/44 | 875,651 | 952,261 | |||||
4.5000%, 10/1/44 | 638,292 | 694,235 | |||||
3.5000%, 2/1/45 | 2,644,717 | 2,736,433 | |||||
4.5000%, 3/1/45 | 1,014,045 | 1,102,922 | |||||
4.5000%, 6/1/45 | 620,552 | 664,328 | |||||
3.0000%, 10/1/45 | 497,718 | 505,377 | |||||
3.0000%, 10/1/45 | 319,097 | 324,007 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
12 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
3.5000%, 12/1/45 | $643,790 | $671,775 | |||||
4.5000%, 2/1/46 | 1,245,243 | 1,334,602 | |||||
3.0000%, 3/1/46 | 3,724 | 3,774 | |||||
3.0000%, 3/1/46 | 2,658 | 2,693 | |||||
3.5000%, 7/1/46 | 1,269,240 | 1,317,871 | |||||
4.0000%, 10/1/46 | 45,960 | 48,835 | |||||
3.0000%, 11/1/46 | 277,055 | 280,770 | |||||
3.0000%, 11/1/46 | 271,682 | 275,325 | |||||
3.0000%, 2/1/47 | 1,926,980 | 1,962,006 | |||||
4.0000%, 5/1/47 | 370,688 | 385,937 | |||||
4.5000%, 5/1/47 | 218,600 | 234,866 | |||||
4.5000%, 5/1/47 | 183,177 | 194,305 | |||||
4.5000%, 5/1/47 | 172,604 | 184,447 | |||||
4.5000%, 5/1/47 | 128,971 | 136,806 | |||||
4.5000%, 5/1/47 | 128,307 | 137,854 | |||||
4.5000%, 5/1/47 | 103,253 | 110,338 | |||||
4.5000%, 5/1/47 | 62,980 | 67,302 | |||||
4.5000%, 5/1/47 | 42,046 | 45,175 | |||||
4.5000%, 5/1/47 | 41,898 | 45,016 | |||||
4.0000%, 6/1/47 | 216,981 | 225,906 | |||||
4.0000%, 6/1/47 | 104,474 | 108,772 | |||||
4.0000%, 6/1/47 | 104,421 | 108,919 | |||||
4.0000%, 6/1/47 | 53,555 | 55,759 | |||||
4.5000%, 6/1/47 | 760,112 | 800,794 | |||||
4.5000%, 6/1/47 | 75,657 | 81,287 | |||||
4.0000%, 7/1/47 | 190,978 | 198,834 | |||||
4.0000%, 7/1/47 | 172,492 | 179,588 | |||||
4.0000%, 7/1/47 | 80,299 | 83,602 | |||||
4.0000%, 7/1/47 | 55,489 | 57,772 | |||||
4.5000%, 7/1/47 | 550,024 | 579,461 | |||||
4.5000%, 7/1/47 | 466,160 | 491,108 | |||||
4.5000%, 7/1/47 | 465,608 | 490,528 | |||||
3.5000%, 8/1/47 | 566,969 | 583,341 | |||||
4.0000%, 8/1/47 | 1,790,109 | 1,878,241 | |||||
4.0000%, 8/1/47 | 974,378 | 1,014,461 | |||||
4.0000%, 8/1/47 | 338,321 | 352,239 | |||||
4.0000%, 8/1/47 | 210,371 | 219,025 | |||||
4.0000%, 8/1/47 | 89,536 | 93,219 | |||||
4.5000%, 8/1/47 | 667,647 | 703,380 | |||||
4.5000%, 8/1/47 | 159,196 | 167,716 | |||||
4.0000%, 9/1/47 | 85,304 | 88,813 | |||||
4.5000%, 9/1/47 | 591,919 | 623,599 | |||||
4.5000%, 9/1/47 | 412,544 | 434,623 | |||||
4.5000%, 9/1/47 | 370,386 | 390,209 | |||||
4.0000%, 10/1/47 | 449,234 | 467,715 | |||||
4.0000%, 10/1/47 | 382,933 | 398,685 | |||||
4.0000%, 10/1/47 | 364,408 | 379,399 | |||||
4.0000%, 10/1/47 | 234,835 | 244,495 | |||||
4.0000%, 10/1/47 | 201,480 | 209,768 | |||||
4.5000%, 10/1/47 | 104,720 | 110,324 | |||||
4.5000%, 10/1/47 | 41,817 | 44,056 | |||||
4.0000%, 11/1/47 | 848,405 | 890,174 | |||||
4.0000%, 11/1/47 | 546,316 | 568,789 | |||||
4.0000%, 11/1/47 | 542,995 | 565,332 | |||||
4.0000%, 11/1/47 | 163,197 | 169,910 | |||||
4.5000%, 11/1/47 | 469,786 | 494,929 | |||||
3.5000%, 12/1/47 | 3,161,908 | 3,264,188 | |||||
3.5000%, 12/1/47 | 1,041,614 | 1,082,349 | |||||
3.5000%, 12/1/47 | 226,204 | 232,820 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Fannie Mae Pool – (continued) | |||||||
4.0000%, 12/1/47 | $1,082,016 | $1,126,527 | |||||
3.5000%, 1/1/48 | 1,543,747 | 1,593,683 | |||||
3.5000%, 1/1/48 | 754,819 | 778,910 | |||||
3.5000%, 1/1/48 | 328,325 | 337,123 | |||||
4.0000%, 1/1/48 | 2,487,910 | 2,597,527 | |||||
4.0000%, 1/1/48 | 2,430,861 | 2,534,559 | |||||
4.0000%, 1/1/48 | 2,059,534 | 2,144,257 | |||||
4.0000%, 1/1/48 | 1,126,421 | 1,190,788 | |||||
4.0000%, 1/1/48 | 227,379 | 236,732 | |||||
4.0000%, 1/1/48 | 208,877 | 220,813 | |||||
3.5000%, 3/1/48 | 459,649 | 476,893 | |||||
4.0000%, 3/1/48 | 1,062,079 | 1,107,698 | |||||
4.0000%, 3/1/48 | 184,035 | 194,516 | |||||
4.5000%, 3/1/48 | 630,941 | 664,056 | |||||
3.5000%, 4/1/48 | 1,092,081 | 1,127,407 | |||||
4.0000%, 4/1/48 | 395,126 | 417,629 | |||||
4.5000%, 4/1/48 | 491,581 | 517,382 | |||||
4.0000%, 5/1/48 | 1,939,009 | 2,009,166 | |||||
4.0000%, 5/1/48 | 1,638,735 | 1,698,027 | |||||
4.5000%, 5/1/48 | 386,599 | 406,890 | |||||
4.5000%, 5/1/48 | 343,150 | 361,160 | |||||
4.0000%, 6/1/48 | 798,999 | 827,907 | |||||
4.5000%, 6/1/48 | 393,062 | 413,692 | |||||
4.0000%, 7/1/48 | 4,692,441 | 4,862,220 | |||||
4.0000%, 10/1/48 | 175,043 | 183,382 | |||||
3.5000%, 1/1/49 | 1,178,729 | 1,215,716 | |||||
4.0000%, 2/1/49 | 272,124 | 281,503 | |||||
3.5000%, 8/1/56 | 2,949,465 | 3,046,731 | |||||
3.0000%, 2/1/57 | 1,795,622 | 1,808,887 | |||||
3.5000%, 2/1/57 | 3,338,512 | 3,457,170 | |||||
80,856,473 | |||||||
Freddie Mac Gold Pool: | |||||||
4.5000%, 11/1/38 | 933,961 | 983,728 | |||||
6.0000%, 4/1/40 | 208,997 | 242,039 | |||||
3.5000%, 2/1/43 | 586,544 | 607,264 | |||||
3.5000%, 2/1/44 | 809,264 | 837,851 | |||||
4.5000%, 5/1/44 | 602,545 | 645,505 | |||||
3.0000%, 1/1/45 | 1,073,069 | 1,091,397 | |||||
4.0000%, 2/1/46 | 567,414 | 599,299 | |||||
4.0000%, 5/1/46 | 371,022 | 387,795 | |||||
3.5000%, 7/1/46 | 2,441,071 | 2,548,726 | |||||
3.5000%, 7/1/46 | 662,062 | 681,966 | |||||
3.0000%, 10/1/46 | 2,324,803 | 2,357,345 | |||||
3.0000%, 12/1/46 | 4,193,230 | 4,251,926 | |||||
3.5000%, 2/1/47 | 1,756,343 | 1,814,352 | |||||
4.0000%, 3/1/47 | 189,263 | 198,964 | |||||
3.0000%, 9/1/47 | 4,679,567 | 4,745,070 | |||||
3.5000%, 9/1/47 | 2,074,083 | 2,146,986 | |||||
3.5000%, 9/1/47 | 603,227 | 621,008 | |||||
3.5000%, 11/1/47 | 878,039 | 912,938 | |||||
3.5000%, 12/1/47 | 2,383,252 | 2,475,627 | |||||
3.5000%, 12/1/47 | 610,809 | 635,086 | |||||
3.5000%, 2/1/48 | 314,267 | 326,260 | |||||
3.5000%, 2/1/48 | 310,827 | 319,382 | |||||
3.5000%, 3/1/48 | 679,747 | 702,847 | |||||
4.0000%, 3/1/48 | 719,033 | 750,368 | |||||
3.5000%, 4/1/48 | 224,331 | 231,955 | |||||
4.0000%, 4/1/48 | 2,414,029 | 2,498,679 | |||||
4.0000%, 4/1/48 | 860,057 | 896,447 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
14 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Mortgage-Backed Securities – (continued) | |||||||
Freddie Mac Gold Pool – (continued) | |||||||
4.0000%, 5/1/48 | $2,295,216 | $2,379,630 | |||||
4.0000%, 5/1/48 | 1,201,775 | 1,243,917 | |||||
4.0000%, 6/1/48 | 566,980 | 587,832 | |||||
4.5000%, 7/1/48 | 962,459 | 1,009,150 | |||||
3.5000%, 8/1/48 | 2,652,093 | 2,742,218 | |||||
4.0000%, 8/1/48 | 2,450,956 | 2,591,938 | |||||
4.5000%, 8/1/48 | 721,236 | 756,947 | |||||
5.0000%, 9/1/48 | 144,127 | 152,819 | |||||
3.5000%, 11/1/48 | 3,378,985 | 3,497,753 | |||||
4.0000%, 1/1/49 | 904,515 | 959,688 | |||||
50,432,702 | |||||||
Ginnie Mae: | |||||||
4.5000%, 8/20/48 | 2,514,000 | 2,619,563 | |||||
5.0000%, 8/20/48 | 5,194,358 | 5,429,247 | |||||
8,048,810 | |||||||
Ginnie Mae I Pool: | |||||||
4.0000%, 1/15/45 | 2,962,700 | 3,144,457 | |||||
4.5000%, 8/15/46 | 3,395,534 | 3,659,188 | |||||
4.0000%, 7/15/47 | 1,443,442 | 1,512,231 | |||||
4.0000%, 8/15/47 | 283,330 | 296,833 | |||||
4.0000%, 11/15/47 | 477,100 | 499,837 | |||||
4.0000%, 12/15/47 | 622,170 | 651,821 | |||||
9,764,367 | |||||||
Ginnie Mae II Pool: | |||||||
4.0000%, 8/20/47 | 289,822 | 304,006 | |||||
4.0000%, 8/20/47 | 59,675 | 62,595 | |||||
4.0000%, 8/20/47 | 42,391 | 44,773 | |||||
4.5000%, 5/20/48 | 1,545,951 | 1,612,578 | |||||
4.5000%, 5/20/48 | 281,763 | 297,005 | |||||
4.5000%, 1/20/49 | 2,321,744 | 2,421,806 | |||||
4,742,763 | |||||||
Total Mortgage-Backed Securities (cost $154,182,574) | 156,304,056 | ||||||
United States Treasury Notes/Bonds – 18.1% | |||||||
2.3750%, 4/30/20 | 652,000 | 653,885 | |||||
2.1250%, 5/31/21 | 770,000 | 775,023 | |||||
2.8750%, 10/31/23 | 2,906,000 | 3,041,084 | |||||
2.6250%, 12/31/23 | 4,706,000 | 4,881,004 | |||||
2.3750%, 2/29/24 | 8,461,000 | 8,695,330 | |||||
2.1250%, 3/31/24 | 160,000 | 162,594 | |||||
2.2500%, 4/30/24 | 1,242,000 | 1,269,605 | |||||
2.0000%, 5/31/24 | 10,854,000 | 10,976,107 | |||||
2.6250%, 3/31/25 | 1,025,000 | 1,069,724 | |||||
2.8750%, 11/30/25 | 12,000 | 12,737 | |||||
2.3750%, 4/30/26 | 543,000 | 560,435 | |||||
2.7500%, 2/15/28 | 1,708,000 | 1,815,084 | |||||
2.8750%, 8/15/28 | 2,246,000 | 2,412,344 | |||||
3.1250%, 11/15/28 | 2,233,000 | 2,447,926 | |||||
2.6250%, 2/15/29 | 10,608,100 | 11,180,357 | |||||
2.3750%, 5/15/29 | 9,492,000 | 9,803,456 | |||||
2.7500%, 8/15/47 | 3,846,000 | 4,008,103 | |||||
2.7500%, 11/15/47 | 2,826,000 | 2,945,443 | |||||
3.0000%, 2/15/48 | 4,422,000 | 4,837,081 | |||||
3.0000%, 8/15/48 | 2,624,000 | 2,873,485 | |||||
3.3750%, 11/15/48 | 272,000 | 319,728 | |||||
3.0000%, 2/15/49 | 6,966,000 | 7,639,743 | |||||
2.8750%, 5/15/49 | 23,996,000 | 25,696,459 | |||||
Total United States Treasury Notes/Bonds (cost $103,371,423) | 108,076,737 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Flexible Bond Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Shares or | Value | ||||||
Investment Companies – 3.2% | |||||||
Investments Purchased with Cash Collateral from Securities Lending – 0.2% | |||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº,£ | 1,407,703 | $1,407,703 | |||||
Money Markets – 3.0% | |||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº,£ | 17,820,216 | 17,820,216 | |||||
Total Investment Companies (cost $19,228,659) | 19,227,919 | ||||||
Total Investments (total cost $588,418,740) – 101.7% | 607,607,640 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.7)% | (10,441,594) | ||||||
Net Assets – 100% | $597,166,046 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $596,335,843 | 98.1 | % | ||
United Kingdom | 4,976,972 | 0.8 | |||
Canada | 2,961,756 | 0.5 | |||
Belgium | 2,377,671 | 0.4 | |||
Israel | 955,398 | 0.2 |
Total | $607,607,640 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/19 | |||||||
Investment Companies - 3.2% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | $ | 1,933∆ | $ | - | $ | - | $ | 1,407,703 | ||
Money Markets - 3.0% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 129,780 | 669 | (740) | 17,820,216 | ||||||
Total Affiliated Investments - 3.2% | $ | 131,713 | $ | 669 | $ | (740) | $ | 19,227,919 |
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 6/30/19 | |||||||
Investment Companies - 3.2% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 0.2% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | - | 13,282,400 | (11,874,697) | 1,407,703 | ||||||
Money Markets - 3.0% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 3,199,600 | 215,528,167 | (200,907,551) | 17,820,216 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
16 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Bloomberg Barclays U.S. Aggregate Bond Index | Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based measure of the investment grade, US dollar-denominated, fixed-rate taxable bond market. |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited Company |
144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2019 is $89,221,379, which represents 14.9% of net assets. |
‡ | Variable or floating rate security. Rate shown is the current rate as of June 30, 2019. Certain variable rate securities are not based on a published reference rate and spread; they are determined by the issuer or agent and current market conditions. Reference rate is as of reset date and may vary by security, which may not indicate a reference rate and/or spread in their description. |
ºº | Rate shown is the 7-day yield as of June 30, 2019. |
# | Loaned security; a portion of the security is on loan at June 30, 2019. |
µ | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated represents the next call date. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Asset-Backed/Commercial Mortgage-Backed Securities | $ | - | $ | 48,601,677 | $ | - | ||||||
Bank Loans and Mezzanine Loans | - | 1,803,937 | - | |||||||||
Corporate Bonds | - | 273,593,314 | - | |||||||||
Mortgage-Backed Securities | - | 156,304,056 | - | |||||||||
United States Treasury Notes/Bonds | - | 108,076,737 | - | |||||||||
Investment Companies | - | 19,227,919 | - | |||||||||
Total Assets | $ | - | $ | 607,607,640 | $ | - | ||||||
Janus Aspen Series | 17 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1)(2) | $ | 588,379,721 | ||||
Affiliated investments, at value(3) | 19,227,919 | |||||
Cash | 26,241 | |||||
Non-interested Trustees' deferred compensation | 15,103 | |||||
Receivables: | ||||||
Interest | 4,330,769 | |||||
Investments sold | 2,841,208 | |||||
Portfolio shares sold | 800,586 | |||||
Dividends from affiliates | 32,808 | |||||
Other assets | 69,886 | |||||
Total Assets |
|
| 615,724,241 |
| ||
Liabilities: | ||||||
Due to custodian | 18,470 | |||||
Collateral for securities loaned (Note 2) | 1,407,703 | |||||
Payables: | — | |||||
Investments purchased | 15,836,909 | |||||
Portfolio shares repurchased | 801,311 | |||||
Advisory fees | 246,166 | |||||
12b-1 Distribution and shareholder servicing fees | 78,807 | |||||
Transfer agent fees and expenses | 25,404 | |||||
Professional fees | 18,564 | |||||
Non-interested Trustees' deferred compensation fees | 15,103 | |||||
Non-interested Trustees' fees and expenses | 4,274 | |||||
Custodian fees | 2,589 | |||||
Affiliated portfolio administration fees payable | 1,231 | |||||
Accrued expenses and other payables | 101,664 | |||||
Total Liabilities |
|
| 18,558,195 |
| ||
Net Assets |
| $ | 597,166,046 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 600,320,351 | ||||
Total distributable earnings (loss) | (3,154,305) | |||||
Total Net Assets |
| $ | 597,166,046 |
| ||
Net Assets - Institutional Shares | $ | 210,273,719 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 17,997,516 | |||||
Net Asset Value Per Share |
| $ | 11.68 |
| ||
Net Assets - Service Shares | $ | 386,892,327 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 30,295,767 | |||||
Net Asset Value Per Share |
| $ | 12.77 |
|
(1) Includes cost of $569,190,081. (2) Includes $1,365,805 of securities on loan. See Note 2 in Notes to Financial Statements. (3) Includes cost of $19,228,659. |
See Notes to Financial Statements. | |
18 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Interest | $ | 10,703,539 | ||
Dividends from affiliates | 129,780 | ||||
Affiliated securities lending income, net | 1,933 | ||||
Other income | 94,112 | ||||
Total Investment Income |
| 10,929,364 |
| ||
Expenses: | |||||
Advisory fees | 1,487,975 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 465,701 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 55,752 | ||||
Service Shares | 93,140 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 3,190 | ||||
Service Shares | 3,354 | ||||
Shareholder reports expense | 48,483 | ||||
Professional fees | 28,406 | ||||
Custodian fees | 9,340 | ||||
Non-interested Trustees’ fees and expenses | 8,111 | ||||
Registration fees | 7,208 | ||||
Affiliated portfolio administration fees | 6,458 | ||||
Other expenses | 96,381 | ||||
Total Expenses |
| 2,313,499 |
| ||
Net Investment Income/(Loss) |
| 8,615,865 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments | 4,485,540 | ||||
Investments in affiliates | 669 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 4,486,209 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments and non-interested Trustees’ deferred compensation | 23,062,577 | ||||
Investments in affiliates | (740) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 23,061,837 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 36,163,911 |
| ||
See Notes to Financial Statements. | |
Janus Aspen Series | 19 |
Janus Henderson VIT Flexible Bond Portfolio
Statements of Changes in Net Assets
|
|
| Period ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 8,615,865 | $ | 17,975,021 | ||||
Net realized gain/(loss) on investments | 4,486,209 | (18,429,882) | ||||||
Change in unrealized net appreciation/depreciation | 23,061,837 | (7,934,492) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 36,163,911 |
|
| (8,389,353) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (4,172,009) | (8,145,523) | ||||||
Service Shares | (6,219,256) | (10,421,559) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (10,391,265) |
|
| (18,567,082) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | (39,610,468) | (40,394,387) | ||||||
Service Shares | (14,247,127) | (2,892,011) | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| (53,857,595) |
|
| (43,286,398) | |||
Net Increase/(Decrease) in Net Assets |
| (28,084,949) |
|
| (70,242,833) | |||
Net Assets: | ||||||||
Beginning of period | 625,250,995 | 695,493,828 | ||||||
| End of period | $ | 597,166,046 |
| $ | 625,250,995 | ||
See Notes to Financial Statements. | |
20 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Financial Highlights
Institutional Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 | |||||
Net Asset Value, Beginning of Period |
| $11.21 |
|
| $11.69 |
|
| $11.62 |
|
| $11.67 |
|
| $11.98 |
|
| $11.82 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.17 | 0.33 | 0.30 | 0.28 | 0.28 | 0.33 | |||||||||||||||
Net realized and unrealized gain/(loss) | 0.52 | (0.45) | 0.12 | 0.01 | (0.25) | 0.25 | |||||||||||||||
Total from Investment Operations |
| 0.69 |
|
| (0.12) |
|
| 0.42 |
|
| 0.29 |
|
| 0.03 |
|
| 0.58 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.22) | (0.36) | (0.35) | (0.34) | (0.28) | (0.42) | |||||||||||||||
Distributions (from capital gains) | — | — | — | — | (0.06) | — | |||||||||||||||
Total Dividends and Distributions |
| (0.22) |
|
| (0.36) |
|
| (0.35) |
|
| (0.34) |
|
| (0.34) |
|
| (0.42) |
| |||
Net Asset Value, End of Period | $11.68 | $11.21 | $11.69 | $11.62 | $11.67 | $11.98 | |||||||||||||||
Total Return* |
| 6.21% |
|
| (1.00)% |
|
| 3.62% |
|
| 2.46% |
|
| 0.22% |
|
| 4.94% |
| |||
Net Assets, End of Period (in thousands) | $210,274 | $240,427 | $292,251 | $335,208 | $355,569 | $363,977 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $226,185 | $266,429 | $319,492 | $350,120 | $347,338 | $345,064 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.62% | 0.61% | 0.60% | 0.58% | 0.57% | 0.59% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.62% | 0.61% | 0.60% | 0.58% | 0.57% | 0.58% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 3.03% | 2.88% | 2.51% | 2.31% | 2.33% | 2.74% | |||||||||||||||
Portfolio Turnover Rate | 91%(2) | 238%(2) | 130%(2) | 112% | 111% | 144% | |||||||||||||||
Service Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 |
| ||||
Net Asset Value, Beginning of Period |
| $12.23 |
|
| $12.73 |
|
| $12.63 |
|
| $12.66 |
|
| $12.98 |
|
| $12.78 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.17 | 0.33 | 0.29 | 0.27 | 0.27 | 0.32 | |||||||||||||||
Net realized and unrealized gain/(loss) | 0.58 | (0.50) | 0.13 | 0.01 | (0.27) | 0.28 | |||||||||||||||
Total from Investment Operations |
| 0.75 |
|
| (0.17) |
|
| 0.42 |
|
| 0.28 |
|
| — |
|
| 0.60 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.21) | (0.33) | (0.32) | (0.31) | (0.26) | (0.40) | |||||||||||||||
Distributions (from capital gains) | — | — | — | — | (0.06) | — | |||||||||||||||
Total Dividends and Distributions |
| (0.21) |
|
| (0.33) |
|
| (0.32) |
|
| (0.31) |
|
| (0.32) |
|
| (0.40) |
| |||
Net Asset Value, End of Period | $12.77 | $12.23 | $12.73 | $12.63 | $12.66 | $12.98 | |||||||||||||||
Total Return* |
| 6.14% |
|
| (1.29)% |
|
| 3.35% |
|
| 2.22% |
|
| (0.06)% |
|
| 4.69% |
| |||
Net Assets, End of Period (in thousands) | $386,892 | $384,824 | $403,243 | $401,186 | $303,873 | $207,850 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $377,774 | $389,260 | $402,544 | $383,710 | $250,537 | $146,672 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.86% | 0.86% | 0.85% | 0.83% | 0.82% | 0.85% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.86% | 0.86% | 0.85% | 0.83% | 0.82% | 0.84% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 2.79% | 2.64% | 2.27% | 2.06% | 2.09% | 2.49% | |||||||||||||||
Portfolio Turnover Rate | 91%(2) | 238%(2) | 130%(2) | 112% | 111% | 144% | |||||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Portfolio Turnover Rate excludes TBA (to be announced) purchase and sales commitments. |
See Notes to Financial Statements. | |
Janus Aspen Series | 21 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Flexible Bond Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks to obtain maximum total return, consistent with preservation of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
22 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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 June 30, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Janus Aspen Series | 23 |
Janus Henderson VIT Flexible Bond Portfolio
Notes to Financial Statements (unaudited)
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.
On December 22, 2017, the Tax Cuts and Jobs Act was signed into law. Currently, Management does not believe the bill will have a material impact on the Portfolio’s intention to continue to qualify as a regulated investment company, which is generally not subject to U.S. federal income tax.
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”) of 2010 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
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Notes to Financial Statements (unaudited)
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. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will proceed, or how financial markets will react. In addition, one or more other countries may also 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.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
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 June 30, 2019.
· 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
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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.
Mortgage- and Asset-Backed Securities
Mortgage- and asset-backed securities represent interests in “pools” of commercial or residential mortgages or other assets, including consumer loans or receivables. The Portfolio may purchase fixed or variable rate commercial or residential mortgage-backed securities issued by the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”), the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or other governmental or government-related entities. Ginnie Mae’s guarantees are backed by the full faith and credit of the U.S. Government, which means that the U.S. Government guarantees that the interest and principal will be paid when due. Fannie Mae and Freddie Mac securities are not backed by the full faith and credit of the U.S. Government. In September 2008, the Federal Housing Finance Agency (“FHFA”), an agency of the U.S. Government, placed Fannie Mae and Freddie Mac under conservatorship. Since that time, Fannie Mae and Freddie Mac have received capital support through U.S. Treasury preferred stock purchases, and Treasury and Federal Reserve purchases of their mortgage-backed securities. The FHFA and the U.S. Treasury have imposed strict limits on the size of these entities’ mortgage portfolios. The FHFA has the power to cancel any contract entered into by Fannie Mae and Freddie Mac prior to FHFA’s appointment as conservator or receiver, including the guarantee obligations of Fannie Mae and Freddie Mac.
The Portfolio may also purchase other mortgage- and asset-backed securities through single- and multi-seller conduits, collateralized debt obligations, structured investment vehicles, and other similar securities. Asset-backed securities may be backed by various consumer obligations, including automobile loans, equipment leases, credit card receivables, or other collateral. In the event the underlying loans are not paid, the securities’ issuer could be forced to sell the assets and recognize losses on such assets, which could impact your return. Unlike traditional debt instruments, payments on these securities include both interest and a partial payment of principal. Mortgage- and asset-backed securities are subject to both extension risk, where borrowers pay off their debt obligations more slowly in times of rising interest rates, and prepayment risk, where borrowers pay off their debt obligations sooner than expected in times of declining interest rates. These risks may reduce the Portfolio’s returns. In addition, investments in mortgage- and asset-backed securities, including those comprised of subprime mortgages, may be subject to a higher degree of credit risk, valuation risk, and liquidity risk than various other types of fixed-income securities. Additionally, although mortgage-backed securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that guarantors or insurers will meet their obligations.
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Notes to Financial Statements (unaudited)
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.
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 the Portfolio's Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
Deutsche Bank AG | $ | 1,365,805 | $ | — | $ | (1,365,805) | $ | — | |
(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. |
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 in accordance with the Agency Securities Lending and Repurchase Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. See “Securities Lending” in the notes to financial statements for additional information.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. 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 in accordance with the Agency Securities Lending and Repurchase Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
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 Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral
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Notes to Financial Statements (unaudited)
Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2019, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $1,365,805. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2019 is $1,407,703, resulting in the net amount due to the counterparty of $41,898.
Sovereign Debt
The Portfolio may invest in U.S. and non-U.S. government debt securities (“sovereign debt”). Some investments in sovereign debt, such as U.S. sovereign debt, are considered low risk. However, investments in sovereign debt, especially the debt of less developed countries, can involve a high degree of risk, including the risk that the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or to pay the interest on its sovereign debt in a timely manner. A sovereign debtor’s willingness or ability to satisfy its debt obligation may be affected by various factors including, but not limited to, its cash flow situation, the extent of its foreign currency reserves, the availability of foreign exchange when a payment is due, the relative size of its debt position in relation to its economy as a whole, the sovereign debtor’s policy toward international lenders, and local political constraints to which the governmental entity may be subject. Sovereign debtors may also be dependent on expected disbursements from foreign governments, multilateral agencies, and other entities. The failure of a sovereign debtor to implement economic reforms, achieve specified levels of economic performance, or repay principal or interest when due may result in the cancellation of third party commitments to lend funds to the sovereign debtor, which may further impair such debtor’s ability or willingness to timely service its debts. The Portfolio may be requested to participate in the rescheduling of such sovereign debt and to extend further loans to governmental entities, which may adversely affect the Portfolio’s holdings. In the event of default, there may be limited or no legal remedies for collecting sovereign debt and there may be no bankruptcy proceedings through which the Portfolio may collect all or part of the sovereign debt that a governmental entity has not repaid. In addition, to the extent the Portfolio invests in non-U.S. sovereign debt, it may be subject to currency risk.
TBA Commitments
The Portfolio may enter into “to be announced” or “TBA” commitments. TBAs are forward agreements for the purchase or sale of securities, including mortgage-backed securities, for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate, and mortgage terms. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Portfolio will still bear the risk of any decline in the value of the security to be delivered. Because TBA commitments do not require the purchase and sale of identical securities, the characteristics of the security delivered to the Portfolio may be less favorable than the security delivered to the dealer. If the counterparty to a transaction fails to deliver the security, the Portfolio could suffer a loss.
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Notes to Financial Statements (unaudited)
3. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital an investment advisory fee which is calculated daily and paid monthly. The following table reflects the Portfolio’s contractual investment advisory fee rate (expressed as an annual rate).
Average Daily Net Assets of the Portfolio | Contractual Investment Advisory Fee (%) |
First $300 Million | 0.55 |
Over $300 Million | 0.45 |
The Fund’s actual investment advisory fee rate for the reporting period was 0.50% of average annual net assets before any applicable waivers.
Janus Capital has contractually agreed to waive the advisory fee payable by the Portfolio or reimburse expenses in an amount equal to the amount, if any, that the Portfolio’s total annual fund operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees (applicable to Service Shares), transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes, acquired fund fees and expenses, and extraordinary expenses, exceed the annual rate of 0.57% of the Portfolio’s average daily net assets. Janus Capital has agreed to continue the waivers until at least May 1, 2020. If applicable, amounts waived and/or reimbursed to the Portfolio by Janus Capital are disclosed as “Excess Expense Reimbursement and Waivers” on the Statement of Operations.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform
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Notes to Financial Statements (unaudited)
on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $19,642 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “Unrealized net appreciation/(depreciation) of investments and non-interested Trustees’ deferred compensation” on the Statement of Assets and Liabilities. Deferred compensation expenses for the period ended June 30, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $231,325 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates as an “institutional” money market fund and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The units of the Sweep Vehicle 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 period ended June 30, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2019, the Portfolio engaged in cross trades amounting to $12,494,504 in purchases and $3,609,503 in sales, resulting in a net realized gain of $25,791. The net realized gain is included within the “Net Realized Gain/(Loss) on Investments” section of the Portfolio’s Statement of Operations.
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Notes to Financial Statements (unaudited)
4. Federal Income Tax
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.
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.
Accumulated capital losses noted below represent net capital loss carryovers, as of December 31, 2018, 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, 2018 | |||||
No Expiration | |||||
| Short-Term | Long-Term | Accumulated | ||
| $(22,717,558) | $(3,718,469) | $ (26,436,027) |
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 588,830,274 | $19,326,831 | $ (549,465) | $ 18,777,366 |
5. Capital Share Transactions
Period ended June 30, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 655,599 | $ 7,524,327 | 2,289,421 | $ 26,034,627 | ||
Reinvested dividends and distributions | 361,526 | 4,172,009 | 725,542 | 8,145,523 | ||
Shares repurchased | (4,470,722) | (51,306,804) | (6,562,712) | (74,574,537) | ||
Net Increase/(Decrease) | (3,453,597) | $(39,610,468) |
| (3,547,749) | $(40,394,387) | |
Service Shares: | ||||||
Shares sold | 2,709,366 | $ 33,909,730 | 6,052,211 | $ 75,073,739 | ||
Reinvested dividends and distributions | 493,200 | 6,219,256 | 851,192 | 10,421,559 | ||
Shares repurchased | (4,365,391) | (54,376,113) | (7,120,496) | (88,387,309) | ||
Net Increase/(Decrease) | (1,162,825) | $(14,247,127) |
| (217,093) | $ (2,892,011) |
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Notes to Financial Statements (unaudited)
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$270,207,537 | $ 266,674,238 | $ 263,462,037 | $ 333,531,857 |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for portfolios with fiscal years ending after December 15, 2018. Management is currently evaluating the impacts of ASU 2017-08 on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings on Form N-Q within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. These reports (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Funds that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and each subadviser 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 the information provided, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 6, 2018, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2019 through February 1, 2020, 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, refer to actual annual advisory fees (and, for the purposes of peer comparisons any administration fees excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
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quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also expressed the view 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 and the subadviser to each Janus Henderson Fund that utilizes a subadviser were appropriate and consistent with the terms of the respective investment advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2018, approximately 48% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2018, approximately 56% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31,
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2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the management fee rate (investment advisory and any administration fees, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, net of waivers, was below the average management fee rate of the respective peer group of funds selected by Broadridge. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
The independent fee consultant expressed the view that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. At the fund complex level, the independent fee consultant found: (1)
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the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 10% under the average total expenses for the respective Broadridge Expense Group peers and 19% under the average total expenses for the respective Broadridge Expense Universes; (3) management fees for the Janus Henderson Funds, on average, were 8% under the average management fees for the respective Expense Groups and 10% under the average for the respective Expense Universes; and (4) Janus Henderson Fund expenses by function for each asset and share class category were reasonable relative to peer benchmarks.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual share class level, Janus Henderson Fund expenses were found to be reasonable relative to peer benchmarks. Further, for certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to investors in each Janus Henderson Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such “focus list” 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 comparable subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, while subadviser fee rates charged to the Janus Henderson Funds were generally within a reasonable range of the fee rates that the subadviser charges to comparable separate account clients or non-affiliated funds. The Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to its institutional clients and to the fees Janus Capital charges to funds subadvised by Janus Capital; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson institutional and subadvised fund investors; (4) in three of five product categories, the Janus Henderson Funds receive proportionally better pricing than the industry in relation to Janus Henderson institutional clients; and (5) in six of seven strategies, Janus Capital has lower management fees than the management fees charged to funds subadvised by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2017, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
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· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded fund managers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, differences in product mix, differences in types of business (mutual fund, institutional and other), differences in the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provides to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant concluded that (1) the expense allocation methodology utilized by Janus Capital was reasonable and (2) the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund was reasonable. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted the independent fee consultant’s analysis of economies of scale
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in prior years. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, the independent fee consultant concluded that 74% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted that for those Janus Henderson Funds whose expenses are being reduced by contractual expense limitations with Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale. Moreover, as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered information provided by the independent fee consultant, which concluded that, given the limitations of various analytical approaches to economies of scale it had considered in prior years, and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. The independent consultant further concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant expressed the view that Janus Henderson Fund investors are well-served by the performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information they reviewed, including past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s and each subadviser’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by certain other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds,
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and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was June 30, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the
Janus Aspen Series | 41 |
Janus Henderson VIT Flexible Bond Portfolio
Useful Information About Your Portfolio Report (unaudited)
period. The next line reflects the total return for the period. 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.
42 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage1
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Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage2
44 | JUNE 30, 2019 |
Janus Henderson VIT Flexible Bond Portfolio
Notes
NotesPage3
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-24-81114 08-19 |
SEMIANNUAL REPORT June 30, 2019 | ||
Janus Henderson VIT Forty Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Forty Portfolio
Janus Henderson VIT Forty Portfolio (unaudited)
PERFORMANCE OVERVIEW
For the six-month period ended June 30, 2019, the Portfolio’s Institutional Shares and Service Shares returned 23.50% and 23.36%, respectively, versus a return of 21.49% for the Portfolio’s primary benchmark, the Russell 1000® Growth Index. The Portfolio’s secondary benchmark, the S&P 500® Index, returned 18.54% for the period.
INVESTMENT ENVIROMENT
Stocks rebounded in the first quarter after the Federal Reserve indicated it would take a cautious approach to raising interest rates while inflation remained low. Increasing hopes that the U.S. and China were making progress toward a trade deal also supported stocks in the first quarter. In the second quarter stocks were volatile. Equities lost ground in May as setbacks in U.S.-China trade negotiations raised fears that trade tensions will further dent global economic growth. Economic data also pointed to a weakening global economy during the period. Stocks then rebounded in June, driven in part by expectations of more accommodative monetary policy from central banks.
PERFORMANCE DISCUSSION
The Portfolio outperformed 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. This period 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.
Mastercard was our largest contributor to performance. The company is beginning to demonstrate how its business model can address business-to-business payment solutions. A decision by many upstart fintech companies to use Mastercard and Visa’s payments networks – instead of competing against them – has also reinforced the durability of the two global card networks’ values, and helped drive the stock’s appreciation. Mastercard has been a longtime holding in our Portfolio, and a large contributor to the Portfolio’s performance over the years. Our basic view is that Mastercard’s payments network among merchants is a competitive moat that positions the business as a key beneficiary as more transactions migrate from cash and check to plastic and electronic payments. We believe Mastercard is particularly well positioned to benefit from this shift because a majority of its revenues are generated outside the U.S., where many markets have a lower penetration of card and electronic payments, and are experiencing significantly faster electronic purchase volume growth.
Microsoft was another top contributor. The stock was up after the company announced better-than-expected quarterly earnings results and offered a bullish outlook for fiscal year 2020. We’ve been impressed by the revenue growth of Microsoft’s commercial cloud business, which is now growing 40% annually. Those figures speak to the growth potential for Microsoft as it and Amazon continue to lead the buildout of enterprise cloud infrastructure globally. As we note in our outlook, we believe companies are still in the early innings of this shift.
Harris Corp. also contributed meaningfully to Portfolio performance. Strong earnings for both Harris and L3
Janus Aspen Series | 1 |
Janus Henderson VIT Forty Portfolio (unaudited)
Technologies Inc., which Harris merged with at the end of the period, improved the outlook for the combined company and drove the stock higher. We continue to see upside for the newly-merged company. Harris is the market leader in communications systems, which it sells to the U.S. military and its allies, and its acquisition of L3 only strengthens its leadership position. We expect the combined entity to realize significant synergies from its merger.
While pleased with the results of most companies in the Portfolio, we still held stocks that weighed on Portfolio performance. Humana was our largest detractor. A recent proposal to expand Medicare and eliminate private medical insurance in the U.S. led to a broad, significant pullback among managed care stocks, including Humana. We are cautious on the health care landscape given the scrutiny of the industry by politicians in Washington and sold the position, choosing to invest in companies we believe will be less subjected to reform.
Allergan was another detractor. We’ve been disappointed by what we view as several executional missteps by management that have weighed on the stock, and sold out of the position during the period.
The stock of Charles Schwab Corp. also drifted lower during the period. An outlook of lower interest rates weighed on the stock, but we continue to like the company. We believe the company’s strong brand, which is trusted among retail investors and registered investment advisers that use its services, is a strong competitive advantage for the company. We also believe its size and digital focus gives it a cost structure advantage, allowing the company to offer trading and other financial services at lower costs than most competitors. Going forward, we believe the trends of investment advisors seeking independence from the large wirehouses and households seeking lower cost investing services are long-term secular growth trends that will benefit Charles Schwab.
OUTLOOK
We acknowledge there are a few macroeconomic risks on the horizon. Geopolitical uncertainty could be a source of volatility in the coming months. So, too, could political rhetoric as the U.S. election season draws near. Meanwhile, the global economy has slowed, and while the U.S. economy remains on firm footing, we acknowledge we are late in the economic cycle. Despite these issues, we believe equities are fairly valued, particularly relative to fixed income.
While aware of the macroeconomic risks, it is not our primary focus. Our unwavering, long-term investment philosophy is that the market underestimates the duration of growth for companies that have built sustainable competitive advantages around their business. Inherent in that philosophy is a constant focus on assessing the competitive advantages our companies hold. In times of economic dislocation, these companies can often improve their strength by investing to extend their competitive advantages as competitors pull back. This is something we’ll keep an eye on in the coming months.
Going forward, we like how our Portfolio is positioned for the current market backdrop. We believe there is less economic sensitivity in our Portfolio than the broader index. Many of our holdings underpin some of the most powerful secular growth themes in today’s economy: the shift from traditional brick and mortar shopping to online spending, the switch of enterprise software from on-premises to the cloud, a proliferation of connected devices in the home and business, the shift in autos from the combustible engine to electronic vehicles and a growing global middle class, to name a few. We’ve mentioned these themes in the past and while they are well known, they are still early in their development. We remain confident in our companies’ ability to grow earnings as these themes progress, even in an environment of slow economic growth.
Thank you for your investment in Janus Henderson VIT Forty Portfolio.
2 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Top Performers - Holdings |
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| 5 Bottom Performers - Holdings |
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Contribution | Contribution | |||||
Mastercard Inc | 2.35% | Humana Inc | -0.41% | |||
Microsoft Corp | 2.28% | Allergan PLC | -0.27% | |||
Amazon.com Inc | 1.32% | Charles Schwab Corp | -0.06% | |||
L3 Technologies Inc | 0.94% | ABIOMED Inc | -0.01% | |||
PayPal Holdings Inc | 0.91% | Cognex Corp | 0.00% | |||
5 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell 1000 Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Industrials | 1.09% | 8.04% | 11.81% | |||
Health Care | 0.66% | 15.92% | 13.19% | |||
Information Technology | 0.61% | 32.92% | 32.55% | |||
Materials | 0.46% | 5.34% | 1.82% | |||
Consumer Staples | 0.32% | 0.00% | 5.74% | |||
5 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | Russell 1000 Growth Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Other** | -0.74% | 2.74% | 0.00% | |||
Financials | -0.71% | 7.98% | 4.41% | |||
Energy | 0.08% | 0.00% | 0.75% | |||
Consumer Discretionary | 0.10% | 10.55% | 15.14% | |||
Communication Services | 0.16% | 13.93% | 12.25% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Forty Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 7.8% |
Mastercard Inc | |
Information Technology Services | 6.8% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 4.7% |
Walt Disney Co | |
Entertainment | 4.4% |
Alphabet Inc - Class C | |
Interactive Media & Services | 4.3% |
28.0% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 96.5% | ||||
Investment Companies | 4.5% | ||||
Other | (1.0)% | ||||
100.0% |
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2019 | As of December 31, 2018 |
4 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
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| per the April 30, 2019 prospectuses | |||||||
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| Fiscal | One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 23.50% | 13.15% | 15.45% | 14.92% | 11.78% |
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| 0.71% | |
Service Shares |
| 23.36% | 12.84% | 15.16% | 14.63% | 11.47% |
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| 0.96% | |
Russell 1000 Growth Index |
| 21.49% | 11.56% | 13.39% | 16.28% | 8.00% |
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S&P 500 Index |
| 18.54% | 10.42% | 10.71% | 14.70% | 8.08% |
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Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 2nd | 1st |
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Morningstar Ranking - based on total returns for Large Growth Funds |
| - | 310/1,402 | 48/1,286 | 545/1,117 | 11/605 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See Financial Highlights for actual expense ratios during the reporting period.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares, adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
Janus Aspen Series | 5 |
Janus Henderson VIT Forty Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – May 1 ,1997
6 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,235.00 | $4.16 |
| $1,000.00 | $1,021.08 | $3.76 | 0.75% | ||
Service Shares | $1,000.00 | $1,233.60 | $5.54 |
| $1,000.00 | $1,019.84 | $5.01 | 1.00% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses in the examples include the effect of applicable fee waivers and/or expense reimbursements, if any. Had such waivers and/or reimbursements not been in effect, your expenses would have been higher. Please refer to the Notes to Financial Statements or the Portfolio’s prospectuses for more information regarding waivers and/or reimbursements. |
Janus Aspen Series | 7 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – 96.5% | |||||||
Aerospace & Defense – 6.0% | |||||||
Boeing Co | 68,133 | $24,801,093 | |||||
Harris Corp* | 135,993 | 25,720,356 | |||||
50,521,449 | |||||||
Capital Markets – 5.4% | |||||||
Charles Schwab Corp | 363,897 | 14,625,021 | |||||
Intercontinental Exchange Inc | 334,285 | 28,728,453 | |||||
Tradeweb Markets Inc | 58,077 | 2,544,353 | |||||
45,897,827 | |||||||
Chemicals – 4.2% | |||||||
Air Products & Chemicals Inc | 73,312 | 16,595,638 | |||||
Sherwin-Williams Co | 41,967 | 19,233,057 | |||||
35,828,695 | |||||||
Construction Materials – 1.6% | |||||||
Vulcan Materials Co | 97,030 | 13,323,189 | |||||
Electronic Equipment, Instruments & Components – 0.6% | |||||||
Cognex Corp | 112,832 | 5,413,679 | |||||
Entertainment – 8.4% | |||||||
Live Nation Entertainment Inc* | 131,809 | 8,732,346 | |||||
Netflix Inc* | 66,820 | 24,544,322 | |||||
Walt Disney Co | 267,755 | 37,389,308 | |||||
70,665,976 | |||||||
Equity Real Estate Investment Trusts (REITs) – 2.7% | |||||||
American Tower Corp | 112,448 | 22,989,994 | |||||
Health Care Equipment & Supplies – 10.2% | |||||||
Abbott Laboratories | 139,177 | 11,704,786 | |||||
Boston Scientific Corp (144A)* | 604,001 | 25,959,963 | |||||
Danaher Corp | 91,286 | 13,046,595 | |||||
Edwards Lifesciences Corp* | 56,931 | 10,517,433 | |||||
Intuitive Surgical Inc* | 47,909 | 25,130,666 | |||||
86,359,443 | |||||||
Information Technology Services – 11.1% | |||||||
Mastercard Inc | 218,544 | 57,811,444 | |||||
Pagseguro Digital Ltd* | 320,657 | 12,496,003 | |||||
PayPal Holdings Inc* | 201,892 | 23,108,558 | |||||
93,416,005 | |||||||
Interactive Media & Services – 6.1% | |||||||
Alphabet Inc - Class C* | 33,630 | 36,351,003 | |||||
Facebook Inc* | 79,485 | 15,340,605 | |||||
51,691,608 | |||||||
Internet & Direct Marketing Retail – 5.9% | |||||||
Alibaba Group Holding Ltd (ADR)* | 60,526 | 10,256,131 | |||||
Amazon.com Inc* | 20,956 | 39,682,910 | |||||
49,939,041 | |||||||
Pharmaceuticals – 4.0% | |||||||
Merck & Co Inc | 201,874 | 16,927,135 | |||||
Zoetis Inc | 150,402 | 17,069,123 | |||||
33,996,258 | |||||||
Professional Services – 1.7% | |||||||
CoStar Group Inc* | 25,585 | 14,175,625 | |||||
Road & Rail – 1.4% | |||||||
Uber Technologies Inc*,# | 253,936 | 11,777,552 | |||||
Semiconductor & Semiconductor Equipment – 5.7% | |||||||
ASML Holding NV | 84,173 | 17,502,092 | |||||
NVIDIA Corp | 26,497 | 4,351,602 | |||||
Texas Instruments Inc | 225,865 | 25,920,267 | |||||
47,773,961 | |||||||
Software – 15.3% | |||||||
Adobe Inc* | 59,840 | 17,631,856 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Software – (continued) | |||||||
Intuit Inc | 42,779 | $11,179,436 | |||||
Microsoft Corp | 489,782 | 65,611,197 | |||||
salesforce.com Inc* | 227,248 | 34,480,339 | |||||
128,902,828 | |||||||
Specialty Retail – 2.7% | |||||||
Home Depot Inc | 108,946 | 22,657,500 | |||||
Technology Hardware, Storage & Peripherals – 1.5% | |||||||
Apple Inc | 65,088 | 12,882,217 | |||||
Textiles, Apparel & Luxury Goods – 2.0% | |||||||
NIKE Inc | 202,681 | 17,015,070 | |||||
Total Common Stocks (cost $492,335,576) | 815,227,917 | ||||||
Investment Companies – 4.5% | |||||||
Investments Purchased with Cash Collateral from Securities Lending – 1.0% | |||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº,£ | 8,533,079 | 8,533,079 | |||||
Money Markets – 3.5% | |||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº,£ | 29,526,495 | 29,526,495 | |||||
Total Investment Companies (cost $38,059,738) | 38,059,574 | ||||||
Total Investments (total cost $530,395,314) – 101.0% | 853,287,491 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (1.0)% | (8,738,065) | ||||||
Net Assets – 100% | $844,549,426 |
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $813,033,265 | 95.3 | % | ||
Netherlands | 17,502,092 | 2.0 | |||
Brazil | 12,496,003 | 1.5 | |||
China | 10,256,131 | 1.2 |
Total | $853,287,491 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/19 | |||||||
Investment Companies - 4.5% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 1.0% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | $ | 1,480∆ | $ | - | $ | - | $ | 8,533,079 | ||
Money Markets - 3.5% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 258,498 | 30 | (164) | 29,526,495 | ||||||
Total Affiliated Investments - 4.5% | $ | 259,978 | $ | 30 | $ | (164) | $ | 38,059,574 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 6/30/19 | |||||||
Investment Companies - 4.5% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - 1.0% | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | - | 35,203,796 | (26,670,717) | 8,533,079 | ||||||
Money Markets - 3.5% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 25,348,887 | 105,542,358 | (101,364,750) | 29,526,495 |
Schedule of Total Return Swaps | |||||||||||
Counterparty/ Return Paid by the Portfolio | Return Received by the Portfolio | Payment Frequency | Termination Date | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
Goldman Sachs International:
ICE LIBOR USD Plus 75 basis points | Blackstone Group L.P. | Monthly | 5/26/20 | 22,414,940 | USD | $ | 10,097 |
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 June 30, 2019.
Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2019 | |||||
|
|
|
|
| Equity |
Asset Derivatives: | |||||
Outstanding swap contracts, at value | $ 10,097 | ||||
|
The following tables provide information about the effect of derivatives and hedging activities on the Portfolio’s Statement of Operations for the period ended June 30, 2019.
The effect of Derivative Instruments (not accounted for as hedging instruments) on the Statement of Operations for the period ended June 30, 2019 | ||||
Amount of Realized Gain/(Loss) Recognized on Derivatives | ||||
Derivative |
| Equity | ||
Swap contracts | $1,823,853 | |||
Amount of Change in Unrealized Appreciation/Depreciation Recognized on Derivatives | ||||
Derivative |
| Equity | ||
Swap contracts | $ 10,097 | |||
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Please see the "Net Realized Gain/(Loss) on Investments" and "Change in Unrealized Net Appreciation/Depreciation" sections of the Portfolio’s Statement of Operations.
Average Ending Monthly Market Value of Derivative Instruments During the Period Ended June 30, 2019 | |
| Market Value |
Total return swaps, long | $ (203,141) |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Forty Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
Russell 1000® Growth Index | Russell 1000® Growth Index reflects the performance of U.S. large-cap equities with higher price-to-book ratios and higher forecasted growth values. |
S&P 500® Index | S&P 500® Index reflects U.S. large-cap equity performance and represents broad U.S. equity market performance. |
ADR | American Depositary Receipt |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited 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. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2019 is $25,959,963, which represents 3.1% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2019. |
# | Loaned security; a portion of the security is on loan at June 30, 2019. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 815,227,917 | $ | - | $ | - | ||||||
Investment Companies | - | 38,059,574 | - | |||||||||
Total Investments in Securities | $ | 815,227,917 | $ | 38,059,574 | $ | - | ||||||
Other Financial Instruments(a): | ||||||||||||
Outstanding Swap Contracts, at Value | - | 10,097 | - | |||||||||
Total Assets | $ | 815,227,917 | $ | 38,069,671 | $ | - | ||||||
12 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1)(2) | $ | 815,227,917 | ||||
Affiliated investments, at value(3) | 38,059,574 | |||||
Cash | 1,159 | |||||
Outstanding swap contracts, at value | 10,097 | |||||
Non-interested Trustees' deferred compensation | 21,371 | |||||
Receivables: | ||||||
Investments sold | 4,458,742 | |||||
Dividends | 353,430 | |||||
Dividends from affiliates | 55,383 | |||||
Portfolio shares sold | 47,737 | |||||
Foreign tax reclaims | 25,492 | |||||
Other assets | 3,204 | |||||
Total Assets |
|
| 858,264,106 |
| ||
Liabilities: | ||||||
Collateral for securities loaned (Note 3) | 8,533,079 | |||||
Payables: | — | |||||
Investments purchased | 3,939,175 | |||||
Portfolio shares repurchased | 460,778 | |||||
Advisory fees | 444,472 | |||||
12b-1 Distribution and shareholder servicing fees | 101,884 | |||||
Dividends and interest on swap contracts | 50,773 | |||||
Transfer agent fees and expenses | 35,292 | |||||
Non-interested Trustees' deferred compensation fees | 21,371 | |||||
Professional fees | 14,742 | |||||
Non-interested Trustees' fees and expenses | 5,356 | |||||
Affiliated portfolio administration fees payable | 1,714 | |||||
Custodian fees | 1,561 | |||||
Accrued expenses and other payables | 104,483 | |||||
Total Liabilities |
|
| 13,714,680 |
| ||
Net Assets |
| $ | 844,549,426 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 505,866,078 | ||||
Total distributable earnings (loss) | 338,683,348 | |||||
Total Net Assets |
| $ | 844,549,426 |
| ||
Net Assets - Institutional Shares | $ | 341,052,488 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 8,529,419 | |||||
Net Asset Value Per Share |
| $ | 39.99 |
| ||
Net Assets - Service Shares | $ | 503,496,938 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 13,448,924 | |||||
Net Asset Value Per Share |
| $ | 37.44 |
|
(1) Includes cost of $492,335,576. (2) Includes $8,326,440 of securities on loan. See Note 3 in Notes to Financial Statements. (3) Includes cost of $38,059,738. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Forty Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Dividends | $ | 3,844,589 | ||
Dividends from affiliates | 258,498 | ||||
Affiliated securities lending income, net | 1,480 | ||||
Foreign tax withheld | (22,430) | ||||
Total Investment Income |
| 4,082,137 |
| ||
Expenses: | |||||
Advisory fees | 2,670,834 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 597,433 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 80,725 | ||||
Service Shares | 119,487 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 3,900 | ||||
Service Shares | 3,322 | ||||
Professional fees | 24,268 | ||||
Shareholder reports expense | 23,204 | ||||
Registration fees | 11,740 | ||||
Non-interested Trustees’ fees and expenses | 9,884 | ||||
Affiliated portfolio administration fees | 8,784 | ||||
Custodian fees | 5,523 | ||||
Other expenses | 44,028 | ||||
Total Expenses |
| 3,603,132 |
| ||
Net Investment Income/(Loss) |
| 479,005 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments | 13,675,826 | ||||
Investments in affiliates | 30 | ||||
Swap contracts | 1,823,853 | ||||
Total Net Realized Gain/(Loss) on Investments |
| 15,499,709 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation | 149,953,761 | ||||
Investments in affiliates | (164) | ||||
Swap contracts | 10,097 | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 149,963,694 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 165,942,408 |
| ||
See Notes to Financial Statements. | |
14 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Statements of Changes in Net Assets
|
|
| Period ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 479,005 | $ | 131,716 | ||||
Net realized gain/(loss) on investments | 15,499,709 | 69,559,947 | ||||||
Change in unrealized net appreciation/depreciation | 149,963,694 | (50,240,415) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 165,942,408 |
|
| 19,451,248 | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (27,484,409) | (44,744,555) | ||||||
Service Shares | (42,122,223) | (70,046,355) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (69,606,632) |
|
| (114,790,910) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 9,349,138 | 19,835,832 | ||||||
Service Shares | 19,411,407 | 18,730,103 | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 28,760,545 |
|
| 38,565,935 | |||
Net Increase/(Decrease) in Net Assets |
| 125,096,321 |
|
| (56,773,727) | |||
Net Assets: | ||||||||
Beginning of period | 719,453,105 | 776,226,832 | ||||||
| End of period | $ | 844,549,426 |
| $ | 719,453,105 | ||
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Forty Portfolio
Financial Highlights
Institutional Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 | |||||
Net Asset Value, Beginning of Period |
| $35.20 |
|
| $39.76 |
|
| $32.19 |
|
| $36.37 |
|
| $40.27 |
|
| $53.34 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.05 | 0.07 | 0.02 | 0.05 | 0.03 | 0.03 | |||||||||||||||
Net realized and unrealized gain/(loss) | 8.17 | 1.31 | 9.58 | 0.58 | 4.77 | 3.08 | |||||||||||||||
Total from Investment Operations |
| 8.22 |
|
| 1.38 |
|
| 9.60 |
|
| 0.63 |
|
| 4.80 |
|
| 3.11 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.03) | — | — | — | — | (0.09) | |||||||||||||||
Distributions (from capital gains) | (3.40) | (5.94) | (2.03) | (4.81) | (8.70) | (16.09) | |||||||||||||||
Total Dividends and Distributions |
| (3.43) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
|
| (8.70) |
|
| (16.18) |
| |||
Net Asset Value, End of Period | $39.99 | $35.20 | $39.76 | $32.19 | $36.37 | $40.27 | |||||||||||||||
Total Return* |
| 23.50% |
|
| 1.98% |
|
| 30.31% |
|
| 2.20% |
|
| 12.22% |
|
| 8.73% |
| |||
Net Assets, End of Period (in thousands) | $341,052 | $292,132 | $309,258 | $257,009 | $295,725 | $299,546 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $327,174 | $327,962 | $297,125 | $273,374 | $298,904 | $307,359 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.75% | 0.71% | 0.82% | 0.72% | 0.69% | 0.57% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.75% | 0.71% | 0.82% | 0.72% | 0.69% | 0.57% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 0.27% | 0.17% | 0.05% | 0.15% | 0.08% | 0.07% | |||||||||||||||
Portfolio Turnover Rate | 18% | 41% | 39% | 53% | 55% | 46% | |||||||||||||||
Service Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 |
| ||||
Net Asset Value, Beginning of Period |
| $33.15 |
|
| $37.84 |
|
| $30.79 |
|
| $35.08 |
|
| $39.21 |
|
| $52.40 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | —(2) | (0.03) | (0.07) | (0.03) | (0.06) | (0.07) | |||||||||||||||
Net realized and unrealized gain/(loss) | 7.69 | 1.28 | 9.15 | 0.55 | 4.63 | 2.99 | |||||||||||||||
Total from Investment Operations |
| 7.69 |
|
| 1.25 |
|
| 9.08 |
|
| 0.52 |
|
| 4.57 |
|
| 2.92 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | —(2) | — | — | — | — | (0.02) | |||||||||||||||
Distributions (from capital gains) | (3.40) | (5.94) | (2.03) | (4.81) | (8.70) | (16.09) | |||||||||||||||
Total Dividends and Distributions |
| (3.40) |
|
| (5.94) |
|
| (2.03) |
|
| (4.81) |
|
| (8.70) |
|
| (16.11) |
| |||
Net Asset Value, End of Period | $37.44 | $33.15 | $37.84 | $30.79 | $35.08 | $39.21 | |||||||||||||||
Total Return* |
| 23.36% |
|
| 1.72% |
|
| 29.99% |
|
| 1.94% |
|
| 11.94% |
|
| 8.47% |
| |||
Net Assets, End of Period (in thousands) | $503,497 | $427,321 | $466,969 | $430,510 | $501,003 | $492,253 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $484,244 | $487,559 | $457,168 | $464,943 | $501,868 | $493,575 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 1.00% | 0.96% | 1.06% | 0.97% | 0.94% | 0.82% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 1.00% | 0.96% | 1.06% | 0.97% | 0.94% | 0.82% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 0.02% | (0.08)% | (0.19)% | (0.09)% | (0.17)% | (0.17)% | |||||||||||||||
Portfolio Turnover Rate | 18% | 41% | 39% | 53% | 55% | 46% | |||||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. (2) Less than $0.005 on a per share basis. |
See Notes to Financial Statements. | |
16 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Forty Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as nondiversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
Janus Aspen Series | 17 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
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 June 30, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
18 | JUNE 30, 2019 |
Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
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.
On December 22, 2017, the Tax Cuts and Jobs Act was signed into law. Currently, Management does not believe the bill will have a material impact on the Portfolio’s intention to continue to qualify as a regulated investment company, which is generally not subject to U.S. federal income tax.
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 period ended June 30, 2019 is discussed in further detail below. A summary of derivative activity by the Portfolio is reflected in the tables at the end of the Schedule of Investments.
The Portfolio may use derivative instruments for hedging purposes (to offset risks associated with an investment, currency exposure, or market conditions), to adjust currency exposure relative to a benchmark index, or for speculative purposes (to earn income and seek to enhance returns). When the Portfolio invests in a derivative for speculative purposes, the Portfolio will be fully exposed to the risks of loss of that derivative, which may sometimes be greater than the derivative’s cost. The Portfolio may not use any derivative to gain exposure to an asset or class of assets that it
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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 or commodity such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
· Counterparty Risk – the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable to honor its financial obligation to the Portfolio.
· Credit Risk – the risk an issuer will be unable to make principal and interest payments when due, or will default on its obligations.
· Currency Risk – the risk that changes in the exchange rate between currencies will adversely affect the value (in U.S. dollar terms) of an investment.
· Equity Risk – the risk related to the change in value of equity securities as they relate to increases or decreases in the general market.
· Index Risk – if the derivative is linked to the performance of an index, it will be subject to the risks associated with changes in that index. If the index changes, the Portfolio could receive lower interest payments or experience a reduction in the value of the derivative to below what the Portfolio paid. Certain indexed securities, including inverse securities (which move in an opposite direction to the index), may create leverage, to the extent that they increase or decrease in value at a rate that is a multiple of the changes in the applicable index.
· Interest Rate Risk – the risk that the value of fixed-income securities will generally decline as prevailing interest rates rise, which may cause the Portfolio’s NAV to likewise decrease.
· Leverage Risk – the risk associated with certain types of leveraged investments or trading strategies pursuant to which relatively small market movements may result in large changes in the value of an investment. The Portfolio creates leverage by investing in instruments, including derivatives, where the investment loss can exceed the original amount invested. Certain investments or trading strategies, such as short sales, that involve leverage can result in losses that greatly exceed the amount originally invested.
· Liquidity Risk – the risk that certain securities may be difficult or impossible to sell at the time that the seller would like or at the price that the seller believes the security is currently worth.
Derivatives may generally be traded OTC or on an exchange. Derivatives traded OTC are agreements that are individually negotiated between parties and can be tailored to meet a purchaser’s needs. OTC derivatives are not guaranteed by a clearing agency and may be subject to increased credit risk.
In an effort to mitigate credit risk associated with derivatives traded OTC, the Portfolio may enter into collateral agreements with certain counterparties whereby, subject to certain minimum exposure requirements, the Portfolio may require the counterparty to post collateral if the Portfolio has a net aggregate unrealized gain on all OTC derivative contracts with a particular counterparty. Additionally, the Portfolio may deposit cash and/or treasuries as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. All liquid securities and restricted cash are considered to cover in an amount at all times equal to or greater than the Portfolio’s commitment with respect to certain exchange-traded derivatives, centrally cleared derivatives, forward foreign currency exchange contracts, short sales, and/or securities with extended settlement dates. There is no guarantee that counterparty exposure is reduced
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and these arrangements are dependent on Janus Capital Management LLC's ("Janus Capital") ability to establish and maintain appropriate systems and trading.
Swaps
Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year to exchange one set of cash flows for another. The most significant factor in the performance of swap agreements is the change in value of the specific index, security, or currency, or other factors that determine the amounts of payments due to and from the Portfolio. The use of swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. Swap transactions may in some instances involve the delivery of securities or other underlying assets by the Portfolio or its counterparty to collateralize obligations under the swap. If the other party to a swap that is not collateralized defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. Swap agreements entail the risk that a party will default on its payment obligations to the Portfolio. If the other party to a swap defaults, the Portfolio would risk the loss of the net amount of the payments that it contractually is entitled to receive. If the Portfolio utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Portfolio and reduce the Portfolio’s total return.
Swap agreements also bear the risk that the Portfolio will not be able to meet its obligation to the counterparty. Swap agreements are typically privately negotiated and entered into in the OTC market. However, certain swap agreements are required to be cleared through a clearinghouse and traded on an exchange or swap execution facility. Swaps that are required to be cleared are required to post initial and variation margins in accordance with the exchange requirements. Regulations enacted require the Portfolio to centrally clear certain interest rate and credit default index swaps through a clearinghouse or central counterparty (“CCP”). To clear a swap with a CCP, the Portfolio will submit the swap to, and post collateral with, a futures clearing merchant (“FCM”) that is a clearinghouse member. Alternatively, the Portfolio may enter into a swap with a financial institution other than the FCM (the “Executing Dealer”) and arrange for the swap to be transferred to the FCM for clearing. The Portfolio may also enter into a swap with the FCM itself. The CCP, the FCM, and the Executing Dealer are all subject to regulatory oversight by the U.S. Commodity Futures Trading Commission (“CFTC”). A default or failure by a CCP or an FCM, or the failure of a swap to be transferred from an Executing Dealer to the FCM for clearing, may expose the Portfolio to losses, increase its costs, or prevent the Portfolio from entering or exiting swap positions, accessing collateral, or fully implementing its investment strategies. The regulatory requirement to clear certain swaps could, either temporarily or permanently, reduce the liquidity of cleared swaps or increase the costs of entering into those swaps.
Index swaps, interest rate swaps, and credit default swaps are valued using an approved vendor supplied price. Basket swaps are valued using a broker supplied price. Equity swaps that consist of a single underlying equity are valued either at the closing price, the latest bid price, or the last sale price on the primary market or exchange it trades. The market value of swap contracts are aggregated by positive and negative values and are disclosed separately as an asset or liability on the Portfolio’s Statement of Assets and Liabilities (if applicable). Realized gains and losses are reported on the Portfolio’s Statement of Operations (if applicable). The change in unrealized net appreciation or depreciation during the period is included in the Statement of Operations (if applicable).
The Portfolio’s maximum risk of loss from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to cover the Portfolio’s exposure to the counterparty.
Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. A fixed-income total return swap may be written on many different kinds of underlying reference assets, and may include different indices for various kinds of debt securities (e.g., U.S. investment grade bonds, high-yield bonds, or emerging market bonds).
During the period, the Portfolio entered into total return swaps on equity indices to increase exposure to equity risk. These total return swaps require the Portfolio to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index multiplied by the notional amount of the contract. The Portfolio will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
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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”) of 2010 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. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will proceed, or how financial markets will react. In addition, one or more other countries may also 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,
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Notes to Financial Statements (unaudited)
and/or recovery may be delayed. The extent of the Portfolio’s exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Offsetting Assets and Liabilities
The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.
In order to better define its contractual rights and to secure rights that will help the Portfolio mitigate its counterparty risk, the Portfolio has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs OTC derivatives and forward foreign currency exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, in the event of a default and/or termination event, the Portfolio may offset with each counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment.
The following 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 the “Fair Value of Derivative Instruments (not accounted for as hedging instruments) as of June 30, 2019” table located in the Portfolio’s Schedule of Investments.
Offsetting of Financial Assets and Derivative Assets | |||||||||
Gross Amounts | |||||||||
of Recognized | Offsetting Asset | Collateral | |||||||
Counterparty | Assets | or Liability(a) | Pledged(b) | Net Amount | |||||
Deutsche Bank AG | $ | 8,326,440 | $ | — | $ | (8,326,440) | $ | — | |
Goldman Sachs International | 10,097 | — | — | 10,097 | |||||
Total | $ | 8,336,537 | $ | — | $ | (8,326,440) | $ | 10,097 | |
(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. |
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 in accordance with the Agency Securities Lending and Repurchase Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. Securities on loan will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. See “Securities Lending” in the notes to financial statements for additional information.
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The Portfolio may require the counterparty to pledge securities as collateral daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized gain on OTC derivative contracts with a particular counterparty. The Portfolio may deposit cash as collateral with the counterparty and/or custodian daily (based on the daily valuation of the financial asset) if the Portfolio has a net aggregate unrealized loss on OTC derivative contracts with a particular counterparty. The collateral amounts are subject to minimum exposure requirements and initial margin requirements. Collateral amounts are monitored and subsequently adjusted up or down as valuations fluctuate by at least the minimum exposure requirement. Collateral may reduce the risk of loss.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. 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 in accordance with the Agency Securities Lending and Repurchase Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
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 Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable).
Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations. As of June 30, 2019, securities lending transactions accounted for as secured borrowings with an overnight and
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continuous contractual maturity are $8,326,440. Gross amounts of recognized liabilities for securities lending (collateral received) as of June 30, 2019 is $8,533,079, resulting in the net amount due to the counterparty of $206,639.
4. Investment Advisory Agreements and Other Transactions with Affiliates
The Portfolio pays Janus Capital Management LLC (“Janus Capital”) an investment advisory fee which is calculated daily and paid monthly. The Portfolio’s "base" fee rate prior to any performance adjustment (expressed as an annual rate) is 0.64%.
The investment advisory fee rate is determined by calculating a base fee and applying a performance adjustment. The base fee rate is the same as the contractual investment advisory fee rate. The performance adjustment either increases or decreases the base fee depending on how well the Portfolio has performed relative to its benchmark index. The Portfolio's benchmark index used in the calculation is the Russell 1000® Growth Index.
The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment performance of a Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2019, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.67%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees
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incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $19,642 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “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 period ended June 30, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $231,325 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates as an “institutional” money market fund and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The units of the Sweep Vehicle 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 period ended June 30, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”),
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Janus Henderson VIT Forty Portfolio
Notes to Financial Statements (unaudited)
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 period ended June 30, 2019, the Portfolio engaged in cross trades amounting to $2,096,751 in purchases.
5. Federal Income Tax
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.
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.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2019 are noted below. The primary difference between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 530,397,469 | $325,200,201 | $ (2,310,179) | $ 322,890,022 |
Information on the tax components of derivatives as of June 30, 2019 is as follows:
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ - | $ 10,097 | $ - | $ 10,097 |
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
6. Capital Share Transactions
Period ended June 30, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 586,146 | $23,816,453 | 809,869 | $33,052,337 | ||
Reinvested dividends and distributions | 697,751 | 27,484,409 | 1,145,241 | 44,744,555 | ||
Shares repurchased | (1,053,820) | (41,951,724) | (1,434,162) | (57,961,060) | ||
Net Increase/(Decrease) | 230,077 | $ 9,349,138 |
| 520,948 | $19,835,832 | |
Service Shares: | ||||||
Shares sold | 509,584 | $18,832,594 | 1,082,691 | $41,434,913 | ||
Reinvested dividends and distributions | 1,141,833 | 42,122,223 | 1,900,851 | 70,046,355 | ||
Shares repurchased | (1,091,983) | (41,543,410) | (2,434,969) | (92,751,165) | ||
Net Increase/(Decrease) | 559,434 | $19,411,407 |
| 548,573 | $18,730,103 |
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Notes to Financial Statements (unaudited)
7. Purchases and Sales of Investment Securities
For the period ended June 30, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$140,709,081 | $ 185,126,544 | $ - | $ - |
8. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for portfolios with fiscal years ending after December 15, 2018. Management is currently evaluating the impacts of ASU 2017-08 on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
9. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings on Form N-Q within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. These reports (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Funds that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and each subadviser 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 the information provided, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 6, 2018, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2019 through February 1, 2020, 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, refer to actual annual advisory fees (and, for the purposes of peer comparisons any administration fees excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
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Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also expressed the view 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 and the subadviser to each Janus Henderson Fund that utilizes a subadviser were appropriate and consistent with the terms of the respective investment advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2018, approximately 48% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2018, approximately 56% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31,
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2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the management fee rate (investment advisory and any administration fees, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, net of waivers, was below the average management fee rate of the respective peer group of funds selected by Broadridge. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
The independent fee consultant expressed the view that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. At the fund complex level, the independent fee consultant found: (1)
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Additional Information (unaudited)
the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 10% under the average total expenses for the respective Broadridge Expense Group peers and 19% under the average total expenses for the respective Broadridge Expense Universes; (3) management fees for the Janus Henderson Funds, on average, were 8% under the average management fees for the respective Expense Groups and 10% under the average for the respective Expense Universes; and (4) Janus Henderson Fund expenses by function for each asset and share class category were reasonable relative to peer benchmarks.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual share class level, Janus Henderson Fund expenses were found to be reasonable relative to peer benchmarks. Further, for certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to investors in each Janus Henderson Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such “focus list” 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 comparable subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, while subadviser fee rates charged to the Janus Henderson Funds were generally within a reasonable range of the fee rates that the subadviser charges to comparable separate account clients or non-affiliated funds. The Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to its institutional clients and to the fees Janus Capital charges to funds subadvised by Janus Capital; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson institutional and subadvised fund investors; (4) in three of five product categories, the Janus Henderson Funds receive proportionally better pricing than the industry in relation to Janus Henderson institutional clients; and (5) in six of seven strategies, Janus Capital has lower management fees than the management fees charged to funds subadvised by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2017, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded fund managers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, differences in product mix, differences in types of business (mutual fund, institutional and other), differences in the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provides to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant concluded that (1) the expense allocation methodology utilized by Janus Capital was reasonable and (2) the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund was reasonable. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted the independent fee consultant’s analysis of economies of scale
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Additional Information (unaudited)
in prior years. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, the independent fee consultant concluded that 74% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted that for those Janus Henderson Funds whose expenses are being reduced by contractual expense limitations with Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale. Moreover, as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered information provided by the independent fee consultant, which concluded that, given the limitations of various analytical approaches to economies of scale it had considered in prior years, and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. The independent consultant further concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant expressed the view that Janus Henderson Fund investors are well-served by the performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information they reviewed, including past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s and each subadviser’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by certain other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds,
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Additional Information (unaudited)
and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was June 30, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Janus Henderson VIT Forty Portfolio
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
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Janus Henderson VIT Forty Portfolio
Useful Information About Your Portfolio Report (unaudited)
period. The next line reflects the total return for the period. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Janus Henderson VIT Forty Portfolio
Notes
NotesPage1
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Janus Henderson VIT Forty Portfolio
Notes
NotesPage2
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Janus Henderson VIT Forty Portfolio
Notes
NotesPage3
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-24-81115 08-19 |
SEMIANNUAL REPORT June 30, 2019 | ||
Janus Henderson VIT Global Research Portfolio | ||
Janus Aspen Series | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Global Research Portfolio
Janus Henderson VIT Global Research Portfolio (unaudited)
PERFORMANCE OVERVIEW
Janus Henderson VIT Global Research Portfolio’s Institutional Shares and Service Shares returned 18.29% and 18.15%, respectively, over the six-month period ended June 30, 2019, while its primary benchmark, the MSCI World Index®, and its secondary benchmark, the MSCI All Country World IndexSM, returned 16.98% and 16.23%, respectively.
MARKET ENVIRONMENT
Stocks rebounded in the first quarter after the Federal Reserve indicated it would take a cautious approach to raising interest rates while inflation remained low. Increasing hopes that the U.S. and China were making progress toward a trade deal also supported stocks in the first quarter. In the second quarter stocks were volatile. Equities lost ground in May as setbacks in U.S.-China trade negotiations raised fears that trade tensions will further dent global economic growth. Economic data also pointed to a weakening global economy during the period. Stocks then rebounded in June, driven in part by expectations of more accommodative monetary policy from central banks.
PERFORMANCE DISCUSSION
While we aim to outperform over shorter periods, our goal is to provide consistent outperformance long term by focusing on what we consider our strength: picking stocks and avoiding macroeconomic risks. Stocks are selected by our six global sector teams, which employ a bottom-up, fundamental approach to identify what we consider the best global opportunities.
This period, our stock selection in the financial and industrial sectors were large contributors to relative performance. Stock selection in the energy and technology sectors detracted from relative results.
Within the financial sector, Mastercard was a large contributor. The company has continued to demonstrate how its business model can address business-to-business payment solutions. A decision by many upstart fintech companies to use Mastercard and Visa’s payments networks – instead of competing against them – has also reinforced the durability of the two global card networks’ values, and helped drive the stock’s appreciation. Mastercard has been a longtime holding in our Portfolio, and a large contributor to Portfolio performance over the years. Our basic view is that Mastercard’s payments network among merchants, card issuers and card holders is a competitive moat that positions the business as a key beneficiary as more transactions migrate from cash and check to plastic and electronic payments. We believe Mastercard is particularly well positioned to benefit from this shift because a majority of its revenues are generated outside the U.S., where many markets have a lower penetration of card and electronic payments and are experiencing significantly faster electronic purchase volume growth.
We also had meaningful contributions from stocks outside the financial sector. Amazon was one of our largest contributors to Portfolio performance. Profitable segments such as Amazon Web Services and its advertising business continued to see strong growth, which helped drive the stock higher during the period. We continue to like Amazon, a longtime holding in the Portfolio, for the same reasons we’ve discussed in previous commentaries. The company’s scale and distribution advantage have entrenched it as a dominant e-commerce platform, which should allow it to continue gaining consumer wallet share as shopping gravitates to online and mobile purchases. Meanwhile, we believe Amazon Web Services is revolutionizing the way companies utilize IT services, using its scale to offer a disruptive pricing model to businesses seeking IT functions in the cloud.
Microsoft was another large contributor. The stock was up after the company announced better-than-expected quarterly earnings results and offered a bullish outlook for fiscal year 2020. We’ve been impressed by the revenue growth of Microsoft’s commercial cloud business, which is
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Janus Henderson VIT Global Research Portfolio (unaudited)
now growing 40% annually. Those figures speak to the growth potential for Microsoft as it and Amazon – another top contributor during the period – continue to lead the buildout of enterprise cloud infrastructure globally. We believe companies are still in the early innings of this shift.
While pleased to outperform the benchmark this period, we still held some stocks that produced disappointing results. Two health care stocks, AbbVie and Bristol-Myers Squibb, were among our largest detractors. AbbVie’s stock declined after the company announced it would purchase Allergan at a significant premium. We believe the deal makes strategic sense, as Allergan’s medical aesthetics franchise and Vraylar are good assets and that Allergan’s women’s health business will combine nicely with AbbVie’s Orilissa. However, we believe the primary reason for the stock’s negative reaction was concern that AbbVie is making the acquisition because of worries about the pace of biosimilar erosion for Humira, AbbVie’s lead drug, which is expected to face additional competitors in 2023.
Isuzu Motors also detracted. The stock was down after the company gave conservative guidance for the March 2020 year. Essentially, Isuzu had recognized many of the costs up front for a new engine model development cycle this year, before the revenues arrive. The market took a dim view of this and sold the stock down. We take a longer view, and think that Isuzu is doing the right things in Southeast Asia and now entering the Indian market. We believe the market continues to value Isuzu as an auto assembler, not a truck manufacturer. Truck makers typically receive higher multiples due to the recurring revenue streams associated with their aftermarket businesses. However, we believe the market will come to appreciate Isuzu’s truck business over time as the company grows its aftermarket support network.
NRG Energy was another detractor. The stock of the utility company was down as power prices declined in its markets in anticipation of reduced electricity demand as a result of cooler, rainier weather. We continue to like the stock, however, and believe the market fails to appreciate that the company has been shifting its business mix toward a balance between power production and distribution. The distribution business should benefit from lower electricity prices, potentially offsetting some of the losses for the power generation business when energy prices fall.
OUTLOOK
After a brief reprieve, volatility has returned to equity markets as trade tensions escalate. But trade is only one part of the geopolitical story. In the months ahead, investors will have to continue digesting news around Brexit, the fallout of European Union elections and the 2020 U.S. presidential campaign. Each has the potential to create unwelcome uncertainty for consumers and businesses, which in turn could crimp global economic growth.
Already, we are seeing some signs of softening. New orders of capital goods, excluding defense and aircraft, declined 0.9% in April from the month prior. Shipments were flat for the same period, and in May, the Institute for Supply Management’s Purchasing Managers’ Index came in at 52.1%, still in expansionary territory, but down from an average of 56.7% over the past 12 months. And while the Morgan Stanley Composite Capex Plans Index saw a 2.2-point gain in May, suggesting some continued optimism by businesses, the results were calculated before President Trump threatened tariffs on Mexico and demonstrated his willingness to expand trade disputes.
Against this backdrop, we believe cyclical equities could face challenges. Even if trade resolutions are reached, we are in the later stages of the business cycle, a time when economic activity naturally ebbs.
Consequently, investors might be tempted to shy away from traditionally cyclical sectors, such as financials, consumer discretionary, technology and industrials. However we think a better approach is to focus on secular growth stories that are likely to persist regardless of where we are in the economic cycle. Through that lens, we believe compelling, long-term growth opportunities can be found throughout the market’s sectors. In technology, for example, the transition to cloud computing persists, driving steady demand for providers of Software as a Service and cloud platforms. In industrials, innovation continues with machine vision systems, which are increasingly being used in logistics and manufacturing. From our experience, such fundamentals are more pertinent to long-term returns than the geopolitical worries du jour.
Thank you for your investment in Janus Henderson VIT Global Research Portfolio.
2 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Mastercard Inc | 0.71% | AbbVie Inc | -0.22% | |||
Amazon.com Inc | 0.66% | Isuzu Motors Ltd | -0.18% | |||
Microsoft Corp | 0.61% | NRG Energy Inc | -0.14% | |||
ASML Holding NV | 0.59% | Bristol-Myers Squibb Co | -0.10% | |||
Visa Inc | 0.55% | Occidental Petroleum Corp | -0.10% | |||
4 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | MSCI World Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Financials | 1.30% | 21.22% | 21.21% | |||
Industrials | 0.44% | 17.77% | 17.81% | |||
Healthcare | 0.27% | 12.49% | 12.85% | |||
Consumer | 0.27% | 18.54% | 18.58% | |||
3 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | MSCI World Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Energy | -0.81% | 8.98% | 9.29% | |||
Technology | -0.26% | 20.39% | 20.25% | |||
Other** | -0.08% | 0.61% | 0.01% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | The sectors listed above reflect those covered by the six analyst teams who comprise the Janus Henderson Research Team. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Global Research Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 3.2% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 2.8% |
JPMorgan Chase & Co | |
Banks | 2.2% |
Alphabet Inc - Class C | |
Interactive Media & Services | 2.1% |
Mastercard Inc | |
Information Technology Services | 2.0% |
12.3% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 100.2% | ||||
Investment Companies | 0.1% | ||||
Other | (0.3)% | ||||
100.0% |
Emerging markets comprised 5.3% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2019 | As of December 31, 2018 |
4 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
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| per the April 30, 2019 prospectuses | |||||||
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| Fiscal | One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 18.29% | 7.41% | 7.20% | 10.81% | 8.33% |
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| 0.60% | |
Service Shares |
| 18.15% | 7.16% | 6.94% | 10.53% | 8.05% |
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| 0.85% | |
MSCI World Index |
| 16.98% | 6.33% | 6.60% | 10.72% | 7.02% |
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MSCI All Country World Index |
| 16.23% | 5.74% | 6.16% | 10.15% | N/A** |
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Morningstar Quartile - Institutional Shares |
| - | 2nd | 2nd | 2nd | 2nd |
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Morningstar Ranking - based on total returns for World Large Stock Funds |
| - | 255/887 | 214/701 | 218/508 | 66/147 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
This Portfolio has a performance-based management fee that may adjust up or down based on the Portfolio’s performance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
See Financial Highlights for actual expense ratios during the reporting period.
Performance for Service Shares prior to December 31, 1999 reflects the performance of Institutional Shares adjusted to reflect the expenses of Service Shares.
Ranking is for the share class shown only; other classes may have different performance characteristics.
© 2019 Morningstar, Inc. All Rights Reserved.
There is no assurance that the investment process will consistently lead to successful investing.
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Janus Henderson VIT Global Research Portfolio (unaudited)
Performance
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – September 13, 1993
**Since inception return is not shown for the index because the index’s inception date differs significantly from the Portfolio’s inception date.
6 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio (unaudited)
Expense Examples
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; 12b-1 distribution and shareholder servicing fees (applicable to Service Shares only); transfer agent fees and expenses payable pursuant to the Transfer Agency Agreement; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. The example is based upon an investment of $1,000 invested at the beginning of the period and held for the six-months indicated, unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate column for your share class under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based upon the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Additionally, for an analysis of the fees associated with an investment in either share class or other similar funds, please visit www.finra.org/fundanalyzer.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as any charges at the separate account level or contract level. These fees are fully described in the Portfolio’s prospectuses. Therefore, the hypothetical examples are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Actual | Hypothetical | |||||||||
| Beginning | Ending | Expenses |
| Beginning | Ending | Expenses | Net Annualized | ||
Institutional Shares | $1,000.00 | $1,182.90 | $4.22 |
| $1,000.00 | $1,020.93 | $3.91 | 0.78% | ||
Service Shares | $1,000.00 | $1,181.50 | $5.57 |
| $1,000.00 | $1,019.69 | $5.16 | 1.03% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (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 Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – 100.2% | |||||||
Aerospace & Defense – 4.0% | |||||||
Boeing Co | 19,720 | $7,178,277 | |||||
L3 Technologies Inc | 35,393 | 8,677,302 | |||||
Safran SA | 87,929 | 12,879,580 | |||||
28,735,159 | |||||||
Airlines – 0.6% | |||||||
Ryanair Holdings PLC (ADR)* | 64,751 | 4,153,129 | |||||
Auto Components – 0.7% | |||||||
Aptiv PLC | 66,007 | 5,335,346 | |||||
Automobiles – 0.7% | |||||||
Isuzu Motors Ltd | 449,400 | 5,115,156 | |||||
Banks – 4.5% | |||||||
BNP Paribas SA | 77,765 | 3,692,171 | |||||
China Construction Bank Corp | 3,369,000 | 2,902,600 | |||||
HDFC Bank Ltd | 255,311 | 9,039,644 | |||||
JPMorgan Chase & Co | 140,448 | 15,702,086 | |||||
Mitsubishi UFJ Financial Group Inc | 199,300 | 946,583 | |||||
32,283,084 | |||||||
Beverages – 3.1% | |||||||
Constellation Brands Inc | 62,973 | 12,401,903 | |||||
Pernod Ricard SA | 54,024 | 9,952,242 | |||||
22,354,145 | |||||||
Biotechnology – 1.9% | |||||||
AbbVie Inc | 72,547 | 5,275,618 | |||||
Neurocrine Biosciences Inc* | 49,069 | 4,142,896 | |||||
Sage Therapeutics Inc* | 9,063 | 1,659,345 | |||||
Sarepta Therapeutics Inc* | 15,379 | 2,336,839 | |||||
13,414,698 | |||||||
Building Products – 1.4% | |||||||
Daikin Industries Ltd | 75,100 | 9,798,530 | |||||
Capital Markets – 4.1% | |||||||
Blackstone Group LP | 163,164 | 7,247,745 | |||||
Intercontinental Exchange Inc | 90,532 | 7,780,320 | |||||
London Stock Exchange Group PLC | 104,341 | 7,267,928 | |||||
TD Ameritrade Holding Corp | 125,505 | 6,265,210 | |||||
UBS Group AG* | 79,500 | 945,071 | |||||
29,506,274 | |||||||
Chemicals – 1.2% | |||||||
Air Products & Chemicals Inc | 37,348 | 8,454,467 | |||||
Construction Materials – 0.7% | |||||||
Vulcan Materials Co | 36,182 | 4,968,150 | |||||
Consumer Finance – 1.8% | |||||||
Nexi SpA (144A)* | 544,697 | 5,610,690 | |||||
Synchrony Financial | 211,312 | 7,326,187 | |||||
12,936,877 | |||||||
Electrical Equipment – 0.5% | |||||||
Sensata Technologies Holding PLC* | 74,699 | 3,660,251 | |||||
Electronic Equipment, Instruments & Components – 1.9% | |||||||
Hexagon AB | 148,215 | 8,233,102 | |||||
Keyence Corp | 9,000 | 5,521,058 | |||||
13,754,160 | |||||||
Energy Equipment & Services – 0.2% | |||||||
Halliburton Co | 51,040 | 1,160,650 | |||||
Entertainment – 2.8% | |||||||
Netflix Inc* | 25,338 | 9,307,154 | |||||
Walt Disney Co | 80,117 | 11,187,538 | |||||
20,494,692 | |||||||
Equity Real Estate Investment Trusts (REITs) – 1.7% | |||||||
American Tower Corp | 34,241 | 7,000,572 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
8 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Equity Real Estate Investment Trusts (REITs) – (continued) | |||||||
Invitation Homes Inc | 194,842 | $5,208,127 | |||||
12,208,699 | |||||||
Health Care Equipment & Supplies – 2.2% | |||||||
Abbott Laboratories | 108,680 | 9,139,988 | |||||
Boston Scientific Corp (144A)* | 160,667 | 6,905,468 | |||||
16,045,456 | |||||||
Health Care Providers & Services – 1.6% | |||||||
Humana Inc | 17,280 | 4,584,384 | |||||
UnitedHealth Group Inc | 28,593 | 6,976,978 | |||||
11,561,362 | |||||||
Hotels, Restaurants & Leisure – 3.7% | |||||||
GVC Holdings PLC | 607,257 | 5,025,586 | |||||
McDonald's Corp | 47,718 | 9,909,120 | |||||
Merlin Entertainments PLC | 1,040,145 | 5,931,120 | |||||
Norwegian Cruise Line Holdings Ltd* | 78,355 | 4,202,179 | |||||
Starbucks Corp | 23,088 | 1,935,467 | |||||
27,003,472 | |||||||
Household Durables – 0.8% | |||||||
Sony Corp | 111,500 | 5,841,855 | |||||
Independent Power and Renewable Electricity Producers – 1.8% | |||||||
NRG Energy Inc | 218,124 | 7,660,515 | |||||
Vistra Energy Corp | 233,502 | 5,286,485 | |||||
12,947,000 | |||||||
Industrial Conglomerates – 1.0% | |||||||
Honeywell International Inc | 41,027 | 7,162,904 | |||||
Information Technology Services – 6.2% | |||||||
Amdocs Ltd | 96,724 | 6,005,593 | |||||
GoDaddy Inc* | 66,574 | 4,670,166 | |||||
Mastercard Inc | 55,277 | 14,622,425 | |||||
Visa Inc | 80,571 | 13,983,097 | |||||
Worldpay Inc* | 45,482 | 5,573,819 | |||||
44,855,100 | |||||||
Insurance – 4.2% | |||||||
AIA Group Ltd | 1,011,000 | 10,904,159 | |||||
NN Group NV | 129,135 | 5,196,757 | |||||
Progressive Corp | 130,932 | 10,465,395 | |||||
Prudential PLC | 189,366 | 4,125,904 | |||||
30,692,215 | |||||||
Interactive Media & Services – 3.0% | |||||||
Alphabet Inc - Class C* | 14,086 | 15,225,698 | |||||
Tencent Holdings Ltd | 145,500 | 6,567,747 | |||||
21,793,445 | |||||||
Internet & Direct Marketing Retail – 3.8% | |||||||
Alibaba Group Holding Ltd (ADR)* | 39,633 | 6,715,812 | |||||
Amazon.com Inc* | 10,830 | 20,508,013 | |||||
27,223,825 | |||||||
Life Sciences Tools & Services – 1.2% | |||||||
Thermo Fisher Scientific Inc | 28,420 | 8,346,386 | |||||
Machinery – 1.1% | |||||||
Parker-Hannifin Corp | 45,986 | 7,818,080 | |||||
Metals & Mining – 1.8% | |||||||
Rio Tinto PLC | 125,714 | 7,790,185 | |||||
Teck Resources Ltd | 233,320 | 5,384,856 | |||||
13,175,041 | |||||||
Multi-Utilities – 0.4% | |||||||
National Grid PLC | 305,012 | 3,236,824 | |||||
Oil, Gas & Consumable Fuels – 6.5% | |||||||
Cabot Oil & Gas Corp | 193,816 | 4,450,015 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 9 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks – (continued) | |||||||
Oil, Gas & Consumable Fuels – (continued) | |||||||
Canadian Natural Resources Ltd | 163,814 | $4,417,498 | |||||
Enterprise Products Partners LP | 276,905 | 7,994,247 | |||||
EOG Resources Inc | 62,652 | 5,836,660 | |||||
Marathon Petroleum Corp | 94,950 | 5,305,806 | |||||
Occidental Petroleum Corp | 77,965 | 3,920,080 | |||||
Suncor Energy Inc | 250,527 | 7,815,815 | |||||
TOTAL SA | 128,980 | 7,224,939 | |||||
46,965,060 | |||||||
Personal Products – 3.0% | |||||||
Estee Lauder Cos Inc | 47,719 | 8,737,826 | |||||
Unilever NV | 215,275 | 13,107,484 | |||||
21,845,310 | |||||||
Pharmaceuticals – 5.9% | |||||||
AstraZeneca PLC | 71,386 | 5,835,309 | |||||
Bristol-Myers Squibb Co | 141,103 | 6,399,021 | |||||
Catalent Inc* | 101,952 | 5,526,818 | |||||
Elanco Animal Health Inc* | 78,544 | 2,654,787 | |||||
Merck & Co Inc | 115,606 | 9,693,563 | |||||
Novartis AG | 87,325 | 7,982,568 | |||||
Takeda Pharmaceutical Co Ltd | 130,850 | 4,640,441 | |||||
42,732,507 | |||||||
Road & Rail – 1.2% | |||||||
CSX Corp | 111,331 | 8,613,679 | |||||
Semiconductor & Semiconductor Equipment – 4.8% | |||||||
ASML Holding NV | 65,554 | 13,692,668 | |||||
Microchip Technology Inc | 41,638 | 3,610,015 | |||||
Taiwan Semiconductor Manufacturing Co Ltd | 1,034,000 | 7,957,432 | |||||
Texas Instruments Inc | 84,869 | 9,739,566 | |||||
34,999,681 | |||||||
Software – 8.8% | |||||||
Adobe Inc* | 40,279 | 11,868,207 | |||||
Autodesk Inc* | 10,977 | 1,788,153 | |||||
Constellation Software Inc/Canada | 6,682 | 6,298,502 | |||||
Intuit Inc | 19,400 | 5,069,802 | |||||
Microsoft Corp | 170,671 | 22,863,087 | |||||
salesforce.com Inc* | 63,009 | 9,560,356 | |||||
SS&C Technologies Holdings Inc | 110,804 | 6,383,418 | |||||
63,831,525 | |||||||
Technology Hardware, Storage & Peripherals – 0.7% | |||||||
Samsung Electronics Co Ltd | 125,435 | 5,106,934 | |||||
Textiles, Apparel & Luxury Goods – 2.0% | |||||||
Cie Financiere Richemont SA | 77,486 | 6,578,131 | |||||
NIKE Inc | 95,390 | 8,007,990 | |||||
14,586,121 | |||||||
Tobacco – 1.5% | |||||||
British American Tobacco PLC | 301,999 | 10,540,957 | |||||
Trading Companies & Distributors – 1.2% | |||||||
Ferguson PLC | 120,865 | 8,593,862 | |||||
Total Common Stocks (cost $544,625,472) | 723,852,068 | ||||||
Investment Companies – 0.1% | |||||||
Money Markets – 0.1% | |||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº,£ (cost $1,230,000) | 1,229,877 | 1,229,877 | |||||
Total Investments (total cost $545,855,472) – 100.3% | 725,081,945 | ||||||
Liabilities, net of Cash, Receivables and Other Assets – (0.3)% | (2,496,969) | ||||||
Net Assets – 100% | $722,584,976 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
10 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio
Schedule of Investments (unaudited)
June 30, 2019
Summary of Investments by Country - (Long Positions) (unaudited) | |||||
% of | |||||
Investment | |||||
Country | Value | Securities | |||
United States | $471,104,978 | 65.0 | % | ||
United Kingdom | 49,753,813 | 6.9 | |||
France | 33,748,932 | 4.7 | |||
Netherlands | 31,996,909 | 4.4 | |||
Japan | 31,863,623 | 4.4 | |||
Canada | 23,916,671 | 3.3 | |||
China | 16,186,159 | 2.2 | |||
Switzerland | 15,505,770 | 2.1 | |||
Hong Kong | 10,904,159 | 1.5 | |||
India | 9,039,644 | 1.2 | |||
Sweden | 8,233,102 | 1.1 | |||
Taiwan | 7,957,432 | 1.1 | |||
Italy | 5,610,690 | 0.8 | |||
South Korea | 5,106,934 | 0.7 | |||
Ireland | 4,153,129 | 0.6 |
Total | $725,081,945 | 100.0 | % |
Schedules of Affiliated Investments – (% of Net Assets)
Dividend Income | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 6/30/19 | |||||||
Investment Companies - 0.1% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | $ | 14,765∆ | $ | - | $ | - | $ | - | ||
Money Markets - 0.1% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 38,458 | (38) | (123) | 1,229,877 | ||||||
Total Affiliated Investments - 0.1% | $ | 53,223 | $ | (38) | $ | (123) | $ | 1,229,877 |
Share Balance at 12/31/18 | Purchases | Sales | Share Balance at 6/30/19 | |||||||
Investment Companies - 0.1% | ||||||||||
Investments Purchased with Cash Collateral from Securities Lending - N/A | ||||||||||
Janus Henderson Cash Collateral Fund LLC, 2.3576%ºº | 6,501 | 8,013,007 | (8,019,508) | - | ||||||
Money Markets - 0.1% | ||||||||||
Janus Henderson Cash Liquidity LLC, 2.5007%ºº | 1,243,000 | 39,263,958 | (39,277,081) | 1,229,877 |
See Notes to Schedule of Investments and Other Information and Notes to Financial Statements. | |
Janus Aspen Series | 11 |
Janus Henderson VIT Global Research Portfolio
Notes to Schedule of Investments and Other Information (unaudited)
MSCI All Country World IndexSM | MSCI All Country World IndexSM reflects the equity market performance of global developed and emerging markets. |
MSCI World IndexSM | MSCI World IndexSM reflects the equity market performance of global developed markets. |
ADR | American Depositary Receipt |
LLC | Limited Liability Company |
LP | Limited Partnership |
PLC | Public Limited 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. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended June 30, 2019 is $12,516,158, which represents 1.7% of net assets. |
* | Non-income producing security. |
ºº | Rate shown is the 7-day yield as of June 30, 2019. |
£ | The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. |
∆ | Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |
The following is a summary of the inputs that were used to value the Portfolio’s investments in securities and other financial instruments as of June 30, 2019. See Notes to Financial Statements for more information. | ||||||||||||
Valuation Inputs Summary | ||||||||||||
Level 2 - | Level 3 - | |||||||||||
Level 1 - | Other Significant | Significant | ||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | ||||||||||
Assets | ||||||||||||
Investments In Securities: | ||||||||||||
Common Stocks | $ | 723,852,068 | $ | - | $ | - | ||||||
Investment Companies | - | 1,229,877 | - | |||||||||
Total Assets | $ | 723,852,068 | $ | 1,229,877 | $ | - | ||||||
12 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio
Statement of Assets and Liabilities (unaudited)
June 30, 2019
|
|
|
|
|
|
|
Assets: | ||||||
Unaffiliated investments, at value(1) | $ | 723,852,068 | ||||
Affiliated investments, at value(2) | 1,229,877 | |||||
Cash | 5,916 | |||||
Non-interested Trustees' deferred compensation | 18,284 | |||||
Receivables: | ||||||
Investments sold | 17,720,252 | |||||
Dividends | 972,357 | |||||
Foreign tax reclaims | 306,909 | |||||
Portfolio shares sold | 51,241 | |||||
Dividends from affiliates | 408 | |||||
Other assets | 3,180 | |||||
Total Assets |
|
| 744,160,492 |
| ||
Liabilities: | ||||||
Foreign cash due to custodian | 726 | |||||
Payables: | — | |||||
Investments purchased | 20,633,206 | |||||
Advisory fees | 401,282 | |||||
Portfolio shares repurchased | 344,862 | |||||
12b-1 Distribution and shareholder servicing fees | 40,578 | |||||
Transfer agent fees and expenses | 30,156 | |||||
Non-interested Trustees' deferred compensation fees | 18,284 | |||||
Professional fees | 10,330 | |||||
Custodian fees | 5,630 | |||||
Non-interested Trustees' fees and expenses | 4,698 | |||||
Affiliated portfolio administration fees payable | 1,456 | |||||
Accrued expenses and other payables | 84,308 | |||||
Total Liabilities |
|
| 21,575,516 |
| ||
Net Assets |
| $ | 722,584,976 |
| ||
Net Assets Consist of: | ||||||
Capital (par value and paid-in surplus) | $ | 522,886,084 | ||||
Total distributable earnings (loss) | 199,698,892 | |||||
Total Net Assets |
| $ | 722,584,976 |
| ||
Net Assets - Institutional Shares | $ | 520,381,973 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 9,987,590 | |||||
Net Asset Value Per Share |
| $ | 52.10 |
| ||
Net Assets - Service Shares | $ | 202,203,003 | ||||
Shares Outstanding, $0.01 Par Value (unlimited shares authorized) | 3,971,269 | |||||
Net Asset Value Per Share |
| $ | 50.92 |
|
(1) Includes cost of $544,625,472. (2) Includes cost of $1,230,000. |
See Notes to Financial Statements. | |
Janus Aspen Series | 13 |
Janus Henderson VIT Global Research Portfolio
Statement of Operations (unaudited)
For the period ended June 30, 2019
|
|
|
|
|
|
Investment Income: | |||||
| Dividends | $ | 8,187,222 | ||
Dividends from affiliates | 38,458 | ||||
Affiliated securities lending income, net | 14,765 | ||||
Other income | 258 | ||||
Foreign tax withheld | (403,684) | ||||
Total Investment Income |
| 7,837,019 |
| ||
Expenses: | |||||
Advisory fees | 2,382,218 | ||||
12b-1 Distribution and shareholder servicing fees: | |||||
Service Shares | 240,846 | ||||
Transfer agent administrative fees and expenses: | |||||
Institutional Shares | 125,166 | ||||
Service Shares | 48,169 | ||||
Other transfer agent fees and expenses: | |||||
Institutional Shares | 6,791 | ||||
Service Shares | 1,653 | ||||
Shareholder reports expense | 35,978 | ||||
Professional fees | 27,907 | ||||
Registration fees | 18,990 | ||||
Custodian fees | 14,265 | ||||
Non-interested Trustees’ fees and expenses | 8,634 | ||||
Affiliated portfolio administration fees | 7,553 | ||||
Other expenses | 43,592 | ||||
Total Expenses |
| 2,961,762 |
| ||
Net Investment Income/(Loss) |
| 4,875,257 |
| ||
Net Realized Gain/(Loss) on Investments: | |||||
Investments and foreign currency transactions | 16,802,814 | ||||
Investments in affiliates | (38) | ||||
Total Net Realized Gain/(Loss) on Investments |
| 16,802,776 |
| ||
Change in Unrealized Net Appreciation/Depreciation: | |||||
Investments, foreign currency translations and non-interested Trustees’ deferred compensation(1) | 93,810,344 | ||||
Investments in affiliates | (123) | ||||
Total Change in Unrealized Net Appreciation/Depreciation |
| 93,810,221 |
| ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 115,488,254 |
| ||
(1) Includes change in unrealized appreciation/depreciation of $23,703 due to foreign capital gains tax on investments. |
See Notes to Financial Statements. | |
14 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio
Statements of Changes in Net Assets
|
|
| Period ended |
| Year ended | |||
Operations: | ||||||||
Net investment income/(loss) | $ | 4,875,257 | $ | 8,301,352 | ||||
Net realized gain/(loss) on investments | 16,802,776 | 42,223,385 | ||||||
Change in unrealized net appreciation/depreciation | 93,810,221 | (97,105,476) | ||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations |
| 115,488,254 |
|
| (46,580,739) | |||
Dividends and Distributions to Shareholders | ||||||||
Institutional Shares | (33,595,774) | (5,995,987) | ||||||
Service Shares | (13,075,376) | (1,999,207) | ||||||
Net Decrease from Dividends and Distributions to Shareholders |
| (46,671,150) |
|
| (7,995,194) | |||
Capital Share Transactions: | ||||||||
Institutional Shares | 7,084,890 | (38,164,525) | ||||||
Service Shares | 3,113,406 | (14,602,009) | ||||||
Net Increase/(Decrease) from Capital Share Transactions |
| 10,198,296 |
|
| (52,766,534) | |||
Net Increase/(Decrease) in Net Assets |
| 79,015,400 |
|
| (107,342,467) | |||
Net Assets: | ||||||||
Beginning of period | 643,569,576 | 750,912,043 | ||||||
| End of period | $ | 722,584,976 |
| $ | 643,569,576 | ||
See Notes to Financial Statements. | |
Janus Aspen Series | 15 |
Janus Henderson VIT Global Research Portfolio
Financial Highlights
Institutional Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 | |||||
Net Asset Value, Beginning of Period |
| $47.13 |
|
| $51.20 |
|
| $40.63 |
|
| $40.24 |
|
| $41.45 |
|
| $38.99 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.38 | 0.62 | 0.51 | 0.45 | 0.35 | 0.51 | |||||||||||||||
Net realized and unrealized gain/(loss) | 8.16 | (4.09) | 10.45 | 0.37 | (1.28) | 2.39 | |||||||||||||||
Total from Investment Operations |
| 8.54 |
|
| (3.47) |
|
| 10.96 |
|
| 0.82 |
|
| (0.93) |
|
| 2.90 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.30) | (0.60) | (0.39) | (0.43) | (0.28) | (0.44) | |||||||||||||||
Distributions (from capital gains) | (3.27) | — | — | — | — | — | |||||||||||||||
Total Dividends and Distributions |
| (3.57) |
|
| (0.60) |
|
| (0.39) |
|
| (0.43) |
|
| (0.28) |
|
| (0.44) |
| |||
Net Asset Value, End of Period | $52.10 | $47.13 | $51.20 | $40.63 | $40.24 | $41.45 | |||||||||||||||
Total Return* |
| 18.29% |
|
| (6.87)% |
|
| 27.03% |
|
| 2.07% |
|
| (2.29)% |
|
| 7.44% |
| |||
Net Assets, End of Period (in thousands) | $520,382 | $463,402 | $540,594 | $469,321 | $509,494 | $571,145 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $507,356 | $533,418 | $512,287 | $478,402 | $560,660 | $577,941 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 0.78% | 0.60% | 0.64% | 0.65% | 0.80% | 0.61% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 0.78% | 0.60% | 0.64% | 0.65% | 0.80% | 0.61% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 1.47% | 1.19% | 1.05% | 1.15% | 0.83% | 1.27% | |||||||||||||||
Portfolio Turnover Rate | 20% | 36% | 41% | 45% | 50% | 42% | |||||||||||||||
Service Shares | |||||||||||||||||||||
For a share outstanding during the period ended June 30, 2019 (unaudited) and the year ended December 31 | 2019 |
|
| 2018 |
|
| 2017 |
|
| 2016 |
|
| 2015 |
|
| 2014 |
| ||||
Net Asset Value, Beginning of Period |
| $46.15 |
|
| $50.17 |
|
| $39.87 |
|
| $39.53 |
|
| $40.77 |
|
| $38.40 |
| |||
Income/(Loss) from Investment Operations: | |||||||||||||||||||||
Net investment income/(loss)(1) | 0.31 | 0.48 | 0.38 | 0.35 | 0.24 | 0.40 | |||||||||||||||
Net realized and unrealized gain/(loss) | 7.99 | (4.00) | 10.24 | 0.36 | (1.26) | 2.35 | |||||||||||||||
Total from Investment Operations |
| 8.30 |
|
| (3.52) |
|
| 10.62 |
|
| 0.71 |
|
| (1.02) |
|
| 2.75 |
| |||
Less Dividends and Distributions: | |||||||||||||||||||||
Dividends (from net investment income) | (0.26) | (0.50) | (0.32) | (0.37) | (0.22) | (0.38) | |||||||||||||||
Distributions (from capital gains) | (3.27) | — | — | — | — | — | |||||||||||||||
Total Dividends and Distributions |
| (3.53) |
|
| (0.50) |
|
| (0.32) |
|
| (0.37) |
|
| (0.22) |
|
| (0.38) |
| |||
Net Asset Value, End of Period | $50.92 | $46.15 | $50.17 | $39.87 | $39.53 | $40.77 | |||||||||||||||
Total Return* |
| 18.15% |
|
| (7.08)% |
|
| 26.68% |
|
| 1.82% |
|
| (2.53)% |
|
| 7.18% |
| |||
Net Assets, End of Period (in thousands) | $202,203 | $180,168 | $210,318 | $179,125 | $202,896 | $214,339 | |||||||||||||||
Average Net Assets for the Period (in thousands) | $195,261 | $206,497 | $197,483 | $186,563 | $218,006 | $209,230 | |||||||||||||||
Ratios to Average Net Assets**: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Ratio of Gross Expenses | 1.03% | 0.85% | 0.89% | 0.90% | 1.05% | 0.86% | |||||||||||||||
Ratio of Net Expenses (After Waivers and Expense Offsets) | 1.03% | 0.85% | 0.89% | 0.90% | 1.05% | 0.86% | |||||||||||||||
Ratio of Net Investment Income/(Loss) | 1.22% | 0.94% | 0.81% | 0.91% | 0.57% | 1.01% | |||||||||||||||
Portfolio Turnover Rate | 20% | 36% | 41% | 45% | 50% | 42% | |||||||||||||||
* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Janus Aspen Series serves as an underlying investment vehicle. ** Annualized for periods of less than one full year. (1) Per share amounts are calculated based on average shares outstanding during the year or period. |
See Notes to Financial Statements. | |
16 | JUNE 30, 2019 |
Janus Henderson VIT Global Research Portfolio
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Janus Henderson VIT Global Research Portfolio (the “Portfolio”) is a series of Janus Aspen Series (the “Trust”), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946. The Trust offers 11 portfolios, each of which offers multiple share classes, with differing investment objectives and policies. The Portfolio seeks long-term growth of capital. The Portfolio is classified as diversified, as defined in the 1940 Act.
The Portfolio currently offers two classes of shares: Institutional Shares and Service Shares. Each class represents an interest in the same portfolio of investments. Institutional Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans. Service Shares are offered only in connection with investment in and payments under variable insurance contracts as well as certain qualified retirement plans that require a fee from Portfolio assets to procure distribution and administrative services to contract owners and plan participants.
Shareholders, including other portfolios, participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio’s Shares and can be considered to “control” the Portfolio when that ownership exceeds 25% of the Portfolio’s assets (and which may differ from control as determined in accordance with accounting principles generally accepted in the United States of America).
The following accounting policies have been followed by the Portfolio and are in conformity with accounting principles generally accepted in the United States of America.
Investment Valuation
Securities held by the Portfolio are valued in accordance with policies and procedures established by and under the supervision of the Trustees (the “Valuation Procedures”). Equity securities traded on a domestic securities exchange are generally valued at the closing prices on the primary market or exchange on which they trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Securities that are traded on the over-the-counter (“OTC”) markets are generally valued at their closing or latest bid prices as available. Foreign securities and currencies are converted to U.S. dollars using the applicable exchange rate in effect at the close of the New York Stock Exchange (“NYSE”). The Portfolio will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith under the Valuation Procedures. Circumstances in which fair value pricing may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to “odd-lot” fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The Portfolio uses systematic fair valuation models provided by independent third parties to value international equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE.
Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that
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Notes to Financial Statements (unaudited)
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 June 30, 2019 to fair value the Portfolio’s investments in securities and other financial instruments is included in the “Valuation Inputs Summary” in the Notes to Schedule of Investments and Other Information.
Investment Transactions and Investment Income
Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Interest income is recorded daily on the accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Income, as well as gains and losses, both realized and unrealized, are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets.
Expenses
The Portfolio bears expenses incurred specifically on its behalf. Each class of shares bears a portion of general expenses, which are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of total net assets. Expenses directly attributable to a specific class of shares are charged against the operations of such class.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
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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.
On December 22, 2017, the Tax Cuts and Jobs Act was signed into law. Currently, Management does not believe the bill will have a material impact on the Portfolio’s intention to continue to qualify as a regulated investment company, which is generally not subject to U.S. federal income tax.
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.
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The enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) of 2010 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. The risk of investing in securities in the European markets may also be heightened due to the referendum in which the United Kingdom voted to exit the EU (known as “Brexit”). There is considerable uncertainty about how Brexit will be conducted, how negotiations of necessary treaties and trade agreements will proceed, or how financial markets will react. In addition, one or more other countries may also 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.
The Portfolio may be exposed to counterparty risk through participation in various programs, including, but not limited to, lending its securities to third parties, cash sweep arrangements whereby the Portfolio’s cash balance is invested in one or more types of cash management vehicles, as well as investments in, but not limited to, repurchase agreements, debt securities, and derivatives, including various types of swaps, futures and options. The Portfolio intends to enter into financial transactions with counterparties that Janus Capital Management LLC (“Janus Capital”) believes to be creditworthy at the time of the transaction. There is always the risk that Janus Capital’s analysis of a counterparty’s creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to the risks associated with one or more counterparties.
Emerging Market Investing
Within the parameters of its specific investment policies, the Portfolio, to the extent that emerging markets may be included in its benchmark index, may invest in securities of issuers or companies from or with exposure to one or more
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“developing countries” or “emerging market countries.” To the extent that the Portfolio invests a significant amount of its assets in one or more of these countries, its returns and net asset value may be affected to a large degree by events and economic conditions in such countries. The risks of foreign investing are heightened when investing in emerging markets, which may result in the price of investments in emerging markets experiencing sudden and sharp price swings. In many developing markets, there is less government supervision and regulation of business and industry practices (including the potential lack of strict finance and accounting controls and standards), stock exchanges, brokers, and listed companies, making these investments potentially more volatile in price and less liquid than investments in developed securities markets, resulting in greater risk to investors. There is a risk in developing countries that a future economic or political crisis could lead to price controls, forced mergers of companies, expropriation or confiscatory taxation, imposition or enforcement of foreign ownership limits, seizure, nationalization, sanctions or imposition of restrictions by various governmental entities on investment and trading, or creation of government monopolies, any of which may have a detrimental effect on the Portfolio’s investments. In addition, the Portfolio’s investments may be denominated in foreign currencies and therefore, changes in the value of a country’s currency compared to the U.S. dollar may affect the value of the Portfolio’s investments. To the extent that the Portfolio invests a significant portion of its assets in the securities of issuers in or companies of a single country or region, it is more likely to be impacted by events or conditions affecting that country or region, which could have a negative impact on the Portfolio’s performance.
Real Estate Investing
The Portfolio may invest in equity and debt securities of real estate-related companies. Such companies may include those in the real estate industry or real estate-related industries. These securities may include common stocks, corporate bonds, preferred stocks, and other equity securities, including, but not limited to, mortgage-backed securities, real estate-backed securities, securities of REITs and similar REIT-like entities. A REIT is a trust that invests in real estate-related projects, such as properties, mortgage loans, and construction loans. REITs are generally categorized as equity, mortgage, or hybrid REITs. A REIT may be listed on an exchange or traded OTC.
Securities Lending
Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. 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 in accordance with the Agency Securities Lending and Repurchase Agreement. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, Janus Capital makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the SEC. If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio.
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 Henderson Cash Collateral Fund LLC. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, Janus Capital has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, Janus Capital receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC, but it may not receive a fee for managing certain other affiliated cash management vehicles in which the Portfolio may invest, and therefore may have an incentive to allocate preferred investment opportunities to investment vehicles for which it is receiving a fee.
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The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation.
The cash collateral invested by Janus Capital is disclosed in the Schedule of Investments (if applicable). Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as “Affiliated securities lending income, net” on the Statement of Operations.
There were no securities on loan as of June 30, 2019.
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 0.60%.
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 MSCI World IndexSM.
The calculation of the performance adjustment applies as follows:
Investment Advisory Fee = Base Fee Rate +/- Performance Adjustment
The investment advisory fee rate paid to Janus Capital by the Portfolio consists of two components: (1) a base fee calculated by applying the contractual fixed rate of the advisory fee to the Portfolio’s average daily net assets during the previous month (“Base Fee Rate”), plus or minus (2) a performance-fee adjustment (“Performance Adjustment”) calculated by applying a variable rate of up to 0.15% (positive or negative) to the Portfolio’s average daily net assets based on the Portfolio’s relative performance compared to the cumulative investment record of its benchmark index over a 36-month performance measurement period or shorter time period, as applicable. The investment performance of a Portfolio’s Service Shares for the performance measurement period is used to calculate the Performance Adjustment. No Performance Adjustment is applied unless the difference between the Portfolio’s investment performance and the cumulative investment record of the Portfolio’s benchmark index is 0.50% or greater (positive or negative) during the applicable performance measurement period.
The Portfolio’s prospectuses and statement(s) of additional information contain additional information about performance-based fees. The amount shown as advisory fees on the Statement of Operations reflects the Base Fee Rate plus/minus any Performance Adjustment. For the period ended June 30, 2019, the performance adjusted investment advisory fee rate before any waivers and/or reimbursements of expenses is 0.69%.
Janus Services LLC (“Janus Services”), a wholly-owned subsidiary of Janus Capital, is the Portfolio’s transfer agent. Janus Services receives an administrative services fee at an annual rate of 0.05% of the average daily net assets of the Portfolio for arranging for the provision by participating insurance companies and qualified plan service providers of administrative services, including recordkeeping, subaccounting, order processing, or other shareholder services provided on behalf of contract holders or plan participants investing in the Portfolio. Other shareholder services may include the provision of order confirmations, periodic account statements, forwarding prospectuses, shareholder reports, and other materials to existing investors, and answering inquiries regarding accounts. Janus Services expects to use this entire fee to compensate insurance companies and qualified plan service providers for providing these services to their customers who invest in the Portfolio. Any unused portion will be reimbursed to the applicable share class at least annually.
In addition, Janus Services provides or arranges for the provision of certain other internal administrative, recordkeeping, and shareholder relations services for the Portfolio. Janus Services is not compensated for these internal services related to the shares, except for out-of-pocket costs. These amounts are disclosed as “Other transfer agent fees and expenses” on the Statement of Operations.
Under a distribution and shareholder servicing plan (the “Plan”) adopted in accordance with Rule 12b-1 under the 1940 Act, the Service Shares may pay the Trust’s distributor, Janus Distributors LLC (“Janus Distributors”), a wholly-owned
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subsidiary of Janus Capital, a fee for the sale and distribution and/or shareholder servicing of the Service Shares at an annual rate of up to 0.25% of the average daily net assets of the Service Shares. Under the terms of the Plan, the Trust is authorized to make payments to Janus Distributors for remittance to insurance companies and qualified plan service providers as compensation for distribution and/or shareholder services performed by such entities. These amounts are disclosed as “12b-1 Distribution and shareholder servicing fees” on the Statement of Operations. Payments under the Plan are not tied exclusively to actual 12b-1 distribution and servicing fees, and the payments may exceed 12b-1 distribution and servicing fees actually incurred. If any of the Portfolio’s actual 12b-1 distribution and servicing fees incurred during a calendar year are less than the payments made during a calendar year, the Portfolio will be refunded the difference. Refunds, if any, are included in “12b-1 Distribution and shareholder servicing fees” in the Statement of Operations.
Janus Capital serves as administrator to the Portfolio pursuant to an administration agreement between Janus Capital and the Trust. Under the administration agreement, Janus Capital is obligated to provide or arrange for the provision of certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent Janus Capital seeks reimbursement and such costs are not otherwise waived). In addition, employees of Janus Capital and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the salaries, fees, and expenses of Janus Capital employees and Portfolio officers, with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by Janus Capital, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services Janus Capital (or any subadvisor, as applicable) provides to the Portfolio. These amounts are disclosed as “Affiliated portfolio administration fees” on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio’s Chief Compliance Officer and certain compliance staff, all of whom are employees of Janus Capital and/or its affiliates, are shared with the Portfolio. Total compensation of $19,642 was paid to the Chief Compliance Officer and certain compliance staff by the Trust during the period ended June 30, 2019. The Portfolio's portion is reported as part of “Other expenses” on the Statement of Operations.
The Board of Trustees has adopted a deferred compensation plan (the “Deferred Plan”) for independent Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Portfolio. All deferred fees are credited to an account established in the name of the Trustees. The amounts credited to the account then increase or decrease, as the case may be, in accordance with the performance of one or more of the Janus Henderson funds that are selected by the Trustees. The account balance continues to fluctuate in accordance with the performance of the selected fund or funds until final payment of all amounts are credited to the account. The fluctuation of the account balance is recorded by the Portfolio as unrealized appreciation/(depreciation) and is included as of June 30, 2019 on the Statement of Assets and Liabilities in the asset, “Non-interested Trustees’ deferred compensation,” and liability, “Non-interested Trustees’ deferred compensation fees.” Additionally, the recorded unrealized appreciation/(depreciation) is included in “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 period ended June 30, 2019 are included in “Non-interested Trustees’ fees and expenses” on the Statement of Operations. Trustees are allowed to change their designation of mutual funds from time to time. Amounts will be deferred until distributed in accordance with the Deferred Plan. Deferred fees of $231,325 were paid by the Trust to the Trustees under the Deferred Plan during the period ended June 30, 2019.
Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the “Investing Funds”). As adviser, Janus Capital has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the “Sweep Vehicle”) is an affiliated unregistered cash management pooled investment vehicle that invests primarily in highly-rated short-term fixed-income securities. The Sweep Vehicle operates as an “institutional” money market fund and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a “floating” NAV) rounded to the fourth decimal place (e.g., $1.0000). The Sweep Vehicle is permitted to impose a liquidity fee (of up to 2%) on redemptions from the Sweep Vehicle or a redemption gate that temporarily suspends redemptions from the Sweep Vehicle for up to 10 business days during a 90 day period. There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital
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commitments due from the Portfolio to the Sweep Vehicle. The units of the Sweep Vehicle 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 period ended June 30, 2019 can be found in the “Schedules of Affiliated Investments” located in the Schedule of Investments.
The Portfolio is permitted to purchase or sell securities (“cross-trade”) between itself and other funds or accounts managed by Janus Capital in accordance with Rule 17a-7 under the Investment Company Act of 1940 (“Rule 17a-7”), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted by the Trust’s Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the period ended June 30, 2019, the Portfolio engaged in cross trades amounting to $4,783,118 in purchases.
4. Federal Income Tax
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.
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.
The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of June 30, 2019 are noted below. The primary differences between book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.
Federal Tax Cost | Unrealized | Unrealized | Net Tax Appreciation/ |
$ 543,497,505 | $199,847,748 | $(18,263,308) | $ 181,584,440 |
5. Capital Share Transactions
Period ended June 30, 2019 | Year ended December 31, 2018 | |||||
Shares | Amount | Shares | Amount | |||
Institutional Shares: | ||||||
Shares sold | 123,783 | $ 6,442,124 | 269,768 | $ 14,200,485 | ||
Reinvested dividends and distributions | 659,128 | 33,595,774 | 117,634 | 5,995,987 | ||
Shares repurchased | (627,193) | (32,953,008) | (1,114,142) | (58,360,997) | ||
Net Increase/(Decrease) | 155,718 | $ 7,084,890 |
| (726,740) | $(38,164,525) | |
Service Shares: | ||||||
Shares sold | 106,445 | $ 5,455,731 | 380,307 | $ 19,520,767 | ||
Reinvested dividends and distributions | 262,452 | 13,075,376 | 40,025 | 1,999,207 | ||
Shares repurchased | (301,828) | (15,417,701) | (708,059) | (36,121,983) | ||
Net Increase/(Decrease) | 67,069 | $ 3,113,406 |
| (287,727) | $(14,602,009) |
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Notes to Financial Statements (unaudited)
6. Purchases and Sales of Investment Securities
For the period ended June 30, 2019, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as applicable) was as follows:
Purchases of | Proceeds from Sales | Purchases of Long- | Proceeds from Sales |
$140,908,644 | $ 168,446,956 | $ - | $ - |
7. Recent Accounting Pronouncements
The FASB issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities ("ASU 2017-08") to amend the amortization period for certain purchased callable debt securities held at a premium. The guidance requires certain premiums on callable debt securities to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount will not be impacted. The amendments are effective for portfolios with fiscal years ending after December 15, 2018. Management is currently evaluating the impacts of ASU 2017-08 on the Portfolio’s financial statements.
The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820), in August 2018. The new guidance removes, modifies and enhances the disclosures to Topic 820. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. An entity is permitted, and Management has decided, to early adopt the removed and modified disclosures in these financial statements.
8. Subsequent Event
Management has evaluated whether any events or transactions occurred subsequent to June 30, 2019 and through the date of issuance of the Portfolio’s financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio’s financial statements.
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Additional Information (unaudited)
Proxy Voting Policies and Voting Record
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to its portfolio securities is available without charge: (i) upon request, by calling 1-800-525-1093; (ii) on the Portfolio’s website at janushenderson.com/proxyvoting; and (iii) on the SEC’s website at http://www.sec.gov. Additionally, information regarding the Portfolio’s proxy voting record for the most recent twelve-month period ended June 30 is also available, free of charge, through janushenderson.com/proxyvoting and from the SEC’s website at http://www.sec.gov.
Full Holdings
The Portfolio is required to disclose its complete holdings on Form N-Q within 60 days of the end of the first and third fiscal quarters, and in the annual report and semiannual report to Portfolio shareholders. These reports (i) are available on the SEC’s website at http://www.sec.gov; (ii) may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (information on the Public Reference Room may be obtained by calling 1-800-SEC-0330); and (iii) are available without charge, upon request, by calling a Janus Henderson representative at 1-877-335-2687 (toll free) . Portfolio holdings consisting of at least the names of the holdings are generally available on a monthly basis with a 30-day lag. Holdings are generally posted approximately two business days thereafter under Full Holdings for the Portfolio at janushenderson.com/vit.
APPROVAL OF ADVISORY AGREEMENTS DURING THE PERIOD
The Trustees of Janus Aspen Series, each of whom serves as an “independent” Trustee (the “Trustees”), oversee the management of each Portfolio of Janus Aspen Series (each, a “VIT Portfolio,” and collectively, the “VIT Portfolios”), as well as each Fund of Janus Investment Fund (together with the VIT Portfolios, the “Janus Henderson Funds,” and each, a “Janus Henderson Fund”). As required by law, the Trustees determine annually whether to continue the investment advisory agreement for each Janus Henderson Fund and the subadvisory agreement for each Janus Henderson Funds that utilizes a subadviser.
In connection with their most recent consideration of those agreements for each Janus Henderson Fund, the Trustees received and reviewed information provided by Janus Capital and each subadviser 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 the information provided, and also met separately in executive session with their independent legal counsel and their independent fee consultant.
At a meeting held on December 6, 2018, based on the Trustees’ evaluation of the information provided by Janus Capital, the subadvisers, and the independent fee consultant, as well as other information, the Trustees determined that the overall arrangements between each Janus Henderson Fund and Janus Capital and each subadviser, as applicable, were fair and reasonable in light of the nature, extent and quality of the services provided by Janus Capital, its affiliates and the subadvisers, the fees charged for those services, and other matters that the Trustees considered relevant in the exercise of their business judgment. At that meeting, the Trustees unanimously approved the continuation of the investment advisory agreement for each Janus Henderson Fund, and the subadvisory agreement for each subadvised Janus Henderson Fund, for the period from February 1, 2019 through February 1, 2020, 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, refer to actual annual advisory fees (and, for the purposes of peer comparisons any administration fees excluding out of pocket costs), net of any waivers, paid by a fund as a percentage of average net assets.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of the services provided by Janus Capital and the subadvisers to the Janus Henderson Funds, taking into account the investment objective, strategies and policies of each Janus Henderson Fund, and the knowledge the Trustees gained from their regular meetings with management on at least a
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Additional Information (unaudited)
quarterly basis and their ongoing review of information related to the Janus Henderson Funds. In addition, the Trustees reviewed the resources and key personnel of Janus Capital and each subadviser, particularly noting those employees who provide investment and risk management services to the Janus Henderson Funds. The Trustees also considered other services provided to the Janus Henderson Funds by Janus Capital or the subadvisers, such as managing the execution of portfolio transactions and the selection of broker-dealers for those transactions. The Trustees considered Janus Capital’s role as administrator to the Janus Henderson Funds, noting that Janus Capital does not receive a fee for its services but is reimbursed for its out-of-pocket costs. The Trustees considered the role of Janus Capital in monitoring adherence to the Janus Henderson Funds’ investment restrictions, providing support services for the Trustees and Trustee committees, and overseeing communications with fund shareholders and the activities of other service providers, including monitoring compliance with various policies and procedures of the Janus Henderson Funds and with applicable securities laws and regulations.
In this regard, the independent fee consultant noted that Janus Capital provides a number of different services for the Janus Henderson Funds and fund shareholders, ranging from investment management services to various other servicing functions, and that, in its view, Janus Capital is a capable provider of those services. The independent fee consultant also expressed the view 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 and the subadviser to each Janus Henderson Fund that utilizes a subadviser were appropriate and consistent with the terms of the respective investment advisory and subadvisory agreements, and that, taking into account steps taken to address those Janus Henderson Funds whose performance lagged that of their peers for certain periods, the Janus Henderson Funds were likely to benefit from the continued provision of those services. They also concluded that Janus Capital and each subadviser had sufficient personnel, with the appropriate education and experience, to serve the Janus Henderson Funds effectively and had demonstrated its ability to attract well-qualified personnel.
Performance of the Funds
The Trustees considered the performance results of each Janus Henderson Fund over various time periods. They noted that they considered Janus Henderson Fund performance data throughout the year, including periodic meetings with each Janus Henderson Fund’s portfolio manager(s), and also reviewed information comparing each Janus Henderson Fund’s performance with the performance of comparable funds and peer groups identified by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent data provider, and with the Janus Henderson Fund’s benchmark index. In this regard, the independent fee consultant found that the overall Janus Henderson Funds’ performance has been reasonable: for the 36 months ended September 30, 2018, approximately 48% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar, and for the 12 months ended September 30, 2018, approximately 56% of the Janus Henderson Funds were in the top two quartiles of performance, as reported by Morningstar.
The Trustees considered the performance of each Janus Henderson Fund, noting that performance may vary by share class, and noted the following with respect to the VIT Portfolios:
· For Janus Henderson Balanced Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Forty Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31,
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Additional Information (unaudited)
2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s performance was in the first Broadridge quartile for the 36 months ended May 31, 2018 and the first Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s performance was in the second Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s performance was in the bottom Broadridge quartile for the 36 months ended May 31, 2018 and the second Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, the steps Janus Capital had taken or was taking to improve performance, and that the performance trend was improving.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the third Broadridge quartile for the 12 months ended May 31, 2018. The Trustees noted the reasons for the Fund’s underperformance, while also noting that the Fund has a performance fee structure that results in lower management fees during periods of underperformance, and the steps Janus Capital had taken or was taking to improve performance.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s performance was in the third Broadridge quartile for the 36 months ended May 31, 2018 and the bottom Broadridge quartile for the 12 months ended May 31, 2018. 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.
In consideration of each Janus Henderson Fund’s performance, the Trustees concluded that, taking into account the factors relevant to performance, as well as other considerations, including steps taken to improve performance, the Janus Henderson Fund’s performance warranted continuation of such Janus Henderson Fund’s investment advisory and subadvisory agreement(s).
Costs of Services Provided
The Trustees examined information regarding the fees and expenses of each Janus Henderson Fund in comparison to similar information for other comparable funds as provided by Broadridge, an independent data provider. They also reviewed an analysis of that information provided by their independent fee consultant and noted that the management fee rate (investment advisory and any administration fees, but excluding out-of-pocket costs) for many of the Janus Henderson Funds, net of waivers, was below the average management fee rate of the respective peer group of funds selected by Broadridge. The Trustees also examined information regarding the subadvisory fees charged for subadvisory services, as applicable, noting that all such fees were paid by Janus Capital out of its management fees collected from such Janus Henderson Fund. The Trustees also considered the total expenses for each share class of each Janus Henderson Fund compared to the average total expenses for its Broadridge Expense Group peers and to average total expenses for its Broadridge Expense Universe.
The independent fee consultant expressed the view that the management fees charged by Janus Capital to each of the Janus Henderson Funds under the current investment advisory and administration agreements are reasonable in relation to the services provided by Janus Capital. At the fund complex level, the independent fee consultant found: (1)
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Additional Information (unaudited)
the total expenses and management fees of the Janus Henderson Funds to be reasonable relative to other mutual funds; (2) total expenses, on average, were 10% under the average total expenses for the respective Broadridge Expense Group peers and 19% under the average total expenses for the respective Broadridge Expense Universes; (3) management fees for the Janus Henderson Funds, on average, were 8% under the average management fees for the respective Expense Groups and 10% under the average for the respective Expense Universes; and (4) Janus Henderson Fund expenses by function for each asset and share class category were reasonable relative to peer benchmarks.
The independent fee consultant concluded that, based on its strategic review of expenses at the complex, category and individual share class level, Janus Henderson Fund expenses were found to be reasonable relative to peer benchmarks. Further, for certain Janus Henderson Funds, the independent fee consultant also performed a systematic “focus list” analysis of expenses in the context of the performance or service delivered to investors in each Janus Henderson Fund. Based on this analysis, the independent fee consultant found that the combination of service quality/performance and expenses on these individual Janus Henderson Funds were reasonable in light of performance trends, performance histories, and existence of performance fees, breakpoints, and expense waivers on such “focus list” 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 comparable subadvisory and separate account fee rates for various investment strategies were lower than management fee rates for Janus Henderson Funds having a similar strategy, while subadviser fee rates charged to the Janus Henderson Funds were generally within a reasonable range of the fee rates that the subadviser charges to comparable separate account clients or non-affiliated funds. The Trustees considered that Janus Capital noted that, under the terms of the management agreements with the Janus Henderson Funds, Janus Capital performs significant additional services for the Janus Henderson Funds that it does not provide to those other clients, including administration services, oversight of the Janus Henderson Funds’ other service providers, trustee support, regulatory compliance and numerous other services, and that, in serving the Janus Henderson Funds, Janus Capital assumes many legal risks and other costs that it does not assume in servicing its other clients. Moreover, the Trustees noted that the independent fee consultant found that: (1) the management fees Janus Capital charges to the Janus Henderson Funds are reasonable in relation to the management fees Janus Capital charges to its institutional clients and to the fees Janus Capital charges to funds subadvised by Janus Capital; (2) these institutional and subadvised accounts have different service and infrastructure needs; (3) Janus Henderson mutual fund investors enjoy reasonable fees relative to the fees charged to Janus Henderson institutional and subadvised fund investors; (4) in three of five product categories, the Janus Henderson Funds receive proportionally better pricing than the industry in relation to Janus Henderson institutional clients; and (5) in six of seven strategies, Janus Capital has lower management fees than the management fees charged to funds subadvised by Janus Capital.
The Trustees considered the fees for each Janus Henderson Fund for its fiscal year ended in 2017, including the VIT Portfolios, and noted the following with regard to each VIT Portfolio’s total expenses, net of applicable fee waivers (the VIT Portfolio’s “total expenses”):
· For Janus Henderson Balanced Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Enterprise Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
· For Janus Henderson Flexible Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable. The Trustees also noted that Janus Capital has contractually agreed to limit the Fund’s expenses, although this limit did not apply because the Fund’s total expenses were already below the applicable fee limit.
· For Janus Henderson Forty Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average for one share class, overall the Fund’s total expenses were reasonable.
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Additional Information (unaudited)
· For Janus Henderson Global Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Technology Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Global Unconstrained Bond Portfolio, the Trustees noted that, although the Fund’s total expenses exceeded the peer group average 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 Henderson Mid Cap Value Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Overseas Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson Research Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for both share classes.
· For Janus Henderson U.S. Low Volatility Portfolio, the Trustees noted that the Fund’s total expenses were below the peer group average for its sole share class.
The Trustees reviewed information on the overall profitability to Janus Capital and its affiliates of their relationship with the Janus Henderson Funds, and considered profitability data of other publicly traded fund managers. The Trustees recognized that profitability comparisons among fund managers are difficult because of the variation in the type of comparative information that is publicly available, and the profitability of any fund manager is affected by numerous factors, including the organizational structure of the particular fund manager, differences in complex size, differences in product mix, differences in types of business (mutual fund, institutional and other), differences in the methodology for allocating expenses, and the fund manager’s capital structure and cost of capital.
Additionally, the Trustees considered the estimated profitability to Janus Capital from the investment management services it provides to each Janus Henderson Fund. In their review, the Trustees considered whether Janus Capital and each subadviser receive adequate incentives and resources to manage the Janus Henderson Funds effectively. In reviewing profitability, the Trustees noted that the estimated profitability for an individual Janus Henderson Fund is necessarily a product of the allocation methodology utilized by Janus Capital to allocate its expenses as part of the estimated profitability calculation. In this regard, the Trustees noted that the independent fee consultant concluded that (1) the expense allocation methodology utilized by Janus Capital was reasonable and (2) the estimated profitability to Janus Capital from the investment management services it provided to each Janus Henderson Fund was reasonable. The Trustees also considered that the estimated profitability for an individual Janus Henderson Fund was influenced by a number of factors, including not only the allocation methodology selected, but also the presence of fee waivers and expense caps, and whether the Janus Henderson Fund’s investment management agreement contained breakpoints or a performance fee component. The Trustees determined, after taking into account these factors, among others, that Janus Capital’s estimated profitability with respect to each Janus Henderson Fund was not unreasonable in relation to the services provided, and that the variation in the range of such estimated profitability among the Janus Henderson Funds was not a material factor in the Board’s approval of the reasonableness of any Janus Henderson Fund’s investment management fees.
The Trustees concluded that the management fees payable by each Janus Henderson Fund to Janus Capital, as well as the fees paid by Janus Capital to the subadvisers of subadvised Janus Henderson Funds, were reasonable in relation to the nature, extent, and quality of the services provided, taking into account the fees charged by other advisers for managing comparable mutual funds with similar strategies, the fees Janus Capital and the subadvisers charge to other clients, and, as applicable, the impact of fund performance on management fees payable by the Janus Henderson Funds. The Trustees also concluded that each Janus Henderson Fund’s total expenses were reasonable, taking into account the size of the Janus Henderson Fund, the quality of services provided by Janus Capital and any subadviser, the investment performance of the Janus Henderson Fund, and any expense limitations agreed to or provided by Janus Capital.
Economies of Scale
The Trustees considered information about the potential for Janus Capital to realize economies of scale as the assets of the Janus Henderson Funds increase. They noted the independent fee consultant’s analysis of economies of scale
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Additional Information (unaudited)
in prior years. They also noted that, although many Janus Henderson Funds pay advisory fees at a base fixed rate as a percentage of net assets, without any breakpoints or performance fees, the independent fee consultant concluded that 74% of these Janus Henderson Funds’ share classes have contractual management fees (gross of waivers) below their Broadridge Expense Group averages. They also noted that for those Janus Henderson Funds whose expenses are being reduced by contractual expense limitations with Janus Capital, Janus Capital is subsidizing certain of these Janus Henderson Funds because they have not reached adequate scale. Moreover, as the assets of some of the Janus Henderson Funds have declined in the past few years, certain Janus Henderson Funds have benefited from having advisory fee rates that have remained constant rather than increasing as assets declined. In addition, performance fee structures have been implemented for various Janus Henderson Funds that have caused the effective rate of advisory fees payable by such a Janus Henderson Fund to vary depending on the investment performance of the Janus Henderson Fund relative to its benchmark index over the measurement period; and a few Janus Henderson Funds have fee schedules with breakpoints and reduced fee rates above certain asset levels. The Trustees also noted that the Janus Henderson Funds share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of all of the Janus Henderson Funds.
The Trustees also considered information provided by the independent fee consultant, which concluded that, given the limitations of various analytical approaches to economies of scale it had considered in prior years, and their conflicting results, it is difficult to analytically confirm or deny the existence of economies of scale in the Janus Henderson complex. The independent consultant further concluded that (1) to the extent there were economies of scale at Janus Capital, Janus Capital’s general strategy of setting fixed management fees below peers appeared to share any such economies with investors even on smaller Janus Henderson Funds which have not yet achieved those economies and (2) by setting lower fixed fees from the start on these Janus Henderson Funds, Janus Capital appeared to be investing to increase the likelihood that these Janus Henderson Funds will grow to a level to achieve any scale economies that may exist. Further, the independent fee consultant expressed the view that Janus Henderson Fund investors are well-served by the performance fee structures in place on the Janus Henderson Funds in light of any economies of scale that may be present at Janus Capital.
Based on all of the information they reviewed, including past research and analysis conducted by the Trustees’ independent fee consultant, the Trustees concluded that the current fee structure of each Janus Henderson Fund was reasonable and that the current rates of fees do reflect a sharing between Janus Capital and the Janus Henderson Fund of any economies of scale that may be present at the current asset level of the Janus Henderson Fund.
Other Benefits to Janus Capital
The Trustees also considered benefits that accrue to Janus Capital and its affiliates and subadvisers to the Janus Henderson Funds from their relationships with the Janus Henderson Funds. They recognized that two affiliates of Janus Capital separately serve the Janus Henderson Funds as transfer agent and distributor, respectively, and the transfer agent receives compensation directly from the non-money market funds for services provided, and that such compensation contributes to the overall profitability of Janus Capital and its affiliates that results from their relationship with the Janus Henderson Funds. The Trustees also considered Janus Capital’s and each subadviser’s past and proposed use of commissions paid by the Janus Henderson Funds on portfolio brokerage transactions to obtain proprietary and third-party research products and services benefiting the Janus Henderson Fund and/or other clients of Janus Capital and/or Janus Capital, and/or a subadviser to a Janus Henderson Fund. The Trustees concluded that Janus Capital’s and the subadvisers’ use of these types of client commission arrangements to obtain proprietary and third-party research products and services was likely to benefit each Janus Henderson Fund. The Trustees also concluded that, other than the services provided by Janus Capital and its affiliates and subadvisers pursuant to the agreements and the fees to be paid by each Janus Henderson Fund therefor, the Janus Henderson Funds and Janus Capital and the subadvisers may potentially benefit from their relationship with each other in other ways. They concluded that Janus Capital and its affiliates share directly in economies of scale through the lower charges of third-party service providers that are based in part on the combined scale of the Janus Henderson Funds and other clients serviced by Janus Capital and its affiliates. They also concluded that Janus Capital and/or the subadvisers benefit from the receipt of research products and services acquired through commissions paid on portfolio transactions of the Janus Henderson Funds and that the Janus Henderson Funds benefit from Janus Capital’s and/or the subadvisers’ receipt of those products and services as well as research products and services acquired through commissions paid by certain other clients of Janus Capital and/or other clients of the subadvisers. They further concluded that the success of any Janus Henderson Fund could attract other business to Janus Capital, the subadvisers or other Janus Henderson funds,
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Additional Information (unaudited)
and that the success of Janus Capital and the subadvisers could enhance Janus Capital’s and the subadvisers’ ability to serve the Janus Henderson Funds.
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Useful Information About Your Portfolio Report (unaudited)
The Management Commentary in this report includes valuable insight as well as statistical information to help you understand how your Portfolio’s performance and characteristics stack up against those of comparable indices.
If the Portfolio invests in foreign securities, this report may include information about country exposure. Country exposure is based primarily on the country of risk. A company may be allocated to a country based on other factors such as location of the company’s principal office, the location of the principal trading market for the company’s securities, or the country where a majority of the company’s revenues are derived.
Please keep in mind that the opinions expressed in the Management Commentary are just that: opinions. They are a reflection based on best judgment at the time this report was compiled, which was June 30, 2019. As the investing environment changes, so could opinions. These views are unique and are not necessarily shared by fellow employees or by Janus Henderson in general.
Performance Overviews
Performance overview graphs compare the performance of a hypothetical $10,000 investment in the Portfolio with one or more widely used market indices. When comparing the performance of the Portfolio with an index, keep in mind that market indices are not available for investment and do not reflect deduction of expenses.
Average annual total returns are quoted for a Portfolio with more than one year of performance history. Average annual total return is calculated by taking the growth or decline in value of an investment over a period of time, including reinvestment of dividends and distributions, then calculating the annual compounded percentage rate that would have produced the same result had the rate of growth been constant throughout the period. Average annual total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Cumulative total returns are quoted for a Portfolio with less than one year of performance history. Cumulative total return is the growth or decline in value of an investment over time, independent of the period of time involved. Cumulative total return does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemptions of Portfolio shares.
Pursuant to federal securities rules, expense ratios shown in the performance chart reflect subsidized (if applicable) and unsubsidized ratios. The total annual fund operating expenses ratio is gross of any fee waivers, reflecting the Portfolio’s unsubsidized expense ratio. The net annual fund operating expenses ratio (if applicable) includes contractual waivers of Janus Capital and reflects the Portfolio’s subsidized expense ratio. Ratios may be higher or lower than those shown in the “Financial Highlights” in this report.
Schedule of Investments
Following the performance overview section is the Portfolio’s Schedule of Investments. This schedule reports the types of securities held in the Portfolio on the last day of the reporting period. Securities are usually listed by type (common stock, corporate bonds, U.S. Government obligations, etc.) and by industry classification (banking, communications, insurance, etc.). Holdings are subject to change without notice.
The value of each security is quoted as of the last day of the reporting period. The value of securities denominated in foreign currencies is converted into U.S. dollars.
If the Portfolio invests in foreign securities, it will also provide a summary of investments by country. This summary reports the Portfolio exposure to different countries by providing the percentage of securities invested in each country. The country of each security represents the country of risk. The Portfolio’s Schedule of Investments relies upon the industry group and country classifications published by Barclays and/or MSCI Inc.
Tables listing details of individual forward currency contracts, futures, written options, swaptions, and swaps follow the Portfolio’s Schedule of Investments (if applicable).
Statement of Assets and Liabilities
This statement is often referred to as the “balance sheet.” It lists the assets and liabilities of the Portfolio on the last day of the reporting period.
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Useful Information About Your Portfolio Report (unaudited)
The Portfolio’s assets are calculated by adding the value of the securities owned, the receivable for securities sold but not yet settled, the receivable for dividends declared but not yet received on securities owned, and the receivable for Portfolio shares sold to investors but not yet settled. The Portfolio’s liabilities include payables for securities purchased but not yet settled, Portfolio shares redeemed but not yet paid, and expenses owed but not yet paid. Additionally, there may be other assets and liabilities such as unrealized gain or loss on forward currency contracts.
The section entitled “Net Assets Consist of” breaks down the components of the Portfolio’s net assets. Because the Portfolio must distribute substantially all earnings, you will notice that a significant portion of net assets is shareholder capital.
The last section of this statement reports the net asset value (“NAV”) per share on the last day of the reporting period. The NAV is calculated by dividing the Portfolio’s net assets for each share class (assets minus liabilities) by the number of shares outstanding.
Statement of Operations
This statement details the Portfolio’s income, expenses, realized gains and losses on securities and currency transactions, and changes in unrealized appreciation or depreciation of Portfolio holdings.
The first section in this statement, entitled “Investment Income,” reports the dividends earned from securities and interest earned from interest-bearing securities in the Portfolio.
The next section reports the expenses incurred by the Portfolio, including the advisory fee paid to the investment adviser, transfer agent fees and expenses, and printing and postage for mailing statements, financial reports and prospectuses. Expense offsets and expense reimbursements, if any, are also shown.
The last section lists the amounts of realized gains or losses from investment and foreign currency transactions, and changes in unrealized appreciation or depreciation of investments and foreign currency-denominated assets and liabilities. The Portfolio will realize a gain (or loss) when it sells its position in a particular security. A change in unrealized gain (or loss) refers to the change in net appreciation or depreciation of the Portfolio during the reporting period. “Net Realized and Unrealized Gain/(Loss) on Investments” is affected both by changes in the market value of Portfolio holdings and by gains (or losses) realized during the reporting period.
Statements of Changes in Net Assets
These statements report the increase or decrease in the Portfolio’s net assets during the reporting period. Changes in the Portfolio’s net assets are attributable to investment operations, dividends and distributions to investors, and capital share transactions. This is important to investors because it shows exactly what caused the Portfolio’s net asset size to change during the period.
The first section summarizes the information from the Statement of Operations regarding changes in net assets due to the Portfolio’s investment operations. The Portfolio’s net assets may also change as a result of dividend and capital gains distributions to investors. If investors receive their dividends and/or distributions in cash, money is taken out of the Portfolio to pay the dividend and/or distribution. If investors reinvest their dividends and/or distributions, the Portfolio’s net assets will not be affected. If you compare the Portfolio’s “Net Decrease from Dividends and Distributions” to “Reinvested Dividends and Distributions,” you will notice that dividends and distributions have little effect on the Portfolio’s net assets. This is because the majority of the Portfolio’s investors reinvest their dividends and/or distributions.
The reinvestment of dividends and distributions is included under “Capital Share Transactions.” “Capital Shares” refers to the money investors contribute to the Portfolio through purchases or withdrawals via redemptions. The Portfolio’s net assets will increase and decrease in value as investors purchase and redeem shares from the Portfolio.
Financial Highlights
This schedule provides a per-share breakdown of the components that affect the Portfolio’s NAV for current and past reporting periods as well as total return, asset size, ratios, and portfolio turnover rate.
The first line in the table reflects the NAV per share at the beginning of the reporting period. The next line reports the net investment income/(loss) per share. Following is the per share total of net gains/(losses), realized and unrealized. Per share dividends and distributions to investors are then subtracted to arrive at the NAV per share at the end of the
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Janus Henderson VIT Global Research Portfolio
Useful Information About Your Portfolio Report (unaudited)
period. The next line reflects the total return for the period. Also included are ratios of expenses and net investment income to average net assets.
The Portfolio’s expenses may be reduced through expense offsets and expense reimbursements. The ratios shown reflect expenses before and after any such offsets and reimbursements.
The ratio of net investment income/(loss) summarizes the income earned less expenses, divided by the average net assets of the Portfolio during the reporting period. Do not confuse this ratio with the Portfolio’s yield. The net investment income ratio is not a true measure of the Portfolio’s yield because it does not take into account the dividends distributed to the Portfolio’s investors.
The next figure is the portfolio turnover rate, which measures the buying and selling activity in the Portfolio. Portfolio turnover is affected by market conditions, changes in the asset size of the Portfolio, fluctuating volume of shareholder purchase and redemption orders, the nature of the Portfolio’s investments, and the investment style and/or outlook of the portfolio manager(s) and/or investment personnel. A 100% rate implies that an amount equal to the value of the entire portfolio was replaced once during the fiscal year; a 50% rate means that an amount equal to the value of half the portfolio is traded in a year; and a 200% rate means that an amount equal to the value of the entire portfolio is traded every six months.
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Janus Henderson VIT Global Research Portfolio
Notes
NotesPage1
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Janus Henderson VIT Global Research Portfolio
Notes
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Knowledge. Shared
At Janus Henderson, we believe in the sharing of expert insight for better investment and business decisions. We call this ethos Knowledge. Shared.
Learn more by visiting janushenderson.com.
This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. | ||||||||
Janus Henderson, Janus, Henderson, Perkins, Intech and Knowledge. Shared are trademarks of Janus Henderson Group plc or one of its subsidiaries. © Janus Henderson Group plc. Janus Henderson Distributors | ||||||||
109-24-81112 08-19 |
SEMIANNUAL REPORT June 30, 2019 | |||||
Janus Henderson VIT Global Technology Portfolio | |||||
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, the insurance company that offers your variable life insurance contract or variable annuity contract, may determine that it will no longer send you paper copies of the Portfolio’s shareholder reports, unless you specifically request paper copies of the reports. Beginning on January 1, 2021, for shareholders who are not insurance contract holders, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website, and your insurance company or plan sponsor, broker-dealer, or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company or plan sponsor, broker-dealer, or financial intermediary. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by contacting your insurance company or plan sponsor, broker-dealer, or other financial intermediary. You may elect to receive all future reports in paper free of charge by contacting your insurance company or plan sponsor, broker dealer or other financial intermediary. Your election to receive reports in paper will apply to all funds held in your account with your insurance company or plan sponsor, broker dealer or other financial intermediary.
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HIGHLIGHTS · Portfolio management perspective · Investment strategy behind your portfolio · Portfolio performance, characteristics |
Table of Contents
Janus Henderson VIT Global Technology Portfolio
Janus Henderson VIT Global Technology Portfolio (unaudited)
PERFORMANCE OVERVIEW
During the six months ended June 30, 2019, Janus Henderson VIT Global Technology Portfolio’s Institutional Shares and Service Shares returned 27.61% and 27.38%, respectively. By comparison, the Portfolio’s benchmarks, the S&P 500® Index and the MSCI All Country World Information Technology IndexSM, returned 18.54% and 25.01%, respectively.
INVESTMENT ENVIRONMENT
With the exception of a brief bout of late-period volatility, global stocks rallied throughout the six months ending June 30, 2019. Technology considerably outperformed the broader market with all sub-sectors within the Portfolio’s benchmark delivering double-digit gains. While general bullishness associated with an increase in accommodative monetary policy helped push tech shares higher, so did sector-specific factors, namely the continuation of strong financial performance by industry heavyweights. The sector’s gains came despite growing calls for greater regulatory oversight of large Internet platforms.
PERFORMANCE DISCUSSION
Since we believe technology markets are complex, we construct a Portfolio with special attention to downside risk that seeks to balance resilience and optionality. Resilience positions tend to be larger, established companies with more stable, long duration growth profiles. Positions that exhibit Optionality tend to be companies earlier in their growth cycle with potential for higher sustainable growth. We believe our focus on stocks that are less volatile on a risk-adjusted basis than those in the MSCI benchmark and that are well positioned to benefit from the rapid rate of change in technology will provide better performance for our shareholders over the long term.
Relative to the Portfolio’s secondary benchmark, a key contributor to outperformance was our stock selection in – and an underweight to – semiconductors. Also contributing was our selection of application software stocks along with an overweight to that sub-sector. Relative losses were concentrated in the Portfolio’s out-of-benchmark allocation to interactive media and services. This segment of the market includes stocks recently reclassified out of the technology index but, in our view, still merit inclusion in the Portfolio due to how integral technology is to their business models.
On an absolute basis, Microsoft was the leading contributor to performance. The software giant delivered a strong earnings report as the company continues to operate on all cylinders. Microsoft’s ability to generate growth at the level it does is all the more impressive given its mega cap status. Nevertheless, we have chosen to underweight the company relative to the tech benchmark so as not to crowd out other attractive investment ideas within the sector.
Adobe Systems was another important contributor. A recent earnings report indicated strong performance as it exceeded consensus estimates across most key metrics. Mobile usage of its cloud-based creative platform continues to provide a tailwind for growth and we expect that management can shift some of its installed document base to a subscription service. Further reason for bullishness is our belief that operating margins should expand during the second half of this year and into 2020.
Activision Blizzard detracted from results. Since the rollout of the blockbuster game Fortnite, the existing gaming industry paradigm has been called into question. Fortnite’s inclusion of a free-to-play tier is forcing management teams to consider countering that offering to defend market share, but at the peril of opening a material hole in their revenue models. Electronic Arts, a gaming rival, has already taken a step in that direction. The stress is evident
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Janus Henderson VIT Global Technology Portfolio (unaudited)
in Activision’s flagship Call of Duty franchise, which has recently underperformed expectations. Also weighing on results was the cessation of the relationship with Bungie, the producer of the popular game, Destiny. While we recognize the strength of the Call of Duty franchise, recent softening in the title that accounts for roughly a third of Activision’s operating profit, by our estimate, was of sufficient concern to cause us to sell our position in the company.
National Instruments was another detractor. The company equips engineers and scientists with automated test equipment and virtual instrumentation software. We believe the flexibility of the company’s software-based measurement solutions is poised to take share from other companies that offer specific hardware to test various sensors and other digital equipment. We also like the potential durability of National Instruments’ earnings streams: once an engineer is trained on its software, we believe it is likely the software of choice for testing equipment the rest of the engineer’s career.
Please see the Derivative Instruments section in the “Notes to Financial Statements” for a discussion of derivatives used by the Portfolio.
OUTLOOK
While we believe we have positioned the Portfolio to participate in the secular themes reshaping how enterprises and individuals interact with technology, we recognize that the sector is a fluid landscape that we must constantly monitor. We are resolute in our view that five years out the number of chips deployed to make the Internet of Things (IoT) a reality is exponentially higher than what it is today. Yet, while the content of chips increases, near-term volumes may be negatively impacted by slowing global growth. Given that semiconductors are considered a leading indicator of economic growth, we are not surprised that this down cycle coincides with a period that saw the yield on 10-year U.S. Treasuries slide toward 2.0%. We still believe that a recovery is near, but both the timing and magnitude are less certain. A best-case scenario is late 2019, but without a pickup in global growth as a tailwind and the easing of tariffs, that could get pushed into 2020.
The recent performance of Software as a Service (SaaS) companies only reinforces our view of their strong position to grow their markets. These companies are likely to be among the least impacted by a continuation of the trade war with China as they sell very little into that market. Also, the fortunes of SaaS companies tend to be driven by unique end markets, which means that regardless of the macro environment, some companies may still be the beneficiaries of robust demand. Fundamental research into these specific markets, in our view, will be required to identify the companies with the most resilient growth prospects. Also, the recently completed quarter witnessed a bifurcation in SaaS valuations, something that we monitor closely as such periods can present buying opportunities.
The outcomes for the giant Internet platforms has likely widened. Part of this is attributable to the prospects of greater regulatory oversight and the ambiguity that accompanies it. Another challenge to these companies is their sheer size. At their current market caps, it will likely be difficult to maintain the revenue and earnings growth that characterized the past few years. We see some specific challenges to those reliant upon digital advertising. During their ascendency, these platforms were able to rapidly grow their share of the broader advertising market. More recently, it can be argued that, in aggregate, these companies have become the advertising market, and are consequently susceptible to a slowdown in economic growth that has historically impacted advertisers.
Much buzz has recently occurred around the eventual rollout of 5G mobile technology. It’s early days, but we are already analyzing how to best gain exposure to what promises to be a powerful theme. To be sure, some opportunities in 5G are complementary to themes we already invest in, including artificial intelligence and IoT. In that sense, 5G should likely provide the low-latency connectivity required for these new technologies to reach their potential. In addition to identifying geographies and the forefront of 5G, we are also identifying the component and infrastructure producers that will likely provide the backbone of these networks. Among these are the chips within 5G base stations and other components aimed at densifying these networks.
Thank you for your investment in Janus Henderson VIT Global Technology Portfolio.
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Janus Henderson VIT Global Technology Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Top Performers - Holdings |
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Contribution | Contribution | |||||
Microsoft Corp | 2.47% | SailPoint Technologies Holdings Inc | -0.11% | |||
Mastercard Inc | 1.30% | Tesla Inc | -0.08% | |||
Cadence Design Systems Inc | 1.12% | National Instruments Corp | -0.08% | |||
Adobe Inc | 1.01% | Activision Blizzard Inc | -0.03% | |||
MercadoLibre Inc | 0.93% | Lyft Inc | -0.02% | |||
4 Top Performers - Sectors* |
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Portfolio | Portfolio Weighting | MSCI All Country World Information Technology Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Information Technology | 3.34% | 67.98% | 100.00% | |||
Industrials | 0.37% | 1.34% | 0.00% | |||
Real Estate | 0.28% | 4.53% | 0.00% | |||
Consumer Discretionary | 0.21% | 10.37% | 0.00% | |||
2 Bottom Performers - Sectors* |
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Portfolio | Portfolio Weighting | MSCI All Country World Information Technology Index | ||||
Contribution | (Average % of Equity) | Weighting | ||||
Communication Services | -1.29% | 14.31% | 0.00% | |||
Other** | -0.44% | 1.47% | 0.00% | |||
Security contribution to performance is measured by using an algorithm that multiplies the daily performance of each security with the previous day’s ending weight in the portfolio and is gross of advisory fees. Fixed income securities and certain equity securities, such as private placements and some share classes of equity securities, are excluded. | ||||||
* | Based on sector classification according to the Global Industry Classification Standard (“GICS”) codes, which are the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |||||
** | Not a GICS classified sector. |
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Janus Henderson VIT Global Technology Portfolio (unaudited)
Portfolio At A Glance
June 30, 2019
5 Largest Equity Holdings - (% of Net Assets) | |
Microsoft Corp | |
Software | 8.0% |
Amazon.com Inc | |
Internet & Direct Marketing Retail | 4.4% |
Adobe Inc | |
Software | 4.1% |
salesforce.com Inc | |
Software | 4.0% |
Alibaba Group Holding Ltd (ADR) | |
Internet & Direct Marketing Retail | 3.9% |
24.4% |
Asset Allocation - (% of Net Assets) | |||||
Common Stocks | 98.6% | ||||
Preferred Stocks | 0.9% | ||||
Investment Companies | 0.7% | ||||
Other | (0.2)% | ||||
100.0% |
Emerging markets comprised 12.8% of total net assets.
Top Country Allocations - Long Positions - (% of Investment Securities) | |
As of June 30, 2019 | As of December 31, 2018 |
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Janus Henderson VIT Global Technology Portfolio (unaudited)
Performance
See important disclosures on the next page. |
| Expense Ratios - | |||||||||
Average Annual Total Return - for the periods ended June 30, 2019 |
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| per the April 30, 2019 prospectuses | |||||||
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| Fiscal | One | Five | Ten | Since |
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| Total Annual Fund | |
Institutional Shares |
| 27.61% | 13.18% | 18.54% | 18.91% | 4.04% |
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| 0.76% | |
Service Shares |
| 27.38% | 12.95% | 18.24% | 18.62% | 3.78% |
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| 1.00% | |
S&P 500 Index |
| 18.54% | 10.42% | 10.71% | 14.70% | 5.72% |
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MSCI All Country World Information Technology Index |
| 25.01% | 9.88% | 15.48% | 16.03% | 2.80%** |
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Morningstar Quartile - Institutional Shares |
| - | 1st | 1st | 2nd | 2nd |
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Morningstar Ranking - based on total returns for Technology Funds |
| - | 50/231 | 24/190 | 32/181 | 61/115 |
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Returns quoted are past performance and do not guarantee future results; current performance may be lower or higher. Investment returns and principal value will vary; there may be a gain or loss when shares are sold. For the most recent month-end performance call 800.668.0434 or visit janushenderson.com/VITperformance.
Performance may be affected by risks that include those associated with non-diversification, portfolio turnover, short sales, potential conflicts of interest, foreign and emerging markets, initial public offerings (IPOs), high-yield and high-risk securities, undervalued, overlooked and smaller capitalization companies, real estate related securities including Real Estate Investment Trusts (REITs), derivatives, and commodity-linked investments. Each product has different risks. Please see the prospectus for more information about risks, holdings and other details.
The Portfolio will normally invest at least 80% of its net assets, measured at the time of purchase, in the type of securities described by its name.
Returns do not reflect the deduction of fees, charges or expenses of any insurance product or qualified plan. If applied, returns would have been lower.
Returns include reinvestment of all dividends and distributionsand 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.
Net dividends reinvested are the dividends that remain to be reinvested after foreign tax obligations have been met. Such obligations vary from country to country.
See Financial Highlights for actual expense ratios during the reporting period.
Ranking is for the share class shown only; other classes may have different performance characteristics. When an expense waiver is in effect, it may have a material effect on the total return, and therefore the ranking for the period.
© 2019 Morningstar, Inc. All Rights Reserved.
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Janus Henderson VIT Global Technology Portfolio (unaudited)
Performance
There is no assurance that the investment process will consistently lead to successful investing.
See Notes to Schedule of Investments and Other Information for index definitions.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment.
See “Useful Information About Your Portfolio Report.”
*The Portfolio’s inception date – January 18, 2000
** The MSCI All Country World Information Technology Index since inception returns are calculated from January 31, 2000.
6 | JUNE 30, 2019 |
Janus Henderson VIT Global Technology 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 | $1,276.10 | $4.23 |
| $1,000.00 | $1,021.08 | $3.76 | 0.75% | ||
Service Shares | $1,000.00 | $1,273.80 | $5.53 |
| $1,000.00 | $1,019.93 | $4.91 | 0.98% | ||
† | Expenses Paid During Period are equal to the Net Annualized Expense Ratio multiplied by the average account value over the period, multiplied by 181/365 (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 Henderson VIT Global Technology Portfolio
Schedule of Investments (unaudited)
June 30, 2019
| Value | ||||||
Common Stocks |